Issuer: JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Underlyings: The Russell 2000® Index (Bloomberg ticker: RTY) (the “Index”) and the SPDR® S&P® Regional Banking ETF (Bloomberg ticker: KRE) (the “Fund”) (each of the Index and the Fund, an “Underlying” and collectively, the “Underlyings”)
Contingent Interest Payments:
If the notes have not been automatically called and the closing value of each Underlying 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 $20.50 (equivalent to a Contingent Interest Rate of 8.20% per annum, payable at a rate of 2.05% per quarter).
If the closing value of either Underlying 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: 8.20% per annum, payable at a rate of 2.05% per quarter
Interest Barrier: With respect to each Underlying, 70.00% of its Initial Value, which is 1,542.0881 for the Russell 2000® Index and $40.18 for the SPDR® S&P® Regional Banking ETF
Trigger Value: With respect to each Underlying, 65.00% of its Initial Value, which is 1,431.93895 for the Russell 2000® Index and $37.31 for the SPDR® S&P® Regional Banking ETF
Pricing Date: August 29, 2024
Original Issue Date (Settlement Date): On or about September 4, 2024
Review Dates*: November 29, 2024, February 28, 2025, May 29, 2025, August 29, 2025, December 1, 2025 and March 2, 2026 (final Review Date)
Interest Payment Dates*: December 4, 2024, March 5, 2025, June 3, 2025, September 4, 2025, December 4, 2025 and the Maturity Date
Maturity Date*: March 5, 2026
Call Settlement Date*: If the notes are automatically called on any Review Date (other than the final Review Date), 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
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Automatic Call:
If the closing value of each Underlying on any Review Date (other than the final Review Date) 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 Underlying 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, if any, applicable to the final Review Date.
If the notes have not been automatically called and the Final Value of either Underlying 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 × Lesser Performing Underlying Return)
If the notes have not been automatically called and the Final Value of either Underlying is less than its Trigger Value, you will lose more than 35.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
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 2,202.983 for the Russell 2000® Index and $57.40 for the SPDR® S&P® Regional Banking ETF
Final Value: With respect to each Underlying, the closing value of that Underlying on the final Review 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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