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 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
$11.6667 (equivalent to a Contingent Interest Rate of 14.00%
per annum, payable at a rate of 1.16667% 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: 14.00% per annum, payable at a
rate of 1.16667% per month
Interest Barrier: 65.00% of the Initial Value, which is
2,424.6755
Trigger Value: 60.00% of the Initial Value, which is 2,238.162
Pricing Date: July 24, 2024
Original Issue Date (Settlement Date): On or about July 29,
2024
Review Dates*: August 26, 2024, September 24, 2024,
October 24, 2024, November 25, 2024, December 24, 2024,
January 24, 2025, February 24, 2025, March 24, 2025, April
24, 2025, May 27, 2025, June 24, 2025, July 24, 2025,
August 25, 2025, September 24, 2025, October 24, 2025,
November 24, 2025, December 24, 2025, January 26, 2026,
February 24, 2026, March 24, 2026, April 24, 2026, May 26,
2026, June 24, 2026, July 24, 2026, August 24, 2026,
September 24, 2026, October 26, 2026, November 24, 2026,
December 24, 2026 and January 25, 2027 (final Review Date)
Interest Payment Dates*: August 29, 2024, September 27,
2024, October 29, 2024, November 29, 2024, December 30,
2024, January 29, 2025, February 27, 2025, March 27, 2025,
April 29, 2025, May 30, 2025, June 27, 2025, July 29, 2025,
August 28, 2025, September 29, 2025, October 29, 2025,
November 28, 2025, December 30, 2025, January 29, 2026,
February 27, 2026, March 27, 2026, April 29, 2026, May 29,
2026, June 29, 2026, July 29, 2026, August 27, 2026,
September 29, 2026, October 29, 2026, November 30, 2026,
December 30, 2026 and the Maturity Date
Maturity Date*: January 28, 2027
Call Settlement Date*: If the notes are automatically called
on any Review Date (other than the first, second 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
Automatic Call:
If the closing level of the Index on any Review Date (other
than the first, second 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, 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
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 3,730.27
Final Value: The closing level of the Index on the final Review
Date