Issuer: JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Large-Cap Vol Advantage Index (Bloomberg ticker: MQUSLVA). The level of the Index reflects a deduction of 6.0% per annum 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 $32.50 (equivalent to a Contingent Interest Rate of 13.00% per annum, payable at a rate of 3.25% per quarter), plus any previously unpaid Contingent Interest Payments for any prior Review Dates.
If the Contingent Interest Payment is not paid on any Interest Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing level of the Index on the Review Date related to that later Interest Payment Date is greater than or equal to the Interest Barrier. You will not receive any unpaid Contingent Interest Payments if the closing level of the Index on each subsequent Review Date is less than the Interest Barrier.
Contingent Interest Rate: 13.00% per annum, payable at a rate of 3.25% per quarter
Interest Barrier: 60.00% of the Initial Value, which is 2,194.206
Trigger Value: 50.00% of the Initial Value, which is 1,828.505
Pricing Date: May 17, 2024
Original Issue Date (Settlement Date): On or about May 22, 2024
Review Dates*: August 19, 2024, November 18, 2024, February 18, 2025, May 19, 2025, August 18, 2025, November 17, 2025, February 17, 2026, May 18, 2026, August 17, 2026, November 17, 2026, February 17, 2027, May 17, 2027, August 17, 2027, November 17, 2027, February 17, 2028, May 17, 2028, August 17, 2028, November 17, 2028, February 20, 2029 and May 17, 2029 (final Review Date)
Interest Payment Dates*: August 22, 2024, November 21, 2024, February 21, 2025, May 22, 2025, August 21, 2025, November 20, 2025, February 20, 2026, May 21, 2026, August 20, 2026, November 20, 2026, February 22, 2027, May 20, 2027, August 20, 2027, November 22, 2027, February 23, 2028, May 22, 2028, August 22, 2028, November 22, 2028, February 23, 2029 and the Maturity Date
Maturity Date*: May 22, 2029
Call Settlement Date*: If the notes are automatically called on any Review Date (other than the first, second, third 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
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Automatic Call:
If the closing level of the Index on any Review Date (other than the first, second, third 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 plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates, 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 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 plus (c) if the Contingent Interest Payment applicable to the final Review Date is payable, any previously unpaid Contingent Interest Payments for any prior Review Dates.
If the notes have not been automatically called and the Final Value is less than the Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and the Final Value is less than the Trigger Value, you will lose more than 50.00% of your principal amount at maturity and could lose all 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, which was 3,657.01
Final Value: The closing level of the Index on the final Review Date
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