May , 2024
|
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US
Tech+ Vol Advantage Index due May 17, 2029
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 level of the MerQube US Tech+ Vol Advantage Index, which we refer to as the Index, is greater than or equal to
70.00% of the Initial Value, which we refer to as the Interest Barrier.
●The notes will be automatically called if the closing level of the Index on any Review Date (other than the first through
eleventh and final Review Dates) is greater than or equal to the Initial Value.
●The earliest date on which an automatic call may be initiated is May 13, 2025.
●Investors should be willing to accept the risk of losing up to 70.00% 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 Index is subject to a 6.0% per annum daily deduction, and the performance of the Invesco QQQ TrustSM, Series 1
(the “QQQ Fund”) is subject to a notional financing cost. These deductions will offset any appreciation of the
components of the Index, will heighten any depreciation of those components and will generally be a drag on the
performance of the Index. The Index will trail the performance of an identical index without such deductions. See
“Selected Risk Considerations — Risks Relating to the Notes Generally — The Level of the Index Will Include a 6.0%
per Annum Daily Deduction” and “Selected Risk Considerations — Risks Relating to the Notes Generally — The
Level of the Index Will Include the Deduction of a Notional Financing Cost” in this pricing supplement.
●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.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes are expected to price on or about May 13, 2024 and are expected to settle on or about May 16, 2024.
●CUSIP: 48135MKF4
|
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
(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 $39.00 per $1,000 principal
amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
|
Issuer: JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Tech+ Vol Advantage Index
(Bloomberg ticker: MQUSTVA). The level of the Index reflects a
deduction of 6.0% per annum that accrues daily, and the
performance of the QQQ Fund is subject to a notional financing
cost that accrues daily.
Contingent Interest Payments:
If the notes have not been automatically called and the closing
level of the Index on any Review Date is greater than or equal to
the 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 $8.625 (equivalent
to a Contingent Interest Rate of at least 10.35% per annum,
payable at a rate of at least 0.8625% per month) (to be provided
in the pricing supplement).
If the closing level of the Index on any Review Date is less than
the Interest Barrier, no Contingent Interest Payment will be
made with respect to that Review Date.
Contingent Interest Rate: At least 10.35% per annum, payable
at a rate of at least 0.8625% per month (to be provided in the
pricing supplement)
Interest Barrier/Buffer Threshold: 70.00% of the Initial Value
Buffer Amount: 30.00%
Pricing Date: On or about May 13, 2024
Original Issue Date (Settlement Date): On or about May 16,
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*: May 17, 2029
Call Settlement Date*: If the notes are automatically called on
any Review Date (other than the first through eleventh 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 “Supplemental Terms of the Notes — Postponement
of a Determination Date — Notes Linked Solely to an Index” in the
accompanying underlying supplement and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product
supplement
|
Automatic Call:
If the closing level of the Index on any Review Date (other than
the first through eleventh and final Review Dates) is greater than
or equal to the 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 is greater than or equal to the Buffer Threshold, 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 is less than the Buffer Threshold, your payment at
maturity per $1,000 principal amount note will be calculated as
follows:
$1,000 + [$1,000 × (Index Return + Buffer Amount)]
If the notes have not been automatically called and the Final
Value is less than the Buffer Threshold, you will lose some or
most of your principal amount at maturity.
Index Return:
(Final Value – Initial Value)
Initial Value
Initial Value: The closing level of the Index on the Pricing Date
Final Value: The closing level of the Index on the final Review
Date
|
PS-1 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
Review Dates*: June 13, 2024, July 15, 2024, August 13,
2024, September 13, 2024, October 14, 2024, November 13,
2024, December 13, 2024, January 13, 2025, February 13,
2025, March 13, 2025, April 14, 2025, May 13, 2025, June 13,
2025, July 14, 2025, August 13, 2025, September 15, 2025,
October 13, 2025, November 13, 2025, December 15, 2025,
January 13, 2026, February 13, 2026, March 13, 2026, April
13, 2026, May 13, 2026, June 15, 2026, July 13, 2026, August
13, 2026, September 14, 2026, October 13, 2026, November
13, 2026, December 14, 2026, January 13, 2027, February 16,
2027, March 15, 2027, April 13, 2027, May 13, 2027, June 14,
2027, July 13, 2027, August 13, 2027, September 13, 2027,
October 13, 2027, November 15, 2027, December 13, 2027,
January 13, 2028, February 14, 2028, March 13, 2028, April
13, 2028, May 15, 2028, June 13, 2028, July 13, 2028, August
14, 2028, September 13, 2028, October 13, 2028, November
13, 2028, December 13, 2028, January 16, 2029, February 13,
2029, March 13, 2029, April 13, 2029 and May 14, 2029 (final
Review Date)
|
Interest Payment Dates*: June 18, 2024, July 18, 2024,
August 16, 2024, September 18, 2024, October 17, 2024,
November 18, 2024, December 18, 2024, January 16, 2025,
February 19, 2025, March 18, 2025, April 17, 2025, May 16,
2025, June 18, 2025, July 17, 2025, August 18, 2025,
September 18, 2025, October 16, 2025, November 18, 2025,
December 18, 2025, January 16, 2026, February 19, 2026,
March 18, 2026, April 16, 2026, May 18, 2026, June 18, 2026,
July 16, 2026, August 18, 2026, September 17, 2026, October
16, 2026, November 18, 2026, December 17, 2026, January
19, 2027, February 19, 2027, March 18, 2027, April 16, 2027,
May 18, 2027, June 17, 2027, July 16, 2027, August 18, 2027,
September 16, 2027, October 18, 2027, November 18, 2027,
December 16, 2027, January 19, 2028, February 17, 2028,
March 16, 2028, April 19, 2028, May 18, 2028, June 16, 2028,
July 18, 2028, August 17, 2028, September 18, 2028, October
18, 2028, November 16, 2028, December 18, 2028, January
19, 2029, February 16, 2029, March 16, 2029, April 18, 2029
and the Maturity Date
* Subject to postponement in the event of a market disruption event
and as described under "Supplemental Terms of the Notes —
Postponement of a Determination Date — Notes Linked Solely to an
Index" in the accompanying underlying supplement 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 MerQube US Tech+
Vol Advantage Index
|
PS-3 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
PS-4 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
PS-5 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
PS-6 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
60
|
$517.500
|
59
|
$508.875
|
58
|
$500.250
|
57
|
$491.625
|
56
|
$483.000
|
55
|
$474.375
|
54
|
$465.750
|
53
|
$457.125
|
52
|
$448.500
|
51
|
$439.875
|
50
|
$431.250
|
49
|
$422.625
|
48
|
$414.000
|
47
|
$405.375
|
46
|
$396.750
|
45
|
$388.125
|
44
|
$379.500
|
43
|
$370.875
|
42
|
$362.250
|
41
|
$353.625
|
40
|
$345.000
|
39
|
$336.375
|
38
|
$327.750
|
37
|
$319.125
|
36
|
$310.500
|
35
|
$301.875
|
34
|
$293.250
|
33
|
$284.625
|
32
|
$276.000
|
31
|
$267.375
|
30
|
$258.750
|
29
|
$250.125
|
28
|
$241.500
|
27
|
$232.875
|
26
|
$224.250
|
25
|
$215.625
|
24
|
$207.000
|
23
|
$198.375
|
22
|
$189.750
|
21
|
$181.125
|
20
|
$172.500
|
19
|
$163.875
|
18
|
$155.250
|
17
|
$146.625
|
16
|
$138.000
|
15
|
$129.375
|
14
|
$120.750
|
13
|
$112.125
|
12
|
$103.500
|
11
|
$94.875
|
10
|
$86.250
|
9
|
$77.625
|
8
|
$69.000
|
7
|
$60.375
|
6
|
$51.750
|
5
|
$43.125
|
4
|
$34.500
|
3
|
$25.875
|
2
|
$17.250
|
1
|
$8.625
|
0
|
$0.000
|
PS-7 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
Date
|
Closing Level
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
|
$8.625
|
Second Review Date
|
110.00
|
$8.625
|
Third through Eleventh
Review Dates
|
Greater than Initial Value
|
$8.625
|
Twelfth Review Date
|
110.00
|
$1,008.625
|
Total Payment
|
$1,103.50 (10.35% return)
|
Date
|
Closing Level
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$8.625
|
Second Review Date
|
85.00
|
$8.625
|
Third through Fifty-Ninth
Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,008.625
|
Total Payment
|
$1,025.875 (2.5875% return)
|
PS-8 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
Date
|
Closing Level
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
30.00
|
$0
|
Second Review Date
|
35.00
|
$0
|
Third through Fifty-Ninth
Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
30.00
|
$600.00
|
Total Payment
|
$600.00 (-40.00% return)
|
PS-9 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
PS-10 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
PS-11 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
PS-12 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
Hypothetical Back-Tested and Historical Performance of the
MerQube US Tech+ Vol Advantage Index
Source: Bloomberg
|
PS-13 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
PS-14 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
PS-15 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|
PS-16 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
|