PRICING SUPPLEMENT dated July 31, 2024 (To the Prospectus and Prospectus Supplement, each dated | Filed Pursuant to Rule 424(b)(2) Registration Statement Nos. 333-270004 and 333-270004-01 |
 |
JPMorgan Chase Financial Company LLC Global Medium-Term Notes, Series A Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. |
$1,217,000 Market Linked Securities — Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to a Basket due February 5, 2030 |
n Linked to an unequally weighted basket composed of the EURO STOXX 50® Index (30.00% weighting), the TOPIX® Index (20.00% weighting), the FTSE 100 Index (15.00% weighting), the S&P/ASX 200 Index (15.00% weighting) and the iShares® MSCI Emerging Markets ETF (20.00% weighting) (each referred to as a “basket component”) n Unlike ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the securities provide for a maturity payment amount that may be greater than, equal to or less than the principal amount of the securities, depending on the performance of the basket from the starting level to the ending level. The maturity payment amount will reflect the following terms: n If the level of the basket increases, you will receive the principal amount plus a positive return equal to 184.00% of the percentage increase in the level of the basket from the starting level of the basket. n If the level of the basket remains flat or decreases but is not less than 70% of the starting level (the “threshold level”), you will receive the principal amount. n If the level of the basket decreases and is less than the threshold level, you will have full downside exposure to the decrease in the level of the basket from the starting level, and you will lose more than 30%, and possibly all, of the principal amount. n Investors may lose some or all of the principal amount. n The securities 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 securities is subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co., as guarantor of the securities. n No periodic interest payments or dividends n No exchange listing; designed to be held to maturity |
The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. 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” on page PS-9 in this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the contrary is a criminal offense.
| Price to Public(1) | Fees and Commissions(2)(3) | Proceeds to Issuer | |
| Per Security | $1,000.00 | $38.70 | $961.30 |
| Total | $1,217,000 | $47,097.90 | $1,169,902.10 |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the securities. |
| (2) | Wells Fargo Securities, LLC, which we refer to as WFS, acting as agent for JPMorgan Financial, will receive selling commissions from us of $38.70 per security. WFS has advised us that it may provide dealers, which may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), with a selling concession of $30.00 per security. In addition to the concession allowed to WFA, WFS has advised us that it may pay $1.20 per security of the selling commissions to WFA as a distribution expense fee for each security sold by WFA. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
| (3) | In respect of certain securities sold in this offering, J.P. Morgan Securities LLC, which we refer to as JPMS, may pay a fee of $2.50 per security to selected dealers in consideration for marketing and other services in connection with the distribution of the securities to other dealers. |
The estimated value of the securities, when the terms of the securities were set, was $935.80 per security. See “The Estimated Value of the Securities” in this pricing supplement for additional information.
The securities 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.
| Wells Fargo Securities |  |
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Terms of the Securities
| Issuer: | JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: | JPMorgan Chase & Co. |
| Basket / Basket Components: | An unequally weighted basket (the “basket”) composed of the following basket components, with the weighting percentages noted parenthetically: the EURO STOXX 50® Index (Bloomberg ticker: SX5E)(30%), the TOPIX® Index (Bloomberg ticker: TPX) (20%), the FTSE 100 Index (Bloomberg ticker: UKX)(15%) and the S&P/ASX 200 Index (Bloomberg ticker: AS51)(15%) (each referred to as an “Index,” and collectively as the “Indices”) and the iShares® MSCI Emerging Markets ETF (Bloomberg ticker: EEM) (20%) (the “Fund”) (each of the Indices and the Fund referred to as a “basket component” and collectively as the “basket components”) |
| Pricing Date: | July 31, 2024 |
| Issue Date: | August 5, 2024 |
| Calculation Day1: | January 31, 2030 |
| Stated Maturity Date1: | February 5, 2030 |
| Principal Amount: | $1,000 per security. References in this pricing supplement to a “security” are to a security with a principal amount of $1,000. |
| Maturity Payment Amount: | On the stated maturity date, you will be entitled to receive a cash payment per security in U.S. dollars equal to the maturity payment amount. The “maturity payment amount” per security will equal: · if the ending level is greater than the starting level: $1,000 + ($1,000 × basket return × upside participation rate); · if the ending level is less than or equal to the starting level, but greater than or equal to the threshold level: $1,000; or · if the ending level is less than the threshold level: $1,000 + ($1,000 × basket return) If the ending level of the basket is less than the threshold level, you will have full downside exposure to the decrease in the level of the basket from the starting level and will lose more than 30%, and possibly all, of the principal amount of your securities at maturity. |
| Upside Participation Rate: | 184% |
| Basket Return: | The “basket return” is the percentage change from the starting level to the ending level, calculated as follows: ending level – starting level starting level |
| Threshold Level: | 70.00, which is equal to 70% of the starting level |
| Starting Level: | 100.00 |
| Ending Level: | The “ending level” will be calculated based on the weighted returns of the basket components and will be equal to the product of (i) 100 and (ii) an amount equal to 1 plus the sum of (A) 30% of the basket component return of the EURO STOXX 50® Index; (B) 20% of the basket component return of the TOPIX® Index; (C) 15% of the basket component return of the FTSE 100 Index; (D) 15% of the basket component return of the S&P/ASX 200 Index; and (E) 20% of the basket component return of the Fund. |
PS-2
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
| Basket Component Return: | The “basket component return” with respect to each basket component is the percentage change from its initial basket component value to its final basket component value, calculated as follows: final basket component value – initial basket component value initial basket component value |
| Initial Basket Component Value: | With respect to the EURO STOXX 50® Index: 4,872.94, its closing value on the pricing date With respect to the TOPIX® Index: 2,794.26, its closing value on the pricing date With respect to the FTSE 100 Index: 8,367.98, its closing value on the pricing date With respect to the S&P/ASX 200 Index: 8,092.334, its closing value on the pricing date With respect to the Fund: $42.95, its closing value on the pricing date |
| Final Basket Component Value: | With respect to the EURO STOXX 50® Index: its closing value on the calculation day With respect to the TOPIX® Index: its closing value on the calculation day With respect to the FTSE 100 Index: its closing value on the calculation day With respect to the S&P/ASX 200 Index: its closing value on the calculation day With respect to the Fund: its closing value on the calculation day |
| Closing Value: | With respect to each Index, “closing value” has the meaning assigned to “closing level” as set forth under “The Underlyings — Indices — Certain Definitions” in the accompanying product supplement. With respect to the Fund, “closing value” has the meaning assigned to “fund closing price” as set forth under “The Underlyings — Funds — Certain Definitions” in the accompanying product supplement. The closing value of the Fund is subject to adjustment through the adjustment factor as described in the accompanying product supplement. |
| Additional Terms: | Terms used in this pricing supplement, but not defined herein, will have the meanings ascribed to them in the accompanying product supplement. |
| Calculation Agent: | J.P. Morgan Securities LLC (“JPMS”) |
| Tax Considerations: | For a discussion of the material U.S. federal income tax consequences of the ownership and disposition of the securities, see “Tax Considerations.” |
| Denominations: | $1,000 and any integral multiple of $1,000 |
| CUSIP: | 48135PQT1 |
| Fees and Commissions: | Wells Fargo Securities, LLC, which we refer to as WFS, acting as agent for JPMorgan Financial, will receive selling commissions from us of $38.70 per security. WFS has advised us that it may provide dealers, which may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), with a selling concession of $30.00 per security. In addition to the concession allowed to WFA, WFS has advised us that it may pay $1.20 per security of the selling commissions to WFA as a distribution expense fee for each security sold by WFA. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. In addition, in respect of certain securities sold in this offering, JPMS may pay a fee of $2.50 per security to selected securities dealers in consideration for marketing and other services in connection with the distribution of the securities to other securities dealers. We, WFS or an affiliate may enter into swap agreements or related hedge transactions with one of our or their other affiliates or unaffiliated counterparties in connection with the sale of the securities and JPMS, WFS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental Use of Proceeds” below and “Use of Proceeds and Hedging” in the accompanying product supplement. |
1 Subject to postponement in the event of a non-trading day or a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
PS-3
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Additional Information about the Issuer, the Guarantor and the Securities
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 securities 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 securities 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 securities 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 securities.
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. WF-1-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029547/ea152823_424b2.pdf |
| · | Underlying supplement no. 1-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf |
| · | Prospectus supplement and prospectus, each dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/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.
PS-4
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The Estimated Value of the Securities
The estimated value of the securities 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 securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum price at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value of the securities 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 securities as well as the higher issuance, operational and ongoing liability management costs of the securities 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 securities. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities and any secondary market prices of the securities. For additional information, see “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities 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 securities 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 securities is determined when the terms of the securities 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 Securities — The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the securities is lower than the original issue price of the securities because costs associated with selling, structuring and hedging the securities are included in the original issue price of the securities. These costs include the selling commissions paid to WFS (which WFS has advised us includes selling concessions and distribution expense fees), the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities. 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 securities 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 — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities Is Lower Than the Original Issue Price (Price to Public) of the Securities” in this pricing supplement.
Secondary Market Prices of the Securities
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the securities 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 securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be approximately six months. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities 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 Securities — The Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited Time Period” in this pricing supplement.
Supplemental Use of Proceeds
The securities are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the securities. See “Hypothetical Examples and Returns” in this pricing supplement for an illustration of the risk-return profile of the securities and “The Basket,” “EURO STOXX 50® Index,” “TOPIX® Index”, “FTSE 100 Index”, “S&P/ASX 200 Index” and “iShares® MSCI Emerging Markets ETF” in this pricing supplement for a description of the market exposure provided by the securities.
The original issue price of the securities is equal to the estimated value of the securities plus the selling commissions paid to WFS (which WFS has advised us includes selling concessions and distribution expense fees), plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities.
PS-5
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Supplemental Terms of the Securities
Any values of the basket components, 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 securities. Notwithstanding anything to the contrary in the indenture governing the securities, that amendment will become effective without consent of the holders of the securities or any other party.
PS-6
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Investor Considerations
The securities are not appropriate for all investors. The securities may be an appropriate investment for you if all of the following statements are true:
| § | You do not seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| § | You anticipate that the ending level of the basket will be greater than the starting level, and you are willing and able to accept the risk that, if the ending level of the basket is less than the threshold level, you will lose more than 30%, and possibly all, of the principal amount of your securities at maturity. |
| § | You are willing and able to accept the risks associated with an investment linked to the performance of the basket, as explained in more detail in the “Selected Risk Considerations” section of this pricing supplement. |
| § | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the Fund or the securities composing the basket components, nor will you have any voting rights with respect to the Fund or the securities composing the basket components. |
| § | You do not seek an investment for which there will be an active secondary market and you are willing and able to hold the securities to maturity. |
| § | You are willing and able to assume our and JPMorgan Chase & Co.’s credit risks for all payments on the securities. |
The securities may not be an appropriate investment for you if any of the following statements are true:
| § | You seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| § | You seek an investment that provides for the full repayment of principal at maturity. |
| § | You anticipate that the ending level of the basket will be less than the starting level, or you are unwilling or unable to accept the risk that, if the ending level of the basket is less than the threshold level, you will lose more than 30%, and possibly all, of the principal amount of your securities at maturity. |
| § | You are unwilling or unable to accept the risks associated with an investment linked to the performance of the basket, as explained in more detail in the “Selected Risk Considerations” section of this pricing supplement. |
| § | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the Fund or the securities composing the basket components. |
| § | You seek an investment for which there will be an active secondary market and/or you are unwilling or unable to hold the securities to maturity. |
| § | You are unwilling or unable to assume our and JPMorgan Chase & Co.’s credit risks for all payments on the securities. |
The considerations identified above are not exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the “Selected Risk Considerations” section in this pricing supplement, the “Risk Factors” sections in the accompanying prospectus supplement and product supplement and Annex A to the accompanying prospectus addendum. For more information about the basket and the basket components, please see the sections titled “The Basket,” “The EURO STOXX 50® Index,” “The TOPIX® Index,” “The FTSE 100 Index,” “The S&P/ASX 200 Index” and “The iShares® MSCI Emerging Markets ETF” below.
PS-7
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Determining the Maturity Payment Amount
On the stated maturity date, you will receive a cash payment per security (the maturity payment amount) calculated as follows:
PS-8
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Selected Risk Considerations
An investment in the securities involves significant risks. Investing in the securities is not equivalent to investing directly in the basket, the basket components or their components. Some of the risks that apply to an investment in the securities are summarized below, but we urge you to read the more detailed explanation of risks relating to the securities generally in the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum. You should not purchase the securities unless you understand and can bear the risks of investing in the securities.
Risks Relating to the Securities Generally
| · | If the Ending Level of the Basket Is Less Than the Threshold Level, You Will Lose More Than 30%, and Possibly All, of the Principal Amount of Your Securities at Maturity — The securities do not guarantee the full return of principal. The return on the securities at maturity is linked to the performance of the basket and will depend on whether, and the extent to which, the basket has appreciated or depreciated. If the ending level of the basket is less than the threshold level, you will lose 1% of the principal amount of the securities for every 1% that the ending level is less than the starting level. Accordingly, under these circumstances, you will lose more than 30%, and possibly all, of your principal amount at maturity. |
| · | The Securities Are Subject to the 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 securities. 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 securities. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the securities and you could lose your entire investment. |
| · | As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Has Limited Assets — As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the securities. 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 securities as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on the securities, 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. |
| · | Changes in the Values of the Basket Components May Offset Each Other — The securities are linked to an unequally weighted basket consisting of the basket components. Movements in the values of the basket components may or may not be correlated with each other. At a time when the value of one basket component increases, the values of one or more of the other basket components may not increase as much or may even decline. Therefore, in calculating the ending level, an increase in the value of one basket component may be moderated, or more than offset, by a lesser increase or decline in the values of one or more of the other basket components. There can be no assurance that the ending level will be higher than the starting level. Even if one basket component appreciates significantly over the term of the securities, you may lose some or most of your principal amount at stated maturity. In addition, because the basket components are unequally weighted, increases in the final basket component values of the lower-weighted basket components may be offset by even small decreases in the final basket component value of the more heavily weighted basket component. |
| · | Correlation of Performances Among the Basket Components May Reduce the Performance of the Securities — There may be high correlation of movements in the basket components during periods of negative returns, which could have an adverse effect on your return on the securities. However, the movements in the basket components may become uncorrelated in the future. Accordingly, at a time when the value of one basket component increases, the values of one or more of the other basket components may not increase as much or may even decline. See “— Changes in the Values of the Basket Components May Offset Each Other” above. |
| · | No Interest or Dividend Payments or Voting Rights — As a holder of the securities, 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 Fund or the securities included in or held by basket components would have. |
PS-9
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
| · | Lack of Liquidity — The securities will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which JPMS or WFS is willing to buy the securities. You may not be able to sell your securities. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity. |
| · | The U.S. Federal Tax Consequences of the Securities Are Uncertain, and May Be Adverse to a Holder of the Securities — See “Tax Considerations” below and “Risk Factors — Risks Relating to the Notes Generally — The tax consequences of an investment in the notes are uncertain” in the accompanying product supplement. |
Risks Relating to Conflicts of Interest
| · | Potential Conflicts — We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities and making the assumptions used to determine the pricing of the securities and the estimated value of the securities when the terms of the securities are set, which we refer to as the estimated value of the securities. 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 securities. 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 securities and the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the securities could result in substantial returns for us or our affiliates while the value of the securities 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 of the Securities and the Secondary Market
| · | The Estimated Value of the Securities Is Lower Than the Original Issue Price (Price to Public) of the Securities — The estimated value of the securities is only an estimate determined by reference to several factors. The original issue price of the securities exceeds the estimated value of the securities because costs associated with selling, structuring and hedging the securities are included in the original issue price of the securities. 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 securities and the estimated cost of hedging our obligations under the securities. See “The Estimated Value of the Securities” in this pricing supplement. |
| · | The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates — The estimated value of the securities is determined by reference to internal pricing models of our affiliates when the terms of the securities are set. This estimated value of the securities 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 securities that are greater than or less than the estimated value of the securities. 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 securities 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 securities from you in secondary market transactions. See “The Estimated Value of the Securities” in this pricing supplement. |
| · | The Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate — The internal funding rate used in the determination of the estimated value of the securities 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 securities as well as the higher issuance, operational and ongoing liability management costs of the securities 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 securities. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities and any secondary market prices of the securities. See “The Estimated Value of the Securities” in this pricing supplement. |
PS-10
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
| · | The Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited Time Period — We generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities 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 Securities” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your securities during this initial period may be lower than the value of the securities as published by JPMS (and which may be shown on your customer account statements). |
| · | Secondary Market Prices of the Securities Will Likely Be Lower Than the Original Issue Price of the Securities — Any secondary market prices of the securities will likely be lower than the original issue price of the securities 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 securities. As a result, the price, if any, at which JPMS will be willing to buy securities 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 stated 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 securities. |
The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity. See “— Risks Relating to the Securities Generally — Lack of Liquidity” above.
| · | Many Economic and Market Factors Will Impact the Value of the Securities — As described under “The Estimated Value of the Securities” in this pricing supplement, the securities can be thought of as securities that combine a fixed-income debt component with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of the securities at issuance and their value in the secondary market. Accordingly, the secondary market price of the securities during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the basket, including: |
| · | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| · | customary bid-ask spreads for similarly sized trades; |
| · | our internal secondary market funding rates for structured debt issuances; |
| · | the actual and expected volatility of the basket components; |
| · | the time to maturity of the securities; |
| · | the dividend rates on the equity securities included in or held by the basket components; |
| · | the occurrence of certain events affecting the Fund that may or may not require an adjustment to the adjustment factor of the Fund; |
| · | interest and yield rates in the market generally; |
| · | the actual and expected positive or negative correlation among the basket components, or the actual or expected absence of any such correlation; and |
| · | a variety of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the securities, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing to purchase your securities in the secondary market.
Risks Relating to the Basket
| · | The Securities Are Subject to Non-U.S. Securities Risk— The equity securities included in the basket components have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the home countries and/or the securities markets in the home countries of the issuers of those non-U.S. equity securities. Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC. |
PS-11
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
| · | No Direct Exposure to Fluctuations In Foreign Exchange Rates with Respect to the Indices — The value of your securities will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the Indices are based, although any currency fluctuations could affect the performance of the Indices. |
| · | There Are Risks Associated with the Fund —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 securities. |
| · | The Performance and Market Value of the Fund, Particularly During Periods of Market Volatility, May Not Correlate with the Performance of the Fund’s Fund Underlying Index As Well As the Net Asset Value Per Share — The Fund does not fully replicate its fund underlying index (as defined under “The iShares® MSCI Emerging Markets ETF” below) and may hold securities different from those included in its fund 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 fund underlying index. All of these factors may lead to a lack of correlation between the performance of the Fund and its fund 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 fund 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 fund underlying index as well as the net asset value per share of the Fund, which could materially and adversely affect the value of the securities in the secondary market and/or reduce any payment on the securities.
| · | Emerging Markets Risk with Respect to the Fund — The equity securities held by the Fund have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. |
| · | The Securities Are Subject to Currency Exchange Risk 2ith Respect to the Fund — Because the prices of the equity securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the securities will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities held by the Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected and any payment on the securities may be reduced. |
| · | Recent Executive Orders May Adversely Affect the Performance of the Fund — Pursuant to recent executive orders, U.S. persons are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative of, or are designed to provide investment exposure to, those securities. The sponsor of the fund underlying index has recently removed the equity securities of a small number of companies from that fund underlying index in response to these executive orders and, as a result, these stocks have also been removed from the Fund. If the issuer of any of the equity securities held by the Fund is in the future designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly, which would adversely affect the performance of the Fund. In addition, under these circumstances, each of the sponsor of the fund underlying index and the Fund is expected to remove the equity securities of that company from that fund underlying index and the Fund, respectively. Any changes to the composition of the Fund in response to these executive orders could adversely affect the performance of the Fund. |
| · | The Anti-Dilution Protection for the Fund Is Limited and May Be Discretionary — The calculation agent will, in its sole discretion, adjust the adjustment factor, which will be set initially at 1.0, of the Fund for certain events affecting the Fund, such as stock splits. However, the calculation agent is not required to make an adjustment for every event that can affect the Fund. If such a dilution event occurs and the calculation agent is not required to make an adjustment, the value of the securities may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments in response to events that are not described in the accompanying product supplement to account for any dilutive or concentrative effect, but the calculation agent is under no obligation to do so. |
PS-12
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
| · | The Maturity Payment Amount Will Depend upon the Performance of the Basket and Therefore the Securities Are Subject to the Following Risks, Each as Discussed in More Detail in the Accompanying Product Supplement. |
| · | You Will Have No Ownership Rights in the Basket Components or Any of the Securities Underlying the Basket Components. Investing in the securities is not equivalent to investing directly in any or all of the basket components or any of the securities underlying the basket components or exchange-traded or over-the-counter instruments based on any of the foregoing. As an investor in the securities, you will not have any ownership interests or rights in any of the foregoing. |
| · | Historical Values of the Basket and the Basket Components Should Not Be Taken as an Indication of the Future Performance of the Basket and the Basket Components During the Term of the Securities. |
| · | The Sponsor of an Index May Adjust that Index in a Way that Affects Its Value, and No Index Sponsor Has an Obligation to Consider Your Interests. |
| · | The Policies of the Investment Adviser for the Fund, and the Sponsor of Its Fund Underlying Index, Could Affect the Value of, and Any Amount Payable on, the Securities. |
| · | We Cannot Control Actions by Any of the Unaffiliated Companies Whose Securities Are Included in or Held by the Basket Components. |
| · | We and Our Affiliates Have No Affiliation with the Index Sponsor of an Index or the Sponsor of the Fund and Have Not Independently Verified Its Public Disclosure of Information. |
PS-13
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
| Hypothetical Examples and Returns |
The payout profile, return table and examples below illustrate the maturity payment amount for a security on a hypothetical offering of securities under various scenarios, with the assumptions set forth in the table below. The terms used for purposes of these hypothetical examples do not represent the actual starting level or threshold level.
The hypothetical initial basket component value of each basket component of 100.00 has been chosen for illustrative purposes only and does not represent the actual initial basket component value of that basket component. The actual initial basket component value of each basket component is its closing value on the pricing date and is specified under “Terms of the Securities — Starting Level” in this pricing supplement. For historical data regarding the actual closing values of the basket components, please see the historical information set forth under “The EURO STOXX 50® Index,” “The TOPIX® Index,” “The FTSE 100 Index,” “The S&P/ASX 200 Index” and “The iShares® MSCI Emerging Markets ETF” in this pricing supplement.
The payout profile, return table and examples below assume that an investor purchases the securities for $1,000 per security. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis. The payout profile, return table and examples below do not take into account any tax consequences from investing in the securities. The actual maturity payment amount and resulting pre-tax total rate of return will depend on the actual terms of the securities.
| Upside Participation Rate: | 184.00% |
| Starting Level: | 100.00 |
| Threshold Level: | 70.00 (70% of the starting level) |
| Hypothetical Initial Component Value: | With respect to the EURO STOXX 50® Index, the TOPIX® Index, the FTSE 100 Index and the S&P/ASX 200 Index, 100.00 With respect to the Fund, $100.00 |
Hypothetical Payout Profile
PS-14
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Hypothetical Returns
Hypothetical ending level | Hypothetical basket return | Hypothetical maturity payment amount per security | Hypothetical pre-tax total rate of return(1) |
| 150.00 | 50.00% | $1,920.00 | 92.00% |
| 140.00 | 40.00% | $1,736.00 | 73.60% |
| 130.00 | 30.00% | $1,552.00 | 55.20% |
| 120.00 | 20.00% | $1,368.00 | 36.80% |
| 110.00 | 10.00% | $1,184.00 | 18.40% |
| 105.00 | 5.00% | $1,092.00 | 9.20% |
| 102.50 | 2.50% | $1,046.00 | 4.60% |
| 100.00 | 0.00% | $1,000.00 | 0.00% |
| 90.00 | -10.00% | $1,000.00 | 0.00% |
| 80.00 | -20.00% | $1,000.00 | 0.00% |
| 70.00 | -30.00% | $1,000.00 | 0.00% |
| 69.00 | -31.00% | $690.00 | -31.00% |
| 60.00 | -40.00% | $600.00 | -40.00% |
| 50.00 | -50.00% | $500.00 | -50.00% |
| 25.00 | -75.00% | $250.00 | -75.00% |
| 0.00 | -100.00% | $0.00 | -100.00% |
| (1) | The hypothetical pre-tax total rate of return is the number, expressed as a percentage, that results from comparing the maturity payment amount per security to the principal amount of $1,000. |
PS-15
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Hypothetical Examples
Example 1. The ending level of the basket is greater than the starting level, and the maturity payment amount is greater than the principal amount:
| EURO STOXX 50® Index | TOPIX® Index | FTSE 100 Index | S&P/ASX 200 Index | iShares® MSCI Emerging Markets ETF | |
| Hypothetical initial basket component value: | 100.00 | 100.00 | 100.00 | 100.00 | $100.00 |
| Hypothetical final basket component value: | 130.00 | 150.00 | 110.00 | 110.00 | $140.00 |
Hypothetical basket component return (final basket component value – initial basket component value)/ initial basket component value: | 30.00% | 50.00% | 10.00% | 10.00% | 40.00% |
Based on the hypothetical basket component returns set forth above, the hypothetical ending level would equal:
100 × [1 + (30.00% × 30.00%) + (50.00% × 20.00%) + (10.00% × 15.00%) + (10.00% × 15.00%) + (40.00% × 20.00%)] = 130.00
Because the hypothetical ending level is greater than the hypothetical starting level, the maturity payment amount per security would be equal to the principal amount of $1,000 plus a positive return equal to:
$1,000 × basket return × upside participation rate
$1,000 + ($1,000 × 30.00% × 184.00%)
= $1,552.00
On the stated maturity date, you would receive $1,552.00 per security.
Example 2. The ending level of the basket is less than the starting level but greater than the threshold level, and the maturity payment amount is equal to the principal amount:
| EURO STOXX 50® Index | TOPIX® Index | FTSE 100 Index | S&P/ASX 200 Index | iShares® MSCI Emerging Markets ETF | |
| Hypothetical initial basket component value: | 100.00 | 100.00 | 100.00 | 100.00 | $100.00 |
| Hypothetical final basket component value: | 55.00 | 110.00 | 120.00 | 110.00 | $110.00 |
Hypothetical basket component return (final basket component value – initial basket component value)/ initial basket component value: | -45.00% | 10.00% | 20.00% | 10.00% | 10.00% |
Based on the hypothetical basket component returns set forth above, the hypothetical ending level would equal:
100 × [1 + (-45.00% × 30.00%) + (10.00% × 20.00%) + (20.00% × 15.00%) + (10.00% × 15.00%) + (10.00% × 20.00%)] = 95.00
Because the hypothetical ending level of the basket is less than the hypothetical starting level, but is not less than the hypothetical threshold level, you would not lose any of the principal amount of your securities.
On the stated maturity date, you would receive $1,000.00 per security.
PS-16
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Example 3. The ending level of the basket is less than the threshold level, and the maturity payment amount is less than the principal amount:
| EURO STOXX 50® Index | TOPIX® Index | FTSE 100 Index | S&P/ASX 200 Index | iShares® MSCI Emerging Markets ETF | |
| Hypothetical initial basket component value: | 100.00 | 100.00 | 100.00 | 100.00 | $100.00 |
| Hypothetical final basket component value: | 60.00 | 50.00 | 50.00 | 50.00 | $10.00 |
Hypothetical basket component return (final basket component value – initial basket component value)/ initial basket component value: | -40.00% | -50.00% | -50.00% | -50.00% | -90.00% |
Based on the hypothetical basket component returns set forth above, the hypothetical ending level would equal:
100 × [1 + (-40.00% × 30.00%) + (-50.00% × 20.00%) + (-50.00% × 15.00%) + (-50.00% × 15.00%) + (-90.00% × 20.00%)] = 45.00
Because the hypothetical ending level of the basket is less than the hypothetical threshold level, you would lose a portion of the principal amount of your securities and receive the maturity payment amount equal to:
$1,000 + ($1,000 × basket return)
$1,000 + ($1,000 × -55.00%)
= $450.00
On the stated maturity date, you would receive $450.00 per security.
If the ending level of the basket is less than the threshold level, you will lose more than 30%, and possibly all, of your principal amount at maturity.
The hypothetical returns and hypothetical payments on the securities shown above apply only if you hold the securities for their entire term. 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-17
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The Basket
The basket will represent a portfolio of the following basket components, with the return of each basket component having the weighting noted parenthetically: the EURO STOXX 50® Index (30%), the TOPIX® Index (20%), the FTSE 100 Index (15%), the S&P/ASX 200 Index (15%) and the iShares® MSCI Emerging Markets ETF (20%). The level of the basket will increase or decrease depending upon the aggregate performance of the basket components. For more information regarding the basket components, see “The EURO STOXX 50® Index,” “The TOPIX® Index,” “The FTSE 100 Index,” “The S&P/ASX 200 Index” and “The iShares® MSCI Emerging Markets ETF”. The basket does not reflect the performance of all major securities markets.
While historical information on the level of the basket does not exist, the following graph sets forth the hypothetical historical daily levels of the basket for the period from January 2, 2019 through July 31, 2024, assuming that the basket was constructed on January 2, 2019 with a starting level of 100 and that each of the basket components had the applicable weighting as of that day. We obtained the closing values used in the graph below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The hypothetical historical basket levels, as calculated solely for the purposes of the offering of the securities, fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the levels of the basket during any period shown below is not an indication that the percentage change in the level of the basket is more likely to be positive or negative during the term of the securities. The hypothetical historical levels do not give an indication of future levels of the basket.
There can be no assurance that the performance of the basket will not result in a loss of the principal amount of the securities.
PS-18
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The EURO STOXX 50® Index
The EURO STOXX 50® Index consists of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The securities based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about the EURO STOXX 50® Index, see “Equity Index Descriptions — The STOXX Benchmark Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the EURO STOXX 50® Index based on the daily historical closing values of the EURO STOXX 50® Index from January 2, 2019 through July 31, 2024. The closing value of the EURO STOXX 50® Index on July 31, 2024 was 4,872.94. We obtained the closing levels above and below from Bloomberg, without independent verification.
The historical closing values of the EURO STOXX 50® Index should not be taken as an indication of future performance, and no assurance can be given as to the closing value of the EURO STOXX 50® Index on the pricing date or the calculation day. There can be no assurance that the performance of the EURO STOXX 50® Index will not result in a loss of the principal amount of the securities.
PS-19
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The TOPIX® Index
The TOPIX® Index, also known as the Tokyo Stock Price Index, is a free float-adjusted market capitalization-weighted index of common stocks listed on the Tokyo Stock Exchange, Inc. covering an extensive portion of the Japanese stock market. For additional information about the TOPIX® Index, see “Equity Index Descriptions — The TOPIX® Index” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the TOPIX® Index based on the daily historical closing values of the TOPIX® Index from January 2, 2019 through July 31, 2024. The closing value of the TOPIX® Index on July 31, 2024 was 2,794.26. We obtained the closing levels above and below from Bloomberg, without independent verification.
The historical closing values of the TOPIX® Index should not be taken as an indication of future performance, and no assurance can be given as to the closing value of the TOPIX® Index on the pricing date or the calculation day. There can be no assurance that the performance of the TOPIX® Index will not result in a loss of the principal amount of the securities.
PS-20
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The FTSE® 100 Index
The FTSE® 100 Index is an index calculated, published and disseminated by FTSE Russell, a company owned wholly by the London Stock Exchange Group plc. The FTSE® 100 Index measures the composite price performance of stocks of the largest 100 companies (determined on the basis of market capitalization) traded on the London Stock Exchange. For additional information about the FTSE® 100 Index, see “Equity Index Descriptions — The FTSE® 100 Index” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the FTSE® 100 Index based on the daily historical closing values of the FTSE® 100 Index from January 2, 2019 through July 31, 2024. The closing value of the FTSE® 100 Index on July 31, 2024 was 8,367.98. We obtained the closing levels above and below from Bloomberg, without independent verification.
The historical closing values of the FTSE® 100 Index should not be taken as an indication of future performance, and no assurance can be given as to the closing value of the FTSE® 100 Index on the pricing date or the calculation day. There can be no assurance that the performance of the FTSE® 100 Index will not result in a loss of the principal amount of the securities.
PS-21
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The S&P/ASX 200 Index
The S&P/ASX 200 Index measures the performance of the 200 largest and most liquid index-eligible stocks listed on the Australian Securities Exchange by float-adjusted market capitalization, and is widely considered Australia’s benchmark index. For additional information see “Equity Index Descriptions — The S&P/ASX 200 Index” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the S&P/ASX 200 Index based on the daily historical closing values of the S&P/ASX 200 Index from January 2, 2019 through July 31, 2024. The closing value of the S&P/ASX 200 Index on July 31, 2024 was 8,092.334. We obtained the closing levels above and below from Bloomberg, without independent verification.
The historical closing values of the S&P/ASX 200 Index should not be taken as an indication of future performance, and no assurance can be given as to the closing value of the S&P/ASX 200 Index on the pricing date or the calculation day. There can be no assurance that the performance of the S&P/ASX 200 Index will not result in a loss of the principal amount of the securities.
PS-22
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The iShares® MSCI Emerging Markets ETF
The Fund is an exchange-traded fund of iShares®, Inc., a registered investment company, that seeks to track the investment results, before fees and expenses, of an index composed of large- and mid-capitalization emerging market equities, which we refer to as the fund underlying index with respect to the Fund. The fund underlying index is currently the MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of global emerging markets. For additional information about the Fund, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the Fund based on the daily historical closing prices of the Fund from January 2, 2019 through July 31, 2024. The closing price of the Fund on July 31, 2024 was $42.95. We obtained the closing prices above and below from 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 closing prices of the Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the Fund on the pricing date or the calculation day. There can be no assurance that the performance of the Fund will not result in a loss of the principal amount of the securities.
PS-23
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Tax Considerations
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. WF-1-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of securities.
Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the securities 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 securities should be treated as long-term capital gain or loss if you hold your securities for more than a year, whether or not you are an initial purchaser of securities at the issue price. The securities 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 securities 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 securities. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership rules apply to the securities. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules.
However, the IRS or a court may not respect the treatment of the securities described above, in which case the timing and character of any income or loss on the securities 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 securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including the potential application of the constructive ownership rules, possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on our representation that the securities do not have a “delta of one” within the meaning of the regulations, our special tax counsel believes that these regulations should not apply to the securities with regard to non-U.S. Holders, and we have determined to treat the securities as not being subject to Section 871(m). 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 securities.
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Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Validity of the Securities and the Guarantees
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the securities offered by this pricing supplement have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such securities (the “master note”), and such securities have been delivered against payment as contemplated herein, such securities will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
PS-25