JPMorgan Chase & Co.

10/30/2024 | Press release | Distributed by Public on 10/30/2024 14:12

Primary Offering Prospectus - Form 424B2

October 28, 2024
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-Idated April 13, 2023, underlying supplement no. 1-Idated April 13,2023, the prospectus and
prospectussupplement, eachdated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorgan Chase Financial CompanyLLC
Structured Investments
$175,000 (NDX Notes); $792,000 (RTY Notes); $473,000
(SPX Notes)
Capped Buffered Return Enhanced Notes due
November2,2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●This pricing supplement relates to three separate note offerings, each linked to the performanceof a different Underlying:
●Capped Buffered Return Enhanced Notes Linked to the Nasdaq-100 Index®("NDX Notes")
●Capped Buffered Return Enhanced Notes Linked to the Russell 2000®Index ("RTY Notes")
●Capped Buffered Return Enhanced Notes Linked to theS&P 500®Index ("SPX Notes")
Eachissue of offered notes is linked to one,and only one, Underlying. Whileyoumay participate in one or more ofthe offerings, this pricing
supplement does not offer notes linked toa basket ofthe Underlyings.
●The notes are designed for investors whoseek a return of 1.50 times any appreciation of the Underlying, up to a maximumreturn, at maturity.
●Investors should be willingto forgo interest and dividend payments and be willing to lose up to90% of their principal.
●The notes are unsecured and unsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we referto as JPMorgan
Financial, the payment on which is fully andunconditionally guaranteed byJPMorgan Chase& Co. Anypayment on the notes is subject to
the credit riskof JPMorgan Financial, as issuer of the notes, and the credit risk ofJPMorganChase & Co., asguarantor ofthe
notes.
●Minimum denominations of $1,000and integralmultiples thereof
●The notes priced on October 28, 2024 and are expectedto settle onor about October 31,2024.
Underlying
Bloomberg
Ticker
Initial
Value
Maximum Return / Maximum Payment atMaturity
per $1,000 Principal Amount Note
CUSIP
Nasdaq-100 Index®
NDX
20,351.07
18.25% / $1,182.50
48135UCU2
Russell2000®Index
RTY
2,244.068
20.25% / $1,202.50
48135UCS7
S&P 500®Index
SPX
5,823.52
13.50% / $1,135.00
48135UCR9
Investing in the notes involvesa number of risks. See"Risk Factors" beginning on page S-2 ofthe accompanyingprospectus supplement,
Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-11 of the accompanying product supplement
and "Selected Risk Considerations" beginningon page PS-3 ofthis pricing supplement.
NeithertheSecuritiesandExchange Commission(the "SEC")nor anystate securitiescommissionhasapprovedor disapprovedofthenotes or
passed uponthe accuracyorthe adequacy ofthis pricingsupplement or the accompanyingproductsupplement, underlying supplement,prospectus
supplement, prospectus and prospectus addendum.Any representation to thecontrary is a criminal offense.
Priceto Public (1)
Fees and Commissions (2)
Proceeds toIssuer
NDXNotes (per note / total)
$1,000 / $175,000
$25.1714 / $4,405.00
$974.8286 / $170,595.00
RTY Notes (per note / total)
$1,000 / $792,000
$25.00 / $19,800.00
$975 / $772,200
SPX Notes (per note / total)
$1,000 / $473,000
$24.8679 / $11,762.50
$975.1321 / $461,237.50
(1) See "Supplemental Use of Proceeds"in this pricing supplementforinformation about the components of the price to public ofthe notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent forJPMorgan Financial, will pay allof the selling commissions it receives
from usto otheraffiliated or unaffiliated dealers. These selling commissions will vary and be up to $26.00 per $1,000 principal amount of NDX Notes,
will be $25.00per $1,000 principalamountofRTY Notes and will vary and be up to$25.00per$1,000principal amount ofSPX Notes. See "Plan of
Distribution (Conflicts of Interest)" in the accompanying product supplement.
The estimated value ofthe notes, when the terms of the noteswere set, was $949.40, $949.90 and $948.30 per $1,000 principal amount of
NDX Notes, RTY Notes andSPX Notes, respectively. See"The Estimated Value of the Notes" in this pricing supplement for additional
information.
The notes are not bank deposits, are not insured by theFederal Deposit Insurance Corporation orany other governmental agency andare not
obligations of, or guaranteed by, a bank.
PS-1 | Structured Investments
Capped Buffered Return Enhanced Notes
General Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Underlying: As specified on the cover of this pricing
supplement
We refer to the Nasdaq-100 Index®, the Russell 2000®Index
and the S&P 500®Index as each, an "Underlying" and
collectively, the "Underlyings."
Upside Leverage Factor: 1.50
Maximum Return: As specified on the cover of this pricing
supplement
Buffer Amount:10.00%
Pricing Date:October 28, 2024
Original Issue Date (Settlement Date): On or about October
31, 2024
Observation Date*: October 28, 2026
Maturity Date*: November 2,2026
* Subject to postponement in the event of a market disruption
event and as described under "GeneralTerms of Notes -
Postponement of a Determination Date - Notes Linked to a
Single Underlying - Notes Linked to a Single Underlying
(Other Than a Commodity Index)" and "GeneralTerms of
Notes -Postponement of a Payment Date" in the
accompanying product supplement
Payment at Maturity:If the Final Valueis greater than the
Initial Value, your payment at maturityper $1,000 principal
amount note will be calculated as follows:
$1,000 + ($1,000 × Underlying Return × Upside Leverage
Factor), subject to the Maximum Return
If the Final Value isequal to the Initial Value or isless than the
Initial Valueby up to the Buffer Amount, you will receive the
principal amount of your notes at maturity.
If the Final Value isless than the Initial Value by more than the
Buffer Amount, your paymentat maturity per $1,000 principal
amount note will be calculated as follows:
$1,000 + [$1,000 × (Underlying Return + Buffer Amount)]
If the Final Value isless than the Initial Value by more than the
Buffer Amount, you will lose some or most of your principal
amount at maturity.
Underlying Return: With respect to each Underlying,
(Final Value -Initial Value)
Initial Value
Initial Value:With respect to each Underlying, the closing
value of that Underlying on the Pricing Date, as specified on
the cover of this pricing supplement
Final Value:With respect to each Underlying, the closing
value of that Underlying on the Observation Date
PS-2 | Structured Investments
Capped Buffered Return Enhanced Notes
Supplemental Terms of the Notes
Any value of any underlier, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of thispricingsupplement and thecorrespondingterms of the notes. Notwithstanding
anything to the contraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or anyother party.
Hypothetical Payout Profile
The following table illustrates the hypothetical total return at maturityon hypothetical notes linked to a hypothetical Underlying and may
not reflect the actual terms of any note offered by thispricing supplement. See the cover ofthis pricing supplement and "General Key
Terms" in this pricingsupplement for theactual terms of each note offeredby this pricing supplement. The "total return" asusedin this
pricing supplement is thenumber, expressed as a percentage, that results from comparing the payment at maturityper $1,000 principal
amount note to $1,000. The hypothetical total returnsset forth below assume the following:
●an Initial Value of 100.00;
●an UpsideLeverage Factor of 1.50;
●a Maximum Return of 15.00%; and
●a Buffer Amount of 10.00%.
The hypothetical Initial Value of 100.00 hasbeen chosen for illustrativepurposes only and doesnot represent theactual Initial Value.
The actual Initial Value is the closingvalue of the Underlyingon the Pricing Dateand isspecified on the cover of thispricing
supplement. For historical data regarding the actual closing valuesof the Underlying, please see the historicalinformation set forth
under "The Underlyings" in this pricing supplement.
Each hypothetical total returnor hypothetical payment at maturity set forth below is for illustrative purposes only and maynot be the
actual total return or paymentat maturity applicableto a purchaser of the notes. The numbers appearing in the following table have
been rounded for easeof analysis.
Final Value
Underlying Return
Total Return on the Notes
Payment at Maturity
180.00
80.00%
15.00%
$1,150.00
165.00
65.00%
15.00%
$1,150.00
150.00
50.00%
15.00%
$1,150.00
140.00
40.00%
15.00%
$1,150.00
130.00
30.00%
15.00%
$1,150.00
120.00
20.00%
15.00%
$1,150.00
115.00
15.00%
15.00%
$1,150.00
110.00
10.00%
15.00%
$1,150.00
105.00
5.00%
7.50%
$1,075.00
101.00
1.00%
1.50%
$1,015.00
100.00
0.00%
0.00%
$1,000.00
95.00
-5.00%
0.00%
$1,000.00
90.00
-10.00%
0.00%
$1,000.00
85.00
-15.00%
-5.00%
$950.00
80.00
-20.00%
-10.00%
$900.00
70.00
-30.00%
-20.00%
$800.00
60.00
-40.00%
-30.00%
$700.00
50.00
-50.00%
-40.00%
$600.00
40.00
-60.00%
-50.00%
$500.00
30.00
-70.00%
-60.00%
$400.00
20.00
-80.00%
-70.00%
$300.00
10.00
-90.00%
-80.00%
$200.00
0.00
-100.00%
-90.00%
$100.00
PS-3 | Structured Investments
Capped Buffered Return Enhanced Notes
How the Notes Work
Upside Scenario:
If the Final Value isgreater than the Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the
Underlying Returntimes the Upside Leverage Factor of 1.50, up tothe Maximum Return. Assuming a hypothetical Maximum Return of
15.00%:
●if the closing value of the Underlying increases5.00%, investors will receiveat maturity a return of 7.50%, or $1,075.00 per $1,000
principal amount note; or
●if the closing value of the Underlying increases30.00%, investors willreceive at maturity a return equal to the 15.00% Maximum
Return, or $1,150.00 per $1,000 principal amount note, which is themaximum payment atmaturity.
Par Scenario:
If the Final Value isequal to the Initial Value or isless than the Initial Value by up to the Buffer Amount of 10.00%, investors will receive
at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value isless than the Initial Value by more than the Buffer Amount of 10.00%, investors will lose 1% of the principalamount
of their notes for every 1% that the Final Value is less than the Initial Value by more than the Buffer Amount.
●For example, if theclosing value of the Underlying declines50.00%, investors will lose40.00% of their principal amount and
receive only $600.00 per $1,000 principal amount note at maturity, calculated as follows:
$1,000 + [$1,000 × (-50.00% + 10.00%)] = $600.00
The hypothetical returnsand hypothetical payments on the notesshown above applyonly if you hold the notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated with anysale in the secondarymarket. If these fees
and expenses were included, the hypothetical returnsandhypothetical payments shown above wouldlikely be lower.
Selected Risk Considerations
An investment in the notes involvessignificant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the NotesGenerally
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS-
The notes donot guarantee any return of principal. If the Final Value is less than the Initial Value bymore than 10.00%, you will
lose 1% of the principal amount of your notes for every 1% that the Final Value is lessthan the Initial Valuebymore than 10.00%.
Accordingly, under these circumstances, you will lose up to90.00%of your principal amount at maturity.
●YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM RETURN,
regardless of the appreciation of the Underlying, which may be significant.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined by themarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your 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 theissuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capitalcontribution from JPMorgan 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. tomeet 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 have sufficient resources to meet our obligations in
respect of the notes as 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 to seek payment under the related guaranteeby JPMorgan 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.
PS-4 | Structured Investments
Capped Buffered Return Enhanced Notes
●POTENTIAL CONFLICTS-
We and our affiliates play avariety of roles inconnection with the notes. In performing these duties, our andJPMorgan Chase &
Co.'s economicinterests are potentially adverse to your interests as aninvestor in the notes. It ispossible that hedging or trading
activities of ours or our affiliates inconnection with thenotescould result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanyingproduct
supplement.
●THE NOTES DO NOT PAY INTEREST.
●YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY UNDERLYING OR HAVE ANY RIGHTS
WITH RESPECT TO THOSE SECURITIES.
●LACK OF LIQUIDITY -
The notes will not be listedon anysecurities exchange. Accordingly, theprice at which you may be able to tradeyour notes is likely
to dependon the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not
designed to beshort-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
●THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of thenotes is only an estimate determined by reference to several factors. The original issue price of the
notes exceedsthe estimatedvalue of the notes because costs associated with selling, structuring and hedging the notes are
included in theoriginal 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 of hedging
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 usedin the determination of the estimated value of the notes maydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any difference may
be based on, among other things, our and our affiliates' view of the funding valueof the notes as well as the higher issuance,
operational and ongoing liability 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 toapproximate the prevailing market replacement funding rate for the notes.The use of an
internal funding rate and anypotential changes to that rate may have an adverse effect on the termsof the notes and any
secondary market 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 notes will be partiallypaid back to you in
connection with any repurchases of your notesby JPMS 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 value of the notes aspublished by
JPMS (and which may be shown on your customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondary market pricesof the notes willlikely be lower than the original issue price of the notes because, among other
things, secondary market prices take intoaccount our internal secondary market funding rates for structureddebt issuances and,
also, becausesecondarymarket prices may exclude sellingcommissions, projected hedging profits, if any, and estimatedhedging
costs that are included inthe original 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 byyou prior to
the Maturity Date could result in a substantial loss to you.
PS-5 | Structured Investments
Capped Buffered Return Enhanced Notes
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, aside from theselling commissions, projected hedgingprofits, if any, estimated hedging
costs and the value of the Underlying. Additionally, independent pricing vendorsand/or third party broker-dealers may publish a
price for the notes, which may also be reflected on customer account statements. Thisprice 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 secondary market. See "Risk Factors -
Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes -Secondarymarket prices of the notes will be
impacted by many economic and market factors" in theaccompanying product supplement.
Risks Relating to the Individual Offerings
●WITH RESPECT TO THE SPX NOTES, JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE
UP THE S&P 500® INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the value of the S&P 500®Index.
●THE RTY NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS -
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock pricepressure under adverse marketconditions.
●THE NDX NOTES ARE SUBJECT TO NON-U.S. SECURITIES RISK -
The equity securitiesincluded in the Nasdaq-100 Index® have been issued by non-U.S. companies. Investments insecurities
linked to the value of such non-U.S. equitysecurities involverisks associated with the securities marketsin the home countries of
the issuersof those non-U.S. equitysecurities. Also, there is generally less publicly available information about companies insome
of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC.
The Underlyings
The Nasdaq-100Index®isa modified market capitalization-weighted index of 100 of the largest non-financial securities listed on The
Nasdaq StockMarket based on market capitalization. For additionalinformation about the Nasdaq-100 Index®, see "Equity Index
Descriptions - The Nasdaq-100 Index®" inthe accompanying underlying supplement.
The Russell 2000® Indexconsists of the middle 2,000 companies included in the Russell 3000ETMIndex and, asa result of theindex
calculation methodology, consistsof the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000®Index is
designed to track the performance of the small capitalizationsegment of the U.S.equity market. For additional information about the
Russell 2000®Index, see "Equity Index Descriptions -TheRussell Indices" in theaccompanying underlyingsupplement.
The S&P 500®Index consistsof stocks of 500 companiesselected to provide aperformance benchmark for the U.S. equity markets.
For additional information about the S&P 500®Index, see "Equity Index Descriptions-The S&P U.S. Indices" in the accompanying
underlying supplement.
Historical Information
The following table sets forththe closingvalue of each Underlying on October 28, 2024. The following graphs set forth the historical
performance of each Underlying, based onthe weekly historical closingvalues from January 4, 2019 through October 25, 2024. We
obtained the closing values below from the Bloomberg Professional®service ("Bloomberg"), without independent verification.
Thehistorical closing values of eachUnderlyingshould notbetaken asanindicationoffutureperformance,andnoassurance can be
given astothe closing value of anyUnderlyingontheObservation Date. There canbe noassurance that the performance ofthe
Underlying willresult in the return of anyof your principal amount in excess of $100.00per $1,000principalamount note, subject tothe
credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Underlying
Closing Valueon
October 28, 2024
Nasdaq-100 Index®
20,351.07
Russell2000®Index
2,244.068
S&P 500®Index
5,823.52
PS-6 | Structured Investments
Capped Buffered Return Enhanced Notes
Historical Performance of the Nasdaq-100 Index®
Source: Bloomberg
Historical Performance of the Russell 2000® Index
Source: Bloomberg
PS-7 | Structured Investments
Capped Buffered Return Enhanced Notes
Historical Performance of the S&P 500®Index
Source: Bloomberg
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal IncomeTax Consequences" in the accompanying product
supplement no. 4-I. The following discussion, when read in combination withthat section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Basedon current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, as more fully described in "Material U.S. Federal Income Tax
Consequences- Tax Consequences to U.S. Holders -Notes Treated as Open Transactions That Are Not Debt Instruments" in the
accompanying product supplement. Assuming this treatment is respected, the gainor loss on your notes should be treated aslong-
termcapitalgain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue
price. However, the IRS or acourt maynot respect this treatment, in which case thetiming andcharacter of any income or loss on the
notes could be materiallyand adversely affected. Inaddition, in 2007Treasury and the IRS released a notice requesting comments on
the U.S. federal income taxtreatment of "prepaid forwardcontracts" and similar instruments. The notice focuses in particular on
whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, including thecharacter of income or loss with respect to these instruments; the relevanceof factors such as
the nature of the underlying property to which the instruments are linked; the degree, if any, to whichincome (including any mandated
accruals) realized bynon-U.S. investors shouldbe subject to withholding tax; and whether these instruments are or should be subject
to the "constructive ownership" regime, which very generallycanoperate to recharacterizecertain long-termcapital gain as ordinary
income and impose a notionalinterest charge. While the notice requestscomments onappropriate transition rulesand effectivedates,
any Treasury regulations or other guidance promulgated after consideration of these issues couldmateriallyand adversely affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. You should consult your taxadviser regarding the
U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues
presented bythis notice.
PS-8 | Structured Investments
Capped Buffered Return Enhanced Notes
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial 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 the applicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthe scopeof Section 871(m) instruments issued prior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could payU.S.-source dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special tax counsel is of the
opinion that Section871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS,
and the IRS maydisagree with this determination. Section 871(m) iscomplex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. Youshould consult your tax
adviser regarding the potential application of Section871(m) to the notes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement isequal to the sum of the values of thefollowing
hypothetical components: (1) a fixed-incomedebt component with thesamematurityas the notes, valuedusing the internal funding
rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes. The estimated value of the notes
does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any
time. The internal funding rate used in the determination of the estimatedvalue of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Anydifference may be
based on, among other things, our and our affiliates'view of the funding value of the notesas well as the higher issuance,operational
and ongoing liabilitymanagement costs of the notesin comparison tothosecosts for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputsand assumptions, which mayprove to beincorrect,
and is intended to approximate theprevailing market replacement funding rate for the notes. The use of an internal funding rateand
any potential changes to that rate mayhave an adverse effect on theterms of the notesand any secondary market prices of the notes.
For additional information, see "Selected Risk Considerations -Risks Relating to the Notes Generally-The Estimated Value of the
Notes Is Derived by Reference to an Internal Funding Rate" in this pricing supplement.
The value of the derivativeor derivatives underlying the economic terms of thenotes is derived from internal pricing models of our
affiliates. These modelsare dependent on inputs such asthe traded market prices of comparable derivative instruments and onvarious
other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as
well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when
the terms of the notes are setbased on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of thenotes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsandassumptionscould provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the futuremay change, and any assumptionsmay prove to be incorrect. On
future dates, the value of the notes could changesignificantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfromyou in secondary market transactions.
The estimated value of thenotes is lower than the original issue priceof the notes becausecosts associated with selling, structuring
and hedging the notes are included in the originalissue price of the notes. These costsinclude the sellingcommissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligationsunder the notes. Because hedging our
obligations entails riskandmay be influenced by market forces beyond our control, thishedging may result in a profit that is more or
less than expected, or it may result in a loss. A portion of theprofits, if any, realized in hedging our obligations under the notesmay be
allowed to other affiliatedor unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See
"Selected Risk Considerations -Risks Relating to the Notes Generally-The Estimated Value of the Notes Is Lower Than the
Original Issue Price (Price to Public) of the Notes" inthis pricing supplement.
PS-9 | Structured Investments
Capped Buffered Return Enhanced Notes
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes- Secondary market prices of the notes will be impacted bymany
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs
included in theoriginal issue price of the notes will be partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initialpredetermined period. These costscan include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances. Thisinitial predetermined time period is intended to be theshorter of six monthsand one-half of the
stated term of the notes. The length of any such initial period reflects thestructure of the notes, whether our affiliatesexpect to earn a
profit inconnection with our hedging activities, theestimatedcosts of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "Selected Risk Considerations - Risks Relating to the Notes Generally- The Value of the Notesas
Published by JPMS (andWhich May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated
Value of the Notes for a Limited Time Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See "Hypothetical Payout Profile" and "How the Notes Work" in this pricing supplement for an illustration of the risk-return profile
of the notes and "The Underlyings" in thispricing supplement for adescription of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions 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 obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offeredby this pricing supplement have beenissued by JPMorgan Financialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and such notes have beendelivered against payment as
contemplated herein, suchnotes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicablebankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing andthe lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'sobligationunder the related guarantee.
Thisopinion is given as of thedate hereof and islimited to the laws of the State of New York, the General CorporationLaw of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject tocustomary assumptions about the
trustee's authorization, execution and deliveryof the indenture and its authentication of the master note and thevalidity, binding nature
and enforceability of the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filed asan exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the accompanying prospectus, as supplemented bythe accompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part, the accompanyingprospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the 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 materials of
ours. Youshould carefully consider, among other things, the matters set forth in the "Risk Factors" sections of theaccompanying
prospectussupplement and the accompanying product supplement and in Annex A to the accompanying prospectusaddendum, as the
notes involve risksnot associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
PS-10 | Structured Investments
Capped Buffered Return Enhanced Notes
You may access these documents on the SEC websiteat www.sec.gov as follows(or if such addresshas changed, by
reviewing our filings for the relevant dateon theSEC website):
●Product supplement no. 4-I dated April 13, 2023:
●Underlying supplement no. 1-Idated April 13, 2023:
●Prospectus supplement and prospectus, each dated April 13, 2023:
●Prospectus addendum datedJune 3, 2024:
Our Central Index Key, orCIK, on the SEC websiteis 1665650,and JPMorgan Chase & Co.'s CIK is19617. Asused in this pricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.