July 12, 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
$1,941,000
Uncapped Dual Directional Accelerated Barrier Notes
Linked to the Lesser Performing of the NASDAQ-100
Index® and the S&P 500® Index due July 15, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek an uncapped return of 1.1205 times any appreciation of the lesser performing
of the NASDAQ-100 Index® and the S&P 500® Index, which we refer to as the Indices, at maturity.
●The notes are also designed for investors who seek a capped, unleveraged return equal to the absolute value of any
depreciation of the lesser performing Index at maturity (up to 25.00%) if the Final Value of each Index is greater than or equal
to 75.00% of its Initial Value, which we refer to as a Barrier Amount.
●Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount
at maturity.
●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.
●Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the
performance of each of the Indices individually, as described below.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes priced on July 12, 2024 and are expected to settle on or about July 17, 2024.
●CUSIP: 48135NR32
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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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$7
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$993
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Total
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$1,941,000
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$13,587
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$1,927,413
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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
$7.00 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, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The NASDAQ-100 Index® (Bloomberg ticker: NDX)
and the S&P 500® Index (Bloomberg ticker: SPX) (each an
“Index” and collectively, the “Indices”)
Upside Leverage Factor: 1.1205
Barrier Amount: With respect to each Index, 75.00% of its
Initial Value, which is 15,248.6175 for the NASDAQ-100
Index® and 4,211.5125 for the S&P 500® Index
Pricing Date: July 12, 2024
Original Issue Date (Settlement Date): On or about July 17,
2024
Observation Date*: July 12, 2027
Maturity Date*: July 15, 2027
* 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
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Payment at Maturity:
If the Final Value of each Index is greater than its Initial Value,
your payment at maturity per $1,000 principal amount note will
be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return × Upside
Leverage Factor)
If the Final Value of either Index is equal to or less than its
Initial Value but the Final Value of each Index is greater than
or equal to its Barrier Amount, your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return of the Lesser
Performing Index)
This payout formula results in an effective cap of 25.00% on
your return at maturity if the Lesser Performing Index Return
is negative. Under these limited circumstances, your
maximum payment at maturity is $1,250.00 per $1,000
principal amount note.
If the Final Value of either Index is less than its Barrier
Amount, your payment at maturity per $1,000 principal
amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
If the Final Value of either Index is less than its Barrier
Amount, you will lose more than 25.00% of your principal
amount at maturity and could lose all of your principal amount
at maturity.
Absolute Index Return: With respect to each Index, the
absolute value of its Index Return. For example, if the Index
Return of an Index is -5%, its Absolute Index Return will equal
5%.
Lesser Performing Index: The Index with the Lesser
Performing Index Return
Lesser Performing Index Return: The lower of the Index
Returns of the Indices
Index Return: With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial Value: With respect to each Index, the closing level of
that Index on the Pricing Date, which was 20,331.49 for the
NASDAQ-100 Index® and 5,615.35 for the S&P 500® Index
Final Value: With respect to each Index, the closing level of
that Index on the Observation Date
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PS-1 | Structured Investments
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|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
|
Final Value of
the Lesser
Performing
Index
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Lesser
Performing
Index Return
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Absolute Index Return
of
the Lesser
Performing
Index
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Total Return on the
Notes
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Payment at Maturity
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180.00
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80.00%
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N/A
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89.6400%
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$1,896.400
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165.00
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65.00%
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N/A
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72.8325%
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$1,728.325
|
150.00
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50.00%
|
N/A
|
56.0250%
|
$1,560.250
|
140.00
|
40.00%
|
N/A
|
44.8200%
|
$1,448.200
|
130.00
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30.00%
|
N/A
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33.6150%
|
$1,336.150
|
120.00
|
20.00%
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N/A
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22.4100%
|
$1,224.100
|
110.00
|
10.00%
|
N/A
|
11.2050%
|
$1,112.050
|
105.00
|
5.00%
|
N/A
|
5.6025%
|
$1,056.025
|
101.00
|
1.00%
|
N/A
|
1.1205%
|
$1,011.205
|
100.00
|
0.00%
|
0.00%
|
0.0000%
|
$1,000.000
|
95.00
|
-5.00%
|
5.00%
|
5.0000%
|
$1,050.000
|
90.00
|
-10.00%
|
10.00%
|
10.0000%
|
$1,100.000
|
80.00
|
-20.00%
|
20.00%
|
20.0000%
|
$1,200.000
|
75.00
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-25.00%
|
25.00%
|
25.0000%
|
$1,250.000
|
74.99
|
-25.01%
|
N/A
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-25.0100%
|
$749.900
|
70.00
|
-30.00%
|
N/A
|
-30.0000%
|
$700.000
|
60.00
|
-40.00%
|
N/A
|
-40.0000%
|
$600.000
|
50.00
|
-50.00%
|
N/A
|
-50.0000%
|
$500.000
|
40.00
|
-60.00%
|
N/A
|
-60.0000%
|
$400.000
|
30.00
|
-70.00%
|
N/A
|
-70.0000%
|
$300.000
|
20.00
|
-80.00%
|
N/A
|
-80.0000%
|
$200.000
|
10.00
|
-90.00%
|
N/A
|
-90.0000%
|
$100.000
|
0.00
|
-100.00%
|
N/A
|
-100.0000%
|
$0.000
|
PS-2 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
|
PS-3 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
|
PS-4 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
|
PS-5 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
|
Historical Performance of the NASDAQ-100 Index®
Source: Bloomberg
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Historical Performance of the S&P 500® Index
Source: Bloomberg
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PS-6 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
|
PS-7 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
|
PS-8 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
|
PS-9 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
|
Exhibit 107.1
The pricing supplement to which this Exhibit is attached is a final prospectus for the related offering(s). The maximum aggregate offering price of the related offering(s) is $1,941,000.
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