07/17/2024 | Press release | Distributed by Public on 07/17/2024 09:40
July 15, 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
$250,000
Uncapped Dual Directional Buffered Return Enhanced
Notes Linked to the Lesser Performing of the Dow
Jones Industrial AverageTM and the SPDR® S&P 500®
ETF Trust due July 19, 2029
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek an uncapped return of 1.2245 times any appreciation, or a capped,
unleveraged return equal to the absolute value of any depreciation (up to the Buffer Amount of 20.00%), of the lesser
performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF Trust, which we refer to as the Underlyings,
at maturity.
●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 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 priced on July 15, 2024 and are expected to settle on or about July 18, 2024.
●CUSIP: 48135PLL3
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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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$7.50
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$992.50
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Total
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$250,000
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$1,875
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$248,125
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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
$7.50 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, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Underlyings: The Dow Jones Industrial AverageTM
(Bloomberg ticker: INDU) (the "Index") and the SPDR® S&P
500® ETF Trust (Bloomberg ticker: SPY) (the "Fund") (each of
the Index and the Fund, an "Underlying" and collectively, the
"Underlyings")
Upside Leverage Factor:1.2245
Buffer Amount: 20.00%
Pricing Date:July 15, 2024
Original Issue Date (Settlement Date):On or about July 18,
2024
Observation Date*:July 16, 2029
Maturity Date*:July 19, 2029
* 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 Underlying 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 Underlying Return ×
Upside Leverage Factor)
If (i) the Final Value of one Underlying is greater than its Initial
Value and the Final Value of the other Underlying 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 Underlying 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 Underlying Return of the Lesser
Performing Underlying)
This payout formula results in an effective cap of 20.00% on
your return at maturity if the Lesser Performing Underlying
Return is negative. Under these limited circumstances, your
maximum payment at maturity is $1,200.00 per $1,000
principal amount note.
If the Final Value of either Underlying 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 Underlying Return +
Buffer Amount)]
If the Final Value of either Underlying 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 Underlying Return: With respect to each
Underlying, the absolute value of its Underlying Return. For
example, if the Underlying Return of an Underlying is -5%, its
Absolute Underlying Return will equal 5%.
Lesser Performing Underlying: The Underlying with the
Lesser Performing Underlying Return
Lesser Performing Underlying Return: The lower 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, which was
40,211.72 for the Dow Jones Industrial AverageTM and
$561.53 for the SPDR® S&P 500® ETF Trust
Final Value: With respect to each Underlying, the closing
value of that Underlying on the Observation Date
Share Adjustment Factor: The Share Adjustment Factor is
referenced in determining the closing value of the Fund and is
set equal to 1.0 on the Pricing Date. The Share Adjustment
Factor is subject to adjustment upon the occurrence of certain
events affecting the 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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Uncapped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF
Trust
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Final Value of
the Lesser
Performing
Underlying
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Lesser
Performing
Underlying
Return
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Absolute Underlying
Return of the Lesser
Performing Underlying
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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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97.9600%
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$1,979.600
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165.00
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65.00%
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N/A
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79.5925%
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$1,795.925
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150.00
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50.00%
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N/A
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61.2250%
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$1,612.250
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140.00
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40.00%
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N/A
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48.9800%
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$1,489.800
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130.00
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30.00%
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N/A
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36.7350%
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$1,367.350
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120.00
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20.00%
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N/A
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24.4900%
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$1,244.900
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110.00
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10.00%
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N/A
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12.2450%
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$1,122.450
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105.00
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5.00%
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N/A
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6.1225%
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$1,061.225
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101.00
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1.00%
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N/A
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1.2245%
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$1,012.245
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100.00
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0.00%
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0.00%
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0.0000%
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$1,000.000
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95.00
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-5.00%
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5.00%
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5.0000%
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$1,050.000
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90.00
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-10.00%
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10.00%
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10.0000%
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$1,100.000
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85.00
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-15.00%
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15.00%
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15.0000%
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$1,150.000
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80.00
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-20.00%
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20.00%
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20.0000%
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$1,200.000
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70.00
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-30.00%
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N/A
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-10.0000%
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$900.000
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60.00
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-40.00%
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N/A
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-20.0000%
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$800.000
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50.00
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-50.00%
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N/A
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-30.0000%
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$700.000
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40.00
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-60.00%
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N/A
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-40.0000%
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$600.000
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30.00
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-70.00%
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N/A
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-50.0000%
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$500.000
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20.00
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-80.00%
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N/A
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-60.0000%
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$400.000
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10.00
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-90.00%
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N/A
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-70.0000%
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$300.000
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0.00
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-100.00%
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N/A
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-80.0000%
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$200.000
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PS-2 | Structured Investments
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Uncapped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF
Trust
|
PS-3 | Structured Investments
|
|
Uncapped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF
Trust
|
PS-4 | Structured Investments
|
|
Uncapped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF
Trust
|
PS-5 | Structured Investments
|
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Uncapped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF
Trust
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Historical Performance of the Dow Jones Industrial AverageTM
Source: Bloomberg
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PS-6 | Structured Investments
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Uncapped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF
Trust
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Historical Performance of the SPDR® S&P 500® ETF Trust
Source: Bloomberg
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PS-7 | Structured Investments
|
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Uncapped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF
Trust
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PS-8 | Structured Investments
|
|
Uncapped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF
Trust
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PS-9 | Structured Investments
|
|
Uncapped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF
Trust
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PS-10 | Structured Investments
|
|
Uncapped Dual Directional Buffered Return Enhanced Notes Linked to the Lesser
Performing of the Dow Jones Industrial AverageTM and the SPDR® S&P 500® ETF
Trust
|