Issuer: JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Underlyings:
The MSCI EAFE® Index
(Bloomberg ticker: MXEA) and the MSCI Emerging Markets Index (Bloomberg ticker: MXEF) (each an “Index” and collectively, the
“Indices”) and the iShares® Russell
2000 ETF (Bloomberg ticker: IWM) (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 $8.5417 (equivalent to a Contingent Interest Rate of 10.25% per annum, payable at a rate of 0.85417% per month).
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: 10.25%
per annum, payable at a rate of 0.85417% per month
Interest
Barrier/Trigger Value: With respect
to each Underlying, 70.00% of its Initial Value, which is $144.102 for the iShares® Russell
2000 ETF, 1,632.407 for the MSCI EAFE® Index
and 744.464 for the MSCI Emerging Markets Index
Pricing Date: May
9, 2024
Original Issue Date (Settlement Date):
On or about May 14, 2024
Review Dates*: June
10, 2024, July 9, 2024, August 9, 2024, September 9, 2024, October 9, 2024, November 11, 2024, December 9, 2024, January 9, 2025, February
10, 2025, March 10, 2025, April 9, 2025, May 9, 2025, June 9, 2025, July 9, 2025, August 11, 2025, September 9, 2025, October 9, 2025,
November 10, 2025, December 9, 2025, January 9, 2026, February 9, 2026, March 9, 2026, April 9, 2026, May 11, 2026, June 9, 2026, July
9, 2026, August 10, 2026, September 9, 2026, October 9, 2026, November 9, 2026, December 9, 2026, January 11, 2027, February 9, 2027,
March 9, 2027, April 9, 2027, May 10, 2027, June 9, 2027, July 9, 2027, August 9, 2027, September 9, 2027, October 11, 2027, November
9, 2027, December 9, 2027, January 10, 2028, February 9, 2028, March 9, 2028, April 10, 2028, May 9, 2028, June 9, 2028, July 10, 2028,
August 9, 2028, September 11, 2028, October 9, 2028, November 9, 2028, December 11, 2028, January 9, 2029, February 9, 2029, March 9,
2029, April 9, 2029 and May 9, 2029 (the “final Review Date”)
Interest Payment Dates*: June
13, 2024, July 12, 2024, August 14, 2024, September 12, 2024, October 15, 2024, November 14, 2024, December 12, 2024, January 14, 2025,
February 13, 2025, March 13, 2025, April 14, 2025, May 14, 2025, June 12, 2025, July 14, 2025, August 14, 2025, September 12, 2025, October
15, 2025, November 14, 2025, December 12, 2025, January 14, 2026, February 12, 2026, March 12, 2026, April 14, 2026, May 14, 2026, June
12, 2026, July 14, 2026, August 13, 2026, September 14, 2026, October 15, 2026, November 13, 2026, December 14, 2026, January 14, 2027,
February 12, 2027, March 12, 2027, April 14, 2027, May 13, 2027, June 14, 2027, July 14, 2027, August 12, 2027, September 14, 2027, October
14, 2027, November 15, 2027, December 14, 2027, January 13, 2028, February 14, 2028, March 14, 2028, April 13, 2028, May 12, 2028, June
14, 2028, July 13, 2028, August 14, 2028, September 14, 2028, October 12, 2028, November 14, 2028, December 14, 2028, January 12, 2029,
February 14, 2029, March 14, 2029, April 12, 2029 and the Maturity Date
Maturity Date*: May
14, 2029
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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 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 30.00% 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, which was $205.86 for the iShares® Russell
2000 ETF, 2,332.01 for the MSCI EAFE® Index
and 1,063.52 for the MSCI Emerging Markets Index
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.
* 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 or early acceleration
in the event of a change-in-law event as described under “General Terms of Notes — Consequences of a Change-in-Law Event”
in the accompanying product supplement and “Selected Risk Considerations — We May Accelerate Your Notes If a Change-in-Law
Event Occurs” in this pricing supplement |