PS-1| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Small-
Cap Vol Advantage Index
Key Terms
JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Small-Cap Vol Advantage Index
(Bloomberg ticker: MQUSSVA). 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 $37.50
(equivalent to a Contingent Interest Rate of 15.00% per
annum, payable at a rate of 3.75% per quarter).
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: 15.00% per annum, payable at a
rate of 3.75% per quarter
Interest Barrier/Trigger Value: 60.00% of the Initial Value,
which is 525.744
Pricing Date: July 31, 2024
Original Issue Date (Settlement Date): On or about August
5, 2024
Review Dates*: October 31, 2024, January 31, 2025, April
30, 2025, July 31, 2025, October 31, 2025, February 2, 2026,
April 30, 2026, July 31, 2026, November 2, 2026, February 1,
2027, April 30, 2027, August 2, 2027, November 1, 2027,
January 31, 2028, May 1, 2028, July 31, 2028, October 31,
2028, January 31, 2029, April 30, 2029 and July 31, 2029
(final Review Date)
Interest Payment Dates*: November 5, 2024, February 5,
2025, May 5, 2025, August 5, 2025, November 5, 2025,
February 5, 2026, May 5, 2026, August 5, 2026, November 5,
2026, February 4, 2027, May 5, 2027, August 5, 2027,
November 4, 2027, February 3, 2028, May 4, 2028, August 3,
2028, November 3, 2028, February 5, 2029, May 3, 2029 and
the Maturity Date
Maturity Date*: August 3, 2029
Call Settlement Date*: If the notes are automatically called
on any Review Date (other than the first 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
If the closing level of the Index on any Review Date (other
than the first 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 876.24
Final Value: The closing level of the Index on the final Review
Date