Issuer: JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Large-Cap Vol Advantage Index
(Bloomberg ticker: MQUSLVA). The level of the Index reflects a
deduction of 6.0% per annum 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 $10.4583 (equivalent to a
Contingent Interest Rate of 12.55% per annum, payable at a
rate of 1.04583% per month).
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: 12.55% per annum, payable at a
rate of 1.04583% per month
Interest Barrier/Trigger Value: 60.00% of the Initial Value,
which is 2,185.614
Pricing Date: May 16, 2024
Original Issue Date (Settlement Date): On or about May 21,
2024
Review Dates*: June 17, 2024, July 16, 2024, August 16, 2024,
September 16, 2024, October 16, 2024, November 18, 2024,
December 16, 2024, January 16, 2025, February 18, 2025,
March 17, 2025, April 16, 2025, May 16, 2025, June 16, 2025,
July 16, 2025, August 18, 2025, September 16, 2025, October
16, 2025, November 17, 2025, December 16, 2025, January 16,
2026, February 17, 2026, March 16, 2026, April 16, 2026 and
May 18, 2026 (final Review Date)
Interest Payment Dates*: June 21, 2024, July 19, 2024, August
21, 2024, September 19, 2024, October 21, 2024, November
21, 2024, December 19, 2024, January 22, 2025, February 21,
2025, March 20, 2025, April 22, 2025, May 21, 2025, June 20,
2025, July 21, 2025, August 21, 2025, September 19, 2025,
October 21, 2025, November 20, 2025, December 19, 2025,
January 22, 2026, February 20, 2026, March 19, 2026, April 21,
2026 and the Maturity Date
Maturity Date*: May 21, 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 “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, second, third, fourth, fifth 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 3,642.69
Final Value: The closing level of the Index on the final Review
Date
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