06/28/2024 | Press release | Distributed by Public on 06/28/2024 13:54
June 26, 2024
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Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$791,000
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index due June 29, 2029
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek a Contingent Interest Payment with respect to each monthly Interest Review
Date for which the closing level of the MerQube US Large-Cap Vol Advantage Index, which we refer to as the Index, is greater
than or equal to 70.00% of the Initial Value, which we refer to as the Interest Barrier.
●The notes will be automatically called if the closing level of the Index on any quarterly Autocall Review Date is greater than or
equal to the Initial Value.
●The earliest date on which an automatic call may be initiated is December 26, 2024.
●Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest
Payment may be made with respect to some or all Interest Review Dates.
●Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
●The Index is subject to a 6.0% per annum daily deduction. This daily deduction will offset any appreciation of the
futures contracts included in the Index, will heighten any depreciation of those futures contracts and will generally
be a drag on the performance of the Index. The Index will trail the performance of an identical index without a
deduction. See "Selected Risk Considerations - Risks Relating to the Notes Generally - The Level of the Index Will
Include a 6.0% per Annum Daily Deduction" in this pricing supplement.
●The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment
on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of
JPMorgan Chase & Co., as guarantor of the notes.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes priced on June 26, 2024 and are expected to settle on or about July 1, 2024.
●CUSIP:48135NAH9
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$12.50
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$987.50
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Total
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$791,000
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$9,887.50
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$781,112.50
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(1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of
$12.50 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See "Plan of Distribution (Conflicts of
Interest)" in the accompanying product supplement.
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Issuer:JPMorgan Chase Financial Company LLC, a direct,
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 Interest 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 $14.2917 (equivalent to a
Contingent Interest Rate of 17.15% per annum, payable at a
rate of 1.42917% per month).
If the closing level of the Index on any Interest Review Date is
less than the Interest Barrier, no Contingent Interest Payment
will be made with respect to that Interest Review Date.
Contingent Interest Rate:17.15% per annum, payable at a
rate of 1.42917% per month
Interest Barrier: 70.00% of the Initial Value, which is 2,724.778
Trigger Value: 50.00% of the Initial Value, which is 1,946.27
Pricing Date:June 26, 2024
Original Issue Date (Settlement Date):On or about July 1,
2024
Interest Review Dates*:As specified under "Key Terms
Relating to the Interest Review Dates, Autocall Review Dates
and Interest Payment Dates" in this pricing supplement
Autocall Review Dates*: As specified under "Key Terms
Relating to the Interest Review Dates, Autocall Review Dates
and Interest Payment Dates" in this pricing supplement
Interest Payment Dates*:As specified under "Key Terms
Relating to the Interest Review Dates, Autocall Review Dates
and Interest Payment Dates" in this pricing supplement
Maturity Date*:June 29, 2029
Call Settlement Date*:If the notes are automatically called on
any Autocall Review Date, the first Interest Payment Date
immediately following that Autocall 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 Autocall Review Date 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 the Interest Review
Date corresponding to that Autocall 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, if any, 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
50.00% 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 3,892.54
Final Value:The closing level of the Index on the final Review
Date
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PS-1 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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Interest Review Dates*: July 26, 2024, August 26, 2024,
September 26, 2024, October 28, 2024, November 26, 2024,
December 26, 2024, January 27, 2025, February 26, 2025,
March 26, 2025, April 28, 2025, May 27, 2025, June 26, 2025,
July 28, 2025, August 26, 2025, September 26, 2025, October
27, 2025, November 26, 2025, December 26, 2025, January
26, 2026, February 26, 2026, March 26, 2026, April 27, 2026,
May 26, 2026, June 26, 2026, July 27, 2026, August 26, 2026,
September 28, 2026, October 26, 2026, November 27, 2026,
December 28, 2026, January 26, 2027, February 26, 2027,
March 29, 2027, April 26, 2027, May 26, 2027, June 28, 2027,
July 26, 2027, August 26, 2027, September 27, 2027, October
26, 2027, November 26, 2027, December 27, 2027, January
26, 2028, February 28, 2028, March 27, 2028, April 26, 2028,
May 26, 2028, June 26, 2028, July 26, 2028, August 28, 2028,
September 26, 2028, October 26, 2028, November 27, 2028,
December 26, 2028, January 26, 2029, February 26, 2029,
March 26, 2029, April 26, 2029, May 29, 2029 and June 26,
2029 (the "final Review Date")
Autocall Review Dates*: December 26, 2024, March 26,
2025, June 26, 2025, September 26, 2025, December 26,
2025, March 26, 2026, June 26, 2026, September 28, 2026,
December 28, 2026, March 29, 2027, June 28, 2027,
September 27, 2027, December 27, 2027, March 27, 2028,
June 26, 2028, September 26, 2028, December 26, 2028 and
March 26, 2029
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Interest Payment Dates*: July 31, 2024, August 29, 2024,
October 1, 2024, October 31, 2024, December 2, 2024,
December 31, 2024, January 30, 2025, March 3, 2025, March
31, 2025, May 1, 2025, May 30, 2025, July 1, 2025, July 31,
2025, August 29, 2025, October 1, 2025, October 30, 2025,
December 2, 2025, December 31, 2025, January 29, 2026,
March 3, 2026, March 31, 2026, April 30, 2026, May 29, 2026,
July 1, 2026, July 30, 2026, August 31, 2026, October 1,
2026, October 29, 2026, December 2, 2026, December 31,
2026, January 29, 2027, March 3, 2027, April 1, 2027, April
29, 2027, June 1, 2027, July 1, 2027, July 29, 2027, August
31, 2027, September 30, 2027, October 29, 2027, December
1, 2027, December 30, 2027, January 31, 2028, March 2,
2028, March 30, 2028, May 1, 2028, June 1, 2028, June 29,
2028, July 31, 2028, August 31, 2028, September 29, 2028,
October 31, 2028, November 30, 2028, December 29, 2028,
January 31, 2029, March 1, 2029, March 29, 2029, May 1,
2029, June 1, 2029 and the Maturity 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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PS-2 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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PS-3 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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PS-4 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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PS-5 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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Number of Contingent
Interest Payments
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Total Contingent Interest
Payments
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60
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$857.5000
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59
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$843.2083
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58
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$828.9167
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57
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$814.6250
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56
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$800.3333
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55
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$786.0417
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54
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$771.7500
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53
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$757.4583
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52
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$743.1667
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51
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$728.8750
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50
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$714.5833
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49
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$700.2917
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48
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$686.0000
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47
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$671.7083
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46
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$657.4167
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45
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$643.1250
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44
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$628.8333
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43
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$614.5417
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42
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$600.2500
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41
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$585.9583
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40
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$571.6667
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39
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$557.3750
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38
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$543.0833
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37
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$528.7917
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36
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$514.5000
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35
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$500.2083
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34
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$485.9167
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33
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$471.6250
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32
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$457.3333
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31
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$443.0417
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30
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$428.7500
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29
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$414.4583
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28
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$400.1667
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27
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$385.8750
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26
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$371.5833
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25
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$357.2917
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24
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$343.0000
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23
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$328.7083
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22
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$314.4167
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21
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$300.1250
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20
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$285.8333
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19
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$271.5417
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18
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$257.2500
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17
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$242.9583
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16
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$228.6667
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15
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$214.3750
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14
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$200.0833
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13
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$185.7917
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12
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$171.5000
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11
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$157.2083
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10
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$142.9167
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9
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$128.6250
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8
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$114.3333
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7
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$100.0417
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6
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$85.7500
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5
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$71.4583
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4
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$57.1667
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3
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$42.8750
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2
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$28.5833
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1
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$14.2917
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0
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$0.0000
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PS-6 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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Date
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Closing Level
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Payment (per $1,000 principal amount note)
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First Interest Review Date
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105.00
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$14.2917
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Second Interest Review
Date
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110.00
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$14.2917
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Third through Fifth
Interest Review Dates
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Greater than Initial Value
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$14.2917
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Sixth Interest Review
Date (first Autocall
Review Date)
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110.00
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$1,014.2917
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Total Payment
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$1,085.75 (8.575% return)
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Date
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Closing Level
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Payment (per $1,000 principal amount note)
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First Interest Review Date
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95.00
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$14.2917
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Second Interest Review
Date
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85.00
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$14.2917
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Third through Fifty-Ninth
Interest Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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90.00
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$1,014.2917
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Total Payment
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$1,042.875 (4.2875% return)
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PS-7 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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Date
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Closing Level
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Payment (per $1,000 principal amount note)
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First Interest Review Date
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80.00
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$14.2917
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Second Interest Review
Date
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75.00
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$14.2917
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Third through Fifty-Ninth
Interest Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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50.00
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$1,000.00
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Total Payment
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$1,028.5833 (2.85833% return)
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Date
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Closing Level
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Payment (per $1,000 principal amount note)
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First Interest Review Date
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40.00
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$0
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Second Interest Review
Date
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45.00
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$0
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Third through Fifty-Ninth
Interest Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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40.00
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$400.00
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Total Payment
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$400.00 (-60.00% return)
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PS-8 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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PS-9 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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PS-10 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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PS-11 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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PS-12 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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Hypothetical Back-Tested and Historical Performance of the
MerQube US Large-Cap Vol Advantage Index
Source: Bloomberg
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PS-13 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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PS-14 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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PS-15 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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PS-16 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index
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