04/16/2024 | Press release | Distributed by Public on 04/16/2024 14:22
April 12, 2024
|
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$2,546,000
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index due April 17, 2029
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 the MerQube US Large-Cap Vol Advantage Index, which we refer to as the Index, 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 level of the Index on any Review Date (other than the first through
eleventh 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 April 14, 2025.
●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 Index is subject to a 6.0% per annum daily deduction. This daily deduction will offset any appreciation of the
futures contracts included in the Index, will heighten any depreciation of those futures contracts and will generally
be a drag on the performance of the Index. The Index will trail the performance of an identical index without a
deduction. See "Selected Risk Considerations - Risks Relating to the Notes Generally - The Level of the Index Will
Include a 6.0% per Annum Daily Deduction" in this pricing supplement.
●The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment
on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of
JPMorgan Chase & Co., as guarantor of the notes.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes priced on April 12, 2024 and are expected to settle on or about April 17, 2024.
●CUSIP:48134XUT0
|
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$9
|
$991
|
Total
|
$2,546,000
|
$22,914
|
$2,523,086
|
(1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of
$9.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See "Plan of Distribution (Conflicts of
Interest)" in the accompanying product supplement.
|
Issuer:JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:JPMorgan Chase & Co.
Index:The MerQube US Large-Cap Vol Advantage Index
(Bloomberg ticker: MQUSLVA). The level of the Index reflects a
deduction of 6.0% per annum that accrues daily.
Contingent Interest Payments:
If the notes have not been automatically called and the closing
level of the Index on any Review Date is greater than or equal to
the Interest Barrier, you will receive on the applicable Interest
Payment Date for each $1,000 principal amount note a
Contingent Interest Payment equal to $11.6667 (equivalent to a
Contingent Interest Rate of 14.00% per annum, payable at a
rate of 1.16667% per month).
If the closing level of the Index 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:14.00% per annum, payable at a
rate of 1.16667% per month
Interest Barrier/Trigger Value: 55.00% of the Initial Value,
which is 1,839.2165
Pricing Date:April 12, 2024
Original Issue Date (Settlement Date):On or about April 17,
2024
Review Dates*:As specified under "Key Terms Relating to the
Review Dates and Interest Payment Dates" in this pricing
supplement
Interest Payment Dates*:As specified under "Key Terms
Relating to the Review Dates and Interest Payment Dates" in
this pricing supplement
Maturity Date*:April 17, 2029
Call Settlement Date*:If the notes are automatically called on
any Review Date (other than the first through eleventh 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 "Supplemental Terms of the Notes - Postponement
of a Determination Date - Notes Linked Solely to an Index" in the
accompanying underlying supplement and "General Terms of Notes -
Postponement of a Payment Date" in the accompanying product
supplement
|
Automatic Call:
If the closing level of the Index on any Review Date (other than
the first through eleventh and final Review Dates) is greater than
or equal to the Initial Value, the notes will be automatically called
for a cash payment, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the 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 the Final
Value is greater than or equal to the 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 automatically called and the Final
Value is less than the Trigger Value, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and the Final
Value is less than the Trigger Value, you will lose more than
45.00% of your principal amount at maturity and could lose all of
your principal amount at maturity.
Index Return:
(Final Value - Initial Value)
Initial Value
Initial Value: The closing level of the Index on the Pricing Date,
which was 3,344.03
Final Value:The closing level of the Index on the final Review
Date
|
PS-1 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
Review Dates*: May 13, 2024, June 12, 2024, July 12, 2024,
August 12, 2024, September 12, 2024, October 14, 2024,
November 12, 2024, December 12, 2024, January 13, 2025,
February 12, 2025, March 12, 2025, April 14, 2025, May 12,
2025, June 12, 2025, July 14, 2025, August 12, 2025,
September 12, 2025, October 13, 2025, November 12, 2025,
December 12, 2025, January 12, 2026, February 12, 2026,
March 12, 2026, April 13, 2026, May 12, 2026, June 12, 2026,
July 13, 2026, August 12, 2026, September 14, 2026, October
12, 2026, November 12, 2026, December 14, 2026, January
12, 2027, February 12, 2027, March 12, 2027, April 12, 2027,
May 12, 2027, June 14, 2027, July 12, 2027, August 12, 2027,
September 13, 2027, October 12, 2027, November 12, 2027,
December 13, 2027, January 12, 2028, February 14, 2028,
March 13, 2028, April 12, 2028, May 12, 2028, June 12, 2028,
July 12, 2028, August 14, 2028, September 12, 2028, October
12, 2028, November 13, 2028, December 12, 2028, January
12, 2029, February 12, 2029, March 12, 2029 and April 12,
2029 (final Review Date)
|
Interest Payment Dates*: May 16, 2024, June 17, 2024, July
17, 2024, August 15, 2024, September 17, 2024, October 17,
2024, November 15, 2024, December 17, 2024, January 16,
2025, February 18, 2025, March 17, 2025, April 17, 2025, May
15, 2025, June 17, 2025, July 17, 2025, August 15, 2025,
September 17, 2025, October 16, 2025, November 17, 2025,
December 17, 2025, January 15, 2026, February 18, 2026,
March 17, 2026, April 16, 2026, May 15, 2026, June 17, 2026,
July 16, 2026, August 17, 2026, September 17, 2026, October
15, 2026, November 17, 2026, December 17, 2026, January
15, 2027, February 18, 2027, March 17, 2027, April 15, 2027,
May 17, 2027, June 17, 2027, July 15, 2027, August 17, 2027,
September 16, 2027, October 15, 2027, November 17, 2027,
December 16, 2027, January 18, 2028, February 17, 2028,
March 16, 2028, April 18, 2028, May 17, 2028, June 15, 2028,
July 17, 2028, August 17, 2028, September 15, 2028, October
17, 2028, November 16, 2028, December 15, 2028, January
18, 2029, February 15, 2029, March 15, 2029 and the Maturity
Date
* Subject to postponement in the event of a market disruption event
and as described under "Supplemental Terms of the Notes -
Postponement of a Determination Date - Notes Linked Solely to an
Index" in the accompanying underlying supplement and "General
Terms of Notes - Postponement of a Payment Date" in the
accompanying product supplement
|
PS-2 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
PS-3 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
PS-4 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
PS-5 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
60
|
$700.0000
|
59
|
$688.3333
|
58
|
$676.6667
|
57
|
$665.0000
|
56
|
$653.3333
|
55
|
$641.6667
|
54
|
$630.0000
|
53
|
$618.3333
|
52
|
$606.6667
|
51
|
$595.0000
|
50
|
$583.3333
|
49
|
$571.6667
|
48
|
$560.0000
|
47
|
$548.3333
|
46
|
$536.6667
|
45
|
$525.0000
|
44
|
$513.3333
|
43
|
$501.6667
|
42
|
$490.0000
|
41
|
$478.3333
|
40
|
$466.6667
|
39
|
$455.0000
|
38
|
$443.3333
|
37
|
$431.6667
|
36
|
$420.0000
|
35
|
$408.3333
|
34
|
$396.6667
|
33
|
$385.0000
|
32
|
$373.3333
|
31
|
$361.6667
|
30
|
$350.0000
|
29
|
$338.3333
|
28
|
$326.6667
|
27
|
$315.0000
|
26
|
$303.3333
|
25
|
$291.6667
|
24
|
$280.0000
|
23
|
$268.3333
|
22
|
$256.6667
|
21
|
$245.0000
|
20
|
$233.3333
|
19
|
$221.6667
|
18
|
$210.0000
|
17
|
$198.3333
|
16
|
$186.6667
|
15
|
$175.0000
|
14
|
$163.3333
|
13
|
$151.6667
|
12
|
$140.0000
|
11
|
$128.3333
|
10
|
$116.6667
|
9
|
$105.0000
|
8
|
$93.3333
|
7
|
$81.6667
|
6
|
$70.0000
|
5
|
$58.3333
|
4
|
$46.6667
|
3
|
$35.0000
|
2
|
$23.3333
|
1
|
$11.6667
|
0
|
$0.0000
|
PS-6 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
Date
|
Closing Level
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
|
$11.6667
|
Second Review Date
|
110.00
|
$11.6667
|
Third through Eleventh
Review Dates
|
Greater than Initial Value
|
$11.6667
|
Twelfth Review Date
|
110.00
|
$1,011.6667
|
Total Payment
|
$1,140.00 (14.00% return)
|
Date
|
Closing Level
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$11.6667
|
Second Review Date
|
85.00
|
$11.6667
|
Third through Fifty-Ninth
Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,011.6667
|
Total Payment
|
$1,035.00 (3.50% return)
|
PS-7 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
Date
|
Closing Level
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
45.00
|
$0
|
Second Review Date
|
50.00
|
$0
|
Third through Fifty-Ninth
Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
45.00
|
$450.00
|
Total Payment
|
$450.00 (-55.00% return)
|
PS-8 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
PS-9 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
PS-10 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
PS-11 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
Hypothetical Back-Tested and Historical Performance of the
MerQube US Large-Cap Vol Advantage Index
Source: Bloomberg
|
PS-12 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
PS-13 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
PS-14 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|
PS-15 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
|