JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 12:44
Primary Offering Prospectus - Form 424B2
The information in this preliminary pricing supplement is notcomplete and maybe changed. This preliminary pricing supplement is not
an offer to sell nordoes itseek an offer tobuy these securities in any jurisdiction where the offer or sale is notpermitted.
Subject to completion datedOctober 30,2024
November, 2024RegistrationStatement Nos.333-270004and 333-270004-01; Rule 424(b)(2)
Pricingsupplement to product supplement no.4-IdatedApril 13, 2023, underlyingsupplement no. 1-I dated April13,2023,
the prospectus andprospectussupplement, eachdated April13, 2023,andthe prospectus addendumdated June 3, 2024
JPMorgan Chase Financial Company LLC
Structured Investments
Review NotesLinked to the iShares® 20+ Year
Treasury Bond ETFdue November 26, 2027
Fully and UnconditionallyGuaranteed by JPMorgan Chase& Co.
•The notes aredesigned for investors whoseek early exit prior to maturity at a premium if, on any Review Date, the
closing price of one shareof the iShares®20+ Year TreasuryBond ETFisat or above the Call Value.
•The earliest dateon which an automatic call may be initiated is November 28, 2025.
•Investors should be willing to forgo interest and dividend payments and bewilling to accept the risk of losingsome or all
of their principal amount at maturity.
•The notes areunsecuredandunsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as 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., asguarantor of the notes.
•Minimum denominations of $1,000 and integralmultiplesthereof
•The notes areexpected to price on or about November22, 2024 and are expected tosettle on or about November 27,
2024.
•CUSIP: 48135VBB3
Investing in thenotes involves a number of risks. See"Risk Factors"beginning on page S-2 of the accompanying
prospectus supplement,Annex A to the accompanyingprospectus addendum, "Risk Factors" beginning on pagePS-11
of the accompanying product supplement and"Selected Risk Considerations" beginning on page PS-4 of this pricing
supplement.
Neither the Securities and Exchange Commission (the"SEC") nor anystate securitiescommission has approved or disapproved
of thenotes or passed upon the accuracyor the adequacy of this pricing supplementor theaccompanying product supplement,
underlyingsupplement, prospectus supplement, prospectusandprospectusaddendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Feesand Commissions(2)(3)
Proceeds to Issuer
Per note
$1,000
-
$1,000
Total
$
-
$
(1) See "Supplemental Use of Proceeds" in this pricing supplementfor information about the componentsof theprice to publicof
the notes.
(2) Allsalesofthenoteswill be made to certain fee-basedadvisory accounts for which anaffiliatedor unaffiliatedbroker-dealer is
aninvestment adviser. These broker-dealerswill forgo anycommissionsrelated to these sales.See"Plan ofDistribution
(Conflictsof Interest)" in theaccompanying product supplement.
(3) J.P. Morgan Securities LLC, which we refer toas JPMS, may paya structuringfee of $8.00 per $1,000 principal amountnote with
respecttosome orall ofthenotes to other affiliatedor unaffiliateddealers.
If the notes priced today, the estimated value of the notes would be approximately $971.80per $1,000 principal amount
note. The estimated valueof the notes, when the termsof the notes are set, will beprovided in the pricing supplement
and will not be less than $950.00per $1,000 principal amount note. See"The Estimated Value of the Notes" in this
pricing supplement for additional information.
Thenotes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct, wholly
owned financesubsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Fund: The iShares® 20+ Year Treasury Bond ETF (Bloomberg
ticker: TLT)
Call Premium Amount: The Call Premium Amount with respect to
each Review Date isset forth below:
•first Review Date:at least 12.50% × $1,000
•second Review Date: at least 18.75% ×$1,000
•third Review Date: at least25.00% ×$1,000
•fourth Review Date:at least 31.25% × $1,000
•final Review Date: at least 37.50% × $1,000
(in eachcase, to be provided in thepricing supplement)
Call Value: 100.00% of the Initial Value
Barrier Amount: 80.00% of the Initial Value
Pricing Date:On or about November 22, 2024
Original Issue Date (Settlement Date): Onor about November
27, 2024
Review Dates*: November 28, 2025, May22, 2026, November 23,
2026, May 24, 2027 and November 22, 2027 (final Review Date)
Call Settlement Dates*:December 3, 2025, May 28, 2026,
November 27, 2026, May 27, 2027 and the Maturity Date
Maturity Date*:November 26, 2027
* Subject to postponement in the event of a market disruption event
and as described under "General Termsof Notes-Postponement
of a Determination Date- Notes Linked to a Single Underlying -
NotesLinkedto a SingleUnderlying (Other Than a Commodity
Index)" and "General Terms of Notes-Postponement of a
Payment Date" in the accompanying product supplement
Automatic Call:
If theclosingprice of one share of the Fund on any Review Date is
greater than or equal to the Call Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal
amount note, equal to (a) $1,000plus (b) the Call Premium Amount
applicable to that Review Date, payable ontheapplicable Call
Settlement Date. No further payments will bemade on the notes.
Payment at Maturity:
If thenotes have not been automatically called and the Final Value
is greater than or equal totheBarrier Amount, you will receive the
principal amount of your notes at maturity.
If thenotes have not been automatically called and the Final Value
is less than the Barrier Amount,your payment at maturity per
$1,000 principal amount notewill be calculated as follows:
$1,000 + ($1,000 × Fund Return)
If thenotes have not been automatically called and the Final Value
is less than the Barrier Amount, you will lose more than 20.00% of
your principal amount at maturity and could lose all of your principal
amount at maturity.
Fund Return:
(Final Value -Initial Value)
Initial Value
Initial Value: The closingprice of oneshare of theFundonthe
Pricing Date
Final Value: Theclosing price of one shareof the Fund on the final
Review Date
Share Adjustment Factor:The Share Adjustment Factor is
referenced in determining the closing price of one shareof the
Fund and is set equal to 1.0on thePricingDate. The Share
Adjustment Factor is subject to adjustment upon the occurrence of
certain events affecting the Fund. See "The Underlyings-Funds
- Anti-Dilution Adjustments" in theaccompanying product
supplement for further information.
PS-2 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
Supplemental Terms of the Notes
Any values of the Fund, and any valuesderivedtherefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or any other party.
How the Notes Work
Payment upon an Automatic Call
Payment at MaturityIf the Notes Have Not Been Automatically Called
ReviewDates
Youwill receive theprincipal amount
of your notes.
The notes have not
been automatically
called. Proceed to the
payment at maturity.
Final ReviewDatePayment atMaturity
The Final Value is greater thanor equal tothe
Barrier Amount.
You will receive:
$1,000+ ($1,000 × FundReturn)
Under these circumstances, you will
lose some or all of your principal
amount at maturity.
The Final Value is less thanthe Barrier Amount.
PS-3 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
Call Premium Amount
The tablebelow illustrates the hypothetical Call Premium Amount per $1,000 principal amount notefor each Review Date based on the
minimum Call Premium Amountsset forthunder "Key Terms-Call Premium Amount" above.The actual Call Premium Amountswill
be provided in the pricingsupplement and willnot belessthan theminimumCall Premium Amountsset forthunder "Key Terms - Call
Premium Amount."
Review Date
Call Premium Amount
First
$125.00
Second
$187.50
Third
$250.00
Fourth
$312.50
Final
$375.00
Hypothetical PayoutExamples
The following examples illustrate payments on the notes linked to a hypothetical Fund, assuming a rangeof performances for the
hypotheticalFund on the Review Dates.
In addition, the hypothetical paymentsset forth below assume the following:
•an Initial Value of $100.00;
•a Call Value of $100.00 (equal to 100.00% of thehypotheticalInitial Value);
•a Barrier Amountof $80.00 (equalto 80.00% of the hypothetical Initial Value); and
•the Call Premium Amounts are equal to the minimum Call Premium Amountsset forthunder "Key Terms - Call Premium
Amount" above.
The hypotheticalInitial Valueof $100.00has been chosen for illustrative purposesonly andmaynot represent a likely actual Initial
Value. The actual Initial Value will bethe closingprice of one share of the Fundon the Pricing Dateand willbe provided in thepricing
supplement. For historical data regarding the actualclosing prices of one share of the Fund, please see the historical information set
forth under "The Fund" in thispricingsupplement.
Each hypothetical payment set forth below isfor illustrative purposes only and maynot be the actual payment applicable to a purchaser
of thenotes. The numbers appearing in the following exampleshave been rounded for ease of analysis.
Example 1 - Notes are automatically called on the first Review Date.
Date
Closing Price
First Review Date
$110.00
Notesare automaticallycalled
Total Payment
$1,125.00(12.50% return)
Because the closing price of one shareof the Fund on the first Review Date is greater than or equal tothe Call Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,125.00 (or $1,000 plus the Call Premium Amount
applicable to the first Review Date), payable on theapplicable Call Settlement Date. No further payments will be made on thenotes.
Example 2 - Notes are automatically called on the final Review Date.
Date
Closing Price
First Review Date
$90.00
Notes NOT automaticallycalled
Second Review Date
$75.00
Notes NOT automaticallycalled
Third through Fourth
Review Dates
Less than Call Value
Notes NOT automaticallycalled
Final Review Date
$150.00
Notesare automaticallycalled
Total Payment
$1,375.00(37.50% return)
Because the closing price of one shareof the Fund on the final Review Date is greater than or equal to the Call Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,375.00 (or $1,000 plus the Call Premium Amount
applicable to the final Review Date), payable on theapplicable Call Settlement Date, which is the Maturity Date.
PS-4 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
Example 3 - Notes have NOT been automatically called andtheFinal Value is greater than or equal tothe Barrier Amount.
Date
Closing Price
First Review Date
$90.00
Notes NOT automaticallycalled
Second Review Date
$85.00
Notes NOT automaticallycalled
Third through Fourth
Review Dates
Less than Call Value
Notes NOT automaticallycalled
Final Review Date
$80.00
Notes NOT automaticallycalled; Final Value is greater than or
equal to Barrier Amount
Total Payment
$1,000.00(0.00% return)
Because the noteshave not been automatically called and the Final Valueis greater than or equal to theBarrier Amount, the payment
at maturity, for each $1,000 principal amount note, will be $1,000.00.
Example4- Notes have NOT been automatically called and the Final Value is less than the Barrier Amount.
Date
Closing Price
First Review Date
$80.00
Notes NOT automaticallycalled
Second Review Date
$70.00
Notes NOT automaticallycalled
Third through Fourth
Review Dates
Less than Call Value
Notes NOT automaticallycalled
Final Review Date
$40.00
Notes NOT automaticallycalled; Final Value is less than Barrier
Amount
Total Payment
$400.00 (-60.00% return)
Because the noteshave not been automatically called, the Final Value is lessthan the Barrier Amountand the Fund Return is -60.00%,
thepayment at maturity willbe $400.00 per $1,000 principalamount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)]= $400.00
The hypothetical returnsand hypothetical payments on the notesshown above apply onlyif you hold the notes for their entire term
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would be associated with any sale in the
secondarymarket. If these fees and expenses were included, thehypothetical 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 supplementandproduct supplement and in Annex A to the accompanying prospectus addendum.
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 thenotes have not been automatically called and the Final Value is less than
theBarrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial
Value. Accordingly, under these circumstances, you will lose more than 20.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
•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. Any actual 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 on our payment
obligations, you maynot receive any amounts owed to you under the notes and you could lose your entire investment.
PS-5 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
•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 tous 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 ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation ofthe Fund, which may be significant. You will not participate in anyappreciation ofthe Fund.
•THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE-
If the Final Valueisless than the Barrier Amount and the notes havenot been automatically called, the benefit provided by the
Barrier Amount will terminateand you willbe fully exposed to any depreciation of the Fund.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT-
If your notesare automatically called, the termof the notes may be reduced to asshort asapproximately one year. Thereis no
guaranteethat you would be able to reinvest the proceeds from an investment in the notesat a comparable returnfor a similar
level of risk.Even in cases where the notesare calledbefore maturity, you are not entitled to any fees and commissions described
on the front cover of thispricing supplement.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE FUND OR THE SECURITIES HELD BY THE
FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THOSE SECURITIES.
•ANY PAYMENT ON THE NOTESWILL BE DETERMINED BY REFERENCE ONLY TO THE PRICE PERFORMANCE OF THE
FUND -
The amount of the payment at maturityon the notes is basedonly on the price performance of the Fund, which does not include
dividendsor other distributionson the Fund or thesecurities held by the Fund. The magnitude of this lost dividend or distribution
yield maybe particularly significant. The Fund is abond fund and, as with any bond fund, distributions of interest payments on the
bonds held by the Fund would be expected tomake up a significant portion of the overall yield on a direct investment in the Fund.
The notes will not reflect distributionsof interest payments on the bonds heldbytheFundand, therefore, will not reflect the interest
component of the yield on the Fund. As a result, theperformance of the Fund asmeasured for purposes of the notes may be
significantlyless than the return that a direct investor in the Fund would realize.
•THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE FUND FALLING BELOW THE BARRIER AMOUNT IS
GREATER IF THE PRICE OF ONE SHARE OF THE FUND IS VOLATILE.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange. Accordingly, the price at whichyou may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes.You may notbe able to sellyour notes.The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
•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 theestimated valueof the notes and the
Call Premium Amounts.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay avarietyof roles in connection with thenotes. In performing these duties, our and JPMorganChase &
Co.'seconomicinterests are potentially adverse toyour interests as an investor in the notes. It ispossible that hedging or trading
PS-6 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
activities of ours or our affiliates in connection with the notes could result insubstantial 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.
Risks Relating to theEstimated 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 -
Theestimated valueof the notes is only an estimate determined by reference to several factors. The original issue price of the
notes will exceed the estimated valueof the notesbecause costs associated with structuring and hedging the notesare included in
the originalissue price of the notes. Thesecosts include the structuring fee, if any, the projected profits, if any, that our affiliates
expect to realize for assumingrisks inherent in hedging our obligations under thenotes and the estimated cost of hedging our
obligations under the notes. See "The Estimated Value of the Notes"in this pricingsupplement.
•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 OFTHE 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 the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissued byJPMorgan 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 comparisonto 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 potentialchanges tothat ratemay have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "TheEstimated 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 toyou in
connection with any repurchases of your notesbyJPMS in an amount that will decline to zero over an initial predetermined period.
See"SecondaryMarket Prices of the Notes" in this pricingsupplement for additionalinformation 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 into account our internal secondary market funding rates for structured debt issuances and,
also, becausesecondarymarket prices (a) exclude the structuring fee, if any, and (b) mayexcludeprojected hedging profits, if any,
and estimated hedgingcosts that are included in the original issue price of the notes. As aresult, the price, if any, at which JPMS
will be willing to buythe notesfromyouinsecondarymarket transactions, if at all, islikely to belower than the original issue price.
Any salebyyou prior to the Maturity Date could result in asubstantial loss 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 thestructuring fee, if any, projected hedging profits, if any, estimated hedging
costs and the price of one share of the Fund. Additionally, independent pricing vendors and/or third party broker-dealersmay
publish a price for the notes, which may also be reflected oncustomer account statements. This pricemay be different (higher or
lower) than the price of the notes, if any, at which JPMS maybe willing topurchase your notes in the secondary market. See"Risk
Factors -Risks Relating to the Estimated Valueand SecondaryMarket Prices of the Notes - Secondarymarket prices of the
notes will beimpactedbymany economic and market factors" in the accompanying product supplement.
PS-7 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
Risks Relating to theFund
•THERE ARE RISKS ASSOCIATED WITH THE FUND-
The Fund is subject tomanagement risk, which is the risk that the investment strategies of the Fund's investment adviser, the
implementation of which is subject to anumber of constraints, may not produce the intended results. These constraintscould
adversely affect the market price of the sharesof the Fund and, consequently, thevalue ofthe notes.
•THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND'S UNDERLYING INDEX AS WELL AS THE NET ASSET
VALUE PER SHARE -
The Funddoes not fully replicate its Underlying Index (asdefined under "TheFund" below) andmay hold securities different from
those included in its Underlying Index. In addition, the performance ofthe Fund will reflectadditional transactioncostsand fees
that are not included in thecalculation of its Underlying Index. Allof these factors may lead to alack of correlation between the
performance of the Fund and its Underlying Index. Finally, because the sharesof the Fund are traded on a securities exchange
and are subject to market supplyand investor demand, themarket value of one share ofthe Fund maydiffer from the net asset
value per share of the Fund.
During periodsof market volatility, securities underlyingthe Fundmaybe unavailable in thesecondary market, market participants
maybe unable to calculate accurately thenet asset value per share of the Fundandtheliquidity of the Fund maybe adversely
affected. Thiskind of market volatility mayalso disrupt the ability of market participantsto create and redeem shares of the Fund.
Further, market volatility mayadversely affect, sometimes materially, the prices at which market participants are willing to buyand
sell shares of the Fund. Asa result, under these circumstances, themarket value of shares of the Fund mayvary substantially
from the net asset value per share ofthe Fund. For all of the foregoing reasons, the performance of the Fund maynot correlate
with the performance of its UnderlyingIndex as well as the net asset value pershare of the Fund, which could materially and
adversely affect the value of the notes in the secondary market and/or reduce any paymenton the notes.
•THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING
INTEREST RATE-RELATED RISKS -
The Fund attempts to track the performance of an indexcomposed of U.S. Treasury bonds. Investing in the notes that provide
exposure to the Fund, which primarily holds bonds, differssignificantly from investing directly in bonds tobe held tomaturity, as the
value of the Fund changes, at times significantly, duringeach trading day based upon the current market pricesof the underlying
bonds. The market prices of these bondsare volatile and significantly influenced by a number of factors, particularly the duration
of theunderlying bonds, theyields on these bonds as compared tocurrent market interest ratesand the actualor perceived credit
qualityof the U.S. government.
In general, fixed-income instruments are significantly affected bychanges in current market interest rates. As interest rates rise,
the prices of fixed-income instruments are likelyto decrease, and as interest rate fall, theprice of fixed-income securities are likely
to increase. Securities withlonger durations tend to bemore sensitive tointerest rate changes, usually making them more volatile
than securities withshorter durations. As a result, risinginterest rates may cause the value of the long-dated bonds underlying the
Fund to decline, possibly significantly, which wouldadversely affect the value of the notes.
Interest ratesare subject tovolatility due to a variety of factors, including:
•sentiment regarding underlying strength or weakness in the U.S. economy and global economies;
•expectations regarding thelevel of price inflation;
•sentiment regarding credit qualityin the U.S. and globalcredit markets;
•Federal Reserve policies regardinginterest rates; and
•the performance of U.S. and foreign capitalmarkets.
•THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING
CREDIT RISK -
The Fund attempts to track the performance of an indexcomposed of U.S. Treasury bonds. The prices of the bonds underlying the
Fund are significantlyinfluenced by the creditworthiness of the U.S. government.The bonds underlying the Fundmay have their
credit ratingsdowngraded, or their credit spreads may widensignificantly. Following a ratings downgrade or the widening of credit
spreads, the bonds underlying the Fund may suffer significant and rapid price declines. There can be no assurance thatsome or
all of the factors that contributed to that credit crisis willnot depress the price, perhaps significantly, of the bonds underlying the
Fund, which would adversely affect the value of the notes.
PS-8 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
•THE VALUE OF THE NOTES MAY BE INFLUENCED BY UNPREDICTABLE CHANGES IN THE MARKETS AND ECONOMIES
OF THE UNITED STATES -
The value of the Fund that attempts to track the performance of anindexcomposedof U.S. Treasurybonds may be influenced by
unpredictable changes, or expectations of changes, in the U.S. market. Changesin the U.S. government that may influence the
value of the notes include:
•economic performance, including any financial or economic crises and changesin the gross domestic product, the principal
sectors, inflation, employment and labor, and prevailing prices and wages;
•the monetarysystem, including the monetary policy, the exchange rate policy, the economic and tax policies, banking
regulation, credit allocation and exchange controls;
•the externalsector, includingthe amount and types of foreign trade, the geographic distribution of trade, the balance of
payments, and reserves and exchange rates;
•public finance, including the budget process, anyentry into or termination of anyeconomic or monetary agreement or union,
the prevailing accountingmethodology, the measuresof fiscal balance, revenues and expenditures, and anygovernment
enterprise or privatization program; and
•public debt, including external debt, debt service and the debt record.
These factors interrelate in complex ways, and the effect of one factor on the market value of the bondsunderlying the Fund may
offset or enhance the effect of another factor.Changes in the value of the Fund mayadversely affect any payment on the notes.
•THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED-
The calculation agent will make adjustments to the Share Adjustment Factor for certain events affecting the shares of theFund.
However, thecalculation agent willnot make an adjustment in response to all events that could affect the shares oftheFund. If an
event occurs that doesnot require the calculation agent to makean adjustment,thevalue of the notes may bemateriallyand
adversely affected.
PS-9 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
The Fund
TheFund is an exchange-traded fund of iShares® Trust, a registeredinvestment company, that seeks to track the investment results,
beforefees and expenses, of an index composed of U.S. Treasury bonds with remaining maturities greater thantwentyyears, which is
currently the ICEU.S. Treasury 20+ Year Bond Index. The ICEU.S. Treasury20+ Year Bond Indexmeasures the performance ofthe
U.S. dollar-denominated, fixed-rateU.S. Treasurymarketthat have a remaining maturity greater than or equal totwentyyears. For
additional information about the Fund, see "Fund Descriptions- The iShares®20+ Year Treasury Bond ETF" in theaccompanying
underlyingsupplement.
Historical Information
The following graph sets forth the historical performance of the Fund based onthe weeklyhistorical closing prices of oneshare of the
FundfromJanuary4, 2019 through October 25, 2024.Theclosing price of one shareof the Fundon October 28, 2024was $92.03.
We obtained theclosing prices above and below from the Bloomberg Professional®service ("Bloomberg"), without independent
verification. The closing prices aboveand below may have been adjusted by Bloomberg for actions taken by theFund, such as stock
splits.
The historical closing prices of one share of the Fund shouldnot be taken asan indication of future performance, and no assurance can
be given as to the closing price of oneshare of the Fundon the Pricing Date or any Review Date. There canbeno assurance that the
performance of the Fund will result in the return of anyof your principal amount.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanyingproduct
supplement no. 4-I. The following discussion, when read in combination withthat section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal incometax consequences of owning and disposing of notes.
Based oncurrent market conditions, in the opinion of ourspecial tax counselit is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, asmorefully described in "Material U.S. FederalIncome Tax
Consequences- Tax Consequences to U.S. Holders-Notes Treated as Open Transactions That Are Not Debt Instruments" in the
accompanying product supplement.Assuming this treatment is respected, the gain or loss on your notes should be treated aslong-
termcapitalgain or loss if youhold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue
price. However, the IRS or acourt may not respect this treatment, in which casethetiming andcharacter of any income or losson the
notes could be materiallyandadversely affected. Inaddition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income taxtreatment of "prepaidforwardcontracts" and similar instruments.Thenotice focuses in particular on
whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments arelinked; the degree, if any, to which income (including any mandated
accruals) realizedbynon-U.S. investorsshould besubject to withholding tax; and whether these instruments are or should besubject
to the"constructive ownership" regime, which very generallycan operate to recharacterizecertain long-termcapital gainas ordinary
PS-10 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
income and impose a notional interest charge. While the notice requestscomments onappropriate transition rulesand effective dates,
any Treasury regulations or other guidancepromulgated after consideration of theseissues couldmateriallyandadversely affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. Youshould consult your taxadviser regardingthe
U.S. federal incometax consequences of an investment in the notes, including possible alternative treatments and the issuespresented
by thisnotice.
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 fromthe scope of Section 871(m) instruments issuedprior to January
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 by us, 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
thisdetermination. Section871(m) is complex and its application may depend on your particular circumstances, including whether you
enter intoother transactions with respect to an Underlying Security. If necessary, further information regarding the potential application
of Section 871(m) will be provided in the pricing supplement for the notes. You shouldconsult your taxadviser regarding the potential
application of Section 871(m) to thenotes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of thispricing supplement isequal to thesum of the values of thefollowing
hypothetical components: (1) a fixed-income debt component withthe samematurityasthe notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlyingtheeconomic 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 secondarymarket (if anyexists) at
any time. The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof asimilar maturityissued by JPMorganChase & Co. or its affiliates. Any difference
maybe 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 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 beincorrect, and is intended to approximatetheprevailing market replacement funding rate for the notes. The use of an internal
funding rate and anypotential changes to that ratemay have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see "Selected Risk Considerations - Risks Relating to the Estimated Value and
Secondary MarketPrices of the Notes -The Estimated Value of the NotesIs Derived by Reference to anInternalFunding Rate" in this
pricingsupplement.
The value of the derivative or derivativesunderlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates. These modelsare dependent on inputssuch as the traded market prices of comparable derivative instruments and on
variousother 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 estimatedvalue of thenotes is
determined when the termsof the notes are set based 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 assumptionsmay 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
whichJPMS would be willing to buy notesfromyou in secondarymarket transactions.
The estimated value of the notes will be lower than the original issue priceof the notes because costs associated with structuringand
hedging the notes are included in the originalissue price of the notes.These costs include thestructuring fee, if any, paid to 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 risk and maybe influencedbymarket forces beyond our control, thishedging may result in a profit that ismore or less than
expected, or it may result in aloss. A portion of the profits, if any, realized in hedging our obligations under thenotes 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
PS-11 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
Risk Considerations- RisksRelating to the Estimated Value and SecondaryMarket Prices of the Notes- The Estimated Value of the
Notes Will Be Lower Than theOriginal 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 beimpacted bymany
economic and market factors"in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue price of 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 projected hedging profits, if
any, and, in some circumstances, estimated hedgingcostsand our internal secondary market funding ratesfor structured debt
issuances. This initial predetermined time period is intended to be the shorter of sixmonths and one-half of the stated term of the
notes. The length of any such initialperiod reflectsthe structure of the notes, whether our affiliates expect toearn a profit in connection
with our hedging activities, the estimated costsof hedging the notes and when these costsare 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 byJPMS (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 thispricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-returnprofile andmarket exposure provided by the
notes. See "How the Notes Work"and "Hypothetical Payout Examples" in thispricingsupplement for an illustration of therisk-return
profile of the notes and "The Fund" in thispricingsupplement for adescription of themarket exposure provided by the notes.
The originalissue price of thenotes is equal to the estimated value of the notes plus the structuring fee, if any,paid to 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 the notes, plusthe estimatedcost of hedging our obligationsunder the notes.
Supplemental Plan of Distribution
All sales of the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer isan
investment adviser. These broker-dealers will forgoany commissions related tothese sales. See "Plan of Distribution (Conflicts of
Interest)" in the accompanying product supplement.
JPMS may pay astructuring fee of $8.00 per $1,000 principal amount note with respect to someor all of the notes to other affiliated or
unaffiliated dealers.
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 theapplicable
agent. We reservethe right to change the terms of, or reject anyoffer to purchase, the notes prior totheir issuance. In the event of any
changes to the terms of the notes, we will notifyyou and youwill be asked to accept such changes in connection withyour purchase.
You may also choose to reject such changes, in which casewe may reject your offer to purchase.
You should read thispricing supplement together with theaccompanyingprospectus, as supplemented bythe accompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part,the accompanying prospectus
addendumand 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, sample structures, fact sheets, brochures or other educational materialsof
ours. Youshould carefullyconsider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying
prospectussupplement and the accompanyingproduct supplement and in Annex A to the accompanyingprospectusaddendum, as the
notes involve risksnot associated with conventional debt securities. We urge you to consult your investment,legal, tax, accounting and
other advisers before you invest in thenotes.
PS-12 | Structured Investments
Review NotesLinked to theiShares®20+ YearTreasuryBond ETF
You may access these documents on the SEC websiteat www.sec.gov as follows (or if such address has changed, by
reviewing our filings for the relevant date on the SEC website):
•Product supplement no. 4-Idated April13, 2023:
•Underlying supplement no. 1-IdatedApril 13, 2023:
•Prospectus supplement andprospectus, each dated April 13, 2023:
•Prospectus addendum dated June 3, 2024:
Our CentralIndex Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in thispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.