Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
May 15 2024 - 12:18PM
Edgar (US Regulatory)
JPMorgan Chase Financial Company LLC
Free Writing Prospectus Filed Pursuant to
Rule 433
Registration Statement Nos. 333-270004 and
333-270004-01
Dated May 14, 2024
3y
SLV Dual Directional Trigger PLUS
This document provides a summary of the terms of the Dual
Directional Trigger PLUS, which we refer to as the Trigger PLUS. Investors must carefully review the accompanying preliminary pricing
supplement referenced below, product supplement, prospectus supplement and prospectus and the “Risk Considerations” on the
following page, prior to making an investment decision.
| SUMMARY TERMS |
| Issuer: |
JPMorgan Chase Financial Company LLC (“JPMorgan Financial”) |
| Guarantor: |
JPMorgan Chase & Co. |
| ETF Shares: |
iShares® Silver Trust (Bloomberg ticker: SLV UP Equity) |
| Payment at maturity: |
If the final share price is greater than the initial share price, for each
$1,000 stated principal amount Trigger PLUS:
$1,000 + leveraged upside payment
Under these circumstances, in no event will the payment at maturity exceed
the maximum upside payment at maturity.
If the final share price is less than or equal to the initial share price
but is greater than or equal to the trigger level, for each $1,000 stated principal amount Trigger PLUS:
$1,000 + ($1,000 × absolute share return)
In this scenario, you will receive a 1% positive return on the Trigger
PLUS for each 1% negative return on the ETF Shares. In no event will this amount exceed the stated principal amount plus $200.00. Accordingly,
the maximum downside payment at maturity is $1,200.00 per Trigger PLUS.
If the final share price is less than the trigger level, for each $1,000
stated principal amount Trigger PLUS:
$1,000 × share performance factor
This amount will be less than the stated principal amount of $1,000 per
Trigger PLUS and will represent a loss of more than 20%, and possibly all, of your investment. |
| Leveraged upside payment: |
$1,000 × leverage factor × share percent change |
| Share percent change: |
(final share price – initial share price) / initial share price |
| Absolute share return: |
The absolute value of the share percent change. For example, a -5% share percent change will result in a +5% absolute share return. |
| Initial share price: |
The closing price of one ETF Share on the pricing date |
| Final share price: |
The closing price of one ETF Share on the valuation date |
| Share adjustment factor: |
The share adjustment factor is referenced in determining the closing price of one ETF Share and is set initially at 1.0 on the pricing date. The share adjustment factor is subject to adjustment in the event of certain events affecting the ETF Shares. |
| Trigger level: |
80% of the initial share price |
| Leverage factor: |
300% |
| Share performance factor: |
final share price / initial share price |
| Maximum upside payment at maturity: |
At least $1,510.00 (at least 151.00% of the stated principal amount) per Trigger PLUS |
| Stated principal amount: |
$1,000 per Trigger PLUS |
| Issue price: |
$1,000 per Trigger PLUS |
| Pricing date: |
Expected to be May 31, 2024 |
| Original issue date (settlement date): |
3 business days after the pricing date |
| Valuation date†: |
May 28, 2027 |
| Maturity date†: |
June 3, 2027 |
| CUSIP / ISIN: |
48135MMP0 / US48135MMP04 |
| Preliminary pricing supplement: |
http://www.sec.gov/Archives/edgar/
data/1665650/000121390024043038/ea174389_424b2.htm |
†Subject to postponement
The estimated value of the Trigger PLUS on the pricing date will be provided
in the pricing supplement and will not be less than $920.00 per $1,000 stated principal amount Trigger PLUS. For information about the
estimated value of the Trigger PLUS, which likely will be lower than the price you paid for the Trigger PLUS, please see the hyperlink
above.
Any payment on the Trigger PLUS is subject to the credit risk of JPMorgan
Financial as issuer of the Trigger PLUS, and the credit risk of JPMorgan Chase & Co., as guarantor of the Trigger PLUS.
| Dual Directional Trigger PLUS Payoff Diagram* |
|
|
*The actual maximum upside payment at maturity will be provided
in the pricing supplement and will not be less than $1,151.00 per Trigger PLUS.
| Change in ETF Shares |
Return on the Trigger PLUS* |
| 50.00% |
51.00% |
| 40.00% |
51.00% |
| 30.00% |
51.00% |
| 20.00% |
51.00% |
| 17.00% |
51.00% |
| 10.00% |
30.00% |
| 5.00% |
15.00% |
| 1.00% |
3.00% |
| 0.00% |
0.00% |
| -5.00% |
5.00% |
| -10.00% |
10.00% |
| -20.00% |
20.00% |
| -20.01% |
-20.01% |
| -30.00% |
-30.00% |
| -40.00% |
-40.00% |
| -60.00% |
-60.00% |
| -80.00% |
-80.00% |
| -100.00% |
-100.00% |
| *Assumes a maximum payment at maturity of 151.00% of the stated principal amount |
JPMorgan Chase Financial Company LLC
3y
SLV Dual Directional Trigger PLUS
ETF Shares
For more information about the ETF Shares,
including historical performance information, see the accompanying preliminary pricing supplement.
Risk Considerations
The risks identified below are not exhaustive. Please see “Risk Factors”
in the accompanying prospectus supplement, product supplement, underlying supplement and preliminary pricing supplement for additional
information.
Risks Relating to the Trigger
PLUS Generally
| § | The Trigger PLUS do not pay interest or guarantee the return of any principal and your investment in
the Trigger PLUS may result in a loss. |
| § | The appreciation potential of the Trigger PLUS is limited by the maximum upside payment at maturity if
the ETF Shares have appreciated. |
| § | Your maximum downside gain on the Trigger PLUS is limited by the trigger level. |
| § | The Trigger PLUS are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.,
and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit ratings or credit spreads may adversely
affect the market value of the Trigger PLUS. |
| § | As a finance subsidiary, JPMorgan Financial has no independent operations and has limited assets. |
| § | The benefit provided by the trigger level may terminate on the valuation date. |
| § | Secondary trading may be limited. |
| § | The final terms and estimated
valuation of the Trigger PLUS will be provided in the pricing supplement. |
| § | The tax consequences of an investment in the Trigger PLUS are uncertain. |
Risks Relating to Conflicts
of Interest
| § | Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of
the Trigger PLUS and other affiliates of the issuer may be different from those of investors. |
| § | Hedging and trading activities by the issuer and its affiliates could potentially affect the value of
the Trigger PLUS. |
Risks Relating to the Estimated
Value and Secondary Market Prices of the Trigger PLUS
| § | The estimated value of the Trigger PLUS will be lower than the original issue price (price to public)
of the Trigger PLUS. |
| § | The estimated value of the Trigger PLUS does not represent future values of the Trigger PLUS and may
differ from others’ estimates. |
| § | The estimated value of the Trigger
PLUS is derived by reference to an internal funding rate. |
| § | The value of the Trigger
PLUS as published by J.P. Morgan Securities LLC (and which
may be reflected on customer account statements) may be higher than the then-current estimated value of the Trigger PLUS for
a limited time period. |
| § | Secondary market prices of the Trigger PLUS will likely be lower than the original issue price of the
Trigger PLUS. |
| § | Secondary market prices of the Trigger
PLUS will be impacted by many economic and market factors. |
Risks Relating to the ETF
Shares
| § | Investing in the Trigger
PLUS is not equivalent to investing in the ETF Shares. |
| § | The iShares® Silver Trust
is not an investment company or a commodity pool and will not be subject to regulation under the Investment Company Act of 1940, as amended,
or the Commodity Exchange Act. |
| § | The performance and market value of the
ETF Shares, particularly during periods of market volatility, may not correlate with the performance of the underlying commodity as well
as the net asset value per ETF Share. |
| § | The Trigger PLUS are subject to risks
associated with silver. |
| § | There are risks relating to commodities
trading on the LMBA. |
| § | Single commodity prices tend to be more
volatile than, and may not correlate with, the prices of commodities generally. |
| § | We have no affiliation with the iShares®
Silver Trust. |
| § | The anti-dilution protection for the
ETF Shares is limited. |
Tax Considerations
You should review carefully the discussion in the accompanying preliminary
pricing supplement under “Additional Information about the Trigger PLUS — Tax considerations” concerning the U.S. federal
income tax consequences of an investment in the Trigger PLUS, and you should consult your tax adviser.
SEC Legend: JPMorgan Chase Financial Company LLC and JPMorgan Chase
& Co. have filed a registration statement (including a prospectus) with the SEC for any offerings to which these materials relate.
Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that
JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. has filed with the SEC for more complete information about JPMorgan
Chase Financial Company LLC and JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR
on the SEC web site at www.sec.gov. Alternatively, JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co., any agent or any
dealer participating in the this offering will arrange to send you the prospectus and each prospectus supplement as well as any product
supplement, underlying supplement and preliminary pricing supplement if you so request by calling toll-free 1-866-535-9248.
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2024 to May 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From May 2023 to May 2024
