Issuer: JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Funds: The Consumer Staples Select Sector SPDR® Fund (Bloomberg ticker: XLP), the Industrial Select Sector SPDR® Fund (Bloomberg ticker: XLI) and the Utilities Select Sector SPDR® Fund (Bloomberg ticker: XLU) (each a “Fund” and collectively, the “Funds”)
Contingent Interest Payments:
If the notes have not been automatically called and the closing price of one share of each Fund 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 at least $5.9583 (equivalent to a Contingent Interest Rate of at least 7.15% per annum, payable at a rate of at least 0.59583% per month) (to be provided in the pricing supplement).
If the closing price of one share of any Fund 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: At least 7.15% per annum, payable at a rate of at least 0.59583% per month (to be provided in the pricing supplement)
Interest Barrier/Trigger Value: With respect to each Fund, 70.00% of its Initial Value
Pricing Date: On or about August 13, 2024
Original Issue Date (Settlement Date): On or about August 16, 2024
Review Dates*: September 13, 2024, October 14, 2024, November 13, 2024, December 13, 2024, January 13, 2025, February 13, 2025, March 13, 2025, April 14, 2025, May 13, 2025, June 13, 2025, July 14, 2025, August 13, 2025, September 15, 2025, October 13, 2025, November 13, 2025, December 15, 2025, January 13, 2026 and February 13, 2026 (final Review Date)
Interest Payment Dates*: September 18, 2024, October 17, 2024, November 18, 2024, December 18, 2024, January 16, 2025, February 19, 2025, March 18, 2025, April 17, 2025, May 16, 2025, June 18, 2025, July 17, 2025, August 18, 2025, September 18, 2025, October 16, 2025, November 18, 2025, December 18, 2025, January 16, 2026 and the Maturity Date
Maturity Date*: February 19, 2026
Call Settlement Date*: If the notes are automatically called on any Review Date (other than the first, second, third, fourth, fifth 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 price of one share of each Fund on any Review Date (other than the first, second, third, fourth, fifth 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 Fund 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 applicable to the final Review Date.
If the notes have not been automatically called and the Final Value of any Fund 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 Fund Return)
If the notes have not been automatically called and the Final Value of any Fund is less than its Trigger Value, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Least Performing Fund: The Fund with the Least Performing Fund Return
Least Performing Fund Return: The lowest of the Fund Returns of the Funds
Fund Return: With respect to each Fund,
(Final Value – Initial Value) Initial Value
Initial Value: With respect to each Fund, the closing price of one share of that Fund on the Pricing Date
Final Value: With respect to each Fund, the closing price of one share of that Fund on the final Review Date
Share Adjustment Factor: With respect to any Fund, the Share Adjustment Factor is referenced in determining the closing price of one share of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of any Fund is subject to adjustment upon the occurrence of certain events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information.
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