Issuer: JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Underlyings: The Nasdaq-100® Technology Sector IndexSM (Bloomberg ticker: NDXT) and the S&P 500® Index (Bloomberg ticker: SPX) (each an “Index” and collectively, the “Indices”) and the SPDR® S&P® Regional Banking ETF (Bloomberg ticker: KRE) (the “Fund”) (each of the Indices and the Fund, an “Underlying” and collectively, the “Underlyings”)
Contingent Interest Payments:
If the notes have not been previously redeemed early and the closing value of each Underlying 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 $10.5833 (equivalent to a Contingent Interest Rate of at least 12.70% per annum, payable at a rate of at least 1.05833% per month) (to be provided in the pricing supplement).
If the closing value of any Underlying 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 12.70% per annum, payable at a rate of at least 1.05833% per month (to be provided in the pricing supplement)
Interest Barrier: With respect to each Underlying, 70.00% of its Initial Value
Trigger Value: With respect to each Underlying, 60.00% of its Initial Value
Pricing Date: On or about March 12, 2024
Original Issue Date (Settlement Date): On or about March 15, 2024
Review Dates*: April 12, 2024, May 13, 2024, June 12, 2024, July 12, 2024, August 12, 2024, September 12, 2024, October 14, 2024, November 12, 2024, December 12, 2024, January 13, 2025, February 12, 2025 and March 12, 2025 (the “final Review Date”)
Interest Payment Dates*: April 17, 2024, May 16, 2024, June 17, 2024, July 17, 2024, August 15, 2024, September 17, 2024, October 17, 2024, November 15, 2024, December 17, 2024, January 16, 2025, February 18, 2025 and the Maturity Date
Maturity Date*: March 17, 2025
*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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Early Redemption:
We, at our election, may redeem the notes early, in whole but not in part, on any of the Interest Payment Dates (other than the first, second and final Interest Payment Dates) at a price, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the immediately preceding Review Date. If we intend to redeem your notes early, we will deliver notice to The Depository Trust Company, or DTC, at least three business days before the applicable Interest Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value of each Underlying 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, if any, applicable to the final Review Date.
If the notes have not been redeemed early and the Final Value of any Underlying 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 Underlying Return)
If the notes have not been redeemed early and the Final Value of any Underlying is less than its 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.
Least Performing Underlying: The Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value) Initial Value
Initial Value: With respect to each Underlying, the closing value of that Underlying on the Pricing Date
Final Value: With respect to each Underlying, the closing value of that Underlying on the final Review Date
Share Adjustment Factor: The Share Adjustment Factor is referenced in determining the closing value 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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