April 19, 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
$996,000
Uncapped Dual Directional Accelerated Barrier Notes
Linked to the Least Performing of the NASDAQ-100
Index®, the Russell 2000® Index and the S&P 500®
Index due April 23, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek an uncapped return of 1.2625 times any appreciation of the least performing of
the NASDAQ-100 Index®, the Russell 2000® 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 least 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 April 19, 2024 and are expected to settle on or about April 24, 2024.
●CUSIP: 48134XA39
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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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$7.50
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$992.50
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Total
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$996,000
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$7,470
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$988,530
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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
$7.50 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.
Indices: The NASDAQ-100 Index® (Bloomberg ticker: NDX),
the Russell 2000® Index (Bloomberg ticker: RTY) and the S&P
500® Index (Bloomberg ticker: SPX) (each an “Index” and
collectively, the “Indices”)
Upside Leverage Factor: 1.2625
Barrier Amount: With respect to each Index, 75.00% of its
Initial Value, which is 12,778.2375 for the NASDAQ-100
Index®, 1,460.742 for the Russell 2000® Index and 3,725.4225
for the S&P 500® Index
Pricing Date: April 19, 2024
Original Issue Date (Settlement Date): On or about April 24,
2024
Observation Date*: April 20, 2026
Maturity Date*: April 23, 2026
* 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 × Least Performing Index Return × Upside
Leverage Factor)
If the Final Value of any 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 Least
Performing Index)
This payout formula results in an effective cap of 25.00% on
your return at maturity if the Least 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 any 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 × Least Performing Index Return)
If the Final Value of any 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%.
Least Performing Index: The Index with the Least
Performing Index Return
Least Performing Index Return: The lowest 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 17,037.65 for the
NASDAQ-100 Index® , 1,947.656 for the Russell 2000®
Index and 4,967.23 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 Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index
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Final Value of
the Least
Performing
Index
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Least
Performing
Index Return
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Absolute Index Return of
the Least 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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101.0000%
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$2,010.000
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165.00
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65.00%
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N/A
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82.0625%
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$1,820.625
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150.00
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50.00%
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N/A
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63.1250%
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$1,631.250
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140.00
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40.00%
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N/A
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50.5000%
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$1,505.000
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130.00
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30.00%
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N/A
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37.8750%
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$1,378.750
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120.00
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20.00%
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N/A
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25.2500%
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$1,252.500
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110.00
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10.00%
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N/A
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12.6250%
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$1,126.250
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105.00
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5.00%
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N/A
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6.3125%
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$1,063.125
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101.00
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1.00%
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N/A
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1.2625%
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$1,012.625
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100.00
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0.00%
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0.00%
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0.0000%
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$1,000.000
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95.00
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-5.00%
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5.00%
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5.0000%
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$1,050.000
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90.00
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-10.00%
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10.00%
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10.0000%
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$1,100.000
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80.00
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-20.00%
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20.00%
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20.0000%
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$1,200.000
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75.00
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-25.00%
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25.00%
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25.0000%
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$1,250.000
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74.99
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-25.01%
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N/A
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-25.0100%
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$749.900
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70.00
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-30.00%
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N/A
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-30.0000%
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$700.000
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60.00
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-40.00%
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N/A
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-40.0000%
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$600.000
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50.00
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-50.00%
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N/A
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-50.0000%
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$500.000
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40.00
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-60.00%
|
N/A
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-60.0000%
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$400.000
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30.00
|
-70.00%
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N/A
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-70.0000%
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$300.000
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20.00
|
-80.00%
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N/A
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-80.0000%
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$200.000
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10.00
|
-90.00%
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N/A
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-90.0000%
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$100.000
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0.00
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-100.00%
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N/A
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-100.0000%
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$0.000
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PS-2 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index
|
PS-3 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index
|
PS-4 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index
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PS-5 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index
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Historical Performance of the NASDAQ-100 Index®
Source: Bloomberg
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Historical Performance of the Russell 2000® Index
Source: Bloomberg
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PS-6 | Structured Investments
|
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Uncapped Dual Directional Accelerated Barrier Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index
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Historical Performance of the S&P 500® Index
Source: Bloomberg
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PS-7 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index
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PS-8 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index
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PS-9 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index
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PS-10 | Structured Investments
|
|
Uncapped Dual Directional Accelerated Barrier Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index
|