04/29/2024 | Press release | Distributed by Public on 04/29/2024 11:22
April 25, 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
$308,000
Auto Callable Buffered Return Enhanced Notes Linked
to the Lesser Performing of the Russell 2000® Index
and the S&P 500® Index due April 29, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek early exit prior to maturity at a premium if, on the Review Date, the closing
level of each of the Russell 2000® Index and the S&P 500® Index, which we refer to as the Indices, is at or above its Call
Value.
●The date on which an automatic call may be initiated is May 2, 2025.
●The notes are also designed for investors who seek an uncapped return of 1.50 times any appreciation of the lesser
performing of the Indices at maturity, if the notes have not been automatically called.
●Investors should be willing to forgo interest and dividend payments and be willing to lose up to 80.00% 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 25, 2024 and are expected to settle on or about April 30, 2024.
●CUSIP: 48134XZR9
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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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$30
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$970
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Total
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$308,000
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$9,240
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$298,760
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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
$30.00 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 Russell 2000® Index (Bloomberg ticker: RTY) and
the S&P 500® Index (Bloomberg ticker: SPX)
Call Premium Amount:$80.00 per $1,000 principal amount note
Call Value:With respect to each Index, 100.00% of its Initial
Value
Upside Leverage Factor:1.50
Buffer Amount: 20.00%
Pricing Date:April 25, 2024
Original Issue Date (Settlement Date):On or about April 30,
2024
Review Date*:May 2, 2025
Call Settlement Date*:May 7, 2025
Observation Date*:April 26, 2027
Maturity Date*:April 29, 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
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Automatic Call:
If the closing level of each Index on the Review Date is greater
than or equal to its Call 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 Call Premium Amount,
payable on the Call Settlement Date. No further payments will
be made on the notes.
If the notes are automatically called, you will not benefit from
the Upside Leverage Factor that applies to the payment at
maturity if the Final Value of each Index is greater than its Initial
Value. Because the Upside Leverage Factor does not apply to
the payment upon an automatic call, the payment upon an
automatic call may be significantly less than the payment at
maturity for the same level of appreciation in the Lesser
Performing Index.
Payment at Maturity:
If the notes have not been automatically called and 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)
If the notes have not been automatically called and (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, you will receive the
principal amount of your notes at maturity.
If the notes have not been automatically called and 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 notes have not been automatically called and 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.
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 1,981.118 for the
Russell 2000® Index and 5,048.42 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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Auto Callable Buffered Return Enhanced Notes Linked to the Lesser Performing of the
Russell 2000® Index and the S&P 500® Index
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PS-2 | Structured Investments
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Auto Callable Buffered Return Enhanced Notes Linked to the Lesser Performing of the
Russell 2000® 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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Total Return on the Notes
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Payment at Maturity
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165.00
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65.00%
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97.50%
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$1,975.00
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150.00
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50.00%
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75.00%
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$1,750.00
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140.00
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40.00%
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60.00%
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$1,600.00
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130.00
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30.00%
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45.00%
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$1,450.00
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120.00
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20.00%
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30.00%
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$1,300.00
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110.00
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10.00%
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15.00%
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$1,150.00
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105.00
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5.00%
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7.50%
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$1,075.00
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101.00
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1.00%
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1.50%
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$1,015.00
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100.00
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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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0.00%
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$1,000.00
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90.00
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-10.00%
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0.00%
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$1,000.00
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85.00
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-15.00%
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0.00%
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$1,000.00
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80.00
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-20.00%
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0.00%
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$1,000.00
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70.00
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-30.00%
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-10.00%
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$900.00
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60.00
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-40.00%
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-20.00%
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$800.00
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50.00
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-50.00%
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-30.00%
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$700.00
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40.00
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-60.00%
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-40.00%
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$600.00
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30.00
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-70.00%
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-50.00%
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$500.00
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20.00
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-80.00%
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-60.00%
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$400.00
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10.00
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-90.00%
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-70.00%
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$300.00
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0.00
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-100.00%
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-80.00%
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$200.00
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PS-3 | Structured Investments
|
|
Auto Callable Buffered Return Enhanced Notes Linked to the Lesser Performing of the
Russell 2000® Index and the S&P 500® Index
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PS-4 | Structured Investments
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Auto Callable Buffered Return Enhanced Notes Linked to the Lesser Performing of the
Russell 2000® Index and the S&P 500® Index
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PS-5 | Structured Investments
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Auto Callable Buffered Return Enhanced Notes Linked to the Lesser Performing of the
Russell 2000® Index and the S&P 500® Index
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PS-6 | Structured Investments
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Auto Callable Buffered Return Enhanced Notes Linked to the Lesser Performing of the
Russell 2000® Index and the S&P 500® Index
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Historical Performance of the Russell 2000® Index
Source: Bloomberg
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Historical Performance of the S&P 500® Index
Source: Bloomberg
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PS-7 | Structured Investments
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Auto Callable Buffered Return Enhanced Notes Linked to the Lesser Performing of the
Russell 2000® Index and the S&P 500® Index
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PS-8 | Structured Investments
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Auto Callable Buffered Return Enhanced Notes Linked to the Lesser Performing of the
Russell 2000® Index and the S&P 500® Index
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PS-9 | Structured Investments
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Auto Callable Buffered Return Enhanced Notes Linked to the Lesser Performing of the
Russell 2000® Index and the S&P 500® Index
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PS-10 | Structured Investments
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Auto Callable Buffered Return Enhanced Notes Linked to the Lesser Performing of the
Russell 2000® Index and the S&P 500® Index
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