04/19/2024 | Press release | Distributed by Public on 04/19/2024 04:01
April , 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
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Health Care Select Sector SPDR® Fund, the
Russell 2000® Index and the SPDR® S&P® Regional Banking ETF
due March 26, 2026
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 value of each of the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and the SPDR® S&P® Regional
Banking ETF, which we refer to as the Underlyings, is greater than or equal to 70.00% of its Initial Value, which we refer to as
an Interest Barrier.
●The notes will be automatically called if the closing value of each Underlying on any Review Date (other than the first, second,
third, fourth, fifth and final Review Dates) is greater than or equal to its Initial Value.
●The earliest date on which an automatic call may be initiated is October 23, 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 Underlyings. Payments on the notes are linked to the
performance of each of the Underlyings individually, as described below.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes are expected to price on or about April 23, 2024 and are expected to settle on or about April 26, 2024.
●CUSIP:48134XU86
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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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$1,000
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$
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$
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Total
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$
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$
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$
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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 it
receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $7.25 per $1,000 principal amount
note. 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.
Underlyings:The Russell 2000® Index (Bloomberg ticker: RTY)
(the "Index") and the Health Care Select Sector SPDR® Fund
(Bloomberg ticker: XLV) and the SPDR® S&P® Regional
Banking ETF (Bloomberg ticker: KRE) (each a "Fund" and
collectively, the "Funds") (each of the Index and the Funds, an
"Underlying" and collectively, the "Underlyings")
Contingent Interest Payments:
If the notes have not been automatically called and the closing
value of each Underlying 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 $11.875
(equivalent to a Contingent Interest Rate of at least 14.25% per
annum, payable at a rate of at least 1.1875% per month) (to be
provided in the pricing supplement).
If the closing value of any Underlying 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 14.25% per annum, payable
at a rate of at least 1.1875% per month (to be provided in the
pricing supplement)
Interest Barrier: With respect to each Underlying, 70.00% of its
Initial Value
Trigger Value: With respect to each Underlying, 65.00% of its
Initial Value
Pricing Date:On or about April 23, 2024
Original Issue Date (Settlement Date):On or about April 26,
2024
Review Dates*:May 23, 2024, June 24, 2024, July 23, 2024,
August 23, 2024, September 23, 2024, October 23, 2024,
November 25, 2024, December 23, 2024, January 23, 2025,
February 24, 2025, March 24, 2025, April 23, 2025, May 23,
2025, June 23, 2025, July 23, 2025, August 25, 2025,
September 23, 2025, October 23, 2025, November 24, 2025,
December 23, 2025, January 23, 2026, February 23, 2026 and
March 23, 2026 (final Review Date)
Interest Payment Dates*:May 29, 2024, June 27, 2024, July
26, 2024, August 28, 2024, September 26, 2024, October 28,
2024, November 29, 2024, December 27, 2024, January 28,
2025, February 27, 2025, March 27, 2025, April 28, 2025, May
29, 2025, June 26, 2025, July 28, 2025, August 28, 2025,
September 26, 2025, October 28, 2025, November 28, 2025,
December 29, 2025, January 28, 2026, February 26, 2026 and
the Maturity Date
Maturity Date*:March 26, 2026
Call Settlement Date*:If the notes are automatically called on
any Review Date (other than the first, second, third, fourth, fifth
and final Review Dates), the first Interest Payment Date
immediately following that Review Date
* Subject to postponement in the event of a market disruption event and
as described under "General Terms of Notes - Postponement of a
Determination Date - Notes Linked to Multiple Underlyings" and
"General Terms of Notes - Postponement of a Payment Date" in the
accompanying product supplement
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Automatic Call:
If the closing value of each Underlying on any Review Date
(other than the first, second, third, fourth, fifth and final Review
Dates) is greater than or equal to its 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 of each Underlying 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, if any, applicable to the final
Review Date.
If the notes have not been automatically called and the Final
Value of any Underlying 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 Underlying Return)
If the notes have not been automatically called and the Final
Value of any Underlying is less than its Trigger Value, you will
lose more than 35.00% of your principal amount at maturity and
could lose all of your principal amount at maturity.
Least Performing Underlying:The Underlying with the Least
Performing Underlying Return
Least Performing Underlying Return:The lowest of the
Underlying Returns of the Underlyings
Underlying Return:With respect to each Underlying,
(Final Value - Initial Value)
Initial Value
Initial Value: With respect to each Underlying, the closing value
of that Underlying on the Pricing Date
Final Value:With respect to each Underlying, the closing value
of that Underlying on the final Review Date
Share Adjustment Factor: With respect to each Fund, the
Share Adjustment Factor is referenced in determining the
closing value of that Fund and is set equal to 1.0 on the Pricing
Date. The Share Adjustment Factor of each Fund is subject to
adjustment upon the occurrence of certain events affecting that
Fund. See "The Underlyings - Funds - Anti-Dilution
Adjustments" in the accompanying product supplement for
further information.
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PS-1 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
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PS-2 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
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Number of Contingent
Interest Payments
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Total Contingent Interest
Payments
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23
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$273.125
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22
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$261.250
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21
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$249.375
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20
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$237.500
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19
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$225.625
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18
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$213.750
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17
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$201.875
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16
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$190.000
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15
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$178.125
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14
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$166.250
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13
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$154.375
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12
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$142.500
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11
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$130.625
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10
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$118.750
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9
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$106.875
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8
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$95.000
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7
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$83.125
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6
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$71.250
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5
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$59.375
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4
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$47.500
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3
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$35.625
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2
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$23.750
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1
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$11.875
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0
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$0.000
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PS-3 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
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Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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105.00
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$11.875
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Second Review Date
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110.00
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$11.875
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Third Review Date
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110.00
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$11.875
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Fourth Review Date
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105.00
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$11.875
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Fifth Review Date
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110.00
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$11.875
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Sixth Review Date
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120.00
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$1,011.875
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Total Payment
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$1,071.25 (7.125% return)
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PS-4 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
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Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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95.00
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$11.875
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Second Review Date
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85.00
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$11.875
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Third through
Twenty-Second Review
Dates
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Less than Interest Barrier
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$0
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Final Review Date
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90.00
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$1,011.875
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Total Payment
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$1,035.625 (3.5625% return)
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Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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80.00
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$11.875
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Second Review Date
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75.00
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$11.875
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Third through
Twenty-Second Review
Dates
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Less than Interest Barrier
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$0
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Final Review Date
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65.00
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$1,000.00
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Total Payment
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$1,023.75 (2.375% return)
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Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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55.00
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$0
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Second Review Date
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60.00
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$0
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Third through
Twenty-Second Review
Dates
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Less than Interest Barrier
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$0
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Final Review Date
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55.00
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$550.00
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Total Payment
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$550.00 (-45.00% return)
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PS-5 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
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PS-6 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
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PS-7 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
|
PS-8 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
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Historical Performance of the Health Care Select Sector SPDR® Fund
Source: Bloomberg
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Historical Performance of the Russell 2000® Index
Source: Bloomberg
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PS-9 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
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Historical Performance of the SPDR® S&P® Regional Banking ETF
Source: Bloomberg
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PS-10 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
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PS-11 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
|
PS-12 | Structured Investments
|
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR® Fund, the Russell 2000® Index and
the SPDR® S&P® Regional Banking ETF
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