Issuer: JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Underlyings: The Nasdaq-100® Technology Sector IndexSM (Bloomberg ticker: NDXT) and the S&P 500® Index (Bloomberg ticker: SPX) (each an “Index” and collectively, the “Indices”) and the SPDR® S&P® Biotech ETF (Bloomberg ticker: XBI) (the “Fund”) (each of the Indices and the Fund, an “Underlying” and collectively, the “Underlyings”)
Contingent Interest Payments:
If the notes have not been previously redeemed early 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 $7.1667 (equivalent to a Contingent Interest Rate of 8.60% per annum, payable at a rate of 0.71667% 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: 8.60% per annum, payable at a rate of 0.71667% per month
Interest Barrier: With respect to each Underlying, 70.00% of its Initial Value, which is 7,519.722 for the Nasdaq-100® Technology Sector IndexSM, 3,825.234 for the S&P 500® Index and $64.666 for the SPDR® S&P® Biotech ETF
Trigger Value: With respect to each Underlying, 65.00% of its Initial Value, which is 6,982.599 for the Nasdaq-100® Technology Sector IndexSM, 3,552.003 for the S&P 500® Index and $60.047 for the SPDR® S&P® Biotech ETF
Pricing Date: June 21, 2024
Original Issue Date (Settlement Date): On or about June 26, 2024
Review Dates*: July 22, 2024, August 21, 2024, September 23, 2024, October 21, 2024, November 21, 2024, December 23, 2024, January 21, 2025, February 21, 2025, March 21, 2025, April 21, 2025, May 21, 2025, June 23, 2025, July 21, 2025, August 21, 2025, September 22, 2025, October 21, 2025, November 21, 2025, December 22, 2025, January 21, 2026, February 23, 2026, March 23, 2026, April 21, 2026 and May 21, 2026 (the “final Review Date”)
Interest Payment Dates*: July 25, 2024, August 26, 2024, September 26, 2024, October 24, 2024, November 26, 2024, December 27, 2024, January 24, 2025, February 26, 2025, March 26, 2025, April 24, 2025, May 27, 2025, June 26, 2025, July 24, 2025, August 26, 2025, September 25, 2025, October 24, 2025, November 26, 2025, December 26, 2025, January 26, 2026, February 26, 2026, March 26, 2026, April 24, 2026 and the Maturity Date
Maturity Date*: May 27, 2026
*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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Early Redemption:
We, at our election, may redeem the notes early, in whole but not in part, on any of the Interest Payment Dates (other than the first, second and final Interest Payment Dates) at a price, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the immediately preceding Review Date. If we intend to redeem your notes early, we will deliver notice to The Depository Trust Company, or DTC, at least three business days before the applicable Interest Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early 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 redeemed early 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 redeemed early and the Final Value of any 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.
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 10,742.46 for the Nasdaq-100® Technology Sector IndexSM, 5,464.62 for the S&P 500® Index and $92.38 for the SPDR® S&P® Biotech 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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