May 7, 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
$2,292,000
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Index due May 10, 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 November 7, 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 May 7, 2024 and are expected to settle on or about May 10, 2024.
●CUSIP: 48134XH57
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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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$9
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$991
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Total
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$2,292,000
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$20,628
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$2,271,372
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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
$9.00 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, 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 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 $14.7917 (equivalent to a
Contingent Interest Rate of 17.75% per annum, payable at a
rate of 1.47917% 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: 17.75% per annum, payable at a
rate of 1.47917% per month
Interest Barrier: 70.00% of the Initial Value, which is 2,410.149
Trigger Value: 50.00% of the Initial Value, which is 1,721.535
Pricing Date: May 7, 2024
Original Issue Date (Settlement Date): On or about May 10,
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*: May 10, 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 3,443.07
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*: June 7, 2024, July 8, 2024, August 7,
2024, September 9, 2024, October 7, 2024, November 7,
2024, December 9, 2024, January 7, 2025, February 7, 2025,
March 7, 2025, April 7, 2025, May 7, 2025, June 9, 2025, July
7, 2025, August 7, 2025, September 8, 2025, October 7, 2025,
November 7, 2025, December 8, 2025, January 7, 2026,
February 9, 2026, March 9, 2026, April 7, 2026, May 7, 2026,
June 8, 2026, July 7, 2026, August 7, 2026, September 8,
2026, October 7, 2026, November 9, 2026, December 7, 2026,
January 7, 2027, February 8, 2027, March 8, 2027, April 7,
2027, May 7, 2027, June 7, 2027, July 7, 2027, August 9,
2027, September 7, 2027, October 7, 2027, November 8,
2027, December 7, 2027, January 7, 2028, February 7, 2028,
March 7, 2028, April 7, 2028, May 8, 2028, June 7, 2028, July
7, 2028, August 7, 2028, September 7, 2028, October 9, 2028,
November 7, 2028, December 7, 2028, January 8, 2029,
February 7, 2029, March 7, 2029, April 9, 2029 and May 7,
2029 (the “final Review Date”)
Autocall Review Dates*: November 7, 2024, February 7,
2025, May 7, 2025, August 7, 2025, November 7, 2025,
February 9, 2026, May 7, 2026, August 7, 2026, November 9,
2026, February 8, 2027, May 7, 2027, August 9, 2027,
November 8, 2027, February 7, 2028, May 8, 2028, August 7,
2028, November 7, 2028 and February 7, 2029
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Interest Payment Dates*: June 12, 2024, July 11, 2024,
August 12, 2024, September 12, 2024, October 10, 2024,
November 13, 2024, December 12, 2024, January 10, 2025,
February 12, 2025, March 12, 2025, April 10, 2025, May 12,
2025, June 12, 2025, July 10, 2025, August 12, 2025,
September 11, 2025, October 10, 2025, November 13, 2025,
December 11, 2025, January 12, 2026, February 12, 2026,
March 12, 2026, April 10, 2026, May 12, 2026, June 11, 2026,
July 10, 2026, August 12, 2026, September 11, 2026, October
13, 2026, November 13, 2026, December 10, 2026, January
12, 2027, February 11, 2027, March 11, 2027, April 12, 2027,
May 12, 2027, June 10, 2027, July 12, 2027, August 12, 2027,
September 10, 2027, October 13, 2027, November 12, 2027,
December 10, 2027, January 12, 2028, February 10, 2028,
March 10, 2028, April 12, 2028, May 11, 2028, June 12, 2028,
July 12, 2028, August 10, 2028, September 12, 2028, October
12, 2028, November 10, 2028, December 12, 2028, January
11, 2029, February 12, 2029, March 12, 2029, April 12, 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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$887.5000
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59
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$872.7083
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58
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$857.9167
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57
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$843.1250
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56
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$828.3333
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55
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$813.5417
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54
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$798.7500
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53
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$783.9583
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52
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$769.1667
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51
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$754.3750
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50
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$739.5833
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49
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$724.7917
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48
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$710.0000
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47
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$695.2083
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46
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$680.4167
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45
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$665.6250
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44
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$650.8333
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43
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$636.0417
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42
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$621.2500
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41
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$606.4583
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40
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$591.6667
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39
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$576.8750
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38
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$562.0833
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37
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$547.2917
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36
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$532.5000
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35
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$517.7083
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34
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$502.9167
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33
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$488.1250
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32
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$473.3333
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31
|
$458.5417
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30
|
$443.7500
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29
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$428.9583
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28
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$414.1667
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27
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$399.3750
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26
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$384.5833
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25
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$369.7917
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24
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$355.0000
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23
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$340.2083
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22
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$325.4167
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21
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$310.6250
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20
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$295.8333
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19
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$281.0417
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18
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$266.2500
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17
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$251.4583
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16
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$236.6667
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15
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$221.8750
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14
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$207.0833
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13
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$192.2917
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12
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$177.5000
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11
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$162.7083
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10
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$147.9167
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9
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$133.1250
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8
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$118.3333
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7
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$103.5417
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6
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$88.7500
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5
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$73.9583
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4
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$59.1667
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3
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$44.3750
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2
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$29.5833
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1
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$14.7917
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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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$14.7917
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Second Interest Review
Date
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110.00
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$14.7917
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Third through Fifth
Interest Review Dates
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Greater than Initial Value
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$14.7917
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Sixth Interest Review
Date (first Autocall
Review Date)
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110.00
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$1,014.7917
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Total Payment
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$1,088.75 (8.875% 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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$14.7917
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Second Interest Review
Date
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85.00
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$14.7917
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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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$1,014.7917
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Total Payment
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$1,044.375 (4.4375% 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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$14.7917
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Second Interest Review
Date
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75.00
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$14.7917
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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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$1,029.5833 (2.95833% 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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