JPMorgan Chase & Co.
12/16/2024 | Press release | Distributed by Public on 12/16/2024 11:01
Primary Offering Prospectus (Form 424B2)
|
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 Rule 424(b)(2) |
|
JPMorgan Chase Financial Company LLC |
|
Structured Investments |
$1,700,000 Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund due December 16, 2027 Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. |
General
| · | If the notes are not automatically called, investors will receive uncapped, leveraged exposure of 1.25 times any appreciation of the Technology Select Sector SPDR® Fund at maturity. |
| · | Investors should be willing to forgo interest and dividend payments and, if the notes are not automatically called and the Final Share Price is less than the Share Strike Price by more than 10.00%, be willing to lose some or all of their principal amount at maturity. |
| · | The notes will be automatically called if the closing price of one Share of the Fund is greater than or equal to the Share Strike Price on the Review Date. |
| · | 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. | |
| Fund: | The Technology Select Sector SPDR® Fund (Bloomberg ticker: XLK UP) | |
| Automatic Call: | On the Review Date, if the closing price of one share of the Fund is greater than or equal to the Share Strike Price, the notes will be automatically called for a cash payment plus a call premium amount per note that will be payable on the Call Settlement Date. | |
| Payment if Called: | If the notes are automatically called, you will receive one payment of $1,000 plus a call premium amount equal to 10.05%. | |
| Payment at Maturity: | If the notes have not been automatically called and the Final Share Price is greater than the Share Strike Price, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Fund Return multiplied by the Upside Leverage Factor. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: | |
| $1,000 + ($1,000 × Fund Return × Upside Leverage Factor) | ||
| If the notes have not been automatically called and the Final Share Price is equal to the Share Strike Price or is less than the Share Strike Price by up to 10.00%, you will receive the principal amount of your notes at maturity. | ||
| If the notes have not been automatically called and the Final Share Price is less than the Share Strike Price by more than 10.00%, you will lose 1.11111% of the principal amount of your notes for every 1% that the Final Share Price is less than the Share Strike Price by more than 10.00%. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: | ||
| $1,000 + [$1,000 × (Fund Return + 10.00%) × 1.11111] | ||
| If the notes have not been automatically called, 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 10.00%. | ||
| Upside Leverage Factor: | 1.25 | |
| Buffer Amount: | 10.00% | |
| Downside Leverage Factor: | 1.11111 | |
| Fund Return: |
(Final Share Price - Share Strike Price) Share Strike Price |
|
| Share Strike Price: | $239.37, which was the closing price of one share of the Fund on the Strike Date. The Share Strike Price is not determined by reference to the closing price of one share of the Fund on the Pricing Date. | |
| Final Share Price: | The closing price of one share of the Fund on the Valuation Date | |
| Share Adjustment Factor: | The Share Adjustment Factor is referenced in determining the closing price of one share of the Fund and is set initially at 1.0 on the Strike Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund. See "The Underlyings - Funds - Anti-Dilution Adjustments" in the accompanying product supplement for further information. | |
| Strike Date: | December 11, 2024 | |
| Pricing Date: | December 12, 2024 | |
| Original Issue Date: | On or about December 17, 2024 (Settlement Date) | |
| Review Date*: | December 24, 2025 | |
| Call Settlement Date*: | December 30, 2025 | |
| Valuation Date*: | December 13, 2027 | |
| Maturity Date*: | December 16, 2027 | |
| CUSIP: | 48135WLW4 |
| * | 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 |
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 | $20.00 | $980.00 |
| Total | $1,700,000.00 | $34,000.00 | $1,666,000.00 |
| (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 $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. |
The estimated value of the notes, when the terms of the notes were set, was $966.20 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):
| · |
Product supplement no. 4-I dated April 13, 2023: https://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf |
| · |
Underlying supplement no. 1-I dated April 13, 2023: https://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf |
| · |
Prospectus supplement and prospectus, each dated April 13, 2023: https://www.sec.gov/Archives/edgar/data/19617/000095010321005751/crt_dp192097-424b2.pdf |
| · |
Prospectus addendum dated June 3, 2024: http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm |
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in this pricing supplement, "we," "us" and "our" refer to JPMorgan Financial.
| JPMorgan Structured Investments - | PS- 1 |
| Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund |
What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Fund?
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 Share Strike Price of $100, and reflects the call premium of 10.05%, the Upside Leverage Factor of 1.25, the Buffer Amount of 10.00% and the Downside Leverage Factor of 1.11111. The hypothetical Share Strike Price of $100.00 has been chosen for illustrative purposes only and does not represent the actual Share Strike Price. 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.
| Review Date | The notes are not automatically called. | ||||
|
Closing Price of One Share of the Fund on the Review Date |
Appreciation/ Depreciation of Fund on Review Date |
Total Return on Call Settlement Date |
Final Share Price |
Fund Return |
Total Return |
| $160.00 | 60.00% | 10.05% | $160.00 | 60.00% | 75.00000% |
| $150.00 | 50.00% | 10.05% | $150.00 | 50.00% | 62.50000% |
| $140.00 | 40.00% | 10.05% | $140.00 | 40.00% | 50.00000% |
| $130.00 | 30.00% | 10.05% | $130.00 | 30.00% | 37.50000% |
| $120.00 | 20.00% | 10.05% | $120.00 | 20.00% | 25.00000% |
| $110.00 | 10.00% | 10.05% | $110.00 | 10.00% | 12.50000% |
| $105.00 | 5.00% | 10.05% | $105.00 | 5.00% | 6.25000% |
| $102.50 | 2.50% | 10.05% | $102.50 | 2.50% | 3.12500% |
| $100.00 | 0.00% | 10.05% | $100.00 | 0.00% | 0.00000% |
| $97.50 | -2.50% | N/A | $97.50 | -2.50% | 0.00000% |
| $95.00 | -5.00% | N/A | $95.00 | -5.00% | 0.00000% |
| $90.00 | -10.00% | N/A | $90.00 | -10.00% | 0.00000% |
| $89.99 | -10.01% | N/A | $89.99 | -10.01% | -0.01111% |
| $80.00 | -20.00% | N/A | $80.00 | -20.00% | -11.11110% |
| $70.00 | -30.00% | N/A | $70.00 | -30.00% | -22.22220% |
| $60.00 | -40.00% | N/A | $60.00 | -40.00% | -33.33330% |
| $50.00 | -50.00% | N/A | $50.00 | -50.00% | -44.44440% |
| $40.00 | -60.00% | N/A | $40.00 | -60.00% | -55.55550% |
| $30.00 | -70.00% | N/A | $30.00 | -70.00% | -66.66660% |
| $20.00 | -80.00% | N/A | $20.00 | -80.00% | -77.77770% |
| $10.00 | -90.00% | N/A | $10.00 | -90.00% | -88.88880% |
| $0.000 | -100.00% | N/A | $0.000 | -100.00% | -100.00000% |
| JPMorgan Structured Investments - | PS- 2 |
| Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund |
Hypothetical Examples of Amount Payable at Maturity
The following examples illustrate how the payment at maturity in different hypothetical scenarios is calculated.
Example 1: On the Review Date, the price of one Share of the Fund increases from the Share Strike Price of $100.00 to a closing price of $102.50. The notes are automatically called.
Because the closing price of one share of the Fund on the Review Date is greater than the Share Strike Price of $100.00, the notes are automatically called and the investor receives a payment on the Call Settlement Date of $1,100.50 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 10.05%) = $1,100.50
Example 2. The notes are not automatically called on the Review Date, and the price of one Share of the Fund increases from the Share Strike Price of $100.00 to a Final Share Price of $105.00.
Because the Final Share Price of $105.00 is greater than the Share Strike Price of $100.00 and the Fund Return is 5.00%, the investor receives a payment at maturity of $1,062.50 per $1,000.00 principal amount note, calculated as follows:
$1,000 + ($1,000 × 5.00% × 1.25) = $1,062.50
Example 3: The notes are not automatically called on the Review Date, and the price of one Share of the Fund decreases from the Share Strike Price of $100.00 to a Final Share Price of $90.00.
Although the Fund Return is negative, because the Final Share Price of $90.00 is less than the Share Strike Price of $100.00 by up to the Buffer Amount of 10.00%, the investor receives a payment at maturity of $1,000.00 per $1,000 principal amount note.
Example 4: The notes are not automatically called on the Review Date, and the price of one Share of the Fund decreases from the Share Strike Price of $100.00 to a Final Share Price of $40.00.
Because the Final Share Price of $40.00 is less than the Share Strike Price of $100.00 by more than the Buffer Amount of 10.00% and the Fund Return is -60.00%, the investor receives a payment at maturity of $444.445 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00% + 10.00%) × 1.11111] = $444.445
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 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 |
| Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund |
Selected Purchase Considerations
| · | APPRECIATION POTENTIAL - If the closing price of one share of the Fund is greater than or equal to the Share Strike Price on the Review Date, your investment will yield a payment per $1,000 principal amount note of $1,000 plus a call premium of 10.05%. |
If the notes are not automatically called, the notes will provide the opportunity to earn an uncapped, leveraged return equal to any positive Fund Return multiplied by the Upside Leverage Factor. The notes are not subject to a predetermined maximum gain and, accordingly, any return at maturity will be determined based on the movement of the price of one Share of the Fund. 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.
| · | LOSS OF PRINCIPAL BEYOND BUFFER AMOUNT - We will pay you your principal back at maturity if the Final Share Price is equal to the Share Strike Price or is less than the Share Strike Price by up to 10.00%. If the Final Share Price is less than the Share Strike Price by more than 10.00%, for every 1% that the Final Share Price is less than the Share Strike Price by more than 10.00%, you will lose an amount equal to 1.11111% of the principal amount of your notes. Accordingly, you may lose some or all of your principal amount at maturity. |
| · | POTENTIAL EARLY EXIT WITH APPRECIATION AS A RESULT OF AUTOMATIC CALL FEATURE - While the original term of the notes is approximately three years, the notes will be automatically called before maturity if the closing price of one share of the Fund on the Review Date is greater than or equal to the Share Strike Price, and you will be entitled to a call premium of 10.05%. Even in the case 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. |
| · | RETURN LINKED TO THE TECHNOLOGY SELECT SECTOR SPDR® FUND - The Fund is an exchange-traded fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Technology Select Sector Index, which we refer to as the "Underlying Index" with respect to the Fund. The Underlying Index is a modified market capitalization-based index that measures the performance of the GICS® information technology sector of the S&P 500® Index, which currently includes companies in the following industries: IT services; software; communications equipment; technology hardware, storage & peripherals; electronic equipment, instruments & components; and semiconductors & semiconductor equipment. For additional information about the Fund, see "Fund Descriptions - The Select Sector SPDR® Funds" 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, in the opinion of our special tax counsel it is reasonable to treat the notes as "open transactions" that are not debt instruments for U.S. federal income tax purposes, as more fully described in "Material U.S. Federal Income Tax Consequences - Tax Consequences to U.S. Holders - Notes Treated as Open Transactions That Are Not Debt Instruments" in the accompanying product supplement. Assuming this treatment is respected, subject to the possible application of the "constructive ownership" rules, 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. The notes could be treated as "constructive ownership transactions" within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would otherwise be long-term capital gain and that was in excess of the "net underlying long-term capital gain" (as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over your holding period for the notes. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment of the notes described above, in which case the timing and character of any income or loss on your 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 described above. 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 the potential application of the constructive ownership rules, possible alternative treatments and the issues presented by this notice.
| JPMorgan Structured Investments - | PS- 4 |
| Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund |
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 (such an index, a "Qualified Index"). 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.
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.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Fund, the Underlying Index or any of the component securities of the Fund or the Underlying 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 Fund and will depend on whether, and the extent to which, the Fund Return is positive or negative. Your investment will be exposed to a loss on a leveraged basis if the Final Share Price is less than the Share Strike Price by more than 10.00%. For every 1% that the Final Share Price is less than the Share Strike Price by more than 10.00%, you will lose an amount equal to 1.11111% of the principal amount of your notes. Accordingly, you may lose some or all of your principal amount at maturity. |
| · | 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. |
| · | REINVESTMENT RISK - 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 in the event the notes are automatically called prior to the Maturity Date. |
| · | 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. |
| · | 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 Fund would have. |
| · | VOLATILITY RISK - Greater expected volatility with respect to the Fund indicates a greater likelihood as of the Strike Date or the Pricing Date that the Final Share Price could be less than the Share Strike Price by more than |
| JPMorgan Structured Investments - | PS- 5 |
| Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund |
the Buffer Amount. The Fund's volatility, however, can change significantly over the term of the notes. The Fund closing price of one share 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. |
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, 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). |
| JPMorgan Structured Investments - | PS- 6 |
| Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund |
| · | 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" below.
| · | 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 one share of the Fund. |
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 Fund
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND - Although the shares of the Fund are listed for trading on a securities exchange and a number of similar products have been traded on securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Fund or that there will be liquidity in the trading market. The Fund is subject to management risk, which is the risk that the investment strategies of the Fund's investment adviser, the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of the shares of the Fund, and consequently, the value of the notes. |
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND'S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE - The Fund does not fully replicate its Underlying Index and may hold securities different from those included in its Underlying Index. In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs) may impact the variance between the performances of the Fund and its Underlying Index. Finally, because the shares of the Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset value per share of the Fund. |
During periods of market volatility, securities underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | RISKS ASSOCIATED WITH THE TECHNOLOGY SECTOR WITH RESPECT TO THE TECHNOLOGY SELECT SECTOR SPDR® FUND - All or substantially all of the equity securities held by the Fund are issued by companies whose primary line of business is directly associated with the technology sector. As a result, the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers. The value of stocks of technology companies and companies that rely heavily on technology is particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation and competition, both domestically and internationally, including competition from foreign competitors with lower production costs. Stocks of technology companies and companies that rely heavily on technology, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology companies are heavily dependent on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability. Additionally, companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified personnel. |
| JPMorgan Structured Investments - | PS- 7 |
| Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund |
These factors could affect the technology sector and could affect the value of the equity securities held by the Fund and the price of one Share of the Fund during the term of the notes, which may adversely affect the value of your notes.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED - The calculation agent will make adjustments to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. |
| JPMorgan Structured Investments - | PS- 8 |
| Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund |
Historical Information
The following graph sets forth the historical performance of the Fund based on the weekly historical closing prices of one share of the Fund from January 4, 2019 through December 6, 2024. The closing price of one share of the Fund on December 12, 2024 was $238.03.
We obtained the closing prices above and below from the Bloomberg Professional® service ("Bloomberg"), without independent verification. The closing prices above and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits. The historical prices of one share of the Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of the Fund on the Valuation Date. There can be no assurance that the performance of the Fund 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
| JPMorgan Structured Investments - | PS- 9 |
| Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund |
be impacted by many economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See "Selected Risk Considerations - Risks Relating to the Estimated Value and Secondary Market Prices of the Notes - The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes. See "What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Fund?" 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 Technology Select Sector SPDR® Fund" 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 Fund, 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- 10 |
| Auto Callable Buffered Return Enhanced Notes Linked to the Technology Select Sector SPDR® Fund |