JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 04:22
Primary Offering Prospectus - Form 424B2
The information in this preliminary pricing supplement is notcomplete and maybe changed. This preliminarypricing supplement is not an
offer to sell nor does it seek anoffer to buythese securities inany jurisdictionwhere the offer or sale is not permitted.
Subjectto completion datedOctober 29,2024
November , 2024
RegistrationStatement Nos.333-270004 and 333-270004-01;Rule 424(b)(2)
Pricingsupplement to product supplementno. 4-Idated April 13, 2023, underlyingsupplement no.5-II dated March5, 2024, theprospectus and
prospectus supplement, each dated April 13,2023,and the prospectus addendum dated June 3,2024
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube
US Large-Cap Vol Advantage Index due November 14, 2029
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
●The notes aredesigned for investors whoseek a Contingent Interest Payment with respect to each monthly Interest Review
Date for which the closing level of the MerQube US Large-Cap Vol Advantage Index, which we refer to as the Index, is
greater than or equal to 70.00% of the Initial Value, which we refer to as the Interest Barrier.
●The notes will beautomatically called if the closing levelof the Index on any quarterly Autocall Review Date is greater than
or equal to the Initial Value.
●The earliest date on which an automatic call may be initiated is November 10, 2025.
●Investors should be willing toaccept the riskof losing up to 70.00% of their principal and the risk that no Contingent Interest
Payment may bemade with respect tosome or all Interest Review Dates.
●Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
●The Index is subject to a 6.0% per annum daily deduction. This daily deduction will offset any appreciation of the
futures contractsincluded in the Index, will heighten any depreciation of those futures contracts and will generally
be a drag on the performance of the Index. The Indexwill trail the performance of an identical indexwithout a
deduction. See "Selected Risk Considerations - Risks Relating to the Notes Generally- The Level of theIndex
Will Include a 6.0% per Annum Daily Deduction" in this pricing supplement.
●The notes areunsecuredandunsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer toas
JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed 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.
●Minimum denominations of $1,000 and integralmultiplesthereof
●The notes areexpected to price on or about November 8, 2024 and are expected to settle on or about November 14, 2024.
●CUSIP:48135VAY4
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of theaccompanying
prospectus supplement, Annex A to the accompanyingprospectus addendum, "Risk Factors" beginning on page PS-11 of
theaccompanying product supplement,"Risk Factors" beginning on page US-4 of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on page PS-8 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor anystate securitiescommission has approved or disapproved of
the notes or passedupon theaccuracy or theadequacyof thispricing supplement or the accompanying product supplement,
underlyingsupplement, prospectus supplement,prospectusand prospectusaddendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Feesand Commissions(2)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1) See "Supplemental Use ofProceeds" in this pricingsupplementfor information about thecomponents of theprice to publicof thenotes.
(2) J.P.Morgan SecuritiesLLC,which we referto asJPMS,acting as agentfor JPMorgan Financial,will pay allof thesellingcommissions it
receivesfromusto otheraffiliated or unaffiliateddealers.Inno eventwillthese selling commissions exceed$9.00per $1,000principal
amount note. See "Plan ofDistribution (Conflicts of Interest)"in theaccompanyingproductsupplement.
If thenotes priced today, the estimatedvalueof the notes would be approximately$931.60 per $1,000principal amount
note. Theestimatedvalueofthenotes, whenthe terms of the notesareset, willbe providedin the pricing supplement and
will not be less than $910.00 per $1,000 principal amount note. See"TheEstimated Valueof the Notes"inthis pricing
supplement for additional information.
Thenotesare not bankdeposits, are not insuredbythe Federal Deposit InsuranceCorporationor anyother governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
Key Terms
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
(Bloombergticker: MQUSLVA). The levelof the Index reflects a
deduction of 6.0% per annum that accruesdaily.
Contingent Interest Payments:
If thenotes have not been automatically called and the closing
level of the Index on any Interest 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 at least $10.00
(equivalent to a Contingent Interest Rate of at least 12.00% per
annum, payableat a rateof atleast 1.00% per month) (to be
providedin the pricingsupplement).
If theclosing level of theIndex on any Interest Review Date is
less than the Interest Barrier, no Contingent Interest Payment
will be made with respect to that Interest Review Date.
Contingent Interest Rate:Atleast 12.00% per annum, payable
at a rate of at least 1.00% per month (to be provided in the
pricingsupplement)
Interest Barrier/Buffer Threshold: 70.00% of the Initial Value
Buffer Amount: 30.00%
Pricing Date:On or about November 8, 2024
Original Issue Date (Settlement Date):On or about November
14, 2024
Interest Review Dates*:As specified under "Key Terms
Relating to the Interest Review Dates, Autocall Review Dates
and Interest Payment Dates" in this pricingsupplement
Autocall Review Dates*: Asspecified under "Key Terms
Relating to theInterest Review Dates, Autocall Review Dates
and Interest Payment Dates" in this pricingsupplement
Interest Payment Dates*:Asspecified under "KeyTerms
Relating to the Interest Review Dates, Autocall Review Dates
and Interest Payment Dates" in this pricingsupplement
Maturity Date*:November 14, 2029
Call Settlement Date*:If the notes areautomatically called on
any Autocall Review Date, the first Interest Payment Date
immediately following that Autocall Review Date
* Subjectto postponement in theevent ofa market disruption eventand
as described under "Supplemental Terms oftheNotes -
Postponement of aDetermination Date - NotesLinkedSolelytoan
Index" intheaccompanying underlying supplement and "General Terms
of Notes-Postponement of aPaymentDate"in theaccompanying
product supplement
Automatic Call:
If theclosing level of the Index on any Autocall Review Dateis
greater than or equal to the Initial Value, the notes willbe
automaticallycalled for a cash payment, for each $1,000
principal amount note, equal to (a) $1,000 plus(b) the
Contingent Interest Payment applicable to the Interest Review
Date corresponding to that Autocall Review Date, payable on
the applicable Call Settlement Date. No further payments will be
made on the notes.
Payment at Maturity:
If thenotes have not been automatically called and the Final
Valueisgreater than or equal to the Buffer Threshold, you will
receivea cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000plus (b) the Contingent
Interest Payment applicable to the final Review Date.
If thenotes have not been automatically called and the Final
Valueisless than the Buffer Threshold, your payment at
maturityper $1,000 principal amount note will be calculatedas
follows:
$1,000 + [$1,000 × (Index Return + Buffer Amount)]
If thenotes have not been automatically called and the Final
Valueisless than the Buffer Threshold, you will lose some or
most of your principal amount at maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Indexon the Pricing Date
Final Value:The closing level of the Index on the final Review
Date
PS-2| Structured Investments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
Key Terms Relating to the Interest Review Dates, Autocall Review Dates and Interest Payment Dates
Interest Review Dates*: December 9, 2024, January8, 2025,
February 10, 2025, March 10, 2025, April 8, 2025, May 8,
2025, June 9, 2025, July 8, 2025, August 8, 2025, September
8, 2025, October 8, 2025, November 10, 2025, December 8,
2025, January 8, 2026, February 9, 2026, March 9, 2026,
April 8, 2026, May 8, 2026, June 8, 2026, July 8, 2026,
August 10, 2026, September 8, 2026, October 8, 2026,
November 9, 2026, December 8, 2026, January 8, 2027,
February 8, 2027, March 8, 2027, April 8, 2027, May 10,
2027, June 8, 2027, July 8, 2027, August 9, 2027, September
8, 2027, October 8, 2027, November 8, 2027, December 8,
2027, January 10, 2028, February8, 2028, March 8, 2028,
April 10, 2028, May 8, 2028, June 8, 2028, July 10, 2028,
August 8, 2028, September 8,2028, October 9, 2028,
November 8, 2028, December8, 2028, January 8, 2029,
February 8, 2029, March 8, 2029, April 9, 2029, May 8, 2029,
June 8, 2029, July 9, 2029, August 8, 2029, September 10,
2029, October 8, 2029 and November 8, 2029 (the "final
Review Date")
Autocall Review Dates*: November 10, 2025,February 9,
2026, May 8, 2026, August 10, 2026, November 9, 2026,
February 8, 2027, May 10, 2027, August 9, 2027, November
8, 2027, February 8, 2028, May 8, 2028, August 8, 2028,
November 8, 2028, February8, 2029, May8, 2029 and
August 8, 2029
InterestPayment Dates*:December 12, 2024, January 13,
2025, February13, 2025, March 13, 2025, April11, 2025,
May13, 2025, June 12, 2025, July 11, 2025, August 13,
2025, September 11, 2025, October 14, 2025, November 14,
2025, December 11, 2025, January 13, 2026, February 12,
2026, March12, 2026, April 13, 2026, May 13, 2026, June
11, 2026, July 13, 2026, August 13, 2026, September 11,
2026, October 14, 2026, November 13, 2026, December 11,
2026, January 13, 2027, February11, 2027, March11, 2027,
April 13, 2027, May 13, 2027, June 11, 2027, July 13, 2027,
August 12, 2027, September 13, 2027, October 14, 2027,
November 12, 2027, December 13, 2027, January 13, 2028,
February 11, 2028, March 13, 2028, April 13, 2028, May 11,
2028, June 13, 2028, July 13, 2028, August 11, 2028,
September 13, 2028, October 12, 2028, November 13, 2028,
December 13, 2028, January11, 2029, February 13, 2029,
March 13, 2029, April 12, 2029, May 11, 2029, June 13,
2029, July12, 2029, August 13, 2029, September 13, 2029,
October 11, 2029 and the Maturity Date
* Subjectto postponement in theevent ofa market disruption event
and as describedunder"Supplemental Terms oftheNotes-
Postponement of aDetermination Date -Notes LinkedSolely toan
Index" in the accompanyingunderlying supplement and "General
Terms of Notes-Postponement of a Payment Date"in the
accompanyingproductsupplement
PS-3| Structured Investments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-CapVol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "Index
Calculation Agent"),in coordination withJPMS, and is maintained by theIndex Sponsor and iscalculated and published by the Index
Calculation Agent. The Indexwas established on February11, 2022. An affiliate of ourscurrently has a 10%equityinterest in the
Index Sponsor, witha right toappoint an employee of JPMS, another of our affiliates, asa member of the board of directorsof the
Index Sponsor.
The Index attempts to provide a dynamic rules-based exposure to an unfunded rolling position in E-mini®S&P 500®futures (the
"Futures Contracts"), which reference the S&P 500®Index, while targeting a level of implied volatility, witha maximum exposure to the
Futures Contracts of 500% and a minimum exposureto the Futures Contracts of 0%.The Index is subject to a6.0% per annum daily
deduction. The S&P 500®Index consists of stocksof 500 companies selectedto provide aperformance benchmark for the U.S. equity
markets. For more information about the Futures Contractsand the S&P 500®Index, see "Background on E-mini® S&P 500®Futures"
and "Background on the S&P 500®Index," respectively, in the accompanying underlying supplement.
On each weekly Index rebalance day, the exposure to the Futures Contracts is set equal to (a) the35%implied volatilitytarget (the
"target volatility") divided by (b) the one-week implied volatility of the SPDR® S&P 500®ETF Trust (the "SPY Fund"), subject to a
maximum exposure of 500%. For example, if the implied volatilityof the SPY Fund is equal to 17.5%, the exposure to the Futures
Contracts will equal 200% (or35% /17.5%) and if the implied volatility of the SPY Fund isequal to40%, the exposure to the Futures
Contracts will equal 87.5% (or 35% / 40%). The Index's exposure to the Futures Contractswill be greater than 100% when theimplied
volatilityof the SPY Fund is below 35%, and the Index'sexposure to the Futures Contractswill be less than 100% when the implied
volatilityof the SPY Fund is above 35%. In general, the Index'starget volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility feature were employed. No assurance can beprovided that the volatilityof the
Index will bestable at any time.
The investment objective of the SPY Fund is to provideinvestment results that, before expenses, correspond generally to theprice and
yield performance of the S&P500®Index. For more informationabout the SPY Fund, see"Background on the SPDR® S&P 500®ETF
Trust" in the accompanying underlying supplement. The Index uses the implied volatilityof the SPY Fund asa proxyfor the volatilityof
the Futures Contracts.
The 6.0% per annum daily deduction will offset any appreciation of the Futures Contracts, will heighten any depreciation ofthe Futures
Contracts and will generally be a drag on theperformance of the Index. The Index willtrail the performance of an identical index
without a deduction.
Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Buffer
Threshold, the Buffer Amount and the other economic terms available on the notesare more favorable to investors than the termsthat
would be available on a hypotheticalnote issued by us linked to an identical index without a dailydeduction. However, therecan be no
assurance that any improvement in the terms of the notes derived from the daily deduction will offset the negative effect of the daily
deduction on the performance of theIndex.The return on the notesmay be lower thanthe return on a hypothetical note issued by us
linked to an identicalindex without a daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates' internalpricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivativesunderlyingthe economic termsof the notes. See "The Estimated Value of the Notes"
and "Selected Risk Considerations -Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with theuseof significant leverage. In addition, theIndex may be significantly
uninvested on any given day, and, in that case, willrealize only aportion of any gains due to appreciation of the Futures
Contracts on that day. The index deduction is deducted dailyat a rate of 6.0% per annum, even when the Index is not fully
invested.
No assurance can be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successful or will outperform any alternative index or strategy thatmight reference the FuturesContracts.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanying underlying
supplement.
PS-4| Structured Investments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
Supplemental Terms of the Notes
The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended
(the "Commodity ExchangeAct").The notes are offered pursuant to an exemption from regulation under the Commodity Exchange
Act, commonlyknown as the hybrid instrument exemption, that is available tosecurities that have one or morepaymentsindexed to the
value, level or rate of one or more commodities, as set out in section 2(f) of that statute. Accordingly, you are not afforded any
protection provided by the Commodity Exchange Act or anyregulation promulgated by theCommodity Futures Trading Commission.
Any value of any underlier, and any values derived therefrom, included inthis pricingsupplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricing supplement andthe correspondingterms of the notes. Notwithstanding
anything to thecontraryin theindenturegoverning the notes, that amendment will become effective without consent of the holders of
the notes or any other party.
How the Notes Work
Payments in Connectionwith Interest Review Dates Preceding the Final Review Date
Interest Review Dates Preceding theFinal Review Date That Are Not Autocall Review Dates
Compare the closing level of the Index to the Interest Barrieron each Interest Review Date that is not an Autocall Review Date until thefinal Review Date or
any earlier automatic call. Refer to the second diagram if an Interest Review Date is also an Autocall Review Date.
The closing level of the Index is greater thanor equal
to the Interest Barrier.
You will receive a Contingent Interest Payment on the
applicable Interest Payment Date.
Proceed to the next Interest Review Date.
The closing level of the Index is less than the Interest
Barrier.
No Contingent Interest Payment will bemade with respect to
theapplicable Interest Review Date.
Proceed to the next Interest Review Date.
Interest Review Dates That Are Also Autocall Review Dates
Initial
Value
Compare the closing level of the Indexto the Initial Value and the Interest Barrier on each Interest Review Date that is
also an Autocall Review Date until any earlier automatic call.
The closing level of
theIndex isgreater
thanor equal to
theInitial Value.
AutomaticCall
The notes will be automatically calledon the applicable Call Settlement Date, and you will
receive (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Interest
Review Date.
No further payments will be madeon the notes.
The closing level of
theIndex isless
thanthe Initial
Value.
No
Automatic
Call
The closing level of the
Index is greater than or
equal tothe Interest
Barrier.
You will receive a Contingent Interest
Payment on the applicable Interest
Payment Date.
Proceed to the next Interest Review Date.
The closing level of the
Index is less than the
Interest Barrier.
No Contingent Interest Payment will be
made withrespect to theapplicable
Interest Review Date.
Proceed to the next Interest Review Date.
PS-5| Structured Investments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Autocall Review Dates
Preceding the Final
Review Date
Final Review Date
Payment atMaturity
The notes are not
automatically called.
The Final Value is greaterthanor equal to
the Buffer Threshold.
You will receive (a) $1,000plus (b) the
Contingent Interest Payment applicable
to the final Review Date.
Proceed to maturity
The Final Value is less than the Buffer
Threshold.
You will receive:
$1,000 + [$1,000 × (Index Return +
Buffer Amount)]
Under these circumstances, you will
lose some or most of your principal
amount at maturity.
PS-6| Structured Investments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
Total Contingent Interest Payments
Thetable below illustrates the hypothetical total Contingent Interest Payments per $1,000principal amount note over the termof the
notes basedon a hypotheticalContingent Interest Rate of 12.00% per annum, depending on how many Contingent Interest Payments
are made prior to automatic call or maturity. The actual Contingent Interest Rate will be provided in the pricing supplement and will be
at least 12.00% per annum.
Numberof Contingent
InterestPayments
Total Contingent Interest
Payments
60
$600.00
59
$590.00
58
$580.00
57
$570.00
56
$560.00
55
$550.00
54
$540.00
53
$530.00
52
$520.00
51
$510.00
50
$500.00
49
$490.00
48
$480.00
47
$470.00
46
$460.00
45
$450.00
44
$440.00
43
$430.00
42
$420.00
41
$410.00
40
$400.00
39
$390.00
38
$380.00
37
$370.00
36
$360.00
35
$350.00
34
$340.00
33
$330.00
32
$320.00
31
$310.00
30
$300.00
29
$290.00
28
$280.00
27
$270.00
26
$260.00
25
$250.00
24
$240.00
23
$230.00
22
$220.00
21
$210.00
20
$200.00
19
$190.00
18
$180.00
17
$170.00
16
$160.00
15
$150.00
14
$140.00
13
$130.00
12
$120.00
11
$110.00
10
$100.00
9
$90.00
8
$80.00
7
$70.00
6
$60.00
5
$50.00
4
$40.00
3
$30.00
2
$20.00
1
$10.00
0
$0.00
PS-7| Structured Investments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked to ahypotheticalIndex, assuming a rangeof performances for the
hypotheticalIndex on the Interest Review Dates and Autocall Review Dates. The hypothetical payments set forth below assume the
following:
●an Initial Value of 100.00;
●an Interest Barrier and a Buffer Threshold of 70.00 (equal to 70.00% of the hypothetical Initial Value);
●a Buffer Amount of 30.00%; and
●a Contingent Interest Rate of 12.00% per annum (payable at a rateof 1.00% per month).
The hypothetical Initial Value of 100.00 hasbeen chosen for illustrative purposes only andmaynot represent a likely actualInitial
Value.
The actual Initial Value will bethe closing levelof the Index on the Pricing Date and will be provided in the pricing supplement. For
historical data regarding the actual closinglevels of the Index, please see the historical informationset forth under "Hypothetical Back-
Tested Data and HistoricalInformation" in this pricing supplement.
Each hypothetical payment set forthbelow isfor illustrative purposes only and maynot be the actual payment applicable to a purchaser
of thenotes. Thenumbers appearing in the following examples have been rounded for ease of analysis.
Example 1 - Notes are automatically called on the first Autocall Review Date.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Interest Review
Date
105.00
$10.00
Second Interest Review
Date
110.00
$10.00
Third through Eleventh
Interest Review Dates
Greater than Initial Value
$10.00
TwelfthInterest Review
Date (first Autocall
Review Date)
110.00
$1,010.00
Total Payment
$1,120.00(12.00% return)
Because theclosing levelof the Index on the first Autocall Review Date, which isalso the twelfthInterest Review Date, is greater than
or equal to the Initial Value, the notes will be automaticallycalled for a cashpayment, for each $1,000 principal amount note, of
$1,010.00(or $1,000 plus the Contingent Interest Payment applicable to the twelfth Interest Review Date), payable onthe applicable
Call Settlement Date. When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the
totalamount paid, for each $1,000 principal amount note, is $1,120.00. No further payments will be madeon the notes.
Example 2 - Notes have NOT been automatically called and the Final Value is greater than or equal to the Buffer
Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Interest Review
Date
95.00
$10.00
Second Interest Review
Date
85.00
$10.00
Third through Fifty-Ninth
Interest Review Dates
Less than Interest Barrier
$0
Final Review Date
90.00
$1,010.00
Total Payment
$1,030.00(3.00% return)
Because the notes have not been automaticallycalled and the Final Value is greater than or equal to the Buffer Threshold, the payment
at maturity, for each $1,000 principal amount note, will be $1,010.00 (or $1,000 plusthe Contingent Interest Payment applicable to the
final Review Date). When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates,the total
amount paid, for each $1,000 principal amount note, is$1,030.00.
PS-8| Structured Investments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
Example 3 - Notes have NOT been automatically called and the Final Value is less than the Buffer Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Interest Review
Date
30.00
$0
Second Interest Review
Date
35.00
$0
Third through Fifty-Ninth
Interest Review Dates
Less than Interest Barrier
$0
Final Review Date
30.00
$600.00
Total Payment
$600.00 (-40.00% return)
Because the notes have not been automaticallycalled, the Final Value is lessthan theBuffer Threshold and the Index Return is -
70.00%, the payment at maturity will be $600.00 per $1,000 principal amount note, calculated asfollows:
$1,000 + [$1,000 × (-70.00% + 30.00%)] = $600.00
The hypothetical returnsand hypothetical payments on the notesshown above apply onlyif you hold the notes for their entire term
or until automatically called. These hypotheticals do not reflect the fees or expenses that would be associated withanysale in the
secondarymarket. If thesefees and expenses wereincluded, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notesinvolvessignificant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement,product supplement and underlyingsupplement and in Annex A totheaccompanying
prospectusaddendum.
Risks Relating to the Notes Generally
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS-
The notes donot guarantee any return of principal. If the notes havenot been automatically called and the Final Value is less than
the Buffer Threshold, you will lose 1% of theprincipal amount of your notes for every 1% that the Final Valueisless than the Initial
Valuebymore than 30.00%. Accordingly, under these circumstances, you will lose upto 70.00% of your principal amount at
maturity.
●THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL-
If thenotes have not been automatically called, we will make a Contingent Interest Payment with respect to an Interest Review
Date onlyif the closing levelof the Index on that Interest Review Date is greater than or equal tothe Interest Barrier. Iftheclosing
level of the Index on that Interest Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with
respect to that Interest Review Date. Accordingly, if the closing level of the Index on each Interest Review Date is less than the
Interest Barrier,you will not receive anyinterest paymentsover the term of the notes.
●THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction. The level of the Index will trail the value of an identically constituted
synthetic portfolio that is not subject to any such deduction.
The index deduction will placea significant drag on the performance of the Index, potentially offsetting positive returns on the
Index's investment strategy, exacerbating negative returns of itsinvestment strategy and causing the level of theIndex to decline
steadily if the return of itsinvestment strategyis relatively flat. The Index will not appreciate unless the return of its investment
strategyissufficient to offset the negative effects of the index deduction, and then onlyto the extent that the return of its
investment strategy is greater than the index deduction. Asa result of the index deduction, the level of the Index may decline even
if the return of its investment strategy is positive.
The daily deduction is one of the inputs our affiliates' internal pricingmodels use to valuethe derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimatedvalue of the notes set forth on the cover of this pricing
supplement.The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and SecondaryMarket Prices of
the Notes" in this pricing supplement.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our andJPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Anyactual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined bythe market for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default onour payment
obligations, you maynot receive any amounts owed to you under the notes and you could loseyour entire investment.
PS-9| Structured Investments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments under loansmade by us to
JPMorgan Chase & Co. or under other intercompany agreements. Asa result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to havesufficient resources tomeet our obligations in
respect of the notesas they come due. If JPMorgan Chase& Co. does not make payments to us and we are unable to make
payments on the notes, you may have toseek payment under the related guaranteebyJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
●THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciation of the Index, which maybe significant. You will not participate inany appreciation of the Index.
●THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notesare automatically called, the termof the notes may be reduced to asshort as approximately one year and you will not
receiveany Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able
to reinvest the proceeds froman investment in the notes at a comparable return and/or with a comparable interest rate fora similar
level of risk. Evenin cases where the notesarecalled before maturity, you are not entitled to any fees and commissions described
on the front cover of thispricing supplement.
●YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500®
INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING
THE INDEX.
●THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE BUFFER
THRESHOLD IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE.
●JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the meritsof investing in the notes, the Index and the futurescontractscomposing the Index.
●LACK OF LIQUIDITY-
The notes will not belisted on anysecurities exchange. Accordingly, theprice at which you maybe able to trade your notesis likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not
designed to be short-termtrading instruments. Accordingly, you should be able and willing to hold your notes tomaturity.
●THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT -
You should consider your potential investment in the notesbased on the minimums for the estimated value of the notes and the
Contingent Interest Rate.
Risks Relating to Conflicts of Interest
●POTENTIAL CONFLICTS-
We and our affiliatesplay avarietyof roles in connection with the notes. In performingthese duties, our and JPMorgan Chase &
Co.'seconomic interests are potentially adverse toyour interests as an investor in the notes. Itispossible that hedging or trading
activities of ours or our affiliates inconnection with the notes could result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanyingproduct
supplement.
An affiliate of ours currentlyhas a 10% equity interest in the Index Sponsor, witha right to appoint an employeeof JPMS, another
of our affiliates, asa member of theboard of directors of theIndex Sponsor.The Index Sponsor can implement policies, make
judgments or enact changes to the Indexmethodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the value of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates and our respectiveemployees areunder no obligation to consider your interestsas an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the roleof
an employee of JPMS asa member of the board of directorsof the Index Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policiesand determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for whichJPMS was
responsible could have an impact, positive or negative, on the levelof the Index and the value of your notes. JPMS is underno
obligation to consider your interests as aninvestor in the notes in its role indeveloping the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
PS-10| StructuredInvestments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
●THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the
notes will exceed the estimated value of the notesbecause costs associated with selling, structuringandhedging the notes are
included in the original issue price of the notes. These costsinclude theselling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesand the estimatedcost of hedging
our obligations under the notes. See "The Estimated Valueof the Notes" in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See "The Estimated Value of the Notes" in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determinationof the estimated value of the notes maydiffer from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, among other things, our and our affiliates' view of thefunding valueof the notes as well as the higher issuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potential changes tothat ratemay have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Valueof the Notes" in thispricing supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the noteswill be partiallypaid back to you in
connection with any repurchases of your notesbyJPMS in an amount that will decline to zero over an initial predetermined period.
See "Secondary Market Prices of the Notes" in this pricingsupplement for additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the valueof the notesaspublished by
JPMS (and which may be shown onyour customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take intoaccount our internal secondarymarket funding rates for structured debt issuances and,
also, because secondarymarket prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included intheoriginal issue price of the notes. As a result, the price, if any, at which JPMS will be willing tobuy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
the Maturity Datecould result in a substantialloss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes duringtheir term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom theselling commissions, projected hedgingprofits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publisha price for
the notes, whichmay also be reflectedoncustomer account statements. This price may be different (higher or lower) than the price
of thenotes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See "Risk Factors-Risks
Relating to the Estimated Value and SecondaryMarket Prices of the Notes-Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to the Index
●JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking anycorporate action that might affect
the level of the S&P 500® Index.
●THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS -
No assurance can be given that the investment strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed with respect to the Futures Contracts.
PS-11| StructuredInvestments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
●THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurance can be given that the Index will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realized volatility of the Index maybe
greater or less than the target volatility. On each weekly Index rebalance day, the Index's exposure to the Futures Contracts is set
equal to (a) the 35% impliedvolatility target divided by (b) the one-weekimplied volatilityof the SPY Fund, subject to a maximum
exposure of 500%. The Indexuses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.
However, there is no guarantee that the methodology used by the Index to determine the implied volatility of the SPY Fund will be
representative of the implied or realized volatility of the Futures Contracts. The performance of the SPY Fund may not correlate
with the performance of the Futures Contracts, particularlyduring periodsof market volatility. In addition, the volatility of the
Futures Contracts on any daymaychange quicklyandunexpectedly and realizedvolatilitymaydiffer significantly from implied
volatility.In general, over time, the realized volatilities of the SPY Fund and the Futures Contracts have tended to be lower than
their respective impliedvolatilities; however, at any time those realized volatilities mayexceed their respective implied volatilities,
particularly during periodsof market volatility. Accordingly, the actual annualized realized volatilityof the Index may be greater
than or lessthan the target volatility, which mayadversely affect the level of the Index and the value of the notes.
●THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE -
On a weeklyIndex rebalanceday, the Index will employ leverage to increase the exposureof the Index to the Futures Contracts if
the implied volatility of the SPY Fund isbelow 35%, subject to amaximum exposure of 500%. Under normal market conditions in
the past, the SPY Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leveragein the past, except during periodsof elevatedvolatility. Whenleverage is employed, any movementsin the prices of the
Futures Contracts will result in greater changesin the level of the Index than if leverage were not used. In particular, the useof
leverage will magnify any negative performance of the Futures Contracts, which, in turn, would negatively affect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where a significant increase in volatility is
accompanied by asignificant declinein the value of theFutures Contracts, thelevel of the Index may decline significantly before
the following Index rebalanceday when the Index'sexposure to the Futures Contracts would be reduced.
●THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalanceday, the Index's exposureto the Futures Contracts will be less than 100% when the implied volatility
of the SPY Fund is above 35%. If the Index'sexposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvested portion will earn no return. The Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Futures Contracts on any such day. The 6.0% per annumdeduction
is deducted daily, even when the Indexisnot fully invested.
●THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN
EXPIRING FUTURES CONTRACT INCLUDED IN THEINDEX -
As the Futures Contracts included in the Index come to expiration, they are replaced by Futures Contractsthat expirethree months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the Futures Contract
that expiresthree months from that time. Thisprocess is referred to as "rolling."Excluding other considerations, if themarket for
the Futures Contracts is in "contango," where the prices are higher in thedistant deliverymonths than in the nearer delivery
months, thepurchase of the later Futures Contract wouldtake place at a price that is higher than the price of the expiring Futures
Contract, thereby creating a negative "roll yield."In addition, excludingother considerations, if the market for the Futures Contracts
is in "backwardation," wherethe prices are lower in the distant deliverymonths than in the nearer delivery months, the purchase of
the later Futures Contract would take place at a price that is lower than the priceof the expiring Futures Contract, therebycreating
a positive "roll yield."The presence of contango in the market for the Futures Contracts could adversely affect the levelof the
Index and, accordingly, any payment on the notes.
●THE INDEX IS AN EXCESSRETURN INDEX THAT DOES NOT REFLECT "TOTAL RETURNS" -
The Index is an excess return index that does not reflect total returns. The return frominvestingin futures contracts derives from
three sources: (a) changes in the price of the relevant futures contracts (which isknown as the "price return"); (b) any profit or loss
realized when rolling the relevant futures contracts (which is known as the "roll return"); and (c) any interest earned on the cash
deposited as collateral for the purchase of the relevant futures contracts (which is known as the "collateral return").
The Index measuresthe returns accrued frominvesting in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated with an investment in the FuturesContracts). Bycontrast, a total returnindex, in additionto reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e.,the
collateral return associated with aninvestment in the Futures Contracts). Investing inthenotes willnot generatethe same return
as would be generated frominvesting in a total return index related to the Futures Contracts.
●CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES -
The Index generallyprovides exposure to a single futures contract on the S&P 500®Index that trades on the Chicago Mercantile
Exchange. Accordingly, the notesare less diversified than other funds, investment portfolios or indices investing in or tracking a
broader range of products and, therefore, could experience greater volatility. You should be aware that other indicesmay be more
diversified than the Indexin terms of both the number and varietyof futures contracts. You will not benefit, with respect to the
notes, from any of the advantagesof a diversified investment and will bear the risks of a highlyconcentrated investment.
●THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY -
The Index tracks the returnsof futurescontracts. The price of a futures contract depends not only on the price of the underlying
asset referencedbythe futures contract, but alsoon a range of other factors, including but not limited to changing supplyand
demand relationships, interestrates, governmentaland regulatorypolicies and the policiesof the exchanges on which the futures
contracts trade. In addition, the futuresmarkets aresubject to temporary distortions or other disruptions due tovarious factors,
including the lack of liquidityin themarkets, the participation of speculators and government regulation and intervention.These
factors and others can cause the prices of futurescontracts to bevolatile.
PS-12| StructuredInvestments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
●SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES -
Futures marketslike the Chicago Mercantile Exchange, themarket for theFutures Contracts, are subject to temporarydistortions
or other disruptions due to various factors, including thelackof liquidity inthemarkets, theparticipation of speculators, and
government regulation and intervention. In addition, futuresexchanges have regulations that limit theamount of fluctuation in
some futures contract prices that mayoccur during a single day. These limits are generally referred to as "daily price fluctuation
limits" andthemaximumor minimum price of a contract on any given day as a result of these limits is referred to asa "limit price."
Once the limit price hasbeen reached in aparticular contract, no trades may be made at aprice beyond the limit, or trading may
be limited for aset period of time. Limit prices have the effect of precluding tradingin a particular contract or forcing the liquidation
of contractsat potentiallydisadvantageous times or prices. These circumstances could affect the level of theIndex and therefore
could affect adversely the value of your notes.
●THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE -
The officialsettlement price and intraday trading prices of the Futures Contractsare calculated and published by the Chicago
Mercantile Exchange and areused to calculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price andintraday trading prices and may delay or prevent the calculation
of theIndex.
●CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY
ADVERSELY AFFECT THE VALUE OF THE NOTES -
Futures exchanges require market participants to post collateral in order to open and to keep open positions in futures contracts. If
an exchange changes the amount of collateral required tobe posted to holdpositionsin the Futures Contracts, market participants
mayadjust their positions, which may affect the prices of the Futures Contracts. As a result, thelevel of the Indexmay be affected,
which may adversely affect the valueof the notes.
●HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in this pricingsupplement is purely theoretical and doesnot represent the actual historicalperformance of the Indexandhasnot
beenverified by an independent third party.Hypothetical back-tested performance measures have inherent limitations.
Hypotheticalback-tested performance is derived by means of the retroactive application of a back-tested modelthat has been
designed withthebenefit of hindsight.Alternative modellingtechniques might produce significantly different resultsandmay prove
to bemore appropriate.Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations and you shouldcarefully consider these limitations before placing reliance on such
information.
●OTHER KEY RISKS:
o THE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS.
o HISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE
PERFORMANCE OF THE INDEX DURING THE TERM OF THE NOTES.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-listed and
other risks.
PS-13| StructuredInvestments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January 4, 2019 through February 4, 2022, and the historicalperformance of the Index based on the
weekly historical closing levels of the Index from February 11, 2022 through October 25, 2024. The Index wasestablished on February
11, 2022, as represented by the vertical linein the followinggraph. All data to the left of that vertical line reflect hypothetical back-tested
performance of the Index. Alldata to the right of that vertical line reflect actual historical performance of the Index. The closing level of
the Index on October 28, 2024 was 3,934.34. Weobtained the closing levels above and below fromthe Bloomberg Professional®
service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of theIndex set forth in the following graph are purely theoretical and do not
represent the actual historicalperformance of the Index. See "Selected Risk Considerations- Risks Relating to the Index -
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations"
above.
The hypothetical back-tested and historical closing levels of the Indexshould not be taken as an indication of future performance, and
no assurance can be given as to the closing level of the Index onthe Pricing Date or any Interest Review Date or any Autocall Review
Date. There can be no assurance that the performance of the Index will result in the return of any of your principal amount in excess of
$300.00 per $1,000 principalamount note, subject to thecredit risks of JPMorgan Financial andJPMorgan Chase & Co.,or the
payment of anyinterest.
Hypothetical Back-Tested and Historical Performance of the
MerQube US Large-Cap Vol Advantage Index
Source: Bloomberg
The hypothetical back-tested closing levels of the Index have inherent limitations and havenot been verified by an independent third
party. These hypothetical back-tested closing levels are determined by means of a retroactive applicationof a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither anindicator nor a guaranteeof future returns. No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closinglevels of theIndex that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-testedclosing levels of the Index set forth above.
PS-14| StructuredInvestments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. In determining our reporting responsibilities weintend to treat (i) the notes for U.S. federal income taxpurposes as
prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences-TaxConsequences to U.S. Holders-Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement. Based on the
adviceof Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is areasonable treatment, but that there are other
reasonable treatments that the IRS or acourt may adopt, inwhichcase the timing and character of anyincome or loss on the notes
could be materially affected. In addition, in 2007 Treasury and the IRS released anotice requesting comments on the U.S. federal
income taxtreatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require
investors in theseinstrumentsto accrue income over the term of their investment. It also asks for commentson a number of related
topics, includingthecharacter of income or loss with respect to these instruments and the relevance of factors such as thenature of the
underlying property to which the instruments are linked. While thenotice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materiallyaffect the
taxconsequences of an investment in the notes, possibly with retroactive effect. The discussions above and in the accompanying
product supplement do not address the consequences to taxpayerssubject tospecial tax accounting rules under Section451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal income taxconsequencesof an investment in the notes, including
possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders - Tax Considerations.The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at
least if an applicable Form W-8 isprovided), it is expectedthat withholdingagents will (and we, if we are the withholding agent,intend
to) withhold onany Contingent Interest Payment paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by
an applicable incometax treaty under an "other income"or similar provision. We willnot be required to pay any additional amounts with
respect to amounts withheld. In order to claiman exemptionfrom, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and iseligible for suchan exemptionor
reduction under an applicable tax treaty. Ifyou are a Non-U.S. Holder, you should consultyour tax adviser regarding thetax treatment
of thenotes, includingthe possibility of obtaining a refund of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unlessan income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthescope of Section 871(m) instruments issuedprior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could payU.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made byus, we expect that Section 871(m) will
not apply tothenotes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, andthe IRS may disagree with this
determination. Section 871(m) iscomplex and its application maydependon your particular circumstances, including whether you enter
intoother transactions with respect to an Underlying Security. If necessary, further information regarding the potentialapplication of
Section 871(m) will be provided in the pricingsupplement for the notes. You should consult your tax adviser regarding the potential
application of Section 871(m) to thenotes.
In theevent of any withholding on the notes, we will not be required topayany additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement isequal to thesum of thevalues of thefollowing
hypothetical components: (1) a fixed-income debt component with the same maturityasthe notes, valued using the internalfunding
rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes. The estimated value of the notes
does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (ifany exists) at any
time. The internal funding rate used in the determination of the estimatedvalueof the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifference may be
based on, among other things, our and our affiliates'view of the funding value of the notesas well as the higher issuance,operational
and ongoing liabilitymanagement costs of thenotesin comparison tothose costsfor the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputsandassumptions, which may prove to be incorrect,
and is intended to approximate theprevailingmarket replacement funding rate for thenotes. The use of an internal funding rateand
anypotential changes to that rate mayhave an adverse effect on the terms of the notesand any secondary market prices of the notes.
For additional information, see "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes -The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate" in thispricing supplement.
PS-15| StructuredInvestments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates. These modelsare dependent on inputs such asthetradedmarket prices of comparablederivative instruments andonvarious
other inputs, some of which are market-observable, and which can includevolatility, dividend rates, interest rates and other factors, as
well as assumptions about future market events and/or environments. Accordingly, the estimated value of thenotes is determined when
the terms of the notes aresetbased on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes doesnot represent future values of thenotes and may differ from others'estimates. Different pricing
modelsand assumptionscould provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the futuremay change, and any assumptions may prove to be incorrect. On
futuredates, the value of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
which JPMS would be willingto buy notesfromyou in secondary market transactions.
The estimated value of the notes will be lower than the original issue priceof the notes because costs associated with selling,
structuring and hedging the notes are included in the originalissue price of the notes. These costs include the sellingcommissions paid
to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliatesexpect to realize for assuming risks
inherent in hedging our obligations under the notesandtheestimated cost of hedging our obligationsunder thenotes. Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result ina profit that
ismoreor less than expected,or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the
notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits. See "Selected Risk Considerations- Risks Relating to the Estimated Valueand SecondaryMarket Prices of theNotes-The
Estimated Value of the NotesWill Be Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricingsupplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes- Secondary market prices of the notes will beimpacted by many
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of thecosts
included in the original issue priceof the notes willbe partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costscan include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structureddebt issuances. Thisinitial predetermined time period is intended to be the shorter of sixmonthsand one-half of the
stated termof the notes. The lengthof anysuch initial period reflects the structure of the notes, whether our affiliatesexpect toearna
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes-The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricingsupplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-returnprofile and market exposure provided by the
notes. See "How the Notes Work" and "Hypothetical Payout Examples" in this pricingsupplement for an illustration of the risk-return
profile of the notes and "TheMerQube US Large-Cap Vol Advantage Index" in this pricingsupplement for a description of the market
exposure provided by the notes.
The originalissue price of thenotes is equal to the estimated value of the notes plus the selling commissions paidtoJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable
agent. We reserve the right to change the terms of, or rejectanyoffer to purchase, the notes prior to their issuance. In the event of any
changes to the terms of the notes, we will notifyyou and you will be asked to accept suchchanges in connection withyour purchase.
You may also choose to reject such changes, in which case we may reject your offer to purchase.
PS-16| StructuredInvestments
Auto Callable ContingentInterestNotes Linked to the MerQube US Large-
Cap Vol Advantage Index
You should read thispricing supplement together with theaccompanyingprospectus, as supplementedbytheaccompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricingsupplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. You shouldcarefully consider, among other things, the mattersset forthin the "Risk Factors" sections of theaccompanying
prospectussupplement, the accompanying product supplement and the accompanying underlyingsupplement and in Annex A to the
accompanying prospectus addendum, as the notesinvolve risks not associated with conventional debt securities. We urge you to
consult your investment,legal, tax, accounting and other advisersbefore you invest in the notes.
You may accessthesedocuments onthe SEC websiteat www.sec.gov asfollows (or if such addresshas changed, by
reviewing our filings for the relevant date on the SEC website):
●Product supplement no. 4-I dated April 13, 2023:
●Underlying supplement no. 5-II dated March 5, 2024:
●Prospectus supplement and prospectus, each dated April 13, 2023:
●Prospectus addendum datedJune 3, 2024:
Our Central Index Key, orCIK, on the SEC website is 1665650,and JPMorganChase & Co.'s CIK is19617. Asused in thispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.