JPMorgan Chase & Co.
10/31/2024 | Press release | Distributed by Public on 10/31/2024 04:34
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 securitiesin any jurisdiction wherethe offer or sale is notpermitted.
Subjectto completion datedOctober 30,2024
November,2024Registration Statement Nos.333-270004and 333-270004-01; Rule 424(b)(2)
Pricing supplementto productsupplement no. 4-I dated April 13, 2023, underlying supplement no. 5-IIdatedMarch 5,2024,the prospectusand
prospectus supplement, each dated April 13,2023,and the prospectus addendum dated June 3,2024
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the
MerQube US Large-Cap Vol Advantage Indexdue
November 19, 2029
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
•The notes aredesigned for investors whoseek early exit prior to maturity at a premium if, on anyReview Date (other
than the final Review Date), the closing levelof the MerQubeUS Large-Cap Vol Advantage Index, which we refer to as
theIndex, is at or above the CallValue.
•Theearliest dateon which an automatic call may be initiated isNovember 18, 2025.
•The notes are also designed for investors who seek an uncapped return of 3.00timesanyappreciation of theIndex at
maturity,if the notes have not beenautomatically called.
•Investors should be willing to forgo interest anddividendpayments and be willing toaccept the risk of losingsome or all
of their principal amount at maturity.
•The Index is subject to a 6.0% per annumdaily deduction. This daily deduction will offset any appreciation of
the futures contracts included in the Index, will heighten any depreciation of those futures contracts andwill
generally bea drag on the performance of the Index. The Index will trail the performance of an identical index
withouta deduction. See "Selected Risk Considerations - Risks Relating to the Notes Generally -The Level
of the Index Will Include a 6.0% per Annum Daily Deduction" in this pricing supplement.
•The notes areunsecuredandunsubordinated obligations ofJPMorgan 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 integral multiples thereof
•The notes areexpected to price on or about November 14, 2024 and are expected to settle on or about November 18,
2024.
•CUSIP: 48135VBR8
Investing in the notes 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 page PS-11
of the accompanying product supplement, "Risk Factors" beginning on page US-4 of the accompanying underlying
supplementand"Selected Risk Considerations" beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved
of thenotes or passed upon the accuracyor the adequacy of this pricing supplement or theaccompanying product supplement,
underlyingsupplement, prospectus supplement,prospectusand prospectusaddendum. Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Feesand Commissions(2)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1)See "Supplemental Use ofProceeds" in this pricingsupplementforinformation about the components of the price to public ofthe
notes.
(2) J.P. Morgan Securities LLC, which we refer toasJPMS,acting as agent for JPMorganFinancial,will pay allof the selling
commissionsit receives fromustoother affiliatedorunaffiliated dealers. Inno event willthesesellingcommissionsexceed$50.00
per $1,000 principalamountnote. See "Plan ofDistribution (Conflicts ofInterest)" in theaccompanyingproduct supplement.
If the notes priced today, the estimated value of the notes would be approximately $886.50 per $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 $870.00 per $1,000principal amount note. See "The Estimated Value of the Notes" in this
pricing supplement for additional information.
The notes arenot 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
Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index:The MerQube US Large-Cap Vol Advantage Index
(Bloombergticker: MQUSLVA). The levelof the Index reflects
a deductionof 6.0% per annum that accruesdaily.
Call Premium Amount:TheCall Premium Amount with
respect to each Review Date is set forth below:
•first Review Date: at least 25.2500% × $1,000
•second Review Date: at least 31.5625% × $1,000
•third Review Date: at least 37.8750% × $1,000
•fourth Review Date: at least 44.1875% × $1,000
•fifth Review Date: at least 50.5000% × $1,000
(in eachcase, to be provided in thepricing supplement)
Call Value:100.00% of the Initial Value
Upside Leverage Factor: 3.00
Barrier Amount: 50.00% of the Initial Value
Pricing Date: On or about November 14, 2024
Original Issue Date (Settlement Date): On or about
November18, 2024
Review Dates*:November 18, 2025, February 17, 2026, May
14, 2026, August 14, 2026, November 16, 2026 and November
14, 2029(final Review Date)
Call Settlement Dates*:November 21, 2025,February 20,
2026, May 19, 2026, August 19, 2026 and November 19, 2026
Maturity Date*:November 19, 2029
* Subjectto postponement in theevent ofa market disruption
event and as described under "Supplemental Termsof theNotes
- Postponement ofa Determination Date -NotesLinked Solely
to an Index" in theaccompanying underlying supplement and
"General TermsofNotes-Postponementofa Payment Date" in
the accompanying product supplement
Automatic Call:
If the closinglevel of the Index on any Review Date (other than the
final Review Date)is greater than or equal tothe CallValue, the
notes will beautomatically called for a cash payment, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the Call Premium
Amount applicable to that Review Date, payable on theapplicable
Call Settlement Date. No further payments willbe made onthe
notes.
If thenotes are automaticallycalled, you will not benefit from the
Upside Leverage Factor that applies to the payment at maturity ifthe
Final Value is greater than the Initial Value. Becausethe Upside
LeverageFactordoes not apply to the payment upon an automatic
call, the payment upon an automaticcall may be significantly less
than the payment at maturity for thesame level of appreciation in the
Index.
Payment at Maturity:
If thenotes have not been automatically called and the Final Valueis
greater than theInitial Value, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return × Upside Leverage Factor)
If thenotes have not been automatically called and the Final Valueis
equal to the Initial Value or is lessthan theInitial Value but greater
than or equal to the Barrier Amount, you will receive the principal
amount of your notes at maturity.
If thenotes have not been automatically called and the Final Valueis
less than the Barrier Amount, 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 is
less than the Barrier Amount, you willlosemore than 50.00% of your
principal amount at maturity and could lose allof your principal
amount at maturity.
Index Return:
(Final Value-Initial Value)
Initial Value
Initial Value:The closing levelof theIndexon the Pricing Date
Final Value: Theclosing level of theIndexon the final Review Date
PS-2 | Structured Investments
Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-CapVol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "Index
Calculation Agent"),in coordination with JPMS, and is maintained by the Index Sponsor and iscalculated and published by the Index
Calculation Agent. The Index was establishedon February11, 2022. An affiliate of ours currently has a10%equityinterest in the Index
Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as amember of the boardof directorsof the Index
Sponsor.
The Index attempts to provide a dynamic rules-based exposure to an unfunded rolling position inE-mini® S&P 500®futures (the
"Futures Contracts"), which reference theS&P 500®Index, whiletargeting a level of implied volatility, witha maximum exposure to the
Futures Contracts of 500% and a minimum exposureto the Futures Contracts of 0%.The Index is subject to a 6.0%per annum daily
deduction. TheS&P 500®Index consists of stocksof 500 companies selected to provide a performance benchmark for the U.S. equity
markets.For more information about the Futures Contractsand the S&P 500® Index, see "Background on E-mini®S&P 500® Futures"
and "Background on theS&P 500® Index," respectively, in the accompanying underlyingsupplement.
On each weekly Index rebalance day, the exposure to the Futures Contracts is set equal to (a) the35%implied volatilitytarget (the
"target volatility") dividedby (b) the one-week implied volatility of theSPDR® S&P 500®ETF Trust (the "SPY Fund"), subject to a
maximum exposure of 500%. For example, if the implied volatilityof theSPY Fund is equal to 17.5%, the exposure to theFutures
Contracts will equal 200% (or35% /17.5%) and if the implied volatility of theSPYFund is equal to 40%, the exposure to the Futures
Contracts will equal 87.5% (or 35% / 40%). The Index's exposure to the Futures Contractswill be greater than 100% when theimplied
volatilityof the SPYFund is below 35%, and the Index'sexposure to the Futures Contractswill be less than 100% when the implied
volatilityof the SPYFund is above 35%. In general, the Index'starget volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility feature were employed. No assurance can be provided that the volatilityof the
Index will bestable at any time.
The investment objective of the SPY Fund is to provideinvestment results that, beforeexpenses, correspond generally to theprice and
yield performance of the S&P500® Index. For more informationabout the SPY Fund, see "Background on theSPDR® S&P 500®ETF
Trust"in the accompanying underlyingsupplement. The Index uses the impliedvolatilityof the SPYFund asa proxyfor the volatility of
the Futures Contracts.
The 6.0% per annum daily deduction will offset any appreciation of the Futures Contracts, will heighten any depreciation ofthe Futures
Contracts and will generally be a drag on the performance of the Index. The Index willtrail the performance of an identical index
without a deduction.
Holding the estimated value of the notes and market conditions constant, theCall PremiumAmounts, the Upside Leverage Factor, the
Barrier Amount and the other economic terms available on the notesare morefavorable to investors than the terms that would be
available on a hypothetical note issued by us linked to an identical index without a daily deduction. However, there can be no
assurance that any improvement in the terms of the notesderived from the daily deduction will offset the negative effect of thedaily
deduction on the performance of theIndex.The return on the notesmay be lower thanthe return on a hypotheticalnote issued by us
linked to an identicalindex without a daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates' internalpricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimated value of the notes set forth on the cover of this pricingsupplement. The daily deduction will effectively
reduce the value of the derivative or derivativesunderlyingthe economic termsof the notes.See "The Estimated Value of the Notes"
and "Selected RiskConsiderations-Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with theuseof significant leverage. In addition, theIndex may be significantly
uninvested on any given day, and, in that case, will realize only aportion of any gains due to appreciation of the Futures
Contracts on that day. The index deduction is deducted dailyat a rate of 6.0% per annum, even when the Index is not fully
invested.
No 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 FuturesContracts.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanying underlying
supplement.
PS-3 | Structured Investments
Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Supplemental Terms of the Notes
The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended
(the "Commodity Exchange Act").The notes are offered pursuant to an exemption from regulation under the Commodity Exchange
Act, commonlyknown as the hybrid instrument exemption, that is available tosecurities that have one or more paymentsindexed to the
value, level or rate of one or more commodities, asset out in section 2(f) of that statute. Accordingly, youare not afforded any
protection provided by the Commodity Exchange Act or anyregulation promulgated by theCommodity Futures Trading Commission.
Any values of the Index, and any valuesderived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricing supplement andthe 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
The notes will be automaticallycalled on theapplicableCall Settlement Date, and youwill
receive (a) $1,000plus (b)the Call PremiumAmount applicable to that ReviewDate.
No further payments will be made on the notes.
Compare theclosing level of theIndexto the Call Value on each ReviewDate until the final ReviewDateoranyearlier automatic call.
ReviewDates Preceding the Final ReviewDate
AutomaticCall
The closing level of the
Indexis greater than or
equal to theCall Value.
The closing level of the
Indexis lessthanthe
Call Value.
Call
Value
The notes will not be automaticallycalled.Proceedto thenext ReviewDate.
NoAutomatic Call
Review DatesPreceding
the
Final Review Date
Youwill receive:
$1,000+ ($1,000 × IndexReturn ×
Upside LeverageFactor)
The notes havenot
been automatically
called.Proceed tothe
payment at maturity.
Final ReviewDatePayment at Maturity
The Final Value is greater than theInitial Value.
Youwill receive:
$1,000+ ($1,000× IndexReturn)
Under these circumstances, you will
lose some or all of yourprincipal
amount at maturity.
The Final Value is equal tothe Initial Valueor is less
thantheInitial Valuebut greater than orequal to
theBarrier Amount.
The Final Value is lessthanthe BarrierAmount.
Youwill receive theprincipal amount of
yournotes.
PS-4 | Structured Investments
Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Call Premium Amount
The tablebelow illustrates the hypothetical Call Premium Amount per $1,000 principal amount notefor each Review Date (other than
the final Review Date) based on theminimum Call Premium Amountsset forthunder "KeyTerms -Call Premium Amount" above.
The actual Call Premium Amounts will be provided in thepricing supplement and will not be less thanthe minimum CallPremium
Amountsset forth under "KeyTerms- Call Premium Amount."
Review Date
Call Premium Amount
First
$252.500
Second
$315.625
Third
$378.750
Fourth
$441.875
Fifth
$505.000
Payment at MaturityIf the Notes Have Not Been Automatically Called
The following tableillustrates the hypothetical total returnand paymentat maturity on the noteslinked to a hypothetical Indexif the
notes have not been automaticallycalled. The"total return"as usedin this pricing supplementis the number, expressed asa
percentage, that results fromcomparing the payment at maturity per $1,000 principal amount note to $1,000. Thehypothetical total
returnsand paymentsset forth below assume the following:
•the notes have not been automaticallycalled;
•an Initial Value of 100.00;
•an UpsideLeverage Factor of 3.00; and
•a Barrier Amount of 50.00 (equal to 50.00% of the hypothetical Initial Value).
ThehypotheticalInitial Value of 100.00 has been chosen for illustrative purposes only andmaynot represent a likely actual Initial
Value. The actual Initial Value will be the closinglevelof the Index on the Pricing Date and will be provided in the pricing supplement.
For historical data regarding the actual closing levels of the Index, please see the historical information set forth under "Hypothetical
Back-Tested Data and Historical Information" in thispricing supplement.
Each hypothetical total returnor hypotheticalpayment at maturity set forth below is for illustrative purposes only and may not be the
actual total return or paymentat maturity applicableto apurchaser of the notes. The numbers appearingin the followingtablehave
been rounded for ease of analysis.
Final Value
IndexReturn
Total Returnon the Notes
Payment at Maturity
165.00
65.00%
195.00%
$2,950.00
150.00
50.00%
150.00%
$2,500.00
140.00
40.00%
120.00%
$2,200.00
130.00
30.00%
90.00%
$1,900.00
120.00
20.00%
60.00%
$1,600.00
110.00
10.00%
30.00%
$1,300.00
105.00
5.00%
15.00%
$1,150.00
101.00
1.00%
3.00%
$1,030.00
100.00
0.00%
0.00%
$1,000.00
95.00
-5.00%
0.00%
$1,000.00
90.00
-10.00%
0.00%
$1,000.00
80.00
-20.00%
0.00%
$1,000.00
70.00
-30.00%
0.00%
$1,000.00
60.00
-40.00%
0.00%
$1,000.00
50.00
-50.00%
0.00%
$1,000.00
49.99
-50.01%
-50.01%
$499.90
40.00
-60.00%
-60.00%
$400.00
30.00
-70.00%
-70.00%
$300.00
20.00
-80.00%
-80.00%
$200.00
10.00
-90.00%
-90.00%
$100.00
0.00
-100.00%
-100.00%
$0.00
PS-5 | Structured Investments
Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Note PayoutScenarios
Upside Scenario If Automatic Call:
If theclosinglevel of the Index on anyReview Date(other than thefinal Review Date)is greater than or equalto the Call Value, the
notes will beautomatically called and investors will receive on theapplicable Call Settlement Date the$1,000 principal amount plus the
Call Premium Amount applicable to that Review Date. No further payments will be made on thenotes.
•Assuming a hypothetical Call Premium Amount of $252.50for the first Review Date, if theclosing level of the Index increases
10.00% as of that Review Date, thenotes will be automaticallycalled and investorswill receive a return equal to25.25%, or
$1,252.50per $1,000 principal amount note.
•Assuming a hypothetical Call Premium Amount of $505.00for the fifth Review Date, if the notes have not been previously
automaticallycalled and the closing level of the Index increases80.00% as of that Review Date, the notes willbe automatically
called andinvestors will receive a return equal to 50.50%, or $1,505.00per $1,000 principal amount note.
Upside ScenarioIf No Automatic Call:
If thenotes have not been automatically called and the Final Valueisgreater than theInitial Value, investors will receive at maturity the
$1,000 principal amountplus a returnequal to the Index Return timesthe Upside LeverageFactor of 3.00.
•If thenotes have not been automatically called and the closing level of the Indexincreases5.00%, investorswill receive at maturity
a return equal to 15.00%, or $1,150.00 per $1,000 principalamount note.
Par Scenario:
If the notes have not been automatically called andthe Final Valueisequal to the Initial Valueor is less than the Initial Value but
greater than or equaltothe Barrier Amount of 50.00% of theInitial Value, investors will receive at maturity the principal amount of their
notes.
Downside Scenario:
If thenotes have not been automatically called and the Final Valueisless thantheBarrier Amount of 50.00% of the Initial Value,
investors will lose 1% of the principal amount of their notes for every 1% that the Final Value isless than the Initial Value.
•For example, ifthe notes have not been automatically called and the closing levelof the Index declines 60.00%, investorswill lose
60.00% of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity.
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, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notesinvolvessignificant risks. These risks are explained in more detail in the "Risk Factors"sections of the
accompanying prospectus supplement, product supplementand underlying supplementand in Annex A tothe accompanying
prospectusaddendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. Ifthenotes have not been automatically called and the Final Value is less than
the Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that theFinal Value is less than the Initial
Value. Accordingly, under these circumstances, you will lose more than 50.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
•THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction. The level of the Index will trail the value of an identically constituted
synthetic portfolio that is not subject to any such deduction.
The index deduction will placea significant drag on the performance of the Index, potentially offsetting positive returns on the
Index's investment strategy, exacerbating negative returns of itsinvestment strategyandcausing the level of the Index to decline
steadily if the return of itsinvestment strategyis relatively flat. The Index will not appreciate unless the return of its investment
strategyissufficient to offset the negativeeffects of the index deduction, and then only to the extent that the return of itsinvestment
PS-6 | Structured Investments
Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
strategyisgreater than the index deduction. As a result of the indexdeduction, thelevel of the Index may decline even if the return
of its investment strategy is positive.
The daily deduction is one of the inputs our affiliates' internal pricingmodels use to valuethe derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimatedvalue of the notes set forth on the cover of this pricing
supplement.The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and SecondaryMarket Prices of
the Notes" in this pricing supplement.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our andJPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. 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 loseyour entire investment.
•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 capitalcontribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loansmade by us to
JPMorgan Chase & Co. or under other intercompany agreements. Asa result, we are dependentupon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to havesufficient resources tomeet our obligations in
respect of the notesas they come due. If JPMorgan Chase& Co. does not make payments to us and we are unable tomake
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.
•IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE
APPLICABLE CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of theIndex, which maybesignificant. In addition, if the notes are automaticallycalled, you will not
benefit from the Upside Leverage Factor that applies to the paymentat maturity if the Final Value is greater than the Initial Value.
Becausethe Upside Leverage Factordoes not apply to the payment upon an automaticcall, the payment upon an automaticcall
maybesignificantly lessthan the payment at maturity for the same level of appreciation in theIndex.
•THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE -
If thenotes have not been automatically calledand the Final Value isless than the Barrier Amount, the benefit provided by the
Barrier Amount will terminateand you willbe fully exposed to any depreciation of the Index.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT-
If your notesare automatically called, the termof the notes may be reduced to asshort asapproximately one year. There is 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 notesarecalled before maturity, you are not entitled to any fees andcommissions described
on the front cover of thispricing supplement.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500®
INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING
THE INDEX.
•THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE LEVEL
OF THE INDEX IS VOLATILE.
PS-7 | Structured Investments
Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
•JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the meritsof investing in the notes, the Index and the futurescontractscomposing the Index.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange. Accordingly, the price at whichyou may be able to trade your notesis
likelyto depend on the price, if any, at which JPMS is willing to buy the notes.Youmay notbe able to sellyour notes.The notes
are not designed to be short-term trading instruments. Accordingly, you should beable 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 value of the notesand 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 JPMorgan Chase &
Co.'seconomicinterests are potentially adverse toyour interests as an investor in thenotes. It ispossiblethat hedging or trading
activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to"RiskFactors-Risks Relating to Conflicts of Interest" in the accompanyingproduct
supplement.
An affiliate of ourscurrentlyhas a10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another
of our affiliates, asa member of theboard of directors of theIndex Sponsor.The Index Sponsor can implement policies, make
judgments or enact changes to the Indexmethodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the valueof the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining orrevising
the Index, and we, JPMS, our other affiliates and our respectiveemployees areunder 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 asa member of the board of directorsof the Index Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policiesgoverning the composition and
calculation of the Index. Although judgments, policiesand determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for whichJPMS was
responsible could have an impact, positive or negative, on the levelof the Index and the value of your notes. JPMS is underno
obligation to consider your interests as aninvestor in the notes in its role indeveloping the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
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 -
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price ofthe
noteswill exceed the estimated valueof the notesbecause costs associated with selling, structuring and hedging the notes are
included in the original 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 FUNDING RATE-
The internal funding rate used in the determinationof the estimated value of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifference may
be based on, among other things, our and our affiliates'view of thefunding value of the notes as well as the higherissuance,
PS-8 | Structured Investments
Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
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 rateand any potential changes tothat ratemay havean adverse effect on the termsof the notes and any
secondarymarket prices of the notes.See"TheEstimated Valueof 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 noteswill be partiallypaid back to you in
connection with any repurchases of your notesbyJPMS in an amount that will decline to zero over an initial predetermined period.
See "Secondary Market Prices of the Notes" in this pricingsupplement for additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the valueof the notesaspublished by
JPMS (and which may be shown onyour customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take into account our internal secondarymarket funding ratesfor structured debt issuances and,
also, because secondarymarket pricesmay exclude sellingcommissions, projected hedging profits, if any, and estimated hedging
costs that are included intheoriginal issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
theMaturity Datecould 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 duringtheir term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom theselling commissions, projected hedging profits, if any, estimatedhedging
costs and the level of the Index. Additionally, independent pricing vendorsand/or third party broker-dealers may publish a price for
the notes, whichmay also be reflectedoncustomer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondarymarket.See "Risk Factors-
Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes -Secondarymarket pricesof the notes will be
impacted by many economic and market factors"in the accompanying product supplement.
Risks Relating to the Index
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking anycorporate action that might affect
the level of the S&P 500® Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS-
No assurancecan begiven that the investment strategy on which the Index is based will be successful or that the Index will
outperformany alternative strategythat might be employed with respect to the Futures Contracts.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY-
No assurance can be given that the Index will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realized volatility of the Index may be
greater or less than the target volatility. On each weekly Index rebalance day, the Index's exposure to the Futures Contracts is set
equal to (a) the 35% impliedvolatility target dividedby (b) the one-week implied volatilityof the SPY Fund, subject to a maximum
exposure of 500%. The Indexuses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.
However, there is no guarantee that the methodology used by the Index to determine the implied volatilityof the SPY Fund will be
representative of the implied or realized volatility of the Futures Contracts. Theperformance of the SPY Fund may not correlate
with the performance of the Futures Contracts, particularlyduring periodsof market volatility. In addition, the volatility of the
Futures Contracts on any daymaychange quicklyandunexpectedly and realizedvolatilitymaydiffer significantly from implied
volatility.In general, over time, the realized volatilities of the SPY Fund and the Futures Contracts have tended to be lower than
their respective impliedvolatilities; however, at any time those realized volatilities mayexceed their respective implied volatilities,
PS-9 | Structured Investments
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Cap Vol Advantage Index
particularly during periodsof market volatility. Accordingly, the actual annualized realized volatilityof the Index may be greater
than or lessthan the target volatility, which mayadverselyaffect 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 weekly Index rebalance day, the Index will employ leverage to increase the exposureof theIndex to the Futures Contracts if
the implied volatility of the SPY Fund isbelow 35%, subject to amaximum exposure of 500%. Under normal market conditions in
the past, the SPY Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leveragein the past, except during periodsof elevatedvolatility. When leverage is employed, any movementsin the prices of the
Futures Contracts will result in greater changesin the level of the Index than if leverage were not used. In particular, theuseof
leverage will magnify any negative performance of the Futures Contracts, which, in turn, would negatively affect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where a significant increase in volatility is
accompanied by asignificant declinein the value of theFutures Contracts, thelevel of the Index may decline significantly before
the following Index rebalanceday when the Index'sexposure to the Futures Contracts would be reduced.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED-
On a weeklyIndex rebalanceday, the Index's exposureto the Futures Contracts will be less than 100% when the implied volatility
of the SPY Fund is above 35%. If the Index'sexposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvested portion will earn no return. The Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Futures Contracts on any such day. The 6.0% per annum deduction
is deducted daily, even when the Indexisnot fully invested.
•THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN
EXPIRING FUTURES CONTRACT INCLUDED IN THE INDEX-
As the Futures Contracts included in the Index come to expiration, they are replacedby Futures Contractsthat expire three months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the FuturesContract
that expiresthree months from that time. Thisprocess is referred toas "rolling."Excluding other considerations, if the market for
the Futures Contracts is in "contango," where the prices are higher in thedistant deliverymonths than in the nearer delivery
months, thepurchase of the later Futures Contract wouldtake place at a price that is higher than the price of the expiring Futures
Contract, thereby creating a negative "roll yield."In addition, excludingother considerations, if the market for the FuturesContracts
is in "backwardation," wherethe prices are lower in the distant deliverymonths than in the nearer delivery months, the purchase of
the later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, therebycreating
a positive"rollyield." The presence of contango in the market for the Futures Contracts could adversely affect the levelof the
Index and, accordingly, any payment on the notes.
•THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT "TOTAL RETURNS"-
TheIndex is an excess return index that does not reflect total returns.The returnfrominvesting in futurescontractsderives from
three sources: (a) changes in the price of the relevant futures contracts (which isknown as the "price return"); (b) anyprofit or loss
realized when rolling the relevant futures contracts (which is known as the "roll return"); and (c) any interest earned on thecash
deposited as collateral for the purchase of the relevant futures contracts (which is known as the "collateral return").
The Index measuresthe returns accrued frominvesting in uncollateralized futures contracts (i.e., the sumof the price return and
the roll return associated with an investment in the Futures Contracts). Bycontrast, a total return index, in additionto reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e., the
collateral return associated with aninvestment in the Futures Contracts). Investing inthenotes willnot generatethe same return
as would be generated frominvesting in a total return index related to the Futures Contracts.
•CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES-
The Index generallyprovides exposure to a single futures contract on the S&P 500®Index that trades on the ChicagoMercantile
Exchange. Accordingly, the notesare less diversified than other funds, investment portfolios or indices investingin or tracking a
broader range of products and, therefore, couldexperience greater volatility. You should be aware that other indicesmay be more
diversified than the Indexin terms of both the number and varietyof futures contracts. You will not benefit, with respect to the
notes, from any of the advantagesof a diversified investment and will bear the risks of a highlyconcentrated investment.
•THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY-
The Index tracks the returnsof futurescontracts. The price of a futures contract depends not only on the price of the underlying
asset referencedbythe futures contract, but also ona range of other factors, includingbut not limited to changing supplyand
PS-10| Structured Investments
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Cap Vol Advantage Index
demand relationships, interestrates, governmentaland regulatorypolicies and the policiesof theexchanges on which the futures
contracts trade. In addition, the futuresmarkets aresubject to temporary distortions or other disruptions due to various factors,
including the lack of liquidityin themarkets, the participation of speculators and government regulation and intervention.These
factors and others can cause the prices of futurescontracts to be volatile.
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES-
Futures marketslike the Chicago Mercantile Exchange, themarket for theFutures Contracts, are subject to temporarydistortions
or other disruptions due to various factors, including thelackof liquidity inthemarkets, theparticipation of speculators, and
government regulation and intervention. In addition, futuresexchanges have regulations that limit theamount of fluctuationin
some futures contract prices that mayoccur during a single day. These limits are generally referredto as "daily price fluctuation
limits" andthemaximumor minimum price of a contract on any given day as a result of these limitsis referred toasa "limit price."
Once the limit price hasbeen reached in aparticular contract, no trades may be made at a price beyond the limit, or trading may
be limited for aset period of time. Limit prices have the effect of precluding tradingin a particular contract or forcing the liquidation
of contractsat potentiallydisadvantageous times or prices. These circumstances couldaffect the level of the Index and therefore
could affect adversely the value of your notes.
•THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE-
The officialsettlement price and intraday trading prices of the Futures Contractsare calculated and published by the Chicago
Mercantile Exchange and areused to calculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price andintraday trading prices and may delay or prevent the calculation
of theIndex.
•CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY
ADVERSELY AFFECT THE VALUE OF THE NOTES-
Futures exchanges require market participants to post collateral in order toopen and to keep open positions in futures contracts. If
an exchange changes the amount of collateral required tobe posted to holdpositionsin the Futures Contracts, market participants
mayadjust their positions, which may affect the prices of the Futures Contracts. As a result, thelevel of the Index may beaffected,
which may adversely affect the valueof the notes.
•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in this pricingsupplement is purely theoretical and does not represent the actual historicalperformance of the Indexand hasnot
beenverified by an independent third party.Hypothetical back-tested performance measures haveinherent limitations.
Hypotheticalback-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed withthebenefit of hindsight.Alternativemodellingtechniquesmight produce significantly different resultsandmay prove
to bemore appropriate.Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations and youshould carefully consider these limitations before placing reliance on such
information.
•OTHER KEY RISKS:
oTHE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS.
oHISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE
PERFORMANCE OF THE INDEX DURING THE TERM OF THE NOTES.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-listed
and other risks.
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Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January4, 2019 throughFebruary 4, 2022andthehistorical performance of the Index basedon the
weekly historical closing levels of the Index from February 11, 2022through October 25, 2024. The Index was established on February
11, 2022, as represented by the vertical line in the followinggraph. All data to the left of that vertical line reflect hypothetical back-
tested performance of the Index. All data to the right of that vertical line reflect actualhistorical performance of the Index.The closing
level of the Index onOctober 29, 2024 was 3,947.70.We obtained the closing levels above and below fromthe Bloomberg
Professional® service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of the Index set forth in the followinggraph are purely theoretical and do not
represent the actual historicalperformance of the Index. See "Selected Risk Considerations- Risks Relating totheIndex-
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations"
above.
The hypothetical back-tested and historical closing levels of the Indexshould not be taken as an indication of future performance, and
no assurance can be given as to the closing level of the Index on the Pricing Date or 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.
The hypothetical back-testedclosing levels of the Index have inherent limitations and have not beenverified by an independent third
party. These hypotheticalback-tested closing levels are determined by means of a retroactiveapplication of a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither anindicator nor a guarantee of future returns. No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closinglevels of theIndex that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closing 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 accompanyingproduct
supplement no. 4-I. The following discussion, when read in combination with that 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 our special 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 arean 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 2007Treasury 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
PS-12| Structured Investments
Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
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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 relevanceof factors such as
the natureof the underlying property to which the instruments arelinked; the degree, if any, to which income (including any mandated
accruals) realizedbynon-U.S. investorsshould be subject 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
income and impose a notional interest charge. While the notice requestscomments on appropriate transition rulesand effectivedates,
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 tax adviser 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 promulgatedthereunder ("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 instrumentslinked 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 fromthescopeof Section 871(m) instruments issued prior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividendsfor 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 this pricing supplementis equal to thesum of thevalues of thefollowing
hypothetical components: (1) a fixed-income debt component with the same maturityasthe notes, valued using theinternal funding
ratedescribed below, and (2) the derivative or derivatives underlyingtheeconomic terms of the notes.Theestimated valueof the
notesdoes 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 valueof 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
maybebased on, among other things, ourand our affiliates'view of the funding value of the notes as well as the higherissuance,
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, whichmay 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 anysecondary market
prices of the notes. For additional information, see"Selected Risk Considerations- Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes- The Estimated Value of the NotesIs DerivedbyReference to anInternalFunding Rate" in this
pricingsupplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates.These modelsare dependent on 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, theestimated value of the notes is
determined when the termsof the notes are set based on market conditions and other relevant factors and assumptions existing at that
time.
Theestimated value of thenotes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations forthe 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
JPMorganChase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
which JPMS would be willingto buy notesfromyou in secondary market transactions.
Theestimated value of the noteswill be lower than the original issue price of the notes because costs associatedwith selling,
structuring and hedging the notes are included in the originalissue price of the notes.These costs include the sellingcommissions
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Auto CallableAccelerated Barrier NotesLinked to theMerQubeUS Large-
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paidto JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliatesexpect to realizefor assuming
risks inherent in hedging our obligations under thenotes and the estimated cost of hedgingour obligations under the notes.Because
hedging our obligationsentails risk and may be influenced by market forces beyond our control, this hedging may result ina profit that
ismoreor less than expected,or it may result in a loss. A portionof the profits, if any,realized in hedging our obligations under the
notesmay be allowed toother affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits.See"Selected Risk Considerations- Risks Relating to the Estimated Value and SecondaryMarket Prices of theNotes-The
Estimated Value of the Notes Will Be 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 Prices of 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 notesby
JPMS in an amount that will decline to zero over an initial predetermined period.These costs can includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internalsecondarymarket funding rates
for structured debt issuances.This initial predetermined time period is intended to be the shorter of sixmonths and one-half of the
stated term of thenotes.Thelengthof any such initial period reflects the structure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred, as
determined by our affiliates.See"Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes- The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricing 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 "Note Payout Scenarios" in this pricingsupplement for an illustration of the risk-return profile of
the notes and"The MerQube US Large-Cap Vol Advantage Index"in this pricing supplementfor a description of the market exposure
providedbythe notes.
The originalissue price of thenotes is equal to the estimated value of the notesplus the sellingcommissions paid toJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedgingour obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable
agent.We reserve the right to change the terms of, or 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 you will be asked to accept such changes in connection withyour purchase.
You may also choose to reject such changes, in which case we 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
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 notesandsupersedes 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 carefullyconsider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying
prospectussupplement, the accompanying product supplement andthe accompanying underlyingsupplement and in Annex A to the
accompanying prospectus addendum, as the notesinvolve risks not associated with conventional debt securities. Weurge you to
consult your investment,legal, tax, accounting and other advisersbefore you invest in the notes.
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Cap Vol Advantage Index
You may access these documentson the SEC website at www.sec.govasfollows (or if such addresshaschanged, by reviewingour
filingsfor the relevant dateon the SEC website):
•Product supplement no. 4-I dated April13, 2023:
•Underlying supplement no. 5-II datedMarch 5, 2024:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectusaddendum dated June3, 2024:
Our CentralIndex Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used inthispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.