Issuer: JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Fund: The VanEck® Gold Miners ETF (Bloomberg ticker: GDX)
Contingent Interest Payments:
If the notes have not been automatically called and the closing price of one share of the Fund 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 $23.75 (equivalent to a Contingent Interest Rate of 9.50% per annum, payable at a rate of 2.375% 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 price of one share of the Fund 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 price of one share of the Fund on each subsequent Review Date is less than the Interest Barrier.
Contingent Interest Rate: 9.50% per annum, payable at a rate of 2.375% per quarter
Interest Barrier/Trigger Value: 65.00% of the Initial Value, which is $21.983
Pricing Date: June 26, 2024
Original Issue Date (Settlement Date): On or about June 28, 2024
Review Dates*: September 26, 2024, December 26, 2024, March 26, 2025, June 26, 2025, September 26, 2025, December 26, 2025, March 26, 2026, June 26, 2026, September 28, 2026, December 28, 2026, March 29, 2027 and June 28, 2027 (final Review Date)
Interest Payment Dates*: October 1, 2024, December 31, 2024, March 31, 2025, July 1, 2025, October 1, 2025, December 31, 2025, March 31, 2026, July 1, 2026, October 1, 2026, December 31, 2026, April 1, 2027 and the Maturity Date
Maturity Date*: July 1, 2027
Call Settlement Date*: If the notes are automatically called on any Review Date (other than the first 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 a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
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Automatic Call:
If the closing price of one share of the Fund on any Review Date (other than the first 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 applicable to the final Review Date plus (c) 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 × Fund Return)
If the notes have not been automatically called and the Final Value is less than the 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.
Fund Return:
(Final Value – Initial Value) Initial Value
Initial Value: The closing price of one share of the Fund on the Pricing Date, which was $33.82
Final Value: The closing price of one share of the Fund on the final Review Date
Share Adjustment Factor: The Share Adjustment Factor is referenced in determining the closing price of one share 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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