04/16/2024 | Press release | Distributed by Public on 04/16/2024 12:06
April 12, 2024
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Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$678,000
Capped Dual Directional Buffered Return Enhanced
Notes Linked to the Lesser Performing of the
NASDAQ-100 Index® and the S&P 500® Index due
April 16, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek a capped return of 1.25 times any appreciation (with a Maximum Upside
Return of 20.30%), or a capped, unleveraged return equal to the absolute value of any depreciation (up to the Buffer Amount
of 15.00%), of the lesser performing of the NASDAQ-100 Index® and the S&P 500® Index, which we refer to as the Indices, at
maturity.
●Investors should be willing to forgo interest and dividend payments and be willing to lose up to 85.00% of their principal
amount at maturity.
●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 priced on April 12, 2024 and are expected to settle on or about April 17, 2024.
●CUSIP: 48134XTD7
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$27
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$973
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Total
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$678,000
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$18,306
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$659,694
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(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
$27.00 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.
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Issuer: JPMorgan Chase Financial Company LLC, an
indirect, wholly owned finance subsidiary of JPMorgan
Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The NASDAQ-100 Index® (Bloomberg ticker: NDX)
and the S&P 500® Index (Bloomberg ticker: SPX) (each an
"Index" and collectively, the "Indices")
Maximum Upside Return: 20.30% (corresponding to a
maximum payment at maturity of $1,203.00 per $1,000
principal amount note if the Lesser Performing Index Return
is positive)
Upside Leverage Factor:1.25
Buffer Amount: 15.00%
Pricing Date:April 12, 2024
Original Issue Date (Settlement Date):On or about April
17, 2024
Observation Date*:April 13, 2026
Maturity Date*:April 16, 2026
* 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
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Payment at Maturity:
If the Final Value of each Index is greater than its Initial
Value, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return ×
Upside Leverage Factor), subject to the Maximum Upside
Return
If (i) the Final Value of one Index is greater than its Initial
Value and the Final Value of the other Index is equal to its
Initial Value or is less than its Initial Value by up to the Buffer
Amount or (ii) the Final Value of each Index is equal to its
Initial Value or is less than its Initial Value by up to the Buffer
Amount, your payment at maturity per $1,000 principal
amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return of the Lesser
Performing Index)
This payout formula results in an effective cap of 15.00% on
your return at maturity if the Lesser Performing Index Return
is negative. Under these limited circumstances, your
maximum payment at maturity is $1,150.00 per $1,000
principal amount note.
If the Final Value of either Index is less than its Initial Value
by more than the Buffer Amount, your payment at maturity
per $1,000 principal amount note will be calculated as
follows:
$1,000 + [$1,000 × (Lesser Performing Index Return +
Buffer Amount)]
If the Final Value of either Index is less than its Initial Value
by more than the Buffer Amount, you will lose some or most
of your principal amount at maturity.
Absolute Index Return: With respect to each Index, the
absolute value of its Index Return. For example, if the Index
Return of an Index is -5%, its Absolute Index Return will
equal 5%.
Lesser Performing Index: The Index with the Lesser
Performing Index Return
Lesser Performing Index Return: The lower 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, which was 18,003.49 for the
NASDAQ-100 Index® and 5,123.41 for the S&P 500® Index
Final Value: With respect to each Index, the closing level of
that Index on the Observation Date
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PS-1 | Structured Investments
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Capped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the NASDAQ-100 Index® and the S&P 500® Index
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Final Value of
the Lesser
Performing
Index
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Lesser
Performing
Index Return
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Absolute Index Return
of the Lesser
Performing Index
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Total Return on the
Notes
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Payment at Maturity
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180.00
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80.00%
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N/A
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20.30%
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$1,203.00
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165.00
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65.00%
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N/A
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20.30%
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$1,203.00
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150.00
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50.00%
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N/A
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20.30%
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$1,203.00
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140.00
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40.00%
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N/A
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20.30%
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$1,203.00
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130.00
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30.00%
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N/A
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20.30%
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$1,203.00
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120.00
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20.00%
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N/A
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20.30%
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$1,203.00
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116.24
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16.24%
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N/A
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20.30%
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$1,203.00
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110.00
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10.00%
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N/A
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12.50%
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$1,125.00
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105.00
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5.00%
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N/A
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6.25%
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$1,062.50
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101.00
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1.00%
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N/A
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1.25%
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$1,012.50
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100.00
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0.00%
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0.00%
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0.00%
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$1,000.00
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95.00
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-5.00%
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5.00%
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5.00%
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$1,050.00
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90.00
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-10.00%
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10.00%
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10.00%
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$1,100.00
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85.00
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-15.00%
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15.00%
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15.00%
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$1,150.00
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80.00
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-20.00%
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N/A
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-5.00%
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$950.00
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70.00
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-30.00%
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N/A
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-15.00%
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$850.00
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60.00
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-40.00%
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N/A
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-25.00%
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$750.00
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50.00
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-50.00%
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N/A
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-35.00%
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$650.00
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40.00
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-60.00%
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N/A
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-45.00%
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$550.00
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30.00
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-70.00%
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N/A
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-55.00%
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$450.00
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20.00
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-80.00%
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N/A
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-65.00%
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$350.00
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10.00
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-90.00%
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N/A
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-75.00%
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$250.00
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0.00
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-100.00%
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N/A
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-85.00%
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$150.00
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PS-2 | Structured Investments
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Capped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the NASDAQ-100 Index® and the S&P 500® Index
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PS-3 | Structured Investments
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Capped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the NASDAQ-100 Index® and the S&P 500® Index
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PS-4 | Structured Investments
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Capped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the NASDAQ-100 Index® and the S&P 500® Index
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PS-5 | Structured Investments
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Capped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the NASDAQ-100 Index® and the S&P 500® Index
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Historical Performance of the NASDAQ-100 Index®
Source: Bloomberg
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Historical Performance of the S&P 500® Index
Source: Bloomberg
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PS-6 | Structured Investments
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Capped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the NASDAQ-100 Index® and the S&P 500® Index
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PS-7 | Structured Investments
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Capped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the NASDAQ-100 Index® and the S&P 500® Index
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PS-8 | Structured Investments
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Capped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the NASDAQ-100 Index® and the S&P 500® Index
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PS-9 | Structured Investments
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Capped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the NASDAQ-100 Index® and the S&P 500® Index
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