07/02/2024 | Press release | Distributed by Public on 07/02/2024 11:54
June 28, 2024
|
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$1,760,000
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Invesco QQQ TrustSM, Series 1, the iShares®
Russell 2000 ETF and the SPDR® Dow Jones Industrial AverageSM
ETF Trust due July 1, 2027
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 price of one share of each of the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the SPDR® Dow
Jones Industrial AverageSM ETF Trust, which we refer to as the Funds, is greater than or equal to 80.00% of its Initial Value,
which we refer to as an Interest Barrier.
●The notes will be automatically called if the closing price of one share of each Fund 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 December 30, 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 Funds. Payments on the notes are linked to the
performance of each of the Funds individually, as described below.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes priced on June 28, 2024 and are expected to settle on or about July 3, 2024.
●CUSIP:48135NAP1
|
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$28
|
$972
|
Total
|
$1,760,000
|
$49,280
|
$1,710,720
|
(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
$28.00 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, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Funds:The Invesco QQQ TrustSM, Series 1 (Bloomberg ticker:
QQQ), the iShares® Russell 2000 ETF (Bloomberg ticker: IWM)
and the SPDR® Dow Jones Industrial AverageSM ETF Trust
(Bloomberg ticker: DIA) (each a "Fund" and collectively, the
"Funds")
Contingent Interest Payments:
If the notes have not been automatically called and the closing
price of one share of each Fund 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 $6.4583
(equivalent to a Contingent Interest Rate of 7.75% per annum,
payable at a rate of 0.64583% per month).
If the closing price of one share of any Fund 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: 7.75% per annum, payable at a rate
of 0.64583% per month
Interest Barrier/Trigger Value: With respect to each Fund,
80.00% of its Initial Value, which is $383.288 for the Invesco
QQQ TrustSM, Series 1, $162.312 for the iShares® Russell 2000
ETF and $312.904 for the SPDR® Dow Jones Industrial
AverageSM ETF Trust
Pricing Date: June 28, 2024
Original Issue Date (Settlement Date): On or about July 3,
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*: July 1, 2027
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
|
Automatic Call:
If the closing price of one share of each Fund 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 Fund 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 applicable to the final Review Date.
If the notes have not been automatically called and the Final
Value of any Fund 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 Fund Return)
If the notes have not been automatically called and the Final
Value of any Fund is less than its Trigger Value, you will lose
more than 20.00% of your principal amount at maturity and
could lose all of your principal amount at maturity.
Least Performing Fund:The Fund with the Least Performing
Fund Return
Least Performing Fund Return:The lowest of the Fund
Returns of the Funds
Fund Return:With respect to each Fund,
(Final Value - Initial Value)
Initial Value
Initial Value: With respect to each Fund, the closing price of
one share of that Fund on the Pricing Date, which was $479.11
for the Invesco QQQ TrustSM, Series 1, $202.89 for the iShares®
Russell 2000 ETF and $391.13 for the SPDR® Dow Jones
Industrial AverageSM ETF Trust
Final Value:With respect to each Fund, the closing price of one
share of that Fund on the final Review Date
Share Adjustment Factor: With respect to any Fund, the Share
Adjustment Factor is referenced in determining the closing price
of one share of that Fund and is set equal to 1.0 on the Pricing
Date. The Share Adjustment Factor of any 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.
|
PS-1 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
Review Dates*: July 29, 2024, August 28, 2024, September
30, 2024, October 28, 2024, November 29, 2024, December
30, 2024, January 28, 2025, February 28, 2025, March 28,
2025, April 28, 2025, May 28, 2025, June 30, 2025, July 28,
2025, August 28, 2025, September 29, 2025, October 28,
2025, November 28, 2025, December 29, 2025, January 28,
2026, March 2, 2026, March 30, 2026, April 28, 2026, May 28,
2026, June 29, 2026, July 28, 2026, August 28, 2026,
September 28, 2026, October 28, 2026, November 30, 2026,
December 28, 2026, January 28, 2027, March 1, 2027, March
29, 2027, April 28, 2027, May 28, 2027 and June 28, 2027
(final Review Date)
|
Interest Payment Dates*: August 1, 2024, September 3,
2024, October 3, 2024, October 31, 2024, December 4, 2024,
January 3, 2025, January 31, 2025, March 5, 2025, April 2,
2025, May 1, 2025, June 2, 2025, July 3, 2025, July 31, 2025,
September 3, 2025, October 2, 2025, October 31, 2025,
December 3, 2025, January 2, 2026, February 2, 2026, March
5, 2026, April 2, 2026, May 1, 2026, June 2, 2026, July 2,
2026, July 31, 2026, September 2, 2026, October 1, 2026,
November 2, 2026, December 3, 2026, December 31, 2026,
February 2, 2027, March 4, 2027, April 1, 2027, May 3, 2027,
June 3, 2027 and the Maturity 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
|
PS-2 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
PS-3 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
PS-4 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
36
|
$232.5000
|
35
|
$226.0417
|
34
|
$219.5833
|
33
|
$213.1250
|
32
|
$206.6667
|
31
|
$200.2083
|
30
|
$193.7500
|
29
|
$187.2917
|
28
|
$180.8333
|
27
|
$174.3750
|
26
|
$167.9167
|
25
|
$161.4583
|
24
|
$155.0000
|
23
|
$148.5417
|
22
|
$142.0833
|
21
|
$135.6250
|
20
|
$129.1667
|
19
|
$122.7083
|
18
|
$116.2500
|
17
|
$109.7917
|
16
|
$103.3333
|
15
|
$96.8750
|
14
|
$90.4167
|
13
|
$83.9583
|
12
|
$77.5000
|
11
|
$71.0417
|
10
|
$64.5833
|
9
|
$58.1250
|
8
|
$51.6667
|
7
|
$45.2083
|
6
|
$38.7500
|
5
|
$32.2917
|
4
|
$25.8333
|
3
|
$19.3750
|
2
|
$12.9167
|
1
|
$6.4583
|
0
|
$0.0000
|
PS-5 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
Date
|
Closing Price of One
Share of Least
Performing Fund
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$105.00
|
$6.4583
|
Second Review Date
|
$110.00
|
$6.4583
|
Third Review Date
|
$110.00
|
$6.4583
|
Fourth Review Date
|
$105.00
|
$6.4583
|
Fifth Review Date
|
$110.00
|
$6.4583
|
Sixth Review Date
|
$120.00
|
$1,006.4583
|
Total Payment
|
$1,038.75 (3.875% return)
|
PS-6 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
Date
|
Closing Price of One
Share of Least
Performing Fund
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$95.00
|
$6.4583
|
Second Review Date
|
$85.00
|
$6.4583
|
Third through Thirty-Fifth
Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$90.00
|
$1,006.4583
|
Total Payment
|
$1,019.375 (1.9375% return)
|
Date
|
Closing Price of One
Share of Least
Performing Fund
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$70.00
|
$0
|
Second Review Date
|
$75.00
|
$0
|
Third through Thirty-Fifth
Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$70.00
|
$700.00
|
Total Payment
|
$700.00 (-30.00% return)
|
PS-7 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
PS-8 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
PS-9 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
Historical Performance of Invesco QQQ TrustSM, Series 1
Source: Bloomberg
|
PS-10 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
Historical Performance of the iShares® Russell 2000 ETF
Source: Bloomberg
|
Historical Performance of the SPDR® Dow Jones Industrial AverageSM ETF Trust
Source: Bloomberg
|
PS-11 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
PS-12 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
PS-13 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|
PS-14 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Invesco QQQ TrustSM, Series 1, the iShares® Russell 2000 ETF and the
SPDR® Dow Jones Industrial AverageSM ETF Trust
|