January 31, 2024 Registration Statement Nos. 333-222672 and 333-222672-01; Rule
424(b)(2)
JPMorgan Chase Financial Company LLC
Structured InvestmentsR$1,696,000 Auto
Callable Contingent Interest Notes Linked to the Common Stock of Biogen Inc. due May 5,
2024 Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. ● The notes are
designed for investors who seek a Contingent Interest Payment with respect to each
Review Date for which the closing price of one share of the Reference Stock is greater
than or equal to 55.00% of the Initial Value, which we refer to as the Interest
Barrier. ● The notes will be automatically called if the closing price of one share of
the Reference Stock on any Review Date (other than the first and final Review Dates) is
greater than or equal to the Initial Value. ● The earliest date on which an automatic
call may be initiated is July 31, 2024. ● Investors in the notes should be willing to
accept the risk of losing some or all of their principal and the risk that no
Contingent Interest Payment may be made with respect to some or all Review Dates. ●
Investors should also be willing to forgo fixed interest and dividend payments, in
exchange for the opportunity to receive Contingent Interest Payments. ● The notes are
unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which
we refer to as JPMorgan Financial, the payment on which is fully and unconditionally
guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the credit
risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan
Chase & Co., as guarantor of the notes. ● Minimum denominations ofR$1,000 and integral
multiples thereof ● The notes priced on January 31, 2024 and are expected to settle on
or about February 5, 2024. ● CUSIP: 48132HUM2
Investing in the notes involves a number
of risks. See “Risk Factors” beginning on page PS-10 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, prospectus supplement and prospectus. Any representation to the contrary is
a criminal offense.
Price to Public (1) Fees and Commissions (2) Proceeds to Issuer Per
noteR$1,000R$15R$985 TotalR$1,696,000R$25,440R$1,670,560 (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
ofR$15.00 perR$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, wasR$952.80 perR$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 5, 2024 and the
prospectus and prospectus supplement, each dated April 5, 2024
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of
JPMorgan Chase & Co. Guarantor: JPMorgan Chase & Co. Reference Stock: The common stock
of Biogen Inc., par valueR$0.0005 per share (Bloomberg ticker: BIIB). We refer to
Biogen Inc. as “Biogen”. Contingent Interest Payments: If the notes have not been
automatically called and the closing price of one share of the Reference Stock on any
Review Date is greater than or equal to the Interest Barrier, you will receive on the
applicable Interest Payment Date for eachR$1,000 principal amount note a Contingent
Interest Payment ofR$29.50 (equivalent to a Contingent Interest Rate of 11.80% per
annum, payable at a rate of 2.95% per quarter). If the closing price of one share of
the Reference Stock on any Review Date is less than the Interest Barrier, no Contingent
Interest Payment will be made with respect to that Review Date. Contingent Interest
Rate: 11.80% per annum, payable at a rate of 2.95% per quarter Interest Barrier/Trigger
Value: 55.00% of the Initial Value, which isR$147.8675 Pricing Date: January 31, 2024
Original Issue Date (Settlement Date): On or about February 5, 2024 Review Dates*:
April 30, 2024, July 31, 2024, November 2, 2024, February 1, 2024 and April 30, 2024
(final Review Date) Interest Payment Dates*: May 5, 2024, August 5, 2024, November 5,
2024, February 4, 2024 and the Maturity Date Maturity Date*: May 5, 2024 Call
Settlement Date*: If the notes are automatically called on any Review Date (other than
the first and final Review Dates), the first Interest Payment Date immediately
following that Review Date * Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a
Determination Date — Notes Linked to 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 Automatic Call: If the
closing price of one share of the Reference Stock on any Review Date (other than the
first and final Review Dates) is greater than or equal to the Initial Value, the notes
will be automatically called for a cash payment, for eachR$1,000 principal amount note,
equal to (a)R$1,000 plus (b) the Contingent Interest Payment applicable to that Review
Date, payable on the applicable Call Settlement Date. No further payments will be made
on the notes. Payment at Maturity: If the notes have not been automatically called and
(i) the Final Value is greater than or equal to the Initial Value or (ii) a Trigger
Event has not occurred, you will receive a cash payment at maturity, for eachR$1,000
principal amount note, equal to (a)R$1,000 plus (b) the Contingent Interest Payment
applicable to the final Review Date. If the notes have not been automatically called
and (i) the Final Value is less than the Initial Value and (ii) a Trigger Event has
occurred, your payment at maturity perR$1,000 principal amount note, in addition to any
Contingent Interest Payment, will be calculated as follows:R$1,000 + ($1,000 × Stock
Return) If the notes have not been automatically called and (i) the Final Value is less
than the Initial Value and (ii) a Trigger Event has occurred, you will lose some or all
of your principal amount at maturity. Trigger Event: A Trigger Event occurs if, on any
day during the Monitoring Period, the closing price of one share of the Reference Stock
is less than the Trigger Value Monitoring Period: The period from but excluding the
Pricing Date to and including the final Review Date Stock Return: (Final Value –
Initial Value) Initial Value Initial Value: The closing price of one share of the
Reference Stock on the Pricing Date, which wasR$268.85 Final Value: The closing price
of one share of the Reference Stock on the final Review Date. Stock Adjustment Factor:
The Stock Adjustment Factor is referenced in determining the closing price of one share
of the Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock
Adjustment Factor is subject to adjustment upon the occurrence of certain corporate
events affecting the Reference Stock. See “The Underlyings — Reference Stocks —
Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization
Events” in the accompanying product supplement for further information.
PS- 1 |
Structured Investments Auto Callable Contingent Interest Notes Linked to the Common
Stock of Biogen Inc.
How the Notes Work
Payment in Connection with the First Review
Date
Payments in Connection with Review Dates (Other than the First and Final Review
Dates)
Payment at Maturity If the Notes Have Not Been Automatically Called
PS- 2 |
Structured Investments Auto Callable Contingent Interest Notes Linked to the Common
Stock of Biogen Inc.
Total Contingent Interest Payments
The table below illustrates the
total Contingent Interest Payments perR$1,000 principal amount note over the term of
the notes based on the Contingent Interest Rate of 11.80% per annum, depending on how
many Contingent Interest Payments are made prior to automatic call or maturity.
Number
of Contingent
Interest Payments Total Contingent Interest
Payments 5R$147.50 4R$118.00
3R$88.50 2R$59.00 1R$29.50 0R$0.00
Hypothetical Payout Examples
The following examples
illustrate payments on the notes linked to a hypothetical Reference Stock , assuming a
range of performances for the hypothetical Reference Stock on the Review Dates. The
hypothetical payments set forth below assume the following:
● an Initial Value
ofR$100.00;
● an Interest Barrier and a Trigger Value ofR$55.00 (equal to 55.00% of the
hypothetical Initial Value); and
● a Contingent Interest Rate of 11.80% per annum
(payable at a rate of 2.95% per quarter).
The hypothetical Initial Value ofR$100.00 has
been chosen for illustrative purposes only and does not represent the actual Initial
Value.
The actual Initial Value is the closing price of one share of the Reference
Stock on the Pricing Date and is specified under "Key Terms - Initial Value" in this
pricing supplement. For historical data regarding the actual closing prices of one
share of the Reference Stock, please see the historical information set forth under
“The Reference Stock” in this pricing supplement.
Each hypothetical payment set forth
below is for illustrative purposes only and may not be the actual payment applicable to
a purchaser of the notes. The numbers appearing in the following examples have been
rounded for ease of analysis.
Example 1 — Notes are automatically called on the second
Review Date.
Date Closing Price Payment (perR$1,000 principal amount note) First Review
DateR$105.00R$29.50 Second Review DateR$110.00R$1,029.50 Total PaymentR$1,059.00 (5.90%
return)
Because the closing price of one share of the Reference Stock on the second
Review Date is greater than or equal to the Initial Value, the notes will be
automatically called for a cash payment, for eachR$1,000 principal amount note,
ofR$1,029.50 (orR$1,000 plus the Contingent Interest Payment applicable to the second
Review Date), payable on the applicable Call Settlement Date. The notes are not
automatically callable before the second Review Date, even though the closing price of
one share of the Reference Stock on the first Review Date is greater than the Initial
Value. When added to the Contingent Interest Payment received with respect to the prior
Review Date, the total amount paid, for eachR$1,000 principal amount note,
isR$1,059.00. No further payments will be made on the notes.
PS- 3 | Structured
Investments Auto Callable Contingent Interest Notes Linked to the Common Stock of
Biogen Inc.
Example 2 — Notes have NOT been automatically called, the Final Value is
greater than or equal to the Initial Value and a Trigger Event has occurred.
Date
Closing Price Payment (perR$1,000 principal amount note) First Review
DateR$95.00R$29.50 Second Review DateR$85.00R$29.50 Third through Fourth Review Dates
Less than Interest BarrierR$0 Final Review DateR$105.00R$1,029.50 Total
PaymentR$1,088.50 (8.85% return)
Because the notes have not been automatically called
and the Final Value is greater than or equal to the Initial Value (and, therefore, the
Interest Barrier), even though a Trigger Event has occurred, the payment at maturity,
for eachR$1,000 principal amount note, will beR$1,029.50 (orR$1,000 plus the Contingent
Interest Payment applicable to the final Review Date). When added to the Contingent
Interest Payments received with respect to the prior Review Dates, the total amount
paid, for eachR$1,000 principal amount note, isR$1,088.50.
Example 3 — Notes have NOT
been automatically called, the Final Value is less than the Initial Value and a Trigger
Event has NOT occurred.
Date Closing Price Payment (perR$1,000 principal amount note)
First Review DateR$95.00R$29.50 Second Review DateR$95.00R$29.50 Third through Fourth
Review Dates Greater than Interest BarrierR$29.50 Final Review DateR$55.00R$1,029.50
Total PaymentR$1,147.50 (14.75% return)
Because the notes have not been automatically
called, the Final Value is greater than or equal to the Interest Barrier and a Trigger
Event has not occurred, even though the Final Value is less than the Initial Value, the
payment at maturity, for eachR$1,000 principal amount note, will beR$1,029.50
(orR$1,000 plus the Contingent Interest Payment applicable to the final Review Date).
When added to the Contingent Interest Payments received with respect to the prior
Review Dates, the total amount paid, for eachR$1,000 principal amount note,
isR$1,147.50.
Example 4 — Notes have NOT been automatically called, the Final Value is
less than the Initial Value and the Interest Barrier and a Trigger Event has
occurred.
Date Closing Price Payment (perR$1,000 principal amount note) First Review
DateR$40.00R$0 Second Review DateR$45.00R$0 Third through Fourth Review Dates Less than
Interest BarrierR$0 Final Review DateR$45.00R$450.00 Total PaymentR$450.00 (-55.00%
return)
Because the notes have not been automatically called, the Final Value of the
Reference Stock is less than the Initial Value and the Interest Barrier, a Trigger
Event has occurred and the Stock Return is -55.00%, the payment at maturity will
beR$450.00 perR$1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 ×
(-55.00%)] =R$450.00
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.
PS- 4 | Structured Investments Auto Callable Contingent Interest Notes
Linked to the Common Stock of Biogen Inc.
Selected Risk Considerations
An investment in
the notes involves significant risks. These risks are explained in more detail in the
“Risk Factors” section of the accompanying product supplement.
● 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 (i) the Final Value is less than the
Initial Value and (ii) a Trigger Event has occurred, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value is less than the Initial Value.
Accordingly, under these circumstances, you will lose some or all of your principal
amount at maturity.
● THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT
PAY ANY INTEREST AT ALL —
If the notes have not been automatically called, we will make
a Contingent Interest Payment with respect to a Review Date only if the closing price
of one share of the Reference Stock on that Review Date is greater than or equal to the
Interest Barrier. If the closing price of one share of the Reference Stock on that
Review Date is less than the Interest Barrier, no Contingent Interest Payment will be
made with respect to that Review Date. Accordingly, if the closing price of one share
of the Reference Stock on each Review Date is less than the Interest Barrier, you will
not receive any interest payments over the term of the notes.
● CREDIT RISKS OF
JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and
JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or
potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads,
as determined by the market for taking that credit risk, is likely to adversely affect
the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could
lose your entire investment.
● AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO
INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan
Chase & Co., we have no independent operations beyond the issuance and administration
of our securities. Aside from the initial capital contribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of our affiliates to make
payments under loans made by us or other intercompany agreements. As a result, we are
dependent upon payments from our affiliates to meet our obligations under the notes. If
these affiliates do not make payments to us and we fail to make payments on the notes,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and
that guarantee will rank pari passu with all other unsecured and unsubordinated
obligations of JPMorgan Chase & Co.
● THE APPRECIATION POTENTIAL OF THE NOTES IS
LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES,
regardless of any appreciation of the Reference Stock, which may be
significant. You will not participate in any appreciation of the Reference Stock.
●
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.
● THE BENEFIT PROVIDED
BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD—
If, on any
day during the Monitoring Period, the closing price of one share of the Reference Stock
is less than the Trigger Value (i.e., a Trigger Event occurs) and the notes have not
been automatically called, the benefit provided by the Trigger Value will terminate and
you will be fully exposed to any depreciation of the Reference Stock. You will be
subject to this potential loss of principal even if the Reference Stock subsequently
recovers such that the closing price of one share of the Reference Stock is greater
than or equal to the Trigger Value.
● 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 six months and you will not receive any Contingent
Interest Payments after the applicable Call Settlement Date. There is no guarantee that
you would be able to reinvest the proceeds from an investment in the notes at a
comparable return and/or with a comparable interest rate for a similar level of risk.
Even in cases where the notes are called before maturity, you are not entitled to any
fees and commissions described on the front cover of this pricing supplement.
● YOU
WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO
THE REFERENCE STOCK.
● NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
We have not
independently verified any of the information about the Reference Stock issuer
contained in this pricing supplement. You should undertake your own investigation into
the Reference Stock and its issuer. We are not responsible for the Reference Stock
issuer’s public disclosure of information, whether contained in SEC filings or
otherwise.
● THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE
DISCRETIONARY —
The calculation agent will not make an adjustment in response to all
events that could affect the Reference Stock. The calculation agent may make
adjustments in response to events that are not described in the accompanying product
supplement to account for any diluting or concentrative effect, but the calculation
agent is under no obligation to do so or to consider your interests as a holder of the
notes in making these determinations.
PS- 5 | Structured Investments Auto Callable
Contingent Interest Notes Linked to the Common Stock of Biogen Inc.
● THE RISK OF THE
CLOSING PRICE OF THE REFERENCE STOCK FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER
VALUE IS GREATER IF THE PRICE OF THE REFERENCE STOCK IS VOLATILE.
● LACK OF
LIQUIDITY—
The notes will not be listed on any securities exchange. Accordingly, the
price at which you may be able to trade your notes is likely to depend on the price, if
any, at which JPMS is willing to buy the notes. You may not be able to sell your notes.
The notes are not designed to be short-term trading instruments. Accordingly, you
should be able and willing to hold your notes to maturity.
● THE ESTIMATED VALUE OF THE
NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
The
estimated value of the notes is only an estimate determined by reference to several
factors. The original issue price of the notes exceeds the estimated value of the notes
because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions,
the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes and the estimated cost of hedging
our obligations under the notes. See “The Estimated Value of the Notes” in this pricing
supplement.
● THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE
NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
See “The Estimated Value of the Notes” in
this pricing supplement.
● THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO
AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the
estimated value of the notes may differ from the market-implied funding rate for
vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co.
or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those
costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any
secondary market prices of the notes. See “The Estimated Value of the Notes” in this
pricing supplement.
● THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE
REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED
VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to
you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. See “Secondary Market Prices of
the Notes” in this pricing supplement for additional information relating to this
initial period. Accordingly, the estimated value of your notes during this initial
period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
● SECONDARY MARKET PRICES OF THE NOTES WILL
LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market
prices of the notes will likely be lower than the original issue price of the notes
because, among other things, secondary market prices take into account our internal
secondary market funding rates for structured debt issuances and, also, because
secondary market prices may exclude selling commissions, projected hedging profits, if
any, and estimated hedging costs that are included in the original issue price of the
notes. As a result, the price, if any, at which JPMS will be willing to buy the notes
from you in secondary market transactions, if at all, is likely to be lower than the
original issue price. Any sale by you prior to the Maturity Date could result in a
substantial loss to you.
● SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY
MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their
term will be impacted by a number of economic and market factors, which may either
offset or magnify each other, aside from the selling commissions, projected hedging
profits, if any, estimated hedging costs and the price of the Reference Stock.
Additionally, independent pricing vendors and/or third party broker-dealers may publish
a price for the notes, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the notes, if any, at which
JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
The Reference Stock
All information
contained herein on the Reference Stock and on Biogen is derived from publicly
available sources, without independent verification. According to its publicly
available filings with the SEC, Biogen is a biotechnology company focused on
discovering, developing, manufacturing and marketing therapies for treatment of
multiple sclerosis and other autoimmune disorders, neurodegenerative diseases and
hemophilia. The common stock of Biogen, par valueR$0.0005 per share (Bloomberg ticker:
BIIB) is registered under the Securities Exchange Act of 1934, as amended, which we
refer to as the Exchange Act, and is listed on The NASDAQ Stock Market, which we refer
to as the relevant exchange for purposes of Biogen in the accompanying product
supplement. Information provided to or filed with the SEC by Biogen pursuant to the
Exchange Act can be located by reference to SEC file number 000-19311, and can be
accessed through sec. We do not make any representation that these publicly available
documents are accurate or complete.
PS- 6 | Structured Investments Auto Callable
Contingent Interest Notes Linked to the Common Stock of Biogen Inc.
Historical
Information
The following graph sets forth the historical performance of the Reference
Stock based on the weekly historical closing prices of one share of the Reference Stock
from January 2, 2024 through January 31, 2024. The closing price of one share of the
Reference Stock on January 31, 2024 wasR$268.85. 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 corporate actions, such as stock splits, public offerings, mergers and
acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of
one share of the Reference Stock 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
Reference Stock on any Review Date or any day during the Monitoring Period. There can
be no assurance that the performance of the Reference Stock will result in the return
of any of your principal amount or the payment of any interest.
Historical Performance
of Biogen Inc. Source: Bloomberg
Tax Treatment
You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. In determining our reporting responsibilities we intend to treat
(i) the notes for U.S. federal income tax purposes as prepaid forward contracts with
associated contingent coupons and (ii) any Contingent Interest Payments as ordinary
income, as described in the section entitled “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward
Contracts with Associated Contingent Coupons” in the accompanying product supplement.
Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe
that this is a reasonable treatment, but that there are other reasonable treatments
that the IRS or a court may adopt, in which case the timing and character of any income
or loss on the notes could be materially affected. In addition, in 2007 Treasury and
the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in
particular on whether to require investors in these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments and the
relevance of factors such as the nature of the underlying property to which the
instruments are linked. While the notice requests comments on appropriate transition
rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially affect the tax consequences of an
investment in the notes, possibly with retroactive effect. The discussions above and in
the accompanying product supplement do not address the consequences to taxpayers
subject to special tax accounting rules under Section 451(b) of the Code. You should
consult your tax adviser regarding the U.S. federal income tax consequences of an
investment in the notes, including possible alternative treatments and the issues
presented by the notice described above.
Non-U.S. Holders — Tax Considerations. The
U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest
Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at
a rate of 30%, subject to the possible reduction of that rate under an applicable
income tax treaty), unless income from your notes is effectively connected with your
conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States). If you are
not a United States person, you are urged to consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances.
PS- 7 | Structured Investments Auto Callable Contingent
Interest Notes Linked to the Common Stock of Biogen Inc.
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, 2024
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.
FATCA. Withholding under
legislation commonly referred to as “FATCA” could apply to payments with respect to the
notes that are treated as U.S.-source “fixed or determinable annual or periodical”
income (“FDAP Income”) for U.S. federal income tax purposes (such as interest, if the
notes are recharacterized, in whole or in part, as debt instruments, or Contingent
Interest Payments if they are otherwise treated as FDAP Income). If the notes are
recharacterized, in whole or in part, as debt instruments, withholding could also apply
to payments of gross proceeds of a taxable disposition, including an early redemption
or redemption at maturity, 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 FDAP Income). You should consult your tax adviser regarding the potential
application of FATCA to the notes.
In the event of any withholding on the notes, we
will not be required to pay any additional amounts with respect to amounts so
withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the
following hypothetical components: (1) a fixed-income debt component with the same
maturity as the notes, valued using the internal funding rate described below, and (2)
the derivative or derivatives underlying the economic terms of the notes. The estimated
value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal
funding rate used in the determination of the estimated value of the notes may differ
from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based
on, among other things, our and our affiliates’ view of the funding value of the notes
as well as the higher issuance, operational and ongoing liability management costs of
the notes in comparison to those costs for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and
assumptions, which may prove to be incorrect, and is intended to approximate the
prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. For additional
information, see “Selected Risk Considerations — The Estimated Value of the Notes Is
Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value
of the derivative or derivatives underlying the economic terms of the notes is derived
from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various
other inputs, some of which are market-observable, and which can include volatility,
dividend rates, interest rates and other factors, as well as assumptions about future
market events and/or environments. Accordingly, the estimated value of the notes is
determined when the terms of the notes are set based on market conditions and other
relevant factors and assumptions existing at that time.
The estimated value of the
notes does not represent future values of the notes and may differ from others’
estimates. Different pricing models and assumptions could provide valuations for the
notes that are greater than or less than the estimated value of the notes. In addition,
market conditions and other relevant factors in the future may change, and any
assumptions may prove to be incorrect. On future dates, the value of the notes could
change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant
factors, which may impact the price, if any, at which JPMS would be willing to buy
notes from you in secondary market transactions.
The estimated value of the notes is
lower than the original issue price of the notes because costs associated with selling,
structuring and hedging the notes are included in the original issue price of the
notes. These costs include the selling commissions paid to JPMS and other affiliated or
unaffiliated dealers, the projected profits, if any, that our affiliates expect to
realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our
obligations entails risk and may be influenced by market forces beyond our control,
this hedging may result in a profit that is more or less than expected, or it may
result in a loss. A portion of the profits, if any, realized in hedging our obligations
under the notes may be allowed to other affiliated or unaffiliated dealers, and we or
one or more of our affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
PS- 8 | Structured
Investments Auto Callable Contingent Interest Notes Linked to the Common Stock of
Biogen Inc.
Secondary Market Prices of the Notes
For information about factors that
will impact any secondary market prices of the notes, see “Risk Factors — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary
market prices of the notes will be impacted by many economic and market factors” in the
accompanying product supplement. In addition, we generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to
you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include selling
commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt
issuances. This initial predetermined time period is intended to be the shorter of six
months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a
profit in connection with our hedging activities, the estimated costs of hedging the
notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be
Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated
Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products that reflect
the risk-return profile and market exposure provided by the notes. See “How the Notes
Work” and “Hypothetical Payout Examples” in this pricing supplement for an illustration
of the risk-return profile of the notes and “The Reference Stock” 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 Plan of Distribution
We expect that
delivery of the notes will be made against payment for the notes on or about the
Original Issue Date set forth on the front cover of this pricing supplement, which will
be the third business day following the Pricing Date of the notes (this settlement
cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities Exchange Act of
1934, as amended, trades in the secondary market generally are required to settle in
two business days, unless the parties to that trade expressly agree otherwise.
Accordingly, purchasers who wish to trade notes on any date prior to two business days
before delivery will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own
advisors.
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 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 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 March 8, 2024, which was filed as an exhibit to the
Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on
March 8, 2024.
PS- 9 | Structured Investments Auto Callable Contingent Interest Notes
Linked to the Common Stock of Biogen Inc.
Additional Terms Specific to the Notes
You
should read this pricing supplement together with the accompanying prospectus, as
supplemented by the accompanying prospectus supplement relating to our Series A
medium-term notes of which these notes are a part, and the more detailed information
contained in the accompanying product supplement. This pricing supplement, together
with the documents listed below, contains the terms of the notes and supersedes all
other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the
matters set forth in the “Risk Factors” section of the accompanying product supplement,
as the notes involve risks not associated with conventional debt securities. We urge
you to consult your investment, legal, tax, accounting and other advisers before you
invest in the notes.
You may access these documents on the SEC website at sec 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 5,
2024:
http://sec/Archives/edgar/data/19617/000095010318004519/dp87528_424b2-ps4i.pdf
●
Prospectus supplement and prospectus, each dated April 5,
2024:
http://sec/Archives/edgar/data/19617/000095010318004508/dp87767_424b2-ps.pdf
Our
Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s
CIK is 19617. As used in this pricing supplement, “we,” “us” and “our” refer to
JPMorgan Financial.
