Issuer: JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The Russell 2000® Index (Bloomberg ticker: RTY) and the S&P 500® Index (Bloomberg ticker: SPX) (each an “Index” and collectively, the “Indices”)
Contingent Interest Payments:
If the notes have not been automatically called and the closing level of each Index 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 $19.375 (equivalent to a Contingent Interest Rate of 7.75% per annum, payable at a rate of 1.9375% per quarter).
If the closing level of either Index 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: 7.75% per annum, payable at a rate of 1.9375% per quarter
Interest Barrier/Buffer Threshold: With respect to each Index, 80.00% of its Initial Value, which is 1,718.6136 for the Russell 2000® Index and 4,492.28 for the S&P 500® Index
Buffer Amount: 20.00%
Pricing Date: July 12, 2024
Original Issue Date (Settlement Date): On or about July 17, 2024
Review Dates*: October 14, 2024, January 13, 2025, April 14, 2025, July 14, 2025, October 13, 2025, January 12, 2026, April 13, 2026, July 13, 2026, October 12, 2026, January 12, 2027, April 12, 2027 and July 12, 2027 (final Review Date)
Interest Payment Dates*: October 17, 2024, January 16, 2025, April 17, 2025, July 17, 2025, October 16, 2025, January 15, 2026, April 16, 2026, July 16, 2026, October 15, 2026, January 15, 2027, April 15, 2027 and the Maturity Date
Maturity Date*: July 15, 2027
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 “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 level of each Index on any Review Date (other than the first, second, third 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 Index is greater than or equal to its Buffer Threshold, 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.
If the notes have not been automatically called and the Final Value of either Index is less than its Buffer Threshold, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Lesser Performing Index Return + Buffer Amount)]
If the notes have not been automatically called and the Final Value of either Index is less than its Buffer Threshold, you will lose some or most of your principal amount at maturity.
Lesser Performing Index: The Index with the Lesser Performing Index Return
Lesser Performing Index Return: The lower of the Index Returns of the Indices
Index Return: With respect to each Index,
(Final Value – Initial Value) Initial Value
Initial Value: With respect to each Index, the closing level of that Index on the Pricing Date, which was 2,148.267 for the Russell 2000® Index and 5,615.35 for the S&P 500® Index
Final Value: With respect to each Index, the closing level of that Index on the final Review Date
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