Issuer: JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Tech+ Vol Advantage Index (Bloomberg ticker: MQUSTVA). The level of the Index reflects a deduction of 6.0% per annum that accrues daily, and the performance of the QQQ Fund is subject to a notional financing cost 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 $32.75 (equivalent to a Contingent Interest Rate of 13.10% per annum, payable at a rate of 3.275% per quarter).
If the closing level of the Index on any Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent Interest Rate: 13.10% per annum, payable at a rate of 3.275% per quarter
Interest Barrier/Trigger Value: 60.00% of the Initial Value, which is 6,159.378
Pricing Date: May 10, 2024
Original Issue Date (Settlement Date): On or about May 15, 2024
Review Dates*: August 12, 2024, November 11, 2024, February 10, 2025, May 12, 2025, August 11, 2025, November 10, 2025, February 10, 2026, May 11, 2026, August 10, 2026, November 10, 2026, February 10, 2027, May 10, 2027, August 10, 2027, November 10, 2027, February 10, 2028, May 10, 2028, August 10, 2028, November 10, 2028, February 12, 2029 and May 10, 2029 (final Review Date)
Interest Payment Dates*: August 15, 2024, November 14, 2024, February 13, 2025, May 15, 2025, August 14, 2025, November 14, 2025, February 13, 2026, May 14, 2026, August 13, 2026, November 16, 2026, February 16, 2027, May 13, 2027, August 13, 2027, November 16, 2027, February 15, 2028, May 15, 2028, August 15, 2028, November 15, 2028, February 15, 2029 and the Maturity Date
Maturity Date*: May 15, 2029
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 “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 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, 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.
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 40.00% 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 10,265.63
Final Value: The closing level of the Index on the final Review Date
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