JPMorgan Chase & Co.
11/01/2024 | Press release | Distributed by Public on 11/01/2024 04:34
Primary Offering Prospectus - Form 424B2
The information in this preliminary pricing supplement is notcomplete and maybe changed. This preliminary pricing supplement is not
an offer to sell nordoes itseek an offer tobuy these securities in any jurisdiction where the offer or sale is not permitted.
Subjectto completion datedOctober 31,2024
November , 2024 Registration Statement Nos.333-270004 and333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-IdatedApril 13, 2023,underlying supplement no. 5-II dated March 5, 2024, the prospectus and
prospectus supplement, each dated April 13,2023, and theprospectus addendum dated June 3, 2024
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest NotesLinked to the
MerQube US Large-Cap Vol Advantage Indexdue November
4, 2027
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
•Thenotes are designed for investors whoseek a Contingent Interest Payment with respect to each Review Date for
which theclosing level of theMerQube US Large-Cap Vol Advantage Index, which we refer to as the Index,isgreater
than or equal to 50.00% of the Strike Value, which we refer to as the Interest Barrier.
•If theclosinglevel of the Index is greater than or equal to the Interest Barrier on any Review Date, investors will receive,
in addition to the Contingent Interest Payment with respect to that Review Date, any previouslyunpaid Contingent
Interest Payments for prior Review Dates.
•The notes will be automatically called if the closing levelof the Indexon any Review Date (other than the first through
eleventh and final Review Dates) is greater than or equal to theStrike Value.
•The earliest dateon which an automatic call may be initiated isOctober 30, 2025.
•Investors shouldbe willing to accept the riskof losing some or allof their principal and the risk that no Contingent Interest
Payment may bemade with respect tosome or allReview Dates.
•Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
•The Index is subject to a 6.0%per annum daily deduction. This daily deduction will offset any appreciation of
the futures contracts included in the Index, will heighten any depreciation of those futures contracts andwill
generally bea drag on the performance of the Index. The Index will trail the performance of an identical index
without a deduction. See "Selected Risk Considerations - Risks Relating to the Notes Generally -The Level
of the Index Will Include a 6.0% per Annum Daily Deduction" in this pricing supplement.
•The notes areunsecuredandunsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed 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 integralmultiples thereof
•The notes areexpected to price on or about October 31, 2024(the "Pricing Date") and areexpected to settle on or about
November 5, 2024.The Strike Value has been determined by reference to theclosing level of the Index on
October 30, 2024 andnotbyreference to theclosing level of theIndex on the Pricing Date.
•CUSIP: 48135VDR6
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 accompanying prospectus addendum, "Risk Factors" beginning on pagePS-11
of the accompanying product supplement, "Risk Factors"beginning on page US-4 of the accompanying underlying
supplementand "Selected Risk Considerations" beginning on page PS-7 of this pricing supplement.
Neither the Securities and Exchange Commission (the"SEC") nor anystate securitiescommission has approved or disapproved
of the notes or passed upon the accuracyor the adequacy ofthis pricing supplement or the accompanying product supplement,
underlyingsupplement, prospectus supplement, prospectusand prospectusaddendum.Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Feesand Commissions(2)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1)See "Supplemental Use ofProceeds" in this pricingsupplementforinformation about the components of the price to publicofthe
notes.
(2)J.P.Morgan Securities LLC, which we refertoasJPMS,acting as agent for JPMorganFinancial,will pay allof the selling
commissionsit receives fromustootheraffiliated orunaffiliated dealers. Innoevent willtheseselling commissions exceed $6.50per
$1,000 principal amountnote.See "Plan of Distribution (Conflicts ofInterest)"in theaccompanying productsupplement.
If the notes priced today, the estimated value of the notes would be approximately $965.70 per $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 $940.00per $1,000 principal amount note.See"TheEstimated 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
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly ownedfinance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index:The MerQube US Large-Cap Vol Advantage Index
(Bloombergticker: MQUSLVA). The levelof the Index reflects a
deduction of 6.0% per annum that accruesdaily.
Contingent Interest Payments:If the notes have not been
automaticallycalled and theclosing level of the Index on any
Review Date is greater than or equal to the Interest Barrier, you
will receiveon the applicableInterest Payment Date for each
$1,000 principal amount note a Contingent Interest Payment
equal to at least $8.5417 (equivalent to a Contingent Interest
Rate of at least 10.25%per annum, payable at a rate of at least
0.85417%per month) (tobe provided in the pricing
supplement), plus any previously unpaid Contingent Interest
Payments for any prior Review Dates.
If the Contingent Interest Payment isnot paid onany Interest
Payment Date, that unpaid Contingent Interest Payment will be
paidon a later Interest Payment Date if the closing levelof the
Indexonthe Review Date related to that later Interest Payment
Date is greater than or equal to the Interest Barrier. You will not
receiveany unpaid Contingent Interest Payments if the closing
level of the Indexon each subsequent Review Date isless than
the Interest Barrier.
Contingent Interest Rate: Atleast 10.25% per annum, payable
at a rate ofat least 0.85417%per month (to be provided in the
pricingsupplement)
Interest Barrier / Trigger Value:50.00% of the Strike Value,
which is1,959.505
Strike Date: October 30, 2024
Pricing Date: On or aboutOctober 31, 2024
Original Issue Date (Settlement Date): On or about November
5, 2024
ReviewDates*:December 2, 2024, December 30, 2024,
January30, 2025, February 28, 2025, March 31, 2025, April 30,
2025, May 30, 2025, June 30, 2025, July30, 2025, September
2, 2025, September 30, 2025, October 30, 2025, December 1,
2025, December 30, 2025, January 30, 2026, March 2, 2026,
March 30, 2026, April 30, 2026, June 1, 2026, June 30, 2026,
July 30, 2026, August 31, 2026, September 30, 2026, October
30, 2026, November 30, 2026, December 30, 2026, February 1,
2027, March1, 2027, March 30, 2027, April 30, 2027, June 1,
2027, June 30, 2027, July 30, 2027, August 30, 2027,
September 30, 2027 and November 1, 2027(final Review Date)
Interest Payment Dates*:December 5, 2024, January3, 2025,
February 4, 2025, March 5, 2025, April 3, 2025, May 5, 2025,
June 4, 2025, July3, 2025, August 4, 2025, September 5, 2025,
October 3, 2025, November 4, 2025, December 4, 2025,
January5, 2026, February 4, 2026, March 5, 2026, April 2,
2026, May 5, 2026, June 4, 2026, July 6, 2026, August 4, 2026,
September 3, 2026, October 5, 2026, November 4, 2026,
December 3, 2026, January 5, 2027, February 4, 2027, March
4, 2027, April 2, 2027, May 5, 2027, June 4, 2027, July 6, 2027,
August 4, 2027, September 2,2027, October 5, 2027 and the
Maturity Date
Maturity Date*: November 4,2027
Call Settlement Date*:If the notes areautomatically called on
any Review Date (other than the first through eleventh and final
Review Dates), the first Interest Payment Date immediately
following that Review Date
* Subjectto postponement in theevent ofa market disruption event
and as describedunder"Supplemental Terms oftheNotes-
Postponement of aDetermination Date -NotesLinkedSolely to
anIndex" in the accompanying underlying supplementand "General
Terms of Notes -Postponementof a PaymentDate" in the
accompanyingproductsupplement
Automatic Call:
If theclosinglevel of the Index on any Review Date (other than
thefirst through eleventh and final Review Dates) is greater
than or equal to the Strike Value, the notes willbe automatically
called for acash payment, for each $1,000 principal amount
note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment applicable to that Review Date plus (c) anypreviously
unpaid Contingent Interest Paymentsfor any prior Review
Dates, payable on theapplicable Call Settlement Date.No
further payments will bemade on the notes.
Payment at Maturity:
If thenotes have not been automatically called and the Final
Valueisgreater than or equal to the Trigger Value,you will
receivea cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000plus (b) the Contingent
Interest Payment applicable to the final Review Date plus(c)
anypreviously unpaid Contingent Interest Payments for any
prior Review Dates.
If thenotes have not beenautomatically calledand the Final
Valueisless than the Trigger Value, your payment at maturity
per $1,000 principalamount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If thenotes have notbeen automatically calledand the Final
Valueisless than the Trigger Value, you will lose more than
50.00% of your principalamount at maturity and could lose all
of your principal amount at maturity.
Index Return:
(Final Value -Strike Value)
Strike Value
Strike Value:The closing level of the IndexontheStrike Date,
which was3,919.01.The Strike Value is not the closing
level of theIndex on the Pricing Date.
Final Value: Theclosing levelof the Index on the final Review
Date
PS-2 | Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-CapVol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "Index
Calculation Agent"),in coordination withJPMS, and is maintained by theIndex Sponsor and iscalculated and published bythe Index
Calculation Agent. The Index was established on February 11, 2022. An affiliate of ourscurrently has a 10% equityinterest in the
Index Sponsor, witha right to appoint an employee of JPMS, another of our affiliates, asa member of the board of directors of the
Index Sponsor.
The Index attempts to provide a dynamic rules-based exposure to an unfunded rolling position in E-mini® S&P 500®futures (the
"Futures Contracts"), which reference the S&P 500® Index, whiletargeting a level of implied volatility, with a maximum exposure to the
Futures Contracts of 500% and a minimum exposureto the Futures Contracts of 0%.The Index is subject toa 6.0% per annum daily
deduction. The S&P 500®Index consists of stocksof 500 companies selectedto provide aperformance benchmark for the U.S. equity
markets. For more information about the Futures Contractsand the S&P 500®Index, see "Background on E-mini®S&P 500®Futures"
and "Background on the S&P 500®Index," respectively, in the accompanying underlyingsupplement.
On each weekly Index rebalance day, the exposure to the Futures Contracts is set equal to (a) the35%implied volatilitytarget (the
"target volatility") divided by (b) the one-week implied volatility of the SPDR® S&P 500®ETF Trust (the "SPY Fund"), subject to a
maximum exposure of 500%. For example, if the implied volatilityof the SPY Fund is equal to 17.5%, the exposure to the Futures
Contracts will equal 200% (or35% /17.5%) and if the implied volatility of the SPY Fund is equal to 40%, the exposure tothe Futures
Contracts will equal 87.5% (or 35% / 40%). The Index's exposure to the Futures Contractswill be greater than 100% when theimplied
volatilityof the SPY Fund is below 35%, and the Index'sexposure to the Futures Contractswill be less than 100% when the implied
volatilityof the SPY Fund is above35%. In general, the Index'starget volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility feature were employed. No assurance can beprovided that the volatilityof the
Index will bestable at any time.
The investment objective of the SPY Fund is to provideinvestment results that, before expenses, correspond generally to theprice and
yield performance of the S&P500®Index. For more informationabout the SPY Fund, see "Background on the SPDR®S&P 500® ETF
Trust" in the accompanying underlying supplement. The Index uses the implied volatilityof the SPY Fund asa proxyfor the volatility of
the Futures Contracts.
The 6.0% per annum daily deduction will offset any appreciation of the Futures Contracts, will heighten any depreciation ofthe Futures
Contracts and will generally be a drag on the performance of the Index. The Index willtrail the performance of an identical index
without a deduction.
Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Trigger
Value and the other economicterms available onthenotes are more favorableto investorsthan the terms that would be available ona
hypothetical note issued byus linkedto an identical index without a daily deduction.However, there can be no assurance that any
improvement inthe terms of the notes derived fromthedaily deduction will offset the negative effect of the daily deduction on the
performance of the Index. The return onthenotes maybe lower than the return ona hypothetical note issued by us linked to an
identical index without a dailydeduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates' internalpricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimated value of the notes set forth on the cover of this pricingsupplement. The daily deduction will effectively
reduce the value of the derivative or derivativesunderlyingthe economic termsof the notes. See "The Estimated Value ofthe Notes"
and "Selected Risk Considerations -Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with theuseof significant leverage. In addition, theIndex may be significantly
uninvested on any given day, and, in that case, will realize only aportion of any gains due to appreciation of the Futures
Contracts on that day. The index deduction is deducted dailyat a rate of 6.0% per annum, even when the Index is not fully
invested.
No 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 FuturesContracts.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanyingunderlying
supplement.
PS-3 | Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Supplemental Terms of the Notes
The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended
(the "Commodity Exchange Act").The notes are offeredpursuant to an exemption from regulation under the Commodity Exchange
Act, commonlyknown as the hybrid instrument exemption, that is available tosecurities that have one or morepaymentsindexed to the
value, level or rate of one or more commodities, asset out in section 2(f) of that statute. Accordingly, youare not afforded any
protection provided by the Commodity Exchange Act or anyregulation promulgated by theCommodity Futures Trading Commission.
Any valuesof the Index, and any valuesderived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricing supplement and the 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.
How the Notes Work
Payments in Connection with the First through Eleventh Review Dates
Payments in Connectionwith Review Dates (Other than theFirst through Eleventh and Final Review Dates)
The closing level of the Indexis greater than or
equal totheInterest Barrier.
The closing level of the Indexis less thanthe Interest
Barrier.
First through Eleventh ReviewDates
Compare theclosing level of the Indexto the Interest Barrieron eachReviewDate.
You will receive (a)a Contingent Interest Payment on the
applicable Interest Payment Date plus (b)anypreviouslyunpaid
Contingent Interest Payments foranypriorReviewDates.
Proceed to the next ReviewDate.
No Contingent Interest Payment will be madewith respect to
the applicable ReviewDate.
Proceed to the next ReviewDate.
The notes will be automaticallycalled ontheapplicable Call Settlement Date and you will
receive (a) $1,000plus (b)the Contingent Interest Payment applicable to that ReviewDate
plus(c) anypreviouslyunpaid Contingent Interest Payments foranypriorReviewDates.
No further payments will be made on the notes.
ReviewDates (Other than the Firstthrough Eleventh and Final ReviewDates)
Automatic Call
The closing level of the
Indexis greater than or
equal totheStrike
Value.
The closing level of the
Indexis less than the
Strike Value.
Strike
Value You will receive (a)a Contingent
Interest Payment onthe applicable
Interest Payment Dateplus(b) any
previouslyunpaid Contingent Interest
Payments foranypriorReview
Dates.
Proceed to the next ReviewDate.
The closing level of the
Indexis greater than or
equal tothe Interest
Barrier.
No
Automatic
Call No Contingent Interest Payment will
bemade with respect to the
applicable ReviewDate.
Proceed to the next ReviewDate.
The closing level of the Index
is lessthantheInterest
Barrier.
Compare theclosing level of the Indexto theStrike Value and theInterest BarrieroneachReviewDate until thefinal Review
Dateor anyearlier automatic call.
PS-4 | Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The tablebelow illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the termof the
notesbasedona hypothetical Contingent Interest Rate of 10.25% per annum, depending on how many Contingent Interest Payments
are madeprior to automatic call or maturity. The actual Contingent Interest Rate will be provided in the pricing supplement and will be
at least10.25% per annum(payable at a rate of at least 0.85417% per month).
Number of Contingent
Interest Payments
Total Contingent Interest
Payments
36
$307.5000
35
$298.9583
34
$290.4167
33
$281.8750
32
$273.3333
31
$264.7917
30
$256.2500
29
$247.7083
28
$239.1667
27
$230.6250
26
$222.0833
25
$213.5417
24
$205.0000
23
$196.4583
22
$187.9167
21
$179.3750
20
$170.8333
19
$162.2917
18
$153.7500
17
$145.2083
16
$136.6667
15
$128.1250
14
$119.5833
13
$111.0417
12
$102.5000
Review Dates Preceding the
Final Review Date
Youwill receive (a)$1,000 plus (b)the
Contingent Interest Payment
applicable to the final ReviewDate
plus (c)anypreviouslyunpaid
Contingent Interest Payments for any
prior ReviewDates.
The notes are not
automaticallycalled.
Proceed to maturity
Final ReviewDatePaymentat Maturity
The Final Value is greater than or equal tothe
TriggerValue.
Youwill receive:
$1,000+ ($1,000 × IndexReturn)
Under these circumstances, you will
lose some or all of yourprincipal
amount at maturity.
The Final Value is lessthanthe TriggerValue.
PS-5 | Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
11
$93.9583
10
$85.4167
9
$76.8750
8
$68.3333
7
$59.7917
6
$51.2500
5
$42.7083
4
$34.1667
3
$25.6250
2
$17.0833
1
$8.5417
0
$0.0000
PS-6 | Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Hypothetical PayoutExamples
The following examples illustrate payments on thenotes linked to ahypotheticalIndex, assuming a range of performancesfor the
hypotheticalIndex on the Review Dates.The hypothetical payments set forth below assume the following:
•a Strike Value of 100.00;
•an Interest Barrier and a Trigger Value of 50.00 (equal to50.00% of the hypotheticalStrike Value);and
•a Contingent Interest Rate of 10.25% per annum.
Thehypothetical Strike Valueof 100.00has been chosen for illustrative purposesonly and does not represent the actual Strike Value.
The actual Strike Value is theclosing level of the Index on the Strike Date and is specified under "Key Terms -Strike Value" in this
pricingsupplement. For historical data regarding the actual closinglevels of the Index, please see the historical information set forth
under "Hypothetical Back-Tested Dataand Historical Information" in this pricing supplement.
Eachhypothetical payment set forthbelow isfor illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of the notes.Thenumbers appearing in the following exampleshave been rounded for ease of analysis.
Example 1 - Notes areautomatically called on the twelfth Review Date.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
105.00
$8.5417
Second Review Date
115.00
$8.5417
Third through Eleventh
Review Dates
Greater than Strike Value
$8.5417
Twelfth Review Date
110.00
$1,008.5417
Total Payment
$1,102.50(10.25% return)
Because theclosing level of the Index on thetwelfth Review Date is greater than or equal to theStrike Value, the notes will be
automaticallycalled for a cash payment, foreach $1,000 principal amount note, of $1,008.5417 (or $1,000 plus the Contingent Interest
Payment applicable to thetwelfth Review Date), payable on the applicable Call Settlement Date. The notes are not automatically
callable before the twelfth Review Date, even though the closing level of the Index on each of the first through eleventh Review Dates is
greater than theStrike Value. When added to the Contingent Interest Paymentsreceived with respect to the prior Review Dates, the
totalamount paid, for each $1,000 principal amount note, is $1,102.50. No further payments will be made on the notes.
Example 2 - Notes have NOT been automatically called and the Final Value is greater than or equal to the Trigger Value.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
90.00
$8.5417
Second Review Date
85.00
$8.5417
Thirdthrough Thirty-Fifth
Review Dates
Less than Interest Barrier
$0
Final Review Date
90.00
$1,290.4167
Total Payment
$1,307.50(30.75% return)
Because the notes have not been automaticallycalled and the Final Valueis greater than or equalto theTrigger Value, the payment at
maturity, for each $1,000 principalamount note, will be$1,290.4167(or $1,000plus the Contingent Interest Payment applicable to the
final Review Date plus the unpaid Contingent Interest Payments for any prior Review Dates).When added to the Contingent Interest
Payments received with respect tothe prior Review Dates, the total amount paid, for each $1,000 principal amount note, is$1,307.50.
Example 3- Notes have NOT been automatically calledand theFinal Value is less than theTrigger Value.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
40.00
$0
Second Review Date
45.00
$0
Thirdthrough Thirty-Fifth
Review Dates
Less than Interest Barrier
$0
Final Review Date
40.00
$400.00
PS-7 | Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Total Payment
$400.00(-60.00% return)
Because the notes have not been automaticallycalled, the Final Value is lessthan the Trigger Value and theIndex Return is-60.00%,
the payment at maturity willbe $400.00 per $1,000 principalamount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)]= $400.00
The hypothetical returnsand hypothetical payments on thenotesshown above applyonlyif you hold thenotes for their entire term
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would be associated with any sale in the
secondarymarket.If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notesinvolvessignificant risks.These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement,product supplement and underlying supplementand in Annex A tothe accompanying
prospectusaddendum.
Risks Relating to the NotesGenerally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
Thenotes do not guarantee any return of principal. If thenotes have not beenautomatically called and the Final Value is less than
the Trigger Value, you will lose1% of theprincipal amount of your notesfor every1% that theFinal Valueisless than theStrike
Value.Accordingly, under these circumstances, you will lose more than 50.00% of your principal amountatmaturity and could
lose all of your principal amount at maturity.
•THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL -
If the noteshave not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date (and we
will payyou any previously unpaid Contingent Interest Paymentsfor any prior Review Dates) onlyif the closinglevelof the Index
on that Review Date is greater than or equaltothe Interest Barrier.If the closinglevelof the Indexon that Review Date is less
than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not receive any
unpaid Contingent Interest Paymentsif the closinglevel of the Indexon each subsequent Review Date is less than the Interest
Barrier. Accordingly, if theclosinglevelof the Index oneachReview Date is less than theInterest Barrier, you willnot receive any
interest payments over the term of thenotes.
•THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction. The level of the Index will trail the value of an identically constituted
synthetic portfolio that is not subject to any such deduction.
Theindexdeduction will placea significant drag on the performance of the Index, potentially offsetting positive returns on the
Index's investment strategy, exacerbating negative returns of itsinvestment strategyandcausing the level of the Index to decline
steadily if the return of itsinvestment strategy is relatively flat. The Index will not appreciate unless the return of its investment
strategyissufficient to offset the negativeeffects of theindexdeduction, and then onlyto the extent that the return of itsinvestment
strategyisgreater than the index deduction. As a result of theindexdeduction, thelevel of the Index may decline even if the return
of its investment strategy is positive.
The daily deduction is one of the inputs our affiliates' internal pricingmodels use to valuethe derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimatedvalue of the notes set forth on the cover of this pricing
supplement.The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and SecondaryMarket Prices of
the Notes" in this pricing supplement.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes.Any actual or potential
change in ouror JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined bythemarket for taking that credit
risk, is likely to adversely affect thevalue of the notes.If weand JPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to you under the notes and you could loseyour entire investment.
PS-8 | Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
•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. 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 guarantee byJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciationof the Index, which may be significant.You will not participate in any appreciation of the Index.
•THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE-
If theFinal Valueisless than the Trigger Valueand the notes have not been automatically called, thebenefit provided bythe
Trigger Value will terminateand you will be fully exposed to any depreciation of the Index.
•THE AUTOMATIC CALLFEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notesare automatically called, the termof thenotes may be reduced to asshort asapproximatelyone yearandyou will not
receiveany Contingent Interest Payments after the applicable Call SettlementDate.There is no guarantee that you would be able
to reinvest the proceeds froman investment in the notes at a comparable return and/or with a comparable interest rate fora similar
level of risk.Even in cases where the notesare calledbefore maturity,you are not entitled to any fees andcommissions described
on the front cover of thispricing supplement.
•YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500®
INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING
THE INDEX.
•THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE TRIGGERVALUE
IS GREATER IF THE LEVELOF THE INDEX IS VOLATILE.
•JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDINGTHE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the meritsof investing in the notes, the Index and thefuturescontractscomposingthe Index.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange. Accordingly, the price at whichyou may be able to trade your notes is
likelyto depend on the price, if any, at whichJPMS is willing to buy the notes. You may notbe able to sellyour notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should beable and willing to hold your notes to maturity.
•THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT -
You should consider your potential investment in the notesbased on the minimums for theestimated value of the notes and the
Contingent Interest Rate.
Risks Relating toConflicts 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 ispossible 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
PS-9 | Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
value of the notes declines.Please refer to"Risk Factors-Risks Relating to Conflicts of Interest" in the accompanyingproduct
supplement.
An affiliate of ourscurrently hasa 10% equity interest in the Index Sponsor, witha right to appoint an employeeof JPMS, another
of our affiliates, asa member of theboard of directors of theIndex Sponsor.The Index Sponsor can implement policies, make
judgments or enact changes to the Indexmethodology that could negativelyaffect the performanceof the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the valueof the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates and our respectiveemployees areunder no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the role of
an employee of JPMS asa member of the board of directorsof the Index Sponsor.
In addition, JPMSworked with the Index Sponsor in developing the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policiesand determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for which JPMS was
responsible could have an impact, positive or negative, on the levelof the Index and the value of your notes. JPMS is underno
obligation to consider your interests as an investor in the notes inits role indeveloping the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
Risks Relating to theEstimated Value and Secondary Market Prices of the Notes
•THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES -
The estimated valueof the notesis only an estimate determined by reference to several factors.The originalissueprice of the
noteswill exceed the estimated valueof the notesbecause costs associatedwith selling, structuring and hedging thenotes are
included in the original issue price of the notes. Thesecosts includetheselling 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 Value of 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 themarket-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 value of the notes as well as the higherissuance,
operational and ongoingliability management costs of the notes in comparisonto those costs for the conventional fixedincome
instrumentsof JPMorgan Chase & Co.This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes.The use of an
internal funding rateand any potential changes tothat ratemay have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See"The Estimated Value of the Notes" in this pricing supplement.
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the 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"SecondaryMarket Prices of the Notes" in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the valueof the notesaspublished by
JPMS (and which may be shown onyour customer accountstatements).
•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, secondarymarket prices take into account our internalsecondarymarket funding ratesfor structured debt issuances and,
also, because secondarymarket prices may excludesellingcommissions,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
PS-10| Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
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 thelevel of the Index. Additionally, independent pricing vendorsand/or third party broker-dealersmay 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 purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes-Secondarymarket pricesof the notes will be
impacted by many economic and market factors"in theaccompanying product supplement.
Risks Relating to the Index
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in takinganycorporate action that might affect
the level of the S&P 500® Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS-
No 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 with respect to the Futures Contracts.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurance can be given that the Index will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realized volatility of the Index may be
greater or less than the target volatility. On each weekly Index rebalance day, the Index's exposure to the Futures Contracts is set
equal to (a) the 35% impliedvolatility target divided by(b) the one-weekimplied volatility of the SPY Fund, subject to a maximum
exposure of 500%. The Indexuses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.
However, there is no guarantee that the methodology used by the Index to determine the implied volatility of the SPY Fund will be
representative of the implied or realized volatility of the Futures Contracts. Theperformance of the SPY Fund may not correlate
with the performance of the Futures Contracts, particularlyduring periodsof marketvolatility. In addition, the volatility of the
Futures Contracts on any daymaychange quicklyandunexpectedly and realizedvolatilitymaydiffer significantly from implied
volatility. In general, over time, the realized volatilities of theSPY Fund and the Futures Contracts have tended to be lower than
their respective impliedvolatilities; however, at any time those realized volatilities mayexceed their respective implied volatilities,
particularly during periodsof market volatility. Accordingly, the actual annualized realized volatilityof the Index may be greater
than or lessthan the target volatility, which mayadverselyaffect the level of the Index and the value of the notes.
•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE -
On a weeklyIndex rebalanceday, the Index will employ leverage to increase the exposureof the Index to the Futures Contracts if
the implied volatility of the SPY Fund isbelow 35%, subject to amaximum exposure of 500%. Under normal market conditionsin
the past, the SPY Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leveragein the past, except during periodsof elevatedvolatility. When leverage is employed, any movementsin the prices of the
Futures Contracts will result in greater changesin the level of the Index than if leverage were not used. In particular, theuseof
leverage will magnify any negative performance of the Futures Contracts, which, in turn, would negatively affect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where a significant increase in volatility is
accompanied by asignificant declinein the value of theFutures Contracts, thelevel of the Index may decline significantly before
the following Index rebalanceday when the Index'sexposure to the Futures Contracts would be reduced.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalanceday, the Index's exposureto the Futures Contracts will beless than 100% when the implied volatility
of the SPY Fund is above 35%. If the Index'sexposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvested portion will earn no return. The Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Futures Contracts on any such day. The 6.0% per annum deduction
is deducted daily, even when the Indexisnot fully invested.
PS-11| Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
•THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN
EXPIRING FUTURES CONTRACT INCLUDED IN THE INDEX-
As the Futures Contracts included in the Index come to expiration, they are replaced by Futures Contractsthat expirethree months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the FuturesContract
that expiresthree months from that time. Thisprocess is referred to as "rolling."Excluding other considerations, if themarket for
the Futures Contracts is in "contango," where the prices are higher in thedistant deliverymonths than in the nearer delivery
months, thepurchase of the later Futures Contract wouldtake place at a price that is higher than the price of the expiring Futures
Contract, thereby creating a negative "roll yield."In addition, excludingother considerations, if the market for the FuturesContracts
is in "backwardation," wherethe prices are lower in the distant deliverymonths than in the nearer delivery months, the purchase of
the later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, therebycreating
a positive "roll yield."The presence of contango in the market for the Futures Contracts could adversely affect the levelof the
Index and, accordingly, any payment on the notes.
•THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT "TOTAL RETURNS"-
The Index is an excess return index that does not reflect total returns. The return frominvesting in futurescontractsderives from
three sources: (a) changes in the price of the relevant futures contracts (which isknown as the "price return"); (b) anyprofit or loss
realized when rolling the relevant futures contracts (which is known as the "roll return"); and (c) any interest earned on the cash
deposited as collateral for the purchase of the relevant futures contracts (which is known as the "collateralreturn").
The Index measuresthe returns accrued frominvesting in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated with an investment in the Futures Contracts). Bycontrast, a total return index, in additionto reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e., the
collateral return associated with aninvestment in the Futures Contracts). Investing inthenotes will not generate the same return
as would be generated frominvesting in a total return index related to the Futures Contracts.
•CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES -
The Index generallyprovides exposure to a single futures contract on the S&P 500®Index that trades on the Chicago Mercantile
Exchange. Accordingly, the notesare less diversified than other funds, investment portfolios or indices investingin or tracking a
broader range of products and, therefore, could experience greater volatility. You should be aware that other indicesmay be more
diversified than the Indexin terms of both the number and varietyof futures contracts. You will not benefit, with respect tothe
notes, from any of the advantagesof adiversified investment and will bear the risks of a highlyconcentrated investment.
•THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY -
The Index tracks the returnsof futurescontracts. The price of a futures contract depends not only on the price of the underlying
asset referencedbythe futures contract, but also ona range of other factors, includingbut not limited to changing supplyand
demand relationships, interestrates, governmentaland regulatorypolicies andthepoliciesof the exchanges on which the futures
contracts trade. In addition, the futuresmarkets aresubject to temporary distortions or other disruptions due to various factors,
including the lack of liquidityin themarkets, the participation of speculators and government regulation and intervention. These
factors and others can cause the prices of futurescontracts to be volatile.
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES-
Futures marketslike the Chicago Mercantile Exchange, themarket for theFutures Contracts, are subject to temporarydistortions
or other disruptions due to various factors, including thelackof liquidity inthemarkets, theparticipation of speculators, and
government regulation and intervention. In addition, futuresexchanges have regulations that limit theamount of fluctuationin
some futures contract prices that mayoccur during a single day. These limits are generallyreferred to as "daily price fluctuation
limits" andthemaximumor minimum price of a contract on any given day as a result of these limitsis referred toasa "limit price."
Once the limit price hasbeen reached in aparticular contract, no trades may be madeat a price beyond the limit, or trading may
be limited for aset period of time. Limit prices have the effect of precluding tradingin a particular contract or forcing the liquidation
of contractsat potentiallydisadvantageous times or prices. These circumstances couldaffect the level of the Index and therefore
could affect adversely the value of your notes.
•THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE-
The officialsettlement price and intraday trading prices of the Futures Contracts are calculated and published by the Chicago
Mercantile Exchange and areused to calculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price andintraday trading prices and may delay or prevent the calculation
of theIndex.
PS-12| Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
•CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY
ADVERSELY AFFECT THE VALUE OF THE NOTES-
Futures exchanges require market participants to post collateral in order to open and to keep open positions in futures contracts. If
an exchange changes the amount of collateral required tobe posted to holdpositionsin the Futures Contracts, market participants
mayadjust their positions, which may affect the prices of the Futures Contracts. As a result, thelevel of the Index may beaffected,
which may adversely affect the valueof the notes.
•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in this pricingsupplement is purely theoretical and does not represent the actual historicalperformance of the Indexandhasnot
beenverified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations.
Hypotheticalback-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed withthebenefit of hindsight. Alternativemodellingtechniquesmight produce significantly different resultsand may prove
to bemore appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations and youshould carefully consider these limitations before placing relianceon such
information.
•OTHER KEY RISKS:
oTHE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS.
oHISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE
PERFORMANCE OF THE INDEX DURING THE TERM OF THE NOTES.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-
listed and other risks.
PS-13| Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January 4, 2019 through February 4, 2022, and the historical performance of the Index basedon the
weekly historical closing levels of the Index from February 11, 2022 through October 25, 2024. The Index wasestablished on February
11, 2022, as represented by the vertical line in the followinggraph. All datato the left of that vertical line reflect hypothetical back-
tested performance of the Index. All data to the right of that vertical line reflect actualhistoricalperformance of the Index. The closing
level of the Index on October 30, 2024 was 3,919.01. We obtained the closing levels above and below fromthe Bloomberg
Professional® service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of the Index set forth in the followinggraph are purely theoretical and do not
represent the actualhistorical performance of the Index. See "Selected Risk Considerations-Risks Relating to the Index-
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations"
above.
Thehypothetical back-tested and historical closing levels ofthe Indexshould not be taken as an indication of future performance, and
no assurance can be given as to the closing level of the Indexon any Review Date.There can be no assurance that the performance
of the Index will result in the return of any of yourprincipal amountor the payment of anyinterest.
The hypothetical back-tested closinglevels 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 closing levelsof the Index that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-testedclosinglevels of the Index set forth above.
Tax Treatment
You should review carefully the section entitled "MaterialU.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. In determiningour reporting responsibilities weintend to treat (i) the notes for U.S. federal income taxpurposes as
prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences -TaxConsequences to U.S. Holders - Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement. Based on the
adviceof Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment, but that thereare other
reasonable treatments that the IRS or acourt may adopt, in which case the timing and character of anyincome or loss on thenotes
could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal
income taxtreatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require
investors in theseinstrumentsto accrue income over the term of their investment. It also asks for commentson a number of related
topics, includingthecharacter of income or loss with respect to these instruments and the relevance of factors suchas the nature of the
underlying property to which the instruments are linked. While thenotice requests comments on appropriate transition rules and
PS-14| Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. The discussions above and in the accompanying
product supplement do not address the consequences to taxpayerssubject tospecial tax accounting rules under Section 451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal income taxconsequencesof an investment in the notes, including
possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders - Tax Considerations.The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least
if anapplicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent, intend to)
withhold on any Contingent Interest Payment paid to a Non-U.S. Holder generallyat a rate of 30% or at a reduced ratespecified by an
applicable income tax treatyunder an "other income" or similar provision. We will not be required topayany additional amounts with
respect to amounts withheld. In order to claiman exemptionfrom, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and iseligible for suchan exemption or
reduction under an applicable tax treaty. Ifyou are a Non-U.S. Holder, you shouldconsultyour tax adviser regarding thetax treatment
of thenotes, includingthepossibility of obtaining a refund of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unlessan income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthescope of Section 871(m) instruments issuedprior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made byus, we expect that Section 871(m) will
not apply tothenotes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, andthe IRS may disagree with this
determination. Section 871(m) iscomplex and its application maydepend onyour particular circumstances, including whether you enter
intoother transactions with respect to an Underlying Security. If necessary, further information regarding the potentialapplicationof
Section 871(m) will be provided in the pricingsupplement for the notes. You should consult your tax adviser regarding the potential
application of Section 871(m) to thenotes.
In theevent of any withholding on the notes, we will not be required topayany additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
Theestimated value of the notes set forth on the cover of this pricing supplementisequal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturityasthe notes, valuedusingthe internal funding
ratedescribed below, and (2) the derivative or derivatives underlyingtheeconomic terms of the notes.The estimated value of the
notesdoes not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if anyexists) at
any time.The internal funding rate used in the determination of the estimated valueof the notes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof asimilar maturityissued by JPMorganChase & Co. or its affiliates. Any difference
maybebased on, among other things, ourand our affiliates'view of the funding value of the notes as well as the higherissuance,
operational and ongoingliability management costs of the notes in comparisonto those costs for the conventional fixedincome
instrumentsof JPMorgan Chase & Co.This internal funding rate is based on certain market inputs and assumptions, which may prove
to beincorrect, and is intended to approximatetheprevailing market replacement funding rate for the notes. The use of an internal
funding rate and anypotential changes to that ratemay have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see"Selected Risk Considerations- Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes -The Estimated Value of the NotesIs DerivedbyReference toan Internal Funding Rate" in this
pricingsupplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates.These modelsare dependent on inputssuch as the traded market prices of comparable derivative instruments and on
variousother inputs, some of which are market-observable, and which can includevolatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments.Accordingly, theestimatedvalue 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 thenotes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations forthe notes that are greater than or less than the estimated value of the notes.In
addition, market conditions and other relevant factors in the futuremay change, and any assumptionsmay prove to be incorrect.On
futuredates, the value of the notescould change significantly based on, among other things, changes in market conditions, our or
PS-15| Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
JPMorgan Chase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
which JPMS would be willingto buy notesfromyou in secondarymarket transactions.
The estimated value of the notes will be lower than the original issue price of the notes because costs associated with 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,theprojected profits, if any, that our affiliatesexpect to realize for assuming
risks inherent in hedging our obligations under thenotes and the estimated cost of hedgingour 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 Relating to the Estimated Valueand SecondaryMarket Prices of theNotes-The
Estimated Value of the Notes Will BeLower Than the Original Issue Price (Price to Public) of the Notes" in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors-Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes -Secondary market prices of the notes will beimpacted bymany
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in the original issue price of the notes willbe partially paid back toyou in connection with any repurchases of your 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 internal secondarymarket funding rates
for structured debt issuances.This initial predetermined time period is intended to be the shorter of sixmonths and one-half of the
stated term of thenotes.The length of anysuch initial period reflects the structure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand whenthese costs are incurred, as
determined by our affiliates.See"Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes-The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period"in this pricingsupplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes.See "How the Notes Work"and "Hypothetical Payout Examples" in this pricingsupplement for an illustration of therisk-return
profile of the notes and "TheMerQube US Large-Cap Vol Advantage Index" in this pricingsupplement for a descriptionof the market
exposure provided by the notes.
The originalissue price of thenotes is equal to the estimated value of the notesplus the sellingcommissions paid toJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in 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.We reserve the right tochange the terms of, or reject anyoffer to purchase, the notes prior totheir issuance.In the event of any
changes to the terms of the notes, we will notifyyou and you will be asked to accept such changes in connection withyour purchase.
You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should readthispricing supplement together with theaccompanyingprospectus, as supplemented bytheaccompanying
prospectussupplement relating to our SeriesA medium-term notes of which these notes are a part, the accompanyingprospectus
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 forimplementation, sample structures, 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 you invest in the notes.
PS-16| Structured Investments
Auto CallableContingent Interest NotesLinked to theMerQubeUS Large-
Cap Vol Advantage Index
You may access these documents on the SEC websiteat www.sec.gov as follows (or if such address has changed, by
reviewing our filings for the relevant date on the SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 5-II datedMarch 5, 2024:
•Prospectus supplement andprospectus, each dated April 13, 2023:
•Prospectus addendum datedJune 3, 2024:
Our CentralIndex Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in thispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.