JPMorgan Chase & Co.

09/30/2024 | Press release | Distributed by Public on 09/30/2024 12:12

Primary Offering Prospectus - Form 424B2

September 26, 2024
RegistrationStatement Nos.333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlying supplement no. 1-Idated April 13,2023, the prospectus and
prospectussupplement, each dated April 13, 2023,and the prospectus addendum dated June3,2024
JPMorganChase Financial CompanyLLC
Structured Investments
$421,000
Uncapped Digital Barrier Notes Linked to the Least
Performing of the Nasdaq-100 Index
®
, the Russell
2000
®
Index and the S&P 500
®
Index due October 1,
2029
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes aredesigned for investors whoseek uncapped, unleveraged exposure to any appreciation of the least performing
of the Nasdaq-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index, which we refer to as the Indices, at maturity,
subject to a contingent minimum return of 54.05%, which we refer to asthe Contingent Digital Return.
●Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal
amount at maturity.
●The notes areunsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer toas
JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk
of JPMorgan Chase & Co., as guarantor of the notes.
●Payments on the notes are not linkedto a basket composed of the Indices. Payments on the notes are linked to the
performance of each of the Indices individually, as describedbelow.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes priced on September 26, 2024 and areexpected to settleon or about October 1, 2024.
●CUSIP: 48135UKG4
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2of theaccompanying
prospectus supplement, Annex A to the accompanyingprospectus addendum, "RiskFactors" beginning on page PS-11 of
the accompanying product supplement and "Selected Risk Considerations"beginning on page PS-3 of this pricing
supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securitiescommission has approved or disapproved of
the notes or passed upon theaccuracy or the adequacyof this pricingsupplement or the accompanying product supplement,
underlying supplement, prospectus supplement, prospectusand prospectus addendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$41.25
$958.75
Total
$421,000
$17,366.25
$403,633.75
(1) See"Supplemental Use of Proceeds" in this pricing supplementfor information aboutthecomponents of the price to publicof the notes.
(2) J.P.MorganSecurities LLC, which wereferto as JPMS,actingasagentforJPMorgan Financial,will payall ofthe sellingcommissions
of $41.25per$1,000principalamountnoteit receivesfromus toother affiliatedor unaffiliated dealers.See"PlanofDistribution(Conflicts
of Interest)"in the accompanying productsupplement.
The estimated value of the notes, when the terms of the notes were set, was $932.70 per $1,000 principal amount note. See
"The Estimated Value of theNotes" in this pricing supplement for additional information.
Thenotesare not bank deposits, arenot insured bytheFederal Deposit Insurance Corporation or any other governmental agency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Uncapped Digital Barrier Notes Linked to the LeastPerforming ofthe Nasdaq-100Index
®
,the
Russell2000
®
Indexand theS&P 500
®
Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:JPMorgan Chase & Co.
Indices:The Nasdaq-100 Index
®
(Bloomberg ticker: NDX),
the Russell 2000
®
Index (Bloomberg ticker: RTY) and the S&P
500
®
Index (Bloomberg ticker: SPX) (each an "Index" and
collectively, the "Indices")
Contingent Digital Return:54.05%
Barrier Amount: With respect to each Index, 70.00% of its
Initial Value, which is 14,080.878 for the Nasdaq-100 Index
®
,
1,546.9097 for the Russell 2000
®
Index and 4,021.759 for the
S&P 500
®
Index
Pricing Date:September 26, 2024
Original Issue Date (Settlement Date):On or about October
1, 2024
Observation Date*:September 26, 2029
Maturity Date*:October 1, 2029
* Subject to postponement in the event of a market disruption
event and as described under "General Terms of Notes -
Postponement of a Determination Date - Notes Linked to
Multiple Underlyings" and "General Terms of Notes-
Postponement of a Payment Date" in the accompanying
product supplement
Payment at Maturity:
If the Final Valueof each Index is greater than or equal to its
Initial Value, your payment at maturityper $1,000 principal
amount note will be calculated as follows:
$1,000 + ($1,000 ×greater of (a) Contingent Digital Return
and (b) Least Performing Index Return)
If the Final Valueof any Indexis less than its Initial Value but
the Final Value of each Index is greater than or equal to its
Barrier Amount, you will receive the principal amount of your
notes at maturity.
If the Final Valueof any Indexis less than its Barrier Amount,
your payment at maturity per $1,000 principal amount note will
be calculated as follows:
$1,000 + ($1,000 ×Least Performing Index Return)
If the Final Valueof any Indexis less than its Barrier Amount,
you willlose more than 30.00% of your principal amount at
maturityand could lose all of your principal amount at
maturity.
Least Performing Index:The Index with the Least
Performing Index Return
Least Performing Index Return:The lowest of the Index
Returns of the Indices
Index Return: With respect to each Index,
(Final Value-Initial Value)
Initial Value
Initial Value:With respect to each Index, the closing level of
that Index onthe Pricing Date, which was20,115.54 for the
Nasdaq-100 Index
®
, 2,209.871 for the Russell 2000
®
Index
and 5,745.37 for the S&P 500
®
Index
Final Value:With respect to each Index, the closing level of
that Index onthe ObservationDate
PS-2| Structured Investments
Uncapped Digital Barrier Notes Linked to the LeastPerforming ofthe Nasdaq-100Index
®
,the
Russell2000
®
Indexand theS&P 500
®
Index
Supplemental Terms of the Notes
Any value of any underlier, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will become effective without consent of the holders of
the notes or anyother party.
Hypothetical Payout Profile
The following table illustrates the hypothetical total return and payment at maturity on the noteslinked to three hypothetical Indices. The
"total return" as used in this pricing supplement is the number, expressedasa percentage, that results fromcomparing the payment at
maturityper $1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below assumethe following:
●an Initial Value for the Least PerformingIndex of 100.00;
●a Contingent Digital Return of 54.05%; and
●a Barrier Amount for the Least Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value).
The hypothetical Initial Value of the Least Performing Index of 100.00 has been chosen for illustrative purposes only and does not
represent the actual Initial Value of any Index. Theactual Initial Value of each Indexis the closing level of that Index on the Pricing Date
and isspecified under "Key Terms-Initial Value" in this pricingsupplement. For historical data regarding the actual closing levels of
each Index, pleasesee the historical information set forthunder "The Indices" in thispricing supplement.
Each hypothetical total return or hypotheticalpayment at maturity set forth below is for illustrative purposes only and may not be the
actual total return or paymentat maturity applicable to a purchaser of the notes. The numbers appearingin the following table have
been rounded for ease of analysis.
Final Value of the
Least Performing
Index
Least Performing
Index Return
Total Returnon the Notes
Payment at Maturity
180.00
80.00%
80.00%
$1,800.00
165.00
65.00%
65.00%
$1,650.00
154.05
54.05%
54.05%
$1,540.50
150.00
50.00%
54.05%
$1,540.50
140.00
40.00%
54.05%
$1,540.50
130.00
30.00%
54.05%
$1,540.50
120.00
20.00%
54.05%
$1,540.50
110.00
10.00%
54.05%
$1,540.50
105.00
5.00%
54.05%
$1,540.50
101.00
1.00%
54.05%
$1,540.50
100.00
0.00%
54.05%
$1,540.50
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
69.99
-30.01%
-30.01%
$699.90
60.00
-40.00%
-40.00%
$600.00
50.00
-50.00%
-50.00%
$500.00
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-3| Structured Investments
Uncapped Digital Barrier Notes Linked to the LeastPerforming ofthe Nasdaq-100Index
®
,the
Russell2000
®
Indexand theS&P 500
®
Index
How the Notes Work
Upside Scenario:
If the Final Valueof each Index is greater than or equal to its Initial Value, investors will receive at maturity the$1,000principal amount
plus a returnequal to the greater of (a) the Contingent DigitalReturn of 54.05% and (b) the Least Performing Index Return.
●If the closing levelof the Least Performing Indexincreases 5.00%, investors will receive at maturitya 54.05% return, or $1,540.50
per $1,000 principal amount note.
●If the closing level of the Least Performing Indexincreases75.00%, investors will receive at maturity a 75.00% return, or $1,750.00
per $1,000 principal amount note.
Par Scenario:
If the Final Valueof any Indexis less than its Initial Value but the Final Value of each Indexis greater than or equal to its Barrier
Amount of 70.00% of its Initial Value, investors will receive at maturity theprincipalamount of their notes.
Downside Scenario:
If the Final Valueof any Indexis less than its Barrier Amount of 70.00% of its Initial Value, investors will lose 1% of the principal amount
of their notes for every 1% that the Final Value of the Least PerformingIndex is less than its Initial Value.
●For example, if the closing level of the Least Performing 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 applyonly if you hold the notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated with any sale in thesecondarymarket.If these fees
and expenses were included, the hypothetical returns and hypothetical paymentsshown above wouldlikely be lower.
Selected Risk Considerations
An investment in the notesinvolves significant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS-
The notes donot guarantee any return of principal. If the Final Value of any Index is less than its Barrier Amount, you willlose 1%
of the principal amount of your notes for every 1% that the Final Value of the Least Performing Index is less than its Initial Value.
Accordingly, under these circumstances, you will lose morethan 30.00% of your principal amount at maturity and could lose all of
your principal amount at maturity.
●YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE-
If the Final Valueof any Indexis less than its Initial Value, you will not be entitled to receive the Contingent Digital Returnat
maturity.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined bythemarket for taking that credit
risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to youunder the notes and you could lose your entireinvestment.
●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.As a 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 tomake
payments on the notes, you may have toseek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
●POTENTIAL CONFLICTS-
We and our affiliatesplay avarietyof roles in connection with the notes. In performingthese duties, our and JPMorgan Chase &
Co.'s economic interests are potentially adverse to your interests as an investor in the notes. Itispossible that hedging or trading
activities of ours or our affiliates in connection with the notescould 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.
●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 takinganycorporate action that might affect
the level of the S&P 500
®
Index.
PS-4| Structured Investments
Uncapped Digital Barrier Notes Linked to the LeastPerforming ofthe Nasdaq-100Index
®
,the
Russell2000
®
Indexand theS&P 500
®
Index
●AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE RUSSELL 2000
®
INDEX -
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Small capitalization companies are less likely to paydividends ontheir stocks, and the presence of a dividend
payment could be a factor that limits downward stock price pressure underadverse marketconditions.
●NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX
®
-
The non-U.S. equitysecurities included in the Nasdaq-100 Index
®
have been issued by non-U.S. companies. Investmentsin
securities linked to the value of such non-U.S. equitysecurities involve risks associated with thehome countries and/or the
securities markets in the home countries of theissuers of those non-U.S. equity securities.Also, with respect to equity securities
that are not listed in the U.S., there is generally less publicly available information about companies in some of thesejurisdictions
than there is about U.S. companies that are subject to the reporting requirementsof the SEC.
●YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX -
Payments on the notes are not linkedto a basket composed of theIndices and are contingent upon the performance of each
individual Index. Poor performance byany of the Indices over the term of the notesmay negatively affect your payment at maturity
and will not be offset or mitigated by positive performance byanyother Index.
●YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
●THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE -
If the Final Valueof any Indexis less than its Barrier Amount, the benefit provided bythe Barrier Amount will terminate and you will
be fully exposed to any depreciation of the Least Performing Index.
●THE NOTES DO NOT PAY INTEREST.
●YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
●THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE LEVEL
OF THAT INDEX IS VOLATILE.
●LACK OF LIQUIDITY -
The notes will not be listed onany securities exchange. Accordingly, the price at which you maybe able to trade your notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not
designed to be short-termtrading instruments. Accordingly, you should be able and willing to hold your notes tomaturity.
●THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value ofthenotes is only an estimate determined by reference to several factors. The original issue price of the
notes exceedstheestimated value of the notes because costs associated withselling, structuring and hedging the notes are
included in the originalissue price of the notes. These costsinclude the selling commissions, 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 ofhedging
our obligationsunder 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 usedin the determination of the estimated value of the notes maydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissued by JPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, amongother 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 comparisonto those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potential changes to that ratemay havean adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Valueof the Notes" in thispricing supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generally expect that some of the costs included in the original issue price of the noteswill be partially paid back toyou 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 pricing supplementfor additional information relating to this initial period.
Accordingly, the estimated value of your notes during this initial period maybe lower than the value of the notes as published by
JPMS (and which may be shown on your customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket pricesof the notes will likely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take intoaccount our internal secondary market funding rates for structureddebt issuances and,
also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included inthe original issue price of the notes. As a result, the price, if any, at which JPMS will be willingto buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissueprice. Anysale by you prior to
the Maturity Datecould result in a substantial loss to you.
PS-5| Structured Investments
Uncapped Digital Barrier Notes Linked to the LeastPerforming ofthe Nasdaq-100Index
®
,the
Russell2000
®
Indexand theS&P 500
®
Index
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging
costs and the levelsof the Indices. Additionally, independentpricing vendors and/or thirdparty broker-dealers may publish a price
for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS 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 prices of the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
The Indices
The Nasdaq-100 Index
®
is a modified market capitalization-weighted index of 100 of the largest non-financial securities listed on The
Nasdaq StockMarket based on market capitalization. For additional information about theNasdaq-100 Index
®
, see "Equity Index
Descriptions -The Nasdaq-100 Index
®
" in the accompanying underlying supplement.
The Russell 2000
®
Indexconsistsof the middle 2,000 companiesincluded in the Russell 3000E
TM
Index and, as a result of theindex
calculation methodology, consistsof the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is
designed to track the performanceof the small capitalization segment of the U.S. equity market. For additional information about the
Russell 2000
®
Index, see "Equity Index Descriptions -The Russell Indices" in the accompanying underlying supplement.
The S&P 500
®
Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets.
For additional information about the S&P 500
®
Index, see "Equity Index Descriptions-The S&P U.S. Indices" in the accompanying
underlying supplement.
Historical Information
The followinggraphsset forththe historical performance of each Index based on the weekly historical closing levels fromJanuary4,
2019 through September 20, 2024. The closing level of the Nasdaq-100 Index
®
on September 26, 2024 was20,115.54. The closing
level of the Russell 2000
®
Index on September 26, 2024 was2,209.871. The closinglevel of the S&P 500
®
Index on September 26,
2024 was 5,745.37. We obtained the closinglevels above and below from the Bloomberg Professional
®
service ("Bloomberg"), without
independent verification.
The historical closing levels of each Indexshould not be taken asan indication of future performance, and no assurance can be given
as to the closing level of any Index on the Observation Date. Therecan be no assurance that theperformance of the Indices will result
in the return of any of your principal amount.
Historical Performance of the Nasdaq-100 Index
®
Source: Bloomberg
PS-6| Structured Investments
Uncapped Digital Barrier Notes Linked to the LeastPerforming ofthe Nasdaq-100Index
®
,the
Russell2000
®
Indexand theS&P 500
®
Index
Historical Performance of the Russell 2000
®
Index
Source: Bloomberg
Historical Performance of the S&P 500
®
Index
Source: Bloomberg
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the fullopinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal incometax consequences of owning and disposing of notes.
PS-7| Structured Investments
Uncapped Digital Barrier Notes Linked to the LeastPerforming ofthe Nasdaq-100Index
®
,the
Russell2000
®
Indexand theS&P 500
®
Index
Basedon current 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. Federal IncomeTax
Consequences- Tax Consequences to U.S. Holders-Notes Treated as Open Transactions That Are Not Debt Instruments" in the
accompanying product supplement. Assumingthis treatment is respected, the gain or loss on your notes should be treated aslong-term
capital gain or loss if you hold your notes for more than a year, whether or not youare an initialpurchaser of notes at the issue price.
However, the IRS or acourt may not respect thistreatment, in which case the timing and character of any income or loss on the notes
could be materially and adverselyaffected. Inaddition, in 2007 Treasury and the IRS released a notice requesting comments on the
U.S. federal incometax treatment of "prepaid forward contracts" and similar instruments. The noticefocuses 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 thecharacter of income or loss with respect to these instruments; the relevance of factorssuch asthe natureof
the underlying property to which the instruments are linked; 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 be subject tothe
"constructive ownership" regime, which verygenerallycanoperate to recharacterize certain long-termcapital gain as ordinary income
and impose a notional interest charge. While the notice requestscomments onappropriate transition rules andeffective dates, any
Treasury regulationsor other guidance promulgated after consideration of these issues could materiallyand adverselyaffect the tax
consequences of an investment in the notes, possibly with retroactive effect. You should consult your taxadviser regarding the U.S.
federal income tax consequencesof an investment in the notes, including possible alternative treatments and the issues presented by
thisnotice.
Section 871(m) of the Code and Treasury regulations promulgatedthereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial instrumentslinked toU.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 issued prior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made byus, our special taxcounsel is of the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS,
and the IRS maydisagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter intoother transactions with respect to an Underlying Security. Youshouldconsult your tax
adviser regarding the potential application of Section 871(m) to the notes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement is equal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component withthesame maturityasthe notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes
does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any
time. The internal funding rate used in the determination of the estimatedvalueof the notes maydiffer from the market-impliedfunding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifference may be
based on, among other things, our and our affiliates'view of the funding value of the notesas well as the higher issuance,operational
and ongoing liability management costs of the notesin comparison to those costs for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputsandassumptions, which mayprove to be incorrect,
and is intended to approximate theprevailingmarket replacement funding rate for thenotes. The use of an internal fundingrate and
any potential changes to that rate mayhave an adverse effect on the terms of the notesand any secondary market prices of the notes.
For additional information, see "Selected Risk Considerations- The Estimated Value of the Notes Is Derived by Reference to an
Internal Funding Rate" in thispricing supplement.
The value of thederivativeor derivatives underlying the economic terms of thenotes is derived from internal pricingmodelsof our
affiliates. These modelsare dependent on inputs such asthetraded market prices of comparablederivative instruments and onvarious
other inputs, some of which are market-observable, and which can includevolatility, dividend rates, interest rates and other factors, as
well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when
the terms of the notes are setbased onmarket conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes doesnot represent future values of thenotes andmay 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 future may change, and any assumptions may prove to be incorrect. On
future dates, the value of thenotescouldchange significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfromyou in secondarymarket transactions.
PS-8| Structured Investments
Uncapped Digital Barrier Notes Linked to the LeastPerforming ofthe Nasdaq-100Index
®
,the
Russell2000
®
Indexand theS&P 500
®
Index
The estimated value of the notes is lower than the original issue price of the notesbecause costs associated withselling, structuring
and hedging the notes are includedin theoriginal issueprice of the notes. These costs include the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimatedcost of hedging our obligations under the notes. Because hedging our
obligations entails riskand may be influenced by market forces beyond our control, this hedging may result in a profit that is more or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be
allowed to other affiliatedor unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See
"Selected Risk Considerations- The Estimated Value of the NotesIs Lower Than the Original Issue Price (Price to Public) of the
Notes" in thispricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors-Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes- Secondary market prices of the notes will be impacted bymany
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue priceof the notes willbe partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costscan include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs andour internal secondarymarket funding rates
for structured debt issuances. Thisinitial predetermined time period is intended to be theshorter of sixmonthsand one-half of the
stated term of thenotes. The lengthof any such initial period reflects the structure of thenotes, whether our affiliates expect toearn a
profit in connection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "Selected Risk Considerations-The Value of the Notes as Published by JPMS (andWhich May Be
Reflected on Customer Account Statements) May Be Higher Thanthe 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 and market exposure provided by the
notes. See "Hypothetical Payout Profile" and "How the Notes Work" in this pricing supplement for an illustration of the risk-return profile
of the notes and "The Indices"in this pricingsupplement for a description of themarket exposure provided by the notes.
The originalissue price of the notes is equal to the estimated value of the notes plus the selling commissions paid toJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliatesexpect to realize for assuming risks inherent
in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial andJPMorgan Chase & Co., when the
notes offered by this pricing supplement have beenissued by JPMorgan Financial pursuant to the indenture, the trustee and/orpaying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and such notes have been delivered against paymentas
contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the relatedguarantee will constitutea
valid and binding obligationof JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing and the lack ofbad faith),provided that such counsel
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressedabove or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'s obligation under the related guarantee.
Thisopinion is given as of thedate hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinionissubject to customary assumptions about the
trustee's authorization, execution and delivery of the indenture and its authentication of themaster note and the validity, binding nature
and enforceabilityof the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
PS-9| Structured Investments
Uncapped Digital Barrier Notes Linked to the LeastPerforming ofthe Nasdaq-100Index
®
,the
Russell2000
®
Indexand theS&P 500
®
Index
Additional Terms Specific to the Notes
You should read this pricing supplement together with the accompanying prospectus, as supplemented by theaccompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricingsupplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materials includingpreliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. You shouldcarefully consider, among other things, the matters set forth in the "Risk Factors" sections of theaccompanying
prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectusaddendum, 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 the notes.
You may accessthese documentson the SEC websiteat www.sec.govas follows (or if such address has changed, by
reviewing our filings for therelevant date on the SEC website):
●Product supplement no. 4-I dated April 13, 2023:
●Underlying supplement no. 1-Idated April 13, 2023:
●Prospectus supplement and prospectus, each dated April 13, 2023:
●Prospectus addendum dated June 3, 2024:
Our Central Index Key, orCIK, on the SEC websiteis 1665650,and JPMorganChase & Co.'sCIK is19617. Asused inthispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.