JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 13:13
Primary Offering Prospectus - Form 424B2
October 28, 2024
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-Idated April 13, 2023, underlyingsupplement no. 5-II dated March5,2024, the prospectus and
prospectussupplement, eachdated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorgan Chase Financial CompanyLLC
Structured Investments
$2,627,000
Auto CallableContingent Interest Notes Linked to the MerQube
US Tech+ Vol Advantage Index due November 2, 2027
Fully and Unconditionally Guaranteedby JPMorgan Chase & Co.
●The notes aredesigned for investors whoseek a Contingent Interest Payment with respect to each Review Date for which
the closing levelof the MerQube US Tech+ Vol Advantage Index, which we refer to as theIndex, is greater than or equalto
70.00% of the Initial Value, which we refer to as the Interest Barrier.
●If the closing level of the Index is greater than or equal to the Interest Barrier on any Review Date, investors will receive, in
addition to the Contingent Interest Payment with respect to that Review Date, anypreviously unpaid Contingent Interest
Payments for prior Review Dates.
●The notes will be automatically calledif the closing levelof the Index on any Review Date (other than the first, second, third,
fourth, fifth and final Review Dates) isgreater than or equal to the Initial Value.
●The earliest dateon which anautomatic call may be initiated is April28, 2025.
●Investors should be willing to accept the risk of losing some or allof their principal and the risk that no Contingent Interest
Payment may bemade with respect to some or all 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, and the performance of the Invesco QQQ TrustSM, Series
1 (the "QQQ Fund") is subject to a notional financing cost. These deductionswill offset any appreciation of the
components of the Index, will heighten any depreciation of those components and will generally be adrag on the
performance of the Index. The Index will trail theperformance of an identical indexwithout such deductions. See
"Selected Risk Considerations-Risks Relating to the Notes Generally-The Levelof the Index Will Include a
6.0% per Annum Daily Deduction"and "Selected Risk Considerations - Risks Relating to the Notes Generally -
The Level of the Index Will Include the Deduction of a Notional Financing Cost" in this pricing supplement.
●The notes areunsecured andunsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, thepayment 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 priced on October 28, 2024 and are expectedto settle on or about October 31, 2024.
●CUSIP:48135UL65
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2of theaccompanying
prospectus supplement, Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-11 of
the accompanying 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 Securitiesand Exchange Commission (the "SEC") nor anystate securities commission has approved or disapproved of
the notes or passed upon the accuracy or theadequacyof this pricingsupplement or the accompanying product supplement,
underlying supplement, prospectus supplement, prospectus and prospectusaddendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds to Issuer
Per note
$1,000
$39
$961
Total
$2,627,000
$102,453
$2,524,547
(1) See "Supplemental Use of Proceeds" in this pricingsupplementfor information about the components of the price to public ofthe notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agentfor JPMorgan Financial, will pay allof the selling commissions
of $39.00 per $1,000 principal amount note it receivesfromus toother affiliated or unaffiliated dealers.See "Plan of Distribution(Conflicts
of Interest)" in the accompanyingproductsupplement.
The estimated value of the notes, when the terms of the notes were set, was $923.70 per $1,000 principal amount note. See
"The Estimated Value of the Notes" in this pricing supplement for additional information.
Thenotes arenot bankdeposits, are not insured by theFederalDeposit Insurance Corporation or anyother governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:JPMorgan Chase & Co.
Index:The MerQube US Tech+ Vol Advantage Index
(Bloomberg ticker: MQUSTVA). The levelof the Indexreflects
a deductionof 6.0% per annum that accruesdaily, andthe
performance of the QQQ Fund issubject to a notional financing
cost that accrues daily.
Contingent Interest Payments:
If the notes have not been automatically called and the closing
level of the Index on any Review Date is greater than or equal
to the Interest Barrier, you willreceive on the applicable Interest
Payment Date for each $1,000 principal amount note a
Contingent Interest Payment equal to $9.7917 (equivalent to a
Contingent Interest Rate of 11.75% per annum, payable at a
rate of 0.97917% per month), plusany previously unpaid
Contingent Interest Payments for any prior Review Dates.
If the Contingent Interest Payment isnot paid onany Interest
Payment Date, that unpaid Contingent Interest Payment will be
paid on a later Interest Payment Date if the closing levelof the
Index on the Review Date related to that later Interest Payment
Date is greater than or equal to the Interest Barrier. You will not
receive any unpaid Contingent Interest Payments if the closing
level of the Index on each subsequent Review Dateisless than
the Interest Barrier.
Contingent Interest Rate:11.75% per annum, payable at a
rate of 0.97917% per month
Interest Barrier/Trigger Value: 70.00%of the Initial Value,
whichis 8,007.636
Pricing Date:October 28, 2024
Original Issue Date (Settlement Date):On or about October
31, 2024
Review Dates*:Asspecified under "Key Terms Relating to the
Review Dates and Interest Payment Dates" in thispricing
supplement
Interest Payment Dates*:Asspecified under "KeyTerms
Relating to the Review Dates and Interest Payment Dates" in
thispricing supplement
Maturity Date*:November 2,2027
Call Settlement Date*:If thenotes are automatically called on
any Review Date (other than the first,second, third, fourth, fifth
and final Review Dates), the first Interest Payment Date
immediately following that Review Date
* Subject to postponement in theevent of amarket disruption event and
as described under "Supplemental Terms of the Notes-
Postponement of a Determination Date -Notes Linked Solely to an
Index" in theaccompanying underlying supplement and "General Terms
of Notes-Postponementof a Payment Date" in the accompanying
product supplement
Automatic Call:
If the closing level of the Index on any Review Date (other than
the first, second, third, fourth, fifth and final Review Dates) is
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 that Review Date
plus (c) any previously unpaid Contingent Interest Paymentsfor
any prior Review Dates, payable on the applicable Call
Settlement Date. No further payments willbe made onthe
notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value isgreater than or equalto the Trigger Value, you will
receive a 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 plus (c)
any previously unpaid Contingent Interest Payments for any
prior Review Dates.
If the notes have not been automatically called and the Final
Value isless than the Trigger Value, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and the Final
Value isless than the Trigger Value, you will lose more than
30.00% of your principalamount at maturity and could lose all
of your principal amount at maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Index on the Pricing Date,
which was 11,439.48
Final Value:The closing level of the Index on the final Review
Date
PS-2| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
Key Terms Relating to the Review Dates and Interest Payment Dates
Review Dates*: November 29, 2024, December 30, 2024,
January28, 2025, February 28, 2025, March 28, 2025, April
28, 2025, May 28, 2025, June 30, 2025, July 28, 2025, August
28, 2025, September 29, 2025, October 28, 2025, November
28, 2025, December 29, 2025, January28,2026, March 2,
2026, March 30, 2026, April 28, 2026, May 28, 2026, June29,
2026, July28, 2026, August 28, 2026, September 28, 2026,
October 28, 2026, November 30, 2026, December 28, 2026,
January28, 2027, March1, 2027, March 29, 2027, April 28,
2027, May 28, 2027, June 28, 2027, July28, 2027, August 30,
2027, September 28, 2027 and October 28, 2027 (final
Review Date)
Interest Payment Dates*: December 4, 2024, January3,
2025, January 31, 2025, March 5, 2025, April 2, 2025, May 1,
2025, June 2, 2025,July 3, 2025, July 31, 2025, September
3, 2025, October 2, 2025, October 31, 2025, December 3,
2025, January 2, 2026, February 2, 2026, March 5, 2026,
April 2, 2026, May 1, 2026, June 2, 2026, July 2, 2026, July
31, 2026, September 2, 2026, October 1, 2026, November 2,
2026, December 3, 2026, December 31, 2026, February 2,
2027, March 4, 2027, April 1, 2027, May 3, 2027, June 3,
2027, July1, 2027, August 2,2027, September 2, 2027,
October 1, 2027 and theMaturity Date
* Subject to postponement in theevent of a market disruption event
and as described under "Supplemental Termsof the Notes-
Postponement of a Determination Date - Notes LinkedSolely to an
Index"in the accompanying underlyingsupplement and"General
Terms of Notes-Postponement of a Payment Date" in the
accompanying product supplement
PS-3| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
The MerQube US Tech+Vol Advantage Index
The MerQube US Tech+ Vol Advantage Index (the "Index") was developed by MerQube(the "Index Sponsor" and "Index Calculation
Agent"), incoordination withJPMS, and is maintained by the Index Sponsor and is calculated and published by the IndexCalculation
Agent. The Index was established on June22, 2021. An affiliateof ourscurrently has a10% equityinterest inthe Index Sponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of the board of directors of the Index Sponsor.
Since February 9, 2024 (the "Amendment Effective Date"), the underlyingasset to which the Index islinked (the "Underlying Asset")
has been an unfunded position in the QQQ Fund, calculated as the excess of the total return of the QQQ Fund over a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset wasan unfunded rollingposition in E-Mini Nasdaq-100 futures (the
"Futures Contracts").
The investment objective of the QQQ Fund is to seek to track the investment results, before fees and expenses, of the Nasdaq-100
Index®. For more information about the QQQ Fund and the Nasdaq-100 Index®, see "Background on the Invesco QQQTrustSM, Series
1" and "Background on the Nasdaq-100 Index®," respectively, in the accompanying underlying supplement.
The Index attempts to providea dynamic rules-based exposure to the Underlying Asset, while targeting alevel of implied volatility, with
a maximum exposure to the Underlying Asset of 500% and a minimum exposure to the Underlying Asset of 0%. The Index is subject to
a 6.0% per annum daily deduction, andthe performance of the Underlying Asset is subject to a notional financing cost deducted daily.
On each weekly Index rebalance day, the exposure to the Underlying Asset is set equal to (a) the35% implied volatility target (the
"target volatility") dividedby (b) the one-week implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. For
example, if the implied volatility of the QQQ Fund isequal to 17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatilityof the QQQ Fund isequal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index's exposureto the Underlying Asset will be greater than 100% when the implied volatility of the QQQ Fund isbelow
35%, and the Index'sexposure to the Underlying Asset willbe less than 100% when the implied volatility of the QQQ Fund is above
35%. In general, the Index'starget volatility featureis expected to result in the volatilityof the Indexbeing more stable over time than if
no target volatilityfeature were employed. No assurance can be provided that thevolatilityof the Index will be stable at anytime.The
Index usesthe implied volatility of the QQQ Fund asa proxyfor the realized volatilityof the Underlying Asset.
The Index tracks the performance of the QQQ Fund, with distributions, if any, notionally reinvested, lessthe daily deduction of a
notional financing cost. The notional financingcost is intended toapproximate the cost of maintaining a position inthe QQQ Fund
using borrowed funds at a rate of interest equal to SOFR plus a spread of 0.50% per annum. SOFR, the Secured Overnight Financing
Rate, is intended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. The Indexisan
"excess return" index and not a "total return" index because, as part of the calculation of the level of the Index, theperformance of the
QQQ Fund is reduced by the notional financingcost. The notional financing cost has been deducted from the performance of the QQQ
Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notionalfinancing cost willoffset any appreciationof the Underlying Asset, will heighten
any depreciation of the Underlying Asset and will generally be a drag on the performance of the Index. The Index will trail the
performance of anidenticalindex without such deductions.
Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Trigger
Value and the other economicterms available on the notes are more favorable to investorsthan the terms that would be available on a
hypothetical note issued byus linkedto an identical index without a daily deduction. However, there can be no assurancethat any
improvement inthe terms of the notes derived fromthe dailydeduction will offset the negative effect of the daily deduction on the
performance of the Index. The return on the notes maybe lower than the return on a hypotheticalnote issued by us linked to an
identical index 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'internal pricing 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 thecover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivativesunderlying the 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 the useof significant leverage. The notional financing cost deducted daily will
be magnified by any leverage provided by the Index. In addition, the Index may besignificantly uninvested on any given day,
and, in that case, will realize only a portion of any gainsdue to appreciation of the Underlying Asset on that day. The index
deduction isdeducted daily at a rateof 6.0% per annum, even when the Index is not fully invested.
PS-4| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
No assurancecan 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 Underlying Asset.
For additional information about theIndex, see "The MerQube Vol Advantage Index Series" in the accompanying underlying
supplement.
PS-5| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
Supplemental Terms of the Notes
Any value of any underlier, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of thispricingsupplement and thecorrespondingterms of the notes. Notwithstanding
anything to the contraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payments in Connection with the First, Second, Third, Fourth and Fifth Review Dates
First, Second, Third, Fourth and Fifth Review Dates
Comparethe closing level of the Index to the Interest Barrieron each Review Date.
The closing level of the Index is greater thanor equal
to the Interest Barrier.
You will receive (a) a Contingent Interest Payment on the
applicable Interest Payment Dateplus (b) any previously
unpaid Contingent Interest Payments forany prior Review
Dates.
Proceed to the next Review Date.
The closing level of the Index is less than the Interest
Barrier.
No Contingent Interest Payment will be made with respect to
theapplicable Review Date.
Proceed to the next Review Date.
Payments in Connection with Review Dates (Other than the First, Second, Third, Fourth, Fifth and Final Review Dates)
Review Dates(Other than the First, Second, Third, Fourth, Fifth and Final Review Dates)
Initial
Value
Compare the closing level of the Indexto the Initial Value and the Interest Barrier on each Review Date until the final
Review Date or any earlier automatic call.
The closing level of
theIndex isgreater
thanor equal to
theInitial Value.
Automatic Call
The notes will be automatically called on the applicable Call Settlement Date, and you will
receive (a) $1,000 plus (b) theContingent Interest Payment applicable to that Review
Dateplus (c) any previously unpaid Contingent Interest Payments forany prior Review
Dates.
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) a Contingent Interest
Payment on the applicable Interest
Payment Date plus (b) any previously
unpaid Contingent Interest Payments for
any prior Review Dates.
Proceed to the next Review Date.
The closing level of the
Index is less thanthe
Interest Barrier.
No Contingent Interest Payment will be
made with respect to the applicable
Review Date.
Proceed to the next Review Date.
PS-6| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Review Dates
Preceding the Final
Review Date
Final Review Date
Paymentat Maturity
The notes arenot
automatically called.
The Final Value is greater thanor equal to
the Trigger Value.
You will receive (a) $1,000plus (b)the
Contingent Interest Payment applicable
to the final Review Dateplus (c) any
previously unpaid Contingent Interest
Payments for any prior Review Dates.
Proceed to maturity
The Final Value is less thanthe Trigger
Value.
You will receive:
$1,000 + ($1,000 × Index Return)
Under these circumstances, you will
lose some orall of yourprincipal
amount at maturity.
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the termof the
notes based on the Contingent Interest Rate of11.75% per annum, dependingon how many Contingent Interest Payments are made
prior to automatic callor maturity.
Number of Contingent
Interest Payments
Total Contingent Interest
Payments
36
$352.5000
35
$342.7083
34
$332.9167
33
$323.1250
32
$313.3333
31
$303.5417
30
$293.7500
29
$283.9583
28
$274.1667
27
$264.3750
26
$254.5833
25
$244.7917
24
$235.0000
23
$225.2083
22
$215.4167
21
$205.6250
20
$195.8333
19
$186.0417
18
$176.2500
17
$166.4583
16
$156.6667
15
$146.8750
14
$137.0833
13
$127.2917
12
$117.5000
11
$107.7083
10
$97.9167
9
$88.1250
8
$78.3333
7
$68.5417
6
$58.7500
5
$48.9583
4
$39.1667
3
$29.3750
2
$19.5833
1
$9.7917
0
$0.0000
PS-7| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
Hypothetical Payout Examples
The following examplesillustrate payments on the notes linked to ahypothetical Index, assuming a range of performances for the
hypotheticalIndex on the Review Dates. The hypothetical paymentsset forth below assume the following:
●an Initial Value of 100.00;
●an Interest Barrier and a Trigger Value of 70.00 (equal to 70.00% of the hypothetical InitialValue); and
●a Contingent Interest Rate of 11.75% per annum (payable at a rate of 0.97917%per month).
The hypothetical Initial Value of 100.00 hasbeen chosen for illustrative purposes only and does not represent the actual Initial Value.
The actual Initial Value is the closinglevel of the Index on the Pricing Date and is specified under "Key Terms- Initial Value" in this
pricing supplement. For historical data regarding the actualclosing levels of the Index, pleaseseethe historicalinformation set forth
under "Hypothetical Back-Tested Data and Historical Information" in thispricing supplement.
Each hypothetical payment set forthbelow is for illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of thenotes. The numbers appearing inthe following examples have been rounded for ease of analysis.
Example 1- Notes are automaticallycalled on the sixth Review Date.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
105.00
$9.7917
Second Review Date
110.00
$9.7917
Third Review Date
110.00
$9.7917
Fourth Review Date
105.00
$9.7917
Fifth Review Date
110.00
$9.7917
Sixth Review Date
120.00
$1,009.7917
Total Payment
$1,058.75 (5.875% return)
Because the closing level of the Index on the sixth Review Date is greater than or equal to the Initial Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,009.7917 (or $1,000 plus the Contingent Interest
Payment applicable to the sixth Review Date), payable on the applicable Call Settlement Date. The notes arenot automatically callable
before the sixth Review Date, even though theclosing level of the Index on each of the first, second, third, fourth and fifth Review Dates
is greater than the Initial Value. When added to the Contingent Interest Payments receivedwith respect to theprior Review Dates, the
total amount paid, for each $1,000 principal amount note, is $1,058.75. No further payments will be made on the notes.
Example 2- Notes have NOT been automatically called and the Final Value is greater than or equal to the
Trigger Value.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
95.00
$9.7917
Second Review Date
85.00
$9.7917
Third through Thirty-Fifth
Review Dates
Less than Interest Barrier
$0
Final Review Date
90.00
$1,332.9167
Total Payment
$1,352.50 (35.25% return)
Because the notes have not been automaticallycalled and the Final Value is greater than or equal to the Trigger Value, the payment at
maturity, for each $1,000 principal amount note, will be$1,332.9167 (or $1,000 plusthe Contingent Interest Payment applicable to the
final Review Date plusthe unpaid Contingent Interest Payments for any prior Review Dates). When added to the Contingent Interest
Payments received with respect tothe prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,352.50.
PS-8| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
Example 3- Notes have NOT been automatically called and the Final Value is less than the TriggerValue.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
60.00
$0
Second Review Date
65.00
$0
Third through Thirty-Fifth
Review Dates
Less than Interest Barrier
$0
Final Review Date
60.00
$600.00
Total Payment
$600.00 (-40.00% return)
Because the notes have not been automaticallycalled, the Final Value is less than the Trigger Value and the Index Return is -40.00%,
the payment at maturity will be $600.00 per $1,000 principalamount note, calculated as follows:
$1,000 + [$1,000 × (-40.00%)] = $600.00
The hypothetical returnsand hypothetical payments on the notesshown above applyonly if you hold the notes for their entire term
or until automatically called. These hypotheticalsdo not reflect the fees or expensesthat would be associated withanysale in the
secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notes involvessignificant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement, product supplement and underlying supplement and in Annex A tothe accompanying
prospectus addendum.
Risks Relating to the NotesGenerally
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS-
The notes donot guarantee any return of principal. If the notes have not been automatically called and the Final Value isless than
the Trigger Value, you will lose 1% of the principal amount of your notes for every1% that the Final Value isless than the Initial
Value. Accordingly, under these circumstances, you will lose more than30.00%of your principal amount at maturity and couldlose
all of your principal amount at maturity.
●THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL-
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date (and we
will payyou any previously unpaid Contingent Interest Paymentsfor anyprior Review Dates) onlyif the closinglevel of the Index
on that Review Date is greater thanor equal to the Interest Barrier. If the closinglevel of the Index on that Review Dateis lessthan
the Interest Barrier, no Contingent Interest Payment willbe made with respect to that Review Date. You will not receive any unpaid
Contingent Interest Payments if the closing level of the Index on eachsubsequent Review Date is lessthan theInterest Barrier.
Accordingly, if the closing level of the Indexon each Review Date is lessthan the Interest Barrier, you will not receive any interest
payments over the termof 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. As a result, the level of the Index will trail the value of an identically
constitutedsynthetic portfolio that is not subject to any such deduction.
Thisdeduction will place a significantdrag on the performance of theIndex, potentially offsetting positive returnson the Index's
investment strategy, exacerbating negative returnsof its investment strategy and causing the levelof the Index to declinesteadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of itsinvestment strategyis
sufficient to offset the negative effectsof thisdeduction, and then only to the extent that the returnof its investment strategy is
greater than this deduction. As a result of this deduction, the level of the Indexmay decline even if the returnof itsinvestment
strategy isotherwise 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 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 derivatives underlying the economicterms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and SecondaryMarket Prices of
the Notes" in thispricing supplement.
●THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST -
Since the Amendment Effective Date, theperformanceof the Underlying Asset has been subject toa notional financing cost
deducted daily.The notional financingcost is intended to approximate the cost of maintaining a position in the QQQ Fund using
borrowedfunds at a rate of interest equal to the daily SOFR rate plusa fixed spread. The actual cost of maintaining aposition in
the QQQ Fund at any time may be less thanthe notional financing cost. Asa result of thisdeduction, the level of the Index will trail
the value of an identically constituted synthetic portfolio that is not subject to any such deduction.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined by themarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
PS-9| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a financesubsidiary of JPMorgan Chase & Co., we have no independent operations beyond theissuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capitalcontribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made 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 have sufficient resources to meet our obligations in
respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable tomake
payments on the notes, you may have to seek payment under the related guaranteeby JPMorgan 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 in any appreciation of the Index.
●THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE-
If the Final Value isless than the Trigger Value and the notes have not been automatically called, thebenefit provided by the
Trigger Value will terminateand you will befully exposed to any depreciationof 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 sixmonths and you will
not receive any Contingent Interest Payments after the applicable Call Settlement Date.There is noguarantee that you would be
able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a
similar levelof risk. Even in cases where the notes are called before maturity, youare not entitled to any feesand commissions
described on the front cover of this pricing supplement.
●YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY
RIGHTS WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES.
●THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE
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 componentsof the Index.
●LACK OF LIQUIDITY-
The notes will not be listedon anysecurities exchange. Accordingly, theprice at which you may be able to tradeyour notes is 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 beshort-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
●POTENTIAL CONFLICTS-
We and our affiliates play avariety of roles inconnection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economicinterests are potentially adverse to your interests as aninvestor in the notes. It ispossible that hedging or trading
activities of ours or our affiliates inconnection with thenotescould 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 accompanying product
supplement.
An affiliate of ours currentlyhas a 10% equity interest in the Index Sponsor, witha right to appoint an employee of JPMS, another
of our affiliates, asa member of the board of directors of the Index Sponsor.The Index Sponsor can implement policies, make
judgments or enact changes to the Index methodology 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 valueof 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 andour respectiveemployees are under no obligation to consider your interests as 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 as a 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, policies and determinations concerning the Index were made byJPMS, 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 under no
obligation to consider your interests as an investor in the notes in its role in developing the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
PS-10| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes
●THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of thenotes is only an estimate determined by reference to several factors. The original issue price of the
notes exceedsthe estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in theoriginal issue price of the notes. Thesecosts include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesandthe estimated cost ofhedging
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 FUNDINGRATE -
The internal funding rate used in the determination of the estimated value of the notes maydiffer from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Anydifference may
be based on, among other things, our and our affiliates' view of the funding valueof the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay
prove to be incorrect, and is intended toapproximate the prevailing market replacement funding rate for the notes.The use of an
internal funding rate and anypotential changes to that rate may have an adverse effect on the termsof the notes and any
secondary market prices of the notes. See "The Estimated Value of the Notes" in this pricing 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 notes will be partiallypaid back to you in
connection with any repurchases of your notesby JPMS in an amount that will decline to zero over an initial predetermined period.
See "SecondaryMarket Prices of the Notes" in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the value of the notes aspublished by
JPMS (and which may be shown on your customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondary market pricesof the notes willlikely be lower than the original issue price of the notes because, among other
things, secondary market prices take intoaccount our internal secondary market funding rates for structured debt issuances and,
also, becausesecondarymarket prices may exclude sellingcommissions, projected hedging profits, if any, and estimatedhedging
costs that are included inthe original issue price of the notes. As a result, the price, if any, at which JPMS will be willingtobuy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale byyou prior to
the Maturity Date could result in a substantial loss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, aside from 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 publish aprice for
the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than theprice
of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondary market. See "Risk Factors -Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes- Secondary market prices of the notes will be
impacted by many economic and market factors" in theaccompanying product supplement.
Risks Relating to the Index
●THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS
NO OBLIGATION TO CONSIDER YOUR INTERESTS -
The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute the componentsof
the Index or make other methodological changes that could affect thelevel of the Index. The Index Sponsor has no obligation to
consider your interests incalculating or revising the Index.
●THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
No assurancecan be given that theinvestment strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed with respect to the Underlying Asset.
PS-11| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
●THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurancecan be given that theIndex will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityis a 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'sexposure to the Underlying Asset isset
equal to (a) the 35% implied volatility target divided by (b) the one-weekimplied volatilityof the QQQ Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, there isno guarantee that the methodology used by the Index to determine the implied volatilityof the QQQ Fund
will be representative of the realized volatility of the QQQ Fund. The volatilityof the Underlying Asset on any daymay change
quickly and unexpectedly andrealizedvolatility maydiffer significantlyfromimplied volatility. In general, over time, the realized
volatilityof the QQQ Fundhas tended to belower than its implied volatility; however, at any time that realized volatility may exceed
its implied volatility, particularly duringperiods of market volatility. Accordingly, the actual annualized realized volatility of the Index
maybe greater than or less than 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 rebalance day, the Index will employ leverage to increase the exposure of the Index to the UnderlyingAsset if
the impliedvolatility of the QQQ Fund is below 35%, subject to amaximum exposure of 500%. Under normal market conditionsin
the past, the QQQ Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leverage in the past, except during periods of elevatedvolatility. When leverage is employed, any movementsin the prices of the
Underlying Asset will result in greater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage willmagnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where asignificant increase in volatility is
accompanied by a significant declinein the price of the Underlying Asset, the level of the Indexmay declinesignificantly beforethe
following Index rebalance day when the Index'sexposure to the Underlying Asset would be reduced. In addition, the notional
financing cost deducted daily will be magnified by any leverage provided by the Index.
●THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalance day, the Index's exposureto the Underlying Asset will be less than 100% when theimplied volatility
of the QQQ Fund is above 35%. If the Index's exposure to the Underlying Asset is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Index may be significantly uninvested on any given day, and will
realize only a portion of any gains due to appreciationof the Underlying Asset on any suchday. The 6.0% per annum deduction is
deducted daily, even when the Index is not fullyinvested.
●AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Some of the equity securities held by the QQQ Fund are issued by non-U.S. companies. Investments insecurities linked to the
value of such non-U.S. equitysecuritiesinvolve risks associated with the homecountries ofthe issuersof those non-U.S. equity
securities.The prices of securities issued by non-U.S. companies maybe affected bypolitical, economic, financial and social
factors in the home countries of thoseissuers, or global regions, including changes in government, economicand fiscalpolicies
and currency exchange laws.
●THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
The QQQ Fund issubject to management risk, which is the risk that the investment strategies of the QQQ Fund's investment
adviser, theimplementation ofwhich issubject to a number of constraints, may not produce the intended results. These constraints
could adversely affect the market price of the shares of the QQQ Fund and, consequently, the value of the notes.
●THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE QQQ FUND'S UNDERLYING INDEX AS WELL AS
THE NET ASSET VALUE PER SHARE -
The QQQ Fund does not fullyreplicate its underlying index and may hold securities different fromthose included in its underlying
index. In addition, the performance of the QQQ Fund will reflect additional transaction costs and fees that are not included in the
calculation of its underlying index. All of these factors may lead to alackof correlation between the performance of the QQQ Fund
and its underlying index. In addition, corporateactions with respect to the equity securities underlying the QQQ Fund (such as
mergers and spin-offs) mayimpact the variance between the performances of the QQQ Fund and its underlying index. Finally,
because theshares of the QQQ Fund are traded on asecuritiesexchange and are subject to market supply and investor demand,
the market value of one share of the QQQ Fund maydiffer from the net asset valueper share of the QQQ Fund.
During periodsof market volatility, securities underlying the QQQ Fund may be unavailable in thesecondary market, market
participants may be unable tocalculate accurately the net asset value per share of the QQQ Fund and the liquidity of the QQQ
Fund may be adversely affected. Thiskind of market volatility may also disrupt the ability of market participants to create and
redeem shares of the QQQ Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market
participants are willing to buyandsell shares of the QQQFund. As a result, under these circumstances, themarket value of shares
of the QQQ Fund may vary substantially from the net asset value per share of the QQQ Fund. For all of the foregoing reasons, the
performance of the QQQ Fund may not correlate with the performance of its underlying index as well asthe net asset value per
share of the QQQ Fund, which could materiallyand adversely affect the value of the notesin thesecondarymarket and/or reduce
any payment on the notes.
PS-12| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
●HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS, AND THE HISTORICAL AND HYPOTHETICAL BACK-TESTED
PERFORMANCE OF THE INDEX ARE NOT INDICATIONS OF ITS FUTURE PERFORMANCE -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Data and Historical Information"
in thispricingsupplement is purely theoretical and does not represent the actual historical performance of the Indexandhasnot
been verified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested modelthat has been
designed withthe benefit of hindsight. Alternative modellingtechniquesmight produce significantly different resultsand may prove
to be more appropriate. Past performance, andespecially hypothetical back-tested performance, is not indicative of future results.
Thistype of informationhas inherent limitations, and you shouldcarefully consider theselimitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance can be provided that the QQQ Fund is an appropriatesubstitute for the Futures Contracts. This replacement may
adversely affect the performance of theIndex and the value of the notes, as the QQQ Fund, subject to a notional financing cost,
mayperform worse, perhaps significantly worse, than the Futures Contracts. The Index lacks any operating history with the QQQ
Fund as the Underlying Asset prior to the Amendment Effective Date and may perform in unanticipated ways. Investors in the
notes should bear thisdifference in mind when evaluatingthe historical and hypothetical back-tested performance shown in this
pricing supplement.
●OTHER KEY RISK:
o THE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-
listed and other risks.
Hypothetical Back-Tested Data and Historical Information
The following graph sets forththe hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January 4, 2019 through June 18, 2021, and the historical performanceof the Indexbased onthe
weekly historical closing levels of the Index from June 25, 2021 through October 25, 2024. The Index wasestablished on June 22,
2021, as representedby the vertical linein the followinggraph. All data to the leftof that vertical line reflect hypothetical back-tested
performance of the Index. Alldata to the right of that vertical line reflect actualhistorical performance of the Index. The closing level of
the Index on October 28, 2024 was 11,439.48. We obtained the closinglevels above and below from the Bloomberg Professional®
service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of the Index set forth in the following graph are purely theoretical and do not
represent the actual historical performance of the Index. See "Selected Risk Considerations- Risks Relating to the Index-
Hypothetical Back-Tested Data Relatingto the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations,
and the Historical and Hypothetical Back-Tested Performance of the Index Are Not Indications of Its Future Performance" above.
The hypothetical back-tested and historical closing levels of the Index should not be taken as an indication of future performance, and
no assurance can be given asto the closing level of the Index on any Review Date. There can be no assurance that the performance of
the Index will result in the return of any of your principal amount or thepayment of any interest.
Hypothetical Back-Tested and Historical Performance of the
MerQube US Tech+ Vol Advantage Index
Source: Bloomberg
PS-13| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
The hypothetical back-tested closing levels of the Index have inherent limitations and have not been verified by an independent third
party. These hypothetical back-tested closing levels are determined by means of a retroactive application of a back-tested model
designed withthe benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guaranteeof future returns. No
representation is made that an investment in thenotes will or is likely to achieve returns similar to thoseshown. Alternative modeling
techniquesor assumptions would produce different hypotheticalback-tested closing levels of the Index that might prove to be more
appropriate and that might differ significantly from the hypothetical back-testedclosing levels of the Index set forth above.
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 tax purposes 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 -Tax Consequences to U.S. Holders- Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement. Based on the
advice of Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment, but that there are other
reasonable treatments that the IRS or a court may adopt, in whichcase the timing and character of any income or loss on the notes
could be materially affected. In addition, in 2007 Treasury and the IRS released a notice 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 theseinstruments to accrue income over the term of their investment. It also asks for commentson a number of related
topics, includingthe character of income or loss with respect to these instruments and the relevance of factors such as the nature 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 retroactiveeffect.The discussions above and in the accompanying
product supplement do not address the consequences to taxpayerssubject to special tax accounting rules under Section 451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal incometax consequencesof 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 is provided), it is expected that withholding agents 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 income tax treaty under an "other income"or similar provision. We willnot be required to pay any additionalamounts with
respect to amounts withheld. In order toclaiman exemption from, 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 is eligible for suchan exemption or
reduction under an applicable tax treaty. If you area Non-U.S. Holder, you should consultyour tax adviser regarding the tax treatment
of the notes, including the possibility of obtaininga 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 (unless an 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 the applicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthe scopeof Section 871(m) instruments issued prior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special tax counsel is of the
opinion that Section871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS,
and the IRS maydisagree with this determination. Section 871(m) iscomplex and its application may dependon your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. Youshould consultyour tax
adviser regarding the potential application of Section871(m) to the notes.
In the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
PS-14| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
The Estimated Value of the Notes
The estimated value of thenotes set forth on the cover of this pricing supplement isequal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturityas the notes, valuedusing the internal funding
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 (if any exists) at any
time. The internal funding rate used in the determination of the estimatedvalue of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any differencemay be
based on, among other things, our and our affiliates'view of the funding value of the notes as well as the higher issuance, operational
and ongoing liabilitymanagement costs of the notesin comparison tothosecosts for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certainmarket inputs and assumptions, which mayprove to beincorrect,
and is intended to approximate theprevailing market replacement funding rate for the notes. The use of an internal funding rate and
any potential changes to that rate mayhave an adverse effect on theterms 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.
The value of the derivativeor derivatives underlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates. These modelsare dependent on inputs such asthe traded market prices of comparable derivative instruments and onvarious
other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as
well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when
the terms of the notes are setbased on market conditions and other relevant factors and assumptionsexisting at that time.
The estimated value of the notes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsandassumptionscould 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 future may change, and any assumptions may prove to be incorrect. On
future dates, the value of the notes could changesignificantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfromyou in secondarymarket transactions.
The estimated value of thenotes is lowerthan the originalissue priceof the notes becausecosts associated with selling, structuring
and hedging the notes are included in the originalissue price of the notes. These costsinclude the sellingcommissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our
obligations entails riskandmay be influenced by market forces beyond our control, thishedging may result in a profit that is more or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notesmay be
allowed to other affiliatedor 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 Value and Secondary Market Prices of theNotes - The Estimated
Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricing supplement.
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 be impacted bymany
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs
included in theoriginal issue price of the notes will be partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initialpredetermined 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 structured debt issuances. Thisinitial predetermined time period is intended to bethe shorter of six months and one-half of the
stated term of the notes. The length of any such initial period reflects thestructure of the notes, whether our affiliatesexpect to earn a
profit inconnection with our hedging activities, the estimated costs 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.
PS-15| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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 pricing supplement for an illustration of the risk-return
profile of thenotes and "The MerQube US Tech+ Vol Advantage Index" inthis pricing supplement for a description of the market
exposure provided by the notes.
The original issue price of the notes 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 affiliatesexpect to realize for assuming risks inherent
in hedging our obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offeredby this pricing supplement have beenissued by JPMorgan Financialpursuant to the indenture, the trustee and/orpaying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and such notes have beendelivered against payment as
contemplated herein, suchnotes will be valid and binding obligations of JPMorgan Financial and the relatedguarantee will constitute a
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicablebankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing andthe lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'sobligationunder the related guarantee.
Thisopinion is given as of thedate hereof and is limited to the laws of the State of New York, the General CorporationLaw of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject to customary assumptions about the
trustee's authorization, execution and delivery of the indenture and its authentication of the master note and thevalidity, binding nature
and enforceability of the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filed asan exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. onFebruary 24,
2023.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the accompanying prospectus, as supplementedby theaccompanying
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 pricing supplement, together with the documents listed below, contains the terms of the notes and 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. Youshould carefully consider, among other things, the matters set forth in the "Risk Factors" sections of theaccompanying
prospectussupplement, the accompanying product supplement and the accompanying underlying supplement and in Annex A to the
accompanying prospectus addendum, as the notes involve 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 access these documents on the SEC websiteat www.sec.gov as follows(or if such addresshas changed, by
reviewing our filings for the relevant dateon the SEC website):
●Product supplement no. 4-I dated April 13, 2023:
●Underlying supplement no. 5-II dated March5, 2024:
●Prospectus supplement and prospectus, each dated April 13, 2023:
●Prospectus addendum datedJune 3, 2024:
Our Central Index Key, orCIK, on the SEC websiteis 1665650,and JPMorgan Chase & Co.'s CIK is19617. Asused inthis pricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.