JPMorgan Chase & Co.
10/31/2024 | Press release | Distributed by Public on 10/31/2024 04:05
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 dated October 30, 2024
November , 2024 RegistrationStatement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricingsupplement to product supplement no.3-I dated April 13,2023, underlyingsupplement no. 24-I datedSeptember 1,2023,
the prospectus andprospectus supplement, each dated April13, 2023, and the prospectus addendumdatedJune 3,2024
JPMorganChase FinancialCompany LLC
Structured Investments
Capped Digital NotesLinked to the J.P. Morgan Dynamic
BlendSM Indexdue December 2, 2026
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
•Thenotes are designed for investors whoseek a fixed returnof at least 13.50% at maturity if the Final Value of the J.P.
Morgan Dynamic BlendSM Index is greater than or equal to the Initial Value.
•Investors should be willing to forgo interest payments, while seekingfull repayment of principal at maturity.
•The notes areunsecuredandunsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed byJPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., asguarantor of the notes.
•Minimum denominations of $1,000 and integralmultiplesthereof
•Thenotes are expected to price on or aboutNovember 27, 2024 and are expected to settle on or about December 3,
2024.
•CUSIP: 48135VCC0
Investing in thenotes involves a number of risks.See "Risk Factors" beginning on page S-2 of the accompanying
prospectus supplement,Annex A to the accompanyingprospectus addendum, "Risk Factors" beginning on page PS-12
of the accompanying product supplement, "Risk Factors"beginning onpage US-3of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the"SEC") nor anystate securities commission has approved or disapproved
of the notes or passed upon the accuracyor the adequacy ofthis pricing supplement or theaccompanying product supplement,
underlyingsupplement, prospectus supplement, prospectusand prospectusaddendum.Any representation to the contrary is a
criminal offense.
Price to Public (1)
Feesand Commissions (2)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1)See "Supplemental Use ofProceeds"in this pricingsupplement forinformation about thecomponents of theprice to publicof the
notes.
(2) J.P.Morgan Securities LLC, which we refer toas JPMS, acting as agent forJPMorganFinancial,willpay allof theselling
commissions it receives from us tootheraffiliated orunaffiliateddealers. Inno event willthese sellingcommissionsexceed$10.00 per
$1,000 principal amountnote.See "Plan of Distribution (Conflicts of Interest)"in theaccompanyingproduct supplement.
If the notes priced today, the estimated value of the notes would be approximately $959.10per $1,000 principal amount
note. The estimated value of the notes, when the termsof the notes are set, will beprovided in the pricing supplement
and will not be less than $900.00per $1,000 principal amount note.See"The Estimated Value of the Notes" in this
pricing supplement for additional information.
Thenotes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1 | Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index:The J.P. Morgan Dynamic BlendSMIndex (Bloomberg
ticker: JPUSDYBL). The level of the Index reflectsthe
deduction of 0.95% per annum that accrues daily.
Contingent Digital Return:At least 13.50% (tobe providedin
the pricingsupplement)
Pricing Date: On or aboutNovember 27, 2024
Original Issue Date (Settlement Date): On or about December
3, 2024
Observation Date*: November 27, 2026
Maturity Date*: December 2,2026
* Subjectto postponement in theevent ofamarket disruption event
and as described under"Supplemental Terms ofthe Notes-
Postponement of aDetermination Date -Noteslinked solelyto the
Index" inthe accompanying underlying supplement and "General
Terms of Notes-Postponementof a PaymentDate" inthe
accompanyingproduct supplement
Payment at Maturity:
If theFinal Valueisgreater than or equal to the Initial Value,
your payment at maturity per $1,000principal amount note will
be calculated as follows:
$1,000 + ($1,000 × Contingent Digital Return)
If theFinal Valueisless than the Initial Value,you will receive
the principal amount of your notesat maturity.
You areentitled to repayment of principalin fullat maturity,
subject to thecredit risks of JPMorgan Financial and JPMorgan
Chase & Co.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Indexon the Pricing Date
Final Value: The closing levelof theIndexon the Observation
Date
PS-2 | Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
The J.P. Morgan Dynamic BlendSM Index
The J.P. Morgan Dynamic BlendSMIndex (the "Index") was developed and is maintained and calculated by J.P. Morgan Securities LLC
("JPMS"). The Index hasbeen calculated on a "live" basis (i.e., using real-time data) since March 23, 2021. TheIndex is reported by
Bloomberg L.P. under the ticker symbol "JPUSDYBL Index."
The Index attempts to provide a dynamic rules-based allocation to the J.P. Morgan US Large Cap Equities Futures Index(the "Equity
Constituent") and the J.P. Morgan 2Y US Treasury Futures Index (the "Bond Constituent" and, together with the Equity Constituent, the
"Portfolio Constituents") while targeting a levelvolatility of 3.0% (the "Target Volatility"). The Index tracks the return of (a) a notional
dynamic portfolioconsisting ofthe Equity Constituentand the Bond Constituent, less(b) the dailydeduction of 0.95%per annum (the
"IndexDeduction"). Each futures contract underlyinga Portfolio Constituent as of a particular time is referredto as an "Underlying
Futures Contract."
•The Equity Constituent is an excess return index that tracks the return of a notional rollingfutures positionin futures contracts
on the S&P 500® Index.For additional information about the Equity Constituent, see"Background on the J.P. Morgan Futures
Indices" in the accompanying underlying supplement.
•The Bond Constituent is anexcess return index that tracks the return of a notional rolling futuresposition in futures contracts
on 2-Year U.S. treasurynotes. For additional information about the BondConstituent, see "Background on the J.P.Morgan
Futures Indices" in the accompanyingunderlyingsupplement.
The Index providesa diversified exposure that rebalancesdailybased on measures of market risk and diversification to attempt to
deliver stablevolatility over time.
Considerations Relating to the Volatility of the Portfolio Constituents. Under normal market conditions, the Equity Constituent's realized
volatility hastended to be relatively more variable than the Bond Constituent's realized volatility. Consequently, and because the Index
seeks to maintainan annualized realized volatility approximately equalto the Target Volatilityof only 3.0%, the Index methodology may
be more likelytoshift exposure from the Equity Constituent to the Bond Constituent during periods of relatively higher market volatility
and to shiftexposure from the Bond Constituent to the Equity Constituent under normal market conditions exhibiting relativelylower
market volatility.
In general, equity markets have historically been more likely to outperform fixed-income markets during periodsof relatively lower
market volatilityandto underperformfixed-income markets duringperiods of relatively higher market volatility. However, therecan be
no assurance that the Index allocation strategy will achieveits intended resultsor that the Index will outperform anyalternative index or
strategythat might referencethe Portfolio Constituents. Past performance should not be considered indicative of future performance.
In any initialselection between two eligiblenotional portfolios, the Index will select the portfolio that has the higher allocation to the
Portfolio Constituent with a higher realized volatility, as described below, which generally will cause the Equity Constituent to receive a
higher allocation than if the portfolio that has the higher allocation to the Portfolio Constituent with a lower realized volatility were
selected.
Furthermore, under normal market conditions, the Equity Constituent's realized volatility has tended to besignificantly higher than the
Bond Constituent's realizedvolatility. Under these circumstances and because the TargetVolatility is only3.0%, the Index is generally
expected tobe more heavily weighted towards the Bond Constituent. Past performance should not be considered indicative of future
performance. Under circumstances where the Equity Constituent's realized volatility is significantlyhigher than that of the Bond
Constituent, the performance of the Indexis expected to be influenced to a greater extent by the performance of the Equity Constituent
than by the performance of the Bond Constituent, even if the weight of the Bond Constituent issignificantly greater than the weight of
the Equity Constituent.
Consequently, even in caseswhere the allocation to the Bond Constituent isgreater than the allocation to the Equity Constituent, the
Index may be influenced to a greater extent bythe performance of the Equity Constituent than by the performance of theBond
Constituent because, under some conditions, the greater allocation to the Bond Constituent will not be sufficiently large to offset the
greater realized volatilityof the EquityConstituent.
Calculating the level of the Index. On any givenday, the closing levelof the Index reflects(a) the weighted return performance of the
Portfolio Constituents less(b) the 0.95% per annum daily Index Deduction. The IndexLevel wasset equalto 100.00 onJuly25, 1990,
the base date of the Index. The Index is an "excess return" index because, through the Portfolio Constituents, it provides notional
exposure to futures contract returnsthat reflect changes in the price of those futurescontracts, as well as their "roll" returns described
below. TheIndex is not a "total return" index becauseit does not reflect interest that couldbe earnedon funds notionallycommitted to
the trading of futurescontracts.
No assurance can be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successful or will outperform any alternative index or strategy thatmight reference the Portfolio
PS-3 | Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
Constituents. Furthermore,no assurance can be given that the realized volatility of the Index will approximate the Target
Volatility. The actual realized volatility of the Index may be greater or less than the Target Volatility.
If the aggregate weight of the Portfolio Constituents in the Index is less than 100%, the Index will not be fully invested, and
any uninvested portion will earn no return. The IndexDeduction is deducted dailyat a rate of0.95% per annum, even when
the Index is not fully invested.
The Index is described as a"notional" or "synthetic" portfolio of assets because there is no actual portfolio of assets to
which any person is entitled or in which any person has any ownership interest. The Index merely references certain assets,
the performanceof which will be used as a reference point for calculating thelevel of theIndex.
See "The J.P. Morgan Dynamic BlendSMIndex"in the accompanying underlying supplement for more information about the
Index.
PS-4 | Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
Supplemental Terms of the Notes
Any values of the Index, and any values derivedtherefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricing supplement andthe correspondingterms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or any other party.
Hypothetical Payout Profile
The following table and graph illustrate the hypotheticaltotal return andpayment at maturityonthe notes linked toa hypotheticalIndex.
The"total return" as used in this pricing supplement is the number, expressed asa percentage, that resultsfrom comparing the
payment at maturity per $1,000 principal amount noteto $1,000. Thehypotheticaltotal returnsand payments set forth below assume
the following:
•an Initial Value of 100.00; and
•a Contingent Digital Return of13.50%.
The hypothetical Initial Value of 100.00 hasbeen 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 seethe historical information set forth under "Hypothetical
Back-Tested Data and Historical Information" in this pricingsupplement.
Each hypothetical total returnor hypotheticalpayment at maturity set forth below is for illustrative purposes only and maynot be the
actual total return or paymentat maturity applicableto apurchaser of the notes. The numbers appearingin the followingtable and
graph have been rounded for ease of analysis.
Final Value
Index Return
Total Returnon the Notes
Payment at Maturity
180.00
80.00%
13.50%
$1,135.00
165.00
65.00%
13.50%
$1,135.00
150.00
50.00%
13.50%
$1,135.00
140.00
40.00%
13.50%
$1,135.00
130.00
30.00%
13.50%
$1,135.00
120.00
20.00%
13.50%
$1,135.00
113.50
13.50%
13.50%
$1,135.00
110.00
10.00%
13.50%
$1,135.00
105.00
5.00%
13.50%
$1,135.00
101.00
1.00%
13.50%
$1,135.00
100.00
0.00%
13.50%
$1,135.00
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
40.00
-60.00%
0.00%
$1,000.00
30.00
-70.00%
0.00%
$1,000.00
20.00
-80.00%
0.00%
$1,000.00
10.00
-90.00%
0.00%
$1,000.00
0.00
-100.00%
0.00%
$1,000.00
PS-5 | Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
The following graph demonstratesthe hypothetical payments at maturity onthenotes fora rangeof Index Returns. There can beno
assurance that the performance of the Index will result in a payment at maturity in excess of $1,000.00 per $1,000 principalamount
note, subject tothecredit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the Notes Work
Upside Scenario:
If theFinal Valueisgreater than or equal to the Initial Value, investors will receive at maturity the $1,000 principal amount plusa fixed
return equal tothe Contingent Digital Return of at least 13.50%, which reflectsthe maximumreturn at maturity.
•Assuming ahypothetical Contingent Digital Return of 13.50%, if the closing levelof the Index increases 5.00%, investorswill
receiveat maturityareturn equal to 13.50%, or $1,135.00 per $1,000 principal amount note.
•Assuming ahypothetical Contingent Digital Return of 13.50%, if the closing level of the Indexincreases 40.00%, investorswill
receiveat maturity a return equal to 13.50%, or $1,135.00 per $1,000 principal amount note.
Par Scenario:
If theFinal Valueisless than the Initial Value, investors will receive at maturitytheprincipal amount of their notes.
The hypothetical returnsand hypothetical payments on the notesshown above applyonlyif you hold the notes for their entire term.
These hypotheticalsdo not reflect the fees or expenses that would be associated withanysale in thesecondarymarket. If these fees
and expenses were included, the hypothetical returnsand hypothetical paymentsshown above would likely 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
accompanyingprospectus supplement,product supplement and underlyingsupplementand in Annex A tothe accompanying
prospectusaddendum.
Risks Relating to the Notes Generally
•THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY-
If theFinal Valueisless than the Initial Value, you will receive only the principal amountof your notes at maturity, and you willnot
be compensated for anylossin value due to inflation and other factors relating to the value of money over time.
•THE LEVEL OF THE INDEX WILL INCLUDE A 0.95% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 0.95% per annum daily deduction. As a result of thedeductionof this indexfee, thelevel of theIndex will
trail thevalue of a hypothetical identically constitutedsynthetic portfolio from whichno such fee or cost is deducted.
•YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN,
regardless of any appreciation of the Index, which may be significant.
•YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE -
PS-6 | Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
If theFinal Valueisless than the Initial Value, you will not be entitled to receive the Contingent Digital Return at maturity.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our andJPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined bythemarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we andJPMorgan 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 dependent upon 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 to make
payments on the notes, you may have toseek payment under the related guaranteebyJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE PORTFOLIO CONSTITUENTS, THE UNDERLYING FUTURES
CONTRACTS OR THE SECURITIES INCLUDED IN THE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange. Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes. You may notbe able to sellyour notes. The notes
are not designed to be short-term trading instruments. Accordingly, you shouldbeable 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 the estimated value of the notes and the
Contingent Digital Return.
Risks Relating to Conflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay avarietyof roles in connection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'seconomic interests are potentially adverse toyour interests as an investor in the notes. It is possiblethat hedging or trading
activities of ours or our affiliates in connection with the notes could result insubstantial returns for us or our affiliates while the
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanyingproduct
supplement. See also "- Risks Relating to the Index- Our Affiliate, JPMS, Is the IndexSponsor and the Index Calculation Agent
of theIndex and Each Portfolio Constituent andMay Adjust the Index or Each Portfolio Constituent in a Way that Affects ItsLevel"
below.
JPMS is one of the primary dealers through which the U.S. Federal Reserve conductsopen-market purchases and sales of U.S.
Treasury and federal agencysecurities, including U.S. Treasury notes. These activitiesmay affect the pricesandyields on the
U.S. Treasury notes, which may in turn affect the level of the Bond Constituent and the level of the Bond Constituent. JPMS has
no obligation to take into consideration your interests as a holder of the notes when undertaking these activities.
•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 ofthenotes.Investors should undertake their own
independent investigation of the meritsof investing in the notes and the Portfolio Constituents and thefutures contractscomposing
the Portfolio Constituents.
PS-7 | Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
•THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors. The originalissueprice of the
notes will 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 notes maydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates.Anydifferencemay
be based on, among other things, our and our affiliates' view of thefunding valueof the notes as well as the higher issuance,
operational and ongoingliability management costs of the notes in comparison to those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potentialchanges tothat ratemay have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes.See "The Estimated 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 pricing supplement 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 onyourcustomer 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 rates for structured debt issuances and,
also, because secondarymarket prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included intheoriginal issue price of the notes. As a result, the price, if any, at which JPMS will be willing 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
the Maturity Datecould result in a substantialloss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes duringtheir term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom theselling commissions, projected 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 which JPMS may be willing to purchaseyour notes in the secondarymarket.See "Risk Factors -
Risks Relating to the Estimated Value and Secondary Market 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 theIndex
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX, THE
REFERENCE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS OF THE EQUITY CONSTITUENT,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking anycorporate action that might affect
the securities included in the referenceindex underlying theUnderlying Futures Contractsof the Equity Constituent.
PS-8 | Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
•OUR AFFILIATE, JPMS, IS THE INDEX SPONSOR AND THE INDEX CALCULATION AGENT OF THE INDEX AND EACH
PORTFOLIO CONSTITUENT AND MAY ADJUST THE INDEX OR EACH PORTFOLIO CONSTITUENT IN A WAY THAT
AFFECTS ITS LEVEL -
JPMS, oneof our affiliates, currently actsas the indexsponsor and the indexcalculation agent for theIndex and the Portfolio
Constituentsandis responsible for calculating and maintaining the Indexand the PortfolioConstituents and developing the
guidelinesand policies governing their composition and calculation. In performingthese duties, JPMS may have interestsadverse
to theinterests of the holdersof thenotes, which may affect your return on the notes, particularly where JPMS, as the index
sponsor and the index calculation agent of the Index and the Portfolio Constituents, is entitled to exercise discretion. Therules
governing the Indexand the Portfolio Constituentsmay be amended at any time bythe index sponsor of the Index andthe Portfolio
Constituents, inits sole discretion. The rules also permit the useof discretion by the index sponsor and the index calculation agent
of theIndex and the Portfolio Constituents in specific instances, including, but not limited to, the determination of whether to
replace a Portfolio Constituent with asubstitute or successor upontheoccurrence of certain events affecting that Portfolio
Constituent, the selection of any substitute or successor and the determination of the levels to be used in the event of market
disruptionsthat affect the ability of the indexcalculation agent of the Indexand the PortfolioConstituents to calculate andpublish
the levels of the IndexandthePortfolio Constituentsand the interpretation of the rules governing the Index and the Portfolio
Constituents. Although JPMS, acting as the index sponsor and the indexcalculation agent, willmake all determinationsand take
all action in relation to the Index and the Portfolio Constituents acting ingood faith, it should be noted that JPMS may have
interests adverse to the interestsof the holders of thenotesand the policies and judgments for which JPMS is responsible could
have animpact, positive or negative, on the level of the Index and the valueof your notes.
Although judgments, policies and determinations concerningthe Index and the Portfolio Constituents are made byJPMS,
JPMorgan Chase & Co., as the ultimate parent company of JPMorgan Chase Bank and JPMS, ultimatelycontrols JPMorgan
ChaseandJPMS.JPMS has no obligation to consider your interestsin taking any actions that might affect the value of your notes.
Furthermore, the inclusion of the Portfolio Constituents in the Index is not an investment recommendation by us or JPMS of any of
the Portfolio Constituents, or any of the futurescontractscomposing any of the Portfolio Constituents.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE PORTFOLIO CONSTITUENTS -
The Index follows a notional rules-based proprietary strategy that operateson the basis of pre-determined rules. Under this
strategy, theIndexseeks to maintain an annualized realized volatilityapproximately equal to theTarget Volatility of 3.0% by
rebalancingits exposures to the Portfolio Constituents oneach day basedon two measuresof realized portfolio volatility: a shorter-
termvolatility measure and alonger-termvolatility measure. By seeking tomaintain anannualized realizedvolatility approximately
equal to the Target Volatility, the Indexmay underperform an alternative strategy that seeks tomaintain a higher annualized
realizedvolatility or an alternativestrategy that does not seek to maintain a level volatility.
In addition, on each day, the Index generallyselects the notionalportfolio identified for thevolatilitymeasure that has the lower
allocation to the Equity Constituent as the notional portfolio to be tracked by the Index. The Index's selection of the notional
portfolio with the lower allocation to the Equity Constituent may be more likelyto result in the Index tracking a notional portfolio with
a lower realized volatility than if the Index weretoselect the notional portfolio with the higher allocation to the Equity Constituent.
No assurance can be given that the investment strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed in respect of the Portfolio Constituents.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurance can be given that the Index will maintain an annualized realized volatility that approximates the Target Volatility. The
actual realized volatility of theIndex may be greater or lessthan the Target Volatility. The Indexseekstomaintain anannualized
realizedvolatility approximately equal to the Target Volatilityof 3.0% by rebalancing itsexposures to the Portfolio Constituents on
each day based on two measures of realized portfoliovolatility. However,there is no guarantee that trends exhibited by either
measureof realizedportfolio volatility will continuein the future. The volatility of a notional portfolioon anyday may change quickly
and unexpectedly. Accordingly, the actual realized annualized volatility of the Indexon adaily basis may be greater thanor less
than the Target Volatility, which may adversely affect the level of the Index and the value of the notes.
•THE PERFORMANCE OF THE INDEX MAY BE ADVERSELY AFFECTED BY ITS TARGET VOLATILITYOF 3.0%-
The Index seeks tomaintain an annualized realizedvolatility approximatelyequal to the Target Volatility of 3.0%. A Target
Volatility of 3.0% is relatively low ascompared to indices with similar investment strategies established prior to theIndex.A
relativelylower Target Volatility could result in poorer performance in general over time, especially during periodsof rising markets.
See also "-A Significant Portion of the Index's ExposureMay Be Allocated to the Bond Constituent" and "- The IndexMay Be
More Heavily Influenced bythe Performance of the Equity Constituent Than the Performance of the Bond Constituent in General
Over Time" below.
PS-9 | Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
For each volatility measure oneach day, the Indexseeks to identify a notional portfoliocomposed of the Portfolio Constituentsthat
hasan annualized realized volatilitydetermined for that volatilitymeasure approximately equal to the Target Volatility of 3.0% and
an aggregate weight of 100%. If the Index identifiesandselectssuch anotional portfolio for a volatilitymeasure, but the weight of
either Portfolio Constituent isgreater than100%, the weight of that Portfolio Constituent in the notional portfolioselected for that
volatilitymeasure on that daywill be 100% and, if the weight of either Portfolio Constituent is less than 0%, the weight of that
Portfolio Constituent in the notionalportfolio selectedfor that volatilitymeasure on that daywill be 0%.Inaddition, if there is no
such notional portfoliofor a volatilitymeasure, the Index selects for that volatilitymeasure on that day the notional portfolio withthe
lowest realizedvolatility.
As a result of applying a cap and floor and in the case of selecting the notional portfolio with the lowest realized volatility, the
resulting notional portfoliomay be greater than or less than 3.0% for the relevant volatilitymeasure. If the annualized realized
volatilityof the notional portfolio selected for a volatility measure on any day is greater than 3.0%, that notional portfolio will be
adjusted so that the weight of each Portfolio Constituent in that notional portfolio willbe reduced proportionately to achieve a
notionalportfolio that has an annualized realized volatility forthe relevant volatility measure of 3.0%. Under these circumstances,
the aggregate weight of the Portfolio Constituents in that notional portfolio will beless than 100%.
If theIndex tracks a notional portfolio with an aggregate weight that is lessthan 100%, the Index will not be fully invested, and any
uninvested portion will earn no return. The Indexmay be significantlyuninvested onany givenday, and will realize onlya portion
of any gains due to appreciation of the Portfolio Constituents on any such day. The Index Deduction is deducted daily at a rate of
0.95%per annum, even when the Index is not fullyinvested.
•A SIGNIFICANT PORTION OF THE INDEX'S EXPOSURE MAY BE ALLOCATED TO THE BOND CONSTITUENT -
Under normal market conditions, the Equity Constituent has tended to exhibit a realized volatility that ishigher than the Target
Volatility and that is higherthan the realized volatilityof the Bond Constituent in generalover time. As a result, and because the
Target Volatilityisonly 3.0% the Index willgenerally needto reduce its exposure to the Equity Constituent in order to approximate
the Target Volatility. Therefore, the Index may have significant exposure for an extended period of time to the Bond Constituent,
and that exposure may be greater, perhapssignificantly greater, than its exposure to the Equity Constituent. Moreover, under
certain circumstances, the Index mayhave no exposure to the Equity Constituent. However, the returnsof the Bond Constituent
maybesignificantly lower than the returns of the Equity Constituent, and possibly even negative while the returns of the Equity
Constituent are positive, which will adversely affect the level of the Index and any payment on, and the value of, the notes.
•THE INDEX MAY BE MORE HEAVILY INFLUENCED BY THE PERFORMANCE OF THE EQUITY CONSTITUENT THAN THE
PERFORMANCE OF THE BOND CONSTITUENT IN GENERAL OVER TIME -
In any initial selection between two eligiblenotional portfolios, the Index will select the portfolio that hasthehigher allocation to the
Portfolio Constituent with a higher realized volatility, as described under "TheJ.P.Morgan Dynamic BlendSMIndex" inthe
accompanying underlying supplement, which generally will cause the Equity Constituent to receive a higher allocation than if the
portfolio that has the higher allocation to the Portfolio Constituent with a lower realized volatility were selected.
Furthermore, under normal market conditions, the Equity Constituent's realized volatility has been relatively more variableand has
tended to be significantly higher than the Bond Constituent's realized volatility. Under these circumstancesandbecause the
Target Volatilityisonly 3.0%, the Index is generally expected to be more heavily weighted towardsthe Bond Constituent.
However, under circumstances where the Equity Constituent's realizedvolatility is significantlyhigher than that of the Bond
Constituent, the performance of the Indexis expected to be influenced to a greater extent by the performance of the Equity
Constituent than by the performance of the Bond Constituent, even if the weight of the Bond Constituent issignificantly greater
than the weight of the Equity Constituent.
Consequently, even in caseswhere the allocation to the Bond Constituent isgreater than the allocation to the Equity Constituent,
the Index may be influenced to a greater extent by the performance of the Equity Constituent than by the performance of the Bond
Constituent because, under some conditions, the greater allocation to the Bond Constituent will not be sufficiently large to offset
the greater realized volatility of the Equity Constituent.
Accordingly,the levelof the Indexmay decline if the value of the Equity Constituent declines, evenif the value of the Bond
Constituent increases at the same time. See also "-The Returns of the Portfolio ConstituentsMay Offset Each Other or May
Become Correlatedin Decline" below.
•THE RETURNS OF THE PORTFOLIO CONSTITUENTS MAY OFFSET EACH OTHER OR MAY BECOME CORRELATED IN
DECLINE -
At a time when the value of one Portfolio Constituent increases, the value of the other Portfolio Constituent may not increaseas
much or may even decline. Thismay offset the potentially positive effect of the performance of theformer Portfolio Constituent on
the performance of the Index. During the termof the notes, it is possible that the value of the Indexmay decline even if the value
PS-10| Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
of one Portfolio Constituent rises, because of the offsetting effect of adecline in the other Portfolio Constituent. It isalso possible
that the returns of the Portfolio Constituentsmay be positively correlated with each other. In this case, adecline inone Portfolio
Constituent would be accompanied by a declinein the other Portfolio Constituent, which may adversely affect the performance of
the Index. As a result, the Index maynot perform as well asan alternative index that tracks only one Portfolio Constituent or the
other.
•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in this pricingsupplement is purely theoretical and doesnot represent the actual historicalperformance of the Indexandhasnot
beenverified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations. Alternative
modelling techniquesmight produce significantlydifferent results and mayprove to be more appropriate. Past performance, and
especially hypothetical back-tested performance, is not indicative of future results. Thistype of information has inherent limitations
and youshould carefullyconsider these limitations before placing reliance on such information. Hypotheticalback-tested
performance is derived bymeansof the retroactive application of a back-testedmodel that hasbeen designed with the benefit of
hindsight.
•THE INVESTMENT STRATEGY USED TO CONSTRUCT THE INDEX INVOLVES DAILY ADJUSTMENTS TO ITS NOTIONAL
EXPOSURE TO ITS PORTFOLIO CONSTITUENTS -
The Index is subject to daily adjustments to itsnotional exposure to its Portfolio Constituents. By contrast, a notional portfolio that
is not subject to daily exposure adjustments in this manner could see greater compounded gains over time through exposure toa
consistently and rapidly appreciating portfolio consistingof the relevant Portfolio Constituents. Therefore, your return on the notes
maybeless than the return you could realize on an alternative investment in the relevant Portfolio Constituents that isnot subject
to daily exposure adjustments.No assurance can be given that the investment strategy used toconstruct the Index will outperform
anyalternativeinvestment in the Portfolio Constituents of the Index.
•A PORTFOLIO CONSTITUENT OF THE INDEX MAY BE REPLACED BY A SUBSTITUTE INDEX OR FUTURES CONTRACT IN
CERTAIN EXTRAORDINARY EVENTS -
Following theoccurrence of certainextraordinary events with respect to a Portfolio Constituent as described in the accompanying
underlyingsupplement, a Portfolio Constituent may be replaced by asubstitute index or futures contract or the index calculation
agent may cease calculating and publishing in the Index. You should realize that changinga Portfolio Constituent may affect the
performance of the Index, andtherefore, the returnon the notes, as the substitute index or futures contract may perform
significantlybetter or worsethan the original Portfolio Constituent. For example, the substitute or successor Portfolio Constituent
mayhave higher fees or worse performance than the original Portfolio Constituent.
Moreover, the policies of the index sponsor of thesubstitute index or futures contract concerning the methodology and calculation
of thesubstitute indexor futures contract, including decisions regarding additions, deletions or substitutionsof the assets
underlying the substitute index or futurescontract could affect the level or price of the substitute index or futurescontract and
therefore the value of the notes. The amount payable on the notes and their market value could also be affected if the sponsor of a
substitute index or the sponsor of the reference index of a substitute futurescontract discontinues or suspends calculationor
dissemination of the relevant index, in which case it may becomedifficult to determine themarket value of the notes. The sponsor
of thesubstitute indexor futures contract will have no obligation to consider your interestsin calculating or revisingsuchsubstitute
index or futurescontract.
•EACH PORTFOLIO CONSTITUENT IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE UNDERLYING
FUTURES CONTRACTS -
The Portfolio Constituents each track the returns of the Underlying Futures Contracts. Theprice of an Underlying Futures Contract
dependsnot only on the priceof theunderlying asset referencedby the Underlying FuturesContract, but also on arange of other
factors, includingbut not limited to changing supply and demand relationships, interest rates, governmental and regulatory policies
and the policies of the exchangeson which the Underlying Futures Contracts trade. In addition, the futuresmarkets are subject to
temporary distortions or otherdisruptionsdue tovarious factors, including the lack of liquidity in themarkets, the participation of
speculators and government regulation and intervention. These factors andotherscancause the prices of the Underlying Futures
Contracts to be volatile and could adversely affect the level of each Portfolio Constituent and the Index and anypayments on, and
the value of, your notes.
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY
AFFECT THE VALUE OF YOUR NOTES -
Futures marketsare subject to temporary distortions or other disruptionsdue to various factors, includinglack of liquidity, the
participation of speculators, and government regulation and intervention. In addition, futures exchanges generally have regulations
PS-11| Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
that limit the amount of the Underlying Futures Contract price fluctuations that may occur in a single day. These limits are
generally referred to as "daily price fluctuation limits" and the maximum or minimum price of a contract on any given day as a result
of these limits is referred to as a "limit price." Once the limit pricehas been reached in a particular contract, no tradesmay be
made at a price beyond the limit,or trading may be limited for a set period of time. Limit prices have the effect of precluding trading
in aparticular contract or forcing the liquidation of contractsat potentially disadvantageous times or prices. These circumstances
could delay the calculation of the level of each Portfolio Constituent and could adversely affect the level of each Portfolio
Constituent and the Indexandanypayments on, and thevalue of, your notes.
•AN INCREASE IN THE MARGIN REQUIREMENTS FOR THE UNDERLYING FUTURES CONTRACTS INCLUDED IN THE
PORTFOLIO CONSTITUENTS MAY ADVERSELY AFFECT THE LEVEL OF THAT PORTFOLIO CONSTITUENT -
Futures exchanges require market participants to post collateral in order to open and keep open positions in the Underlying
Futures Contracts. If an exchangeincreasesthe amount of collateral required to be posted to holdpositions in the Underlying
Futures Contracts, market participants whoare unwilling or unable topost additional collateral mayliquidate their positions, which
maycausethe price or liquidity of the relevant Underlying Futures Contracts to decline significantly. As a result, the levelof the
relevant Portfolio Constituent and the Index and any payments on, and the value of, thenotesmay be adversely affected.
•THE INDEX MAY IN THE FUTURE INCLUDE UNDERLYING FUTURES CONTRACTS THAT ARE NOT TRADED ON
REGULATED FUTURES EXCHANGES -
The Index, through its exposure to the Portfolio Constituents, iscurrently based solely on futurescontracts traded on regulated
futures exchanges (referred to in the United States as "designated contract markets"). If theseexchange-tradedfuturescontracts
cease to exist, or if the calculationagent for the Portfolio Constituents substitutesan Underlying Futures Contract in certain
circumstances, the Index may in the future include futurescontract or over-the-counter contracts traded on trading facilities that are
subject to lesser degreesof regulation or, in some cases, no substantive regulation. Asa result, trading in such contracts, and the
manner in which prices andvolumes are reported by the relevant trading facilities, maynot be subject to the provisions of,and the
protectionsafforded by, the U.S. Commodity Exchange Act, or other applicable statutes and related regulationsthat govern trading
on regulated U.S.futuresexchanges or similar statutesand regulations that govern trading on regulated non-U.S. futures
exchanges.In addition, many electronic trading facilities have only recently initiated trading and do not have significant trading
histories. As a result, the trading of contracts on such facilities, and the inclusion of such contractsin the Index, through its
exposure to the Portfolio Constituents, may be subject to certain risks not presented bytheUnderlying Futures Contracts, including
risks related to the liquidityand price histories of the relevant contracts.
•NEGATIVE ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS CONSTITUTING THE
PORTFOLIO CONSTITUENTS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE PORTFOLIO CONSTITUENTS AND
THE VALUE OF THE NOTES -
The Portfolio Constituents each reference UnderlyingFutures Contracts. Unlike commonequity securities, Underlying Futures
Contracts, by their terms, have stated expirations. Astheexchange-traded Underlying Futures Contracts that compose the
Portfolio Constituents approach expiration, they are replaced bysimilar contractsthat have a later expiration. For example, an
Underlying Futures Contract notionally purchased and held in June mayspecify a September expiration date. As timepasses, the
contract expiring in September is replaced by a contract for deliveryin December. This is accomplishedby notionallyselling the
September contract and notionally purchasing the Decembercontract. Thisprocess is referred to as "rolling." Excluding other
considerations, if prices are higher in the distant delivery monthsthan in the nearer delivery months, the notionalpurchase of the
December contract would take place at a price that is higher than the priceof the September contract, thereby creating a negative
"roll return." Negative roll returns adversely affect the returns of the Portfolio Constituents and, therefore, the level ofthe Index and
anypayments on, and the value of, the notes. Becauseof the potential effectsof negative roll returns, it is possible for the value of
a Portfolio Constituent to decrease significantly over time, even when the near-term or spot prices of the underlying assets or
instrumentsare stableor increasing. In addition, interest rates have been historically low for an extended periodand, if interest
rates revert totheir historical means, the likelihood that a roll return related to any Portfolio Constituent will be negative, as well as
the adverse effect of negativeroll returns on any Portfolio Constituent, will increase.
PS-12| Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
•OTHER KEY RISKS:
oTHE INDEX, WHICH WAS ESTABLISHED ON MARCH 23, 2021, AND THE PORTFOLIO CONSTITUENTS, WHICH WERE
ESTABLISHED ON DECEMBER 22, 2020, HAVE LIMITED OPERATING HISTORIES AND MAY PERFORM IN
UNANTICIPATED WAYS.
oTHE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO
WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST.
oTHE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING
INTEREST RATE-RELATED RISKS AND CREDIT RISK.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-listed
and other risks.
PS-13| Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM 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 through March 19, 2021 and the historical performance of the Index based on the
weekly historical closing levels of the Index from March 26, 2021 throughOctober 25, 2024. The Index was established on March 23,
2021, as represented by the vertical linein the followinggraph. All data to the left of that vertical linereflect hypothetical back-tested
performance of the Index. Alldata to the right of that vertical line reflect actual historical performance of the Index. The closing level of
the Index on October 28, 2024 was 151.95. We obtained the closing levelsabove 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 tothe Index-
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Dataand 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 closinglevel of the Index on the Pricing Dateor the Observation Date. There can be noassurance
that the performance of theIndex will result in a payment at maturityin excess of your principal amount, subject to thecredit risksof
JPMorgan Financialand JPMorgan Chase & Co.
The hypothetical back-testedclosing levels of the Index have inherent limitations and havenot been verified 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 guaranteeof future returns. No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closinglevels of theIndex that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
Tax Treatment
There isuncertaintyregarding the U.S. federal income taxconsequences of an investment in thenotes due to the lackof governing
authority.You should review carefullythe section entitled "Material U.S. Federal Income Tax Consequences," and inparticular the
subsection thereof entitled "-Tax Consequences to U.S. Holders - Notes with a Termof More than One Year- NotesTreated as
Contingent Payment Debt Instruments" in the accompanying product supplement no. 3-I. Based on current market conditions, we
intend totreat the notes for U.S. federal incometax purposes as "contingent payment debt instruments." Assuming this treatment is
respected, as discussed in that subsection, unlike a traditional debt instrument that provides for periodic payments of interest at asingle
fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt of stated interest, yougenerally
will be required to accrueoriginal issue discount ("OID") on your notesin each taxable year at the"comparable yield," asdetermined by
us, although we will not make anypayment with respect to the notes until maturity. Uponsale or exchange (including at maturity), you
will recognize taxable incomeor lossequal to the difference between the amount received from thesale or exchange and your adjusted
basis in the note, which generally will equal thecost thereof,increased by the amount of OID you have accrued in respect of the note.
You generallymust treat anyincome as interest income andanyloss as ordinary loss to the extent of previous interest inclusions, and
PS-14| Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
the balance ascapital loss. The deductibility of capital losses is subject to limitations. Special rulesmay apply if theamount payable at
maturityistreated as becoming fixed prior to maturity. You should consult your tax adviser concerning the application of these rules.
The discussionsherein and in the accompanyingproduct supplement do not address theconsequences to taxpayerssubject to special
tax accounting rules under Section 451(b) of the Code. Purchasers who are not initialpurchasers of notesat their issue priceshould
consult their tax advisers with respect to the tax consequences of aninvestment in notes, including the treatment of thedifference, if
any, between thebasis in their notes and the notes' adjusted issue price.
Becauseour intended treatment of the notes as CPDIsis basedon current market conditions, we may determine an alternative
treatment is more appropriate based on circumstancesat the time of pricing. Our ultimatedetermination will be binding on you, unless
youproperlydisclose to the IRS an alternative treatment. Also, the IRS may challenge thetreatment of the notes as CPDIs. If we
determine not to treat the notes as CPDIs, or if the IRS successfully challenges the treatment of the notes as CPDIs, then thenotes will
be treatedasdebt instruments that are not CPDIs and, unless treated asissued with less than aspecifiedde minimis amount of original
issue discount, could (depending on the facts at the time of pricing) require the accrual of original issue discount as ordinary interest
income based on a yield to maturity different from (and possiblyhigher than) thecomparable yield. Accordingly, under this treatment,
your annual taxable income from (and adjusted tax basis in)the notes couldbe higher or lower than if the notes were treated as CPDIs,
and any loss recognized upon a disposition of the notes (including upon maturity) would be capital loss, the deductibility ofwhich is
subject to limitations. Accordingly, this alternative treatmentcould result inadverse tax consequencesto you.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unlessan incometax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholdingregime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations.Additionally, a recent IRS notice excludes 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 Section871(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 discussionsin the preceding paragraphs, when readin combination with the section entitled "Material U.S. Federal Income Tax
Consequences" (and in particular the subsection thereof entitled "-Tax Consequences toU.S. Holders- Notes with a Term of More
than One Year -Notes Treated as Contingent Payment Debt Instruments") in the accompanying product supplement, to the extent
they reflect statements of law, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax
consequences of owning and disposingof the notes.
Comparable Yield and Projected Payment Schedule
We will determine thecomparable yield for the notesand will provide that comparable yield and the related projectedpaymentschedule
(or information about how toobtain them) in the pricing supplement for thenotes, which wewill file with the SEC. Thecomparable yield
for the notes will be determined based upon a variety of factors, including actualmarket conditions and our borrowing costs for debt
instrumentsof comparablematuritiesat the time of issuance.The comparable yield and projected paymentschedule are
determined solely to calculate the amount onwhich youwill be taxed with respect tothe notes in each year and are neither a
prediction nor aguarantee of what the actual yield will be.
The Estimated Value of the Notes
The estimated value ofthe notes set forth on the cover of this pricing supplement is equal to thesum of the values of thefollowing
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 secondarymarket (if anyexists) at
any time. The internal funding rate used in thedetermination of the estimated valueof thenotes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof asimilar maturityissued by JPMorganChase & Co. or its affiliates. Any difference
maybe based on, among other things, our and our affiliates' view of the funding value of the notes as well as the higher issuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which mayprove
to beincorrect, and is intended to approximatetheprevailing market replacement funding rate for the notes. The use of an internal
funding rate and anypotential changes to that ratemay have an adverse effect on the terms of the notes and any secondary market
PS-15| Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
prices of the notes. For additional information, see "Selected Risk Considerations- Risks Relating tothe Estimated Value and
Secondary Market Pricesof the Notes-The Estimated Value of the NotesIs Derived by Reference to anInternalFunding Rate" in this
pricingsupplement.
The value of the derivative or derivatives underlying the economic terms of thenotes 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 includevolatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments.Accordingly, theestimated value of thenotes is
determined when the termsof the notes are set based on market conditions and other relevant factors and assumptions existing at that
time.
Theestimated value of thenotesdoesnot represent future values of the notes 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 assumptions may prove to be incorrect.On
futuredates, the value of the notescouldchange significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
which JPMS would be willing to buy notesfromyou in secondarymarket transactions.
Theestimated value of the noteswill be lower than the original issue priceof 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
paidto JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliatesexpect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes.Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result inaprofit 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
notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits.See "Selected Risk Considerations-Risks Relatingto the Estimated Valueand 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 pricingsupplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes - Secondary market prices of the notes will beimpacted bymany
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in the original issue price of the notes willbe partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period.These costs can includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internalsecondarymarket funding rates
for structureddebt 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 thestructure 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 LimitedTime Period" in this pricingsupplement.
Supplemental Use of Proceeds
Thenotes are offered 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 pricingsupplement for anillustration of the risk-returnprofile
of thenotes and"TheJ.P. Morgan Dynamic BlendSMIndex"in this pricing supplementfor adescription of the market exposureprovided
by the notes.
The originalissue price of thenotes is equal to the estimated value of the notesplus the sellingcommissions paidtoJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying theapplicable
agent. Wereserve the right to change the terms of, or reject anyoffer to purchase, the notes prior to their issuance. In the event of any
changes to the terms of the notes, we will notifyyou and you will be asked to accept such changes in connection withyour purchase.
You may also choose to reject such changes, in which case we may reject your offer to purchase.
PS-16| Structured Investments
Capped Digital NotesLinked tothe J.P. Morgan Dynamic BlendSM Index
You should readthispricing supplement together with theaccompanyingprospectus, as supplemented bytheaccompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part,the accompanying prospectus
addendumand the more detailed information contained in the accompanyingproduct supplement and the accompanying underlying
supplement.This pricingsupplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. Youshould carefullyconsider, among other things, the matters set forth inthe"Risk Factors" sections of the accompanying
prospectussupplement, the accompanying product supplement and the accompanying underlyingsupplementand in Annex A to the
accompanying prospectus addendum, as the notesinvolve risks not associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisersbefore youinvest in the notes.
You may access these documents on the SEC websiteat www.sec.gov as follows (or if such address has changed, by
reviewing our filings for the relevant date on the SEC website):
•Product supplement no. 3-I dated April 13, 2023:
•Underlying supplement no. 24-I dated September 1, 2023:
•Prospectus supplement andprospectus, each dated April 13, 2023:
•Prospectus addendum dated June 3, 2024:
Our CentralIndex Key, or CIK, on theSEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used inthispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.