05/16/2024 | Press release | Distributed by Public on 05/16/2024 04:02
May , 2024
|
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector
IndexSM, the Russell 2000® Index and the S&P 500®
Index due March 1, 2027
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 level of each of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P 500® Index, which
we refer to as the Indices, is greater than or equal to 75.00% of its Initial Value, which we refer to as an Interest Barrier.
●The notes may be redeemed early, in whole but not in part, at our option on any of the Interest Payment Dates (other than the
first, second and final Interest Payment Dates).
●The earliest date on which the notes may be redeemed early is August 29, 2024.
●Investors 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.
●Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the
performance of each of the Indices individually, as described below.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes are expected to price on or about May 24, 2024 and are expected to settle on or about May 30, 2024.
●CUSIP: 48135MPF9
|
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
(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 it
receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $7.00 per $1,000 principal amount
note. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.
|
Issuer: JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices:The Nasdaq-100® Technology Sector IndexSM
(Bloomberg ticker: NDXT), the Russell 2000® Index (Bloomberg
ticker: RTY) and the S&P 500® Index (Bloomberg ticker: SPX)
(each an "Index" and collectively, the "Indices")
Contingent Interest Payments:
If the notes have not been previously redeemed early and the
closing level of each Index on any Review Date is greater than
or equal to its Interest Barrier, you will receive on the applicable
Interest Payment Date for each $1,000 principal amount note a
Contingent Interest Payment equal to at least $9.375 (equivalent
to a Contingent Interest Rate of at least 11.25% per annum,
payable at a rate of at least 0.9375% per month) (to be provided
in the pricing supplement).
If the closing level of any Index on any Review Date is less than
its Interest Barrier, no Contingent Interest Payment will be made
with respect to that Review Date.
Contingent Interest Rate: At least 11.25% per annum, payable
at a rate of at least 0.9375% per month (to be provided in the
pricing supplement)
Interest Barrier/Trigger Value: With respect to each Index,
75.00% of its Initial Value
Pricing Date: On or about May 24, 2024
Original Issue Date (Settlement Date): On or about May 30,
2024
Review Dates*: June 24, 2024, July 24, 2024, August 26, 2024,
September 24, 2024, October 24, 2024, November 25, 2024,
December 24, 2024, January 24, 2025, February 24, 2025,
March 24, 2025, April 24, 2025, May 27, 2025, June 24, 2025,
July 24, 2025, August 25, 2025, September 24, 2025, October
24, 2025, November 24, 2025, December 24, 2025, January 26,
2026, February 24, 2026, March 24, 2026, April 24, 2026, May
26, 2026, June 24, 2026, July 24, 2026, August 24, 2026,
September 24, 2026, October 26, 2026, November 24, 2026,
December 24, 2026, January 25, 2027 and February 24, 2027
(the "final Review Date")
Interest Payment Dates*: June 27, 2024, July 29, 2024, August
29, 2024, September 27, 2024, October 29, 2024, November
29, 2024, December 30, 2024, January 29, 2025, February 27,
2025, March 27, 2025, April 29, 2025, May 30, 2025, June 27,
2025, July 29, 2025, August 28, 2025, September 29, 2025,
October 29, 2025, November 28, 2025, December 30, 2025,
January 29, 2026, February 27, 2026, March 27, 2026, April 29,
2026, May 29, 2026, June 29, 2026, July 29, 2026, August 27,
2026, September 29, 2026, October 29, 2026, November 30,
2026, December 30, 2026, January 28, 2027 and the Maturity
Date
Maturity Date*: March 1, 2027
* Subject to postponement in the event of a market disruption event and
as described under "General Terms of Notes - Postponement of a
Determination Date - Notes Linked to Multiple Underlyings" and
"General Terms of Notes - Postponement of a Payment Date" in the
accompanying product supplement
|
Early Redemption:
We, at our election, may redeem the notes early, in whole but
not in part, on any of the Interest Payment Dates (other than the
first, second and final Interest Payment Dates) at a price, for
each $1,000 principal amount note, equal to (a) $1,000 plus (b)
the Contingent Interest Payment, if any, applicable to the
immediately preceding Review Date. If we intend to redeem
your notes early, we will deliver notice to The Depository Trust
Company, or DTC, at least three business days before the
applicable Interest Payment Date on which the notes are
redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value
of each Index is greater than or equal to its Trigger Value, you
will receive a cash payment at maturity, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the
Contingent Interest Payment applicable to the final Review Date.
If the notes have not been redeemed early and the Final Value
of any Index is less than its Trigger Value, your payment at
maturity per $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 × Least Performing Index Return)
If the notes have not been redeemed early and the Final Value
of any Index is less than its Trigger Value, you will lose more
than 25.00% of your principal amount at maturity and could lose
all of your principal amount at maturity.
Least Performing Index: The Index with the Least Performing
Index Return
Least Performing Index Return:The lowest of the Index
Returns of the Indices
Index Return:
With respect to each Index,
(Final Value - Initial Value)
Initial Value
Initial Value:With respect to each Index, the closing level of
that Index on the Pricing Date
Final Value: With respect to each Index, the closing level of that
Index on the final Review Date
|
PS-1 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
PS-2 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
PS-3 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
33
|
$309.375
|
32
|
$300.000
|
31
|
$290.625
|
30
|
$281.250
|
29
|
$271.875
|
28
|
$262.500
|
27
|
$253.125
|
26
|
$243.750
|
25
|
$234.375
|
24
|
$225.000
|
23
|
$215.625
|
22
|
$206.250
|
21
|
$196.875
|
20
|
$187.500
|
19
|
$178.125
|
18
|
$168.750
|
17
|
$159.375
|
16
|
$150.000
|
15
|
$140.625
|
14
|
$131.250
|
13
|
$121.875
|
12
|
$112.500
|
11
|
$103.125
|
10
|
$93.750
|
9
|
$84.375
|
8
|
$75.000
|
7
|
$65.625
|
6
|
$56.250
|
5
|
$46.875
|
4
|
$37.500
|
3
|
$28.125
|
2
|
$18.750
|
1
|
$9.375
|
0
|
$0.000
|
PS-4 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
Date
|
Closing Level of Least
Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$9.375
|
Second Review Date
|
85.00
|
$9.375
|
Third through
Thirty-Second Review
Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,009.375
|
Total Payment
|
$1,028.125 (2.8125% return)
|
Date
|
Closing Level of Least
Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
45.00
|
$0
|
Second Review Date
|
70.00
|
$0
|
Third through
Thirty-Second Review
Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
40.00
|
$400.00
|
Total Payment
|
$400.00 (-60.00% return)
|
PS-5 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
PS-6 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
PS-7 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
Historical Performance of the Nasdaq-100® Technology Sector IndexSM
Source: Bloomberg
|
PS-8 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
Historical Performance of the Russell 2000® Index
Source: Bloomberg
|
Historical Performance of the S&P 500® Index
Source: Bloomberg
|
PS-9 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
PS-10 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
PS-11 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
PS-12 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
(1)
|
"Index Market Value" shall be calculated as follows:
|
"Index Security" shall mean a security that has been selected for membership in the Nasdaq-100® Technology Sector IndexSM,
having met all applicable eligibility requirements.
n = Number of Index Securities included in the Nasdaq-100® Technology Sector IndexSM
qi = Number of shares of Index Security i applied in the Nasdaq-100® Technology Sector IndexSM.
pi = Price in quote currency of Index Security i. Depending on the time of the calculation, the price can be either of the following:
|
|
a.
|
The Start of Day (SOD) price which is the previous index calculation day's (t-1) closing price for Index Security i adjusted
|
PS-13 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
for corporate action(s) occurring prior to market open on date t, if any, for the SOD calculation only;
|
|
b.
|
The intraday price which reflects the current trading price received from the Nasdaq during the index calculation day;
|
c.
|
The End of Day (EOD) price refers to the Last Sale Price, which refers to the last regular-way trade reported on Nasdaq; or
|
d.
|
The Volume Weighted Average Price (VWAP)
|
t = current index calculation day
t-1 = current index calculation day
|
|
(2)
|
"PR Index Divisor" should be calculated as follows:
|
PS-14 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|
PS-15 | Structured Investments
|
|
Callable Contingent Interest Notes Linked to the Least Performing of the
Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the
S&P 500® Index
|