Issuer: JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Underlyings: The Nasdaq-100® Technology Sector IndexSM (Bloomberg ticker: NDXT) and the Russell 2000® Index (Bloomberg ticker: RTY) (each an “Index” and collectively, the “Indices”) and the SPDR® S&P® Regional Banking ETF (Bloomberg ticker: KRE) (the “Fund”) (each of the Indices 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 $7.625 (equivalent to a Contingent Interest Rate of 9.15% per annum, payable at a rate of 0.7625% per month).
If the closing value of any 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: 9.15% per annum, payable at a rate of 0.7625% per month
Interest Barrier: With respect to each Underlying, 70.00% of its Initial Value, which is 7,398.153 for the Nasdaq-100® Technology Sector IndexSM, 1,457.1963 for the Russell 2000® Index and $34.937 for the SPDR® S&P® Regional Banking ETF
Trigger Value: With respect to each Underlying, 60.00% of its Initial Value, which is 6,341.274 for the Nasdaq-100® Technology Sector IndexSM, 1,249.0254 for the Russell 2000® Index and $29.946 for the SPDR® S&P® Regional Banking ETF
Pricing Date: May 22, 2024
Original Issue Date (Settlement Date): On or about May 28, 2024
Review Dates*: June 24, 2024, July 22, 2024, August 22, 2024, September 23, 2024, October 22, 2024, November 22, 2024, December 23, 2024, January 22, 2025, February 24, 2025, March 24, 2025, April 22, 2025, May 22, 2025, June 23, 2025, July 22, 2025, August 22, 2025, September 22, 2025, October 22, 2025, November 24, 2025, December 22, 2025, January 22, 2026, February 23, 2026, March 23, 2026 and April 22, 2026 (final Review Date)
Interest Payment Dates*: June 27, 2024, July 25, 2024, August 27, 2024, September 26, 2024, October 25, 2024, November 27, 2024, December 27, 2024, January 27, 2025, February 27, 2025, March 27, 2025, April 25, 2025, May 28, 2025, June 26, 2025, July 25, 2025, August 27, 2025, September 25, 2025, October 27, 2025, November 28, 2025, December 26, 2025, January 27, 2026, February 26, 2026, March 26, 2026 and the Maturity Date
Maturity Date*: April 27, 2026
Call Settlement Date*: If the notes are automatically called on any Review Date (other than the first, second 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
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Automatic Call:
If the closing value of each Underlying on any Review Date (other than the first, second 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 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 any 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 × Least Performing Underlying Return)
If the notes have not been automatically called and the Final Value of any Underlying is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Least Performing Underlying: The Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The lowest 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 10,568.79 for the Nasdaq-100® Technology Sector IndexSM, 2,081.709 for the Russell 2000® Index and $49.91 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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