JPMorgan Chase & Co.
10/31/2024 | Press release | Distributed by Public on 10/31/2024 04:34
Primary Offering Prospectus - Form 424B2
The information in this preliminary pricing supplement is notcomplete and maybe changed. This preliminarypricing supplement is not an
offer to sell nor does it seek anoffer to buythese securitiesinany jurisdictionwhere the offer or sale is not permitted.
Subjectto completion datedOctober 30,2024
November ,2024
RegistrationStatement Nos.333-270004 and 333-270004-01;Rule 424(b)(2)
Pricingsupplement to productsupplement no.4-I dated April 13, 2023, underlyingsupplement no.5-II dated March 5,2024, the prospectusand
prospectus supplement, each dated April 13,2023,and the prospectus addendum dated June 3,2024
JPMorgan Chase Financial Company LLC
Structured Investments
Review Notes Linked to the MerQube US Large-Cap
Vol Advantage Index due November 19, 2029
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
●The notes are designed for investors whoseek early exit prior to maturity at a premium if, on any Review Date, the closing
level of the MerQube US Large-Cap Vol Advantage Index, which we refer toas the Index, is at or above the Call Value.
●The earliest dateon which anautomatic call may be initiated isMay 14, 2025.
●Investors should be willing to forgo interest anddividend payments and be willing to accept the risk of losing some or all of
their principal amount at maturity.
●The Index is subject to a 6.0% per annum daily deduction. This daily deduction will offset any appreciation of the
futures contractsincluded in the Index, will heighten any depreciation of those futures contracts and will generally
be a drag on the performance of the Index. The Indexwill trail the performance of an identical indexwithout a
deduction. See "Selected Risk Considerations - RisksRelating to the Notes Generally -The Level of theIndex
Will Include a 6.0% per Annum Daily Deduction" in this pricing supplement.
●The notes areunsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk
of JPMorgan Chase & Co., as guarantor of the notes.
●Minimum denominations of $1,000 and integralmultiplesthereof
●The notes areexpected to price on or about November 14, 2024 and are expected to settle on or about November 18, 2024.
●CUSIP: 48135VBT4
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2of theaccompanying
prospectus supplement, Annex A to the accompanyingprospectus addendum, "Risk Factors" beginning on page PS-11 of
the accompanying product supplement,"Risk Factors" beginning on page US-4 of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on page PS-6 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor anystate securitiescommission has approved or disapproved of
the notes or passedupon theaccuracy or theadequacyof thispricing supplement or the accompanying product supplement,
underlyingsupplement, prospectus supplement,prospectus and prospectusaddendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Feesand Commissions(2)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1) See "Supplemental Use ofProceeds" in thispricing supplementfor information about thecomponents of theprice to publicof thenotes.
(2) J.P.MorganSecuritiesLLC,which wereferto asJPMS,acting as agentforJPMorganFinancial, will pay allof the sellingcommissions it
receivesfrom us tootheraffiliated orunaffiliateddealers.In noeventwillthese sellingcommissions exceed$50.00 per$1,000principal
amount note. See "Plan ofDistribution (Conflicts of Interest)"in theaccompanyingproductsupplement.
If thenotes priced today, the estimatedvalue of thenoteswould be approximately$886.40 per $1,000principal amount
note. Theestimatedvalueofthe notes, whenthe termsof the notes areset, willbeprovidedinthe pricing supplement and
will not be less than $870.00per $1,000 principal amount note. See "The Estimated Valueof theNotes"inthis pricing
supplement for additional information.
Thenotesare not bankdeposits, arenot insuredbytheFederalDeposit Insurance Corporation or anyother governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: TheMerQube US Large-Cap Vol Advantage Index
(Bloombergticker: MQUSLVA). The levelof the Index reflects a
deduction of 6.0% per annum that accruesdaily.
Call Premium Amount:The Call Premium Amount withrespect
to each Review Date is set forth below:
●first Review Date:
at least 9.00% × $1,000
●second Review Date:
at least 13.50% ×$1,000
●thirdReview Date:
at least 18.00% ×$1,000
●fourth Review Date:
at least 22.50% ×$1,000
●fifth Review Date:
at least 27.00% ×$1,000
●sixth Review Date:
at least 31.50% ×$1,000
●seventh Review Date:
at least 36.00% ×$1,000
●eighth Review Date:
at least 40.50% ×$1,000
●ninth Review Date:
at least 45.00% ×$1,000
●tenth Review Date:
at least 49.50% ×$1,000
●eleventh Review Date:
at least 54.00% ×$1,000
●twelfth Review Date:
at least 58.50% ×$1,000
●thirteenth Review Date:
at least 63.00% ×$1,000
●fourteenth Review Date:
at least 67.50% ×$1,000
●fifteenth Review Date:
at least 72.00% ×$1,000
●sixteenth Review Date:
at least 76.50% ×$1,000
●seventeenth Review
Date:
at least 81.00% ×$1,000
●eighteenth Review
Date:
at least 85.50% ×$1,000
●final Review Date:
at least 90.00% ×$1,000
(in eachcase, to be provided in thepricing supplement)
Call Value:100.00% of the Initial Value
Barrier Amount:50.00% of the Initial Value
Pricing Date:On or about November 14, 2024
Original Issue Date (Settlement Date):On or about November
18, 2024
Review Dates*:May 14, 2025, August 14, 2025, November 18,
2025, February17, 2026, May 14, 2026, August 14, 2026,
November 16, 2026, February16, 2027, May 14, 2027, August
16, 2027, November 15, 2027,February 14, 2028, May 15,
2028, August 14, 2028, November 14, 2028, February 14, 2029,
May14, 2029, August 14, 2029 and November 14, 2029 (final
Review Date)
Call Settlement Dates*:May 19, 2025, August 19, 2025,
November 21, 2025, February20, 2026, May19, 2026, August
19, 2026, November 19, 2026, February 19, 2027, May 19,
2027, August 19, 2027, November 18, 2027, February 17, 2028,
May18, 2028, August 17, 2028, November 17, 2028, February
20, 2029, May 17, 2029, August 17, 2029 and the Maturity Date
Maturity Date*:November 19, 2029
* Subject to postponement in the event of a market disruption
event and as described under "Supplemental Terms of the Notes
- Postponement of a Determination Date-Notes Linked
Solely toan Index" in the accompanying underlyingsupplement
and "General Terms of Notes -Postponement of a Payment
Date" in theaccompanying product supplement
Automatic Call:
If theclosing level of theIndex on any Review Date is greater
than or equal to the Call Value, the notes will be automatically
called for acash payment, for each $1,000 principal amount
note, equal to (a) $1,000 plus (b) the Call Premium Amount
applicable to that Review Date, payable ontheapplicable 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 Barrier Amount, you will
receivetheprincipal amount of your notes at maturity.
If thenotes have not been automatically called and the Final
Valueisless than the Barrier Amount, your payment at
maturityper $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 × Index Return)
If thenotes have not been automatically called and the Final
Valueisless than the Barrier Amount, 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 -Initial Value)
Initial Value
Initial Value:Theclosing level of the Indexon thePricing Date
Final Value: The closing level of the Index on the final Review
Date
PS-2| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
The MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-CapVol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "Index
Calculation Agent"),in coordination with JPMS, and is maintained by the Index Sponsor and iscalculated and published by the Index
Calculation Agent. The Indexwas established on February11, 2022. An affiliate of ourscurrently has a 10%equityinterest in the
Index Sponsor, witha right toappoint an employee of JPMS, another of our affiliates, asa member of the board of directorsof 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, witha maximum exposure to the
Futures Contracts of 500% and a minimum exposureto the Futures Contracts of 0%.The Index is subject to a6.0%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 exposureto 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 than100% 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 above 35%. In general, the Index'starget volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility feature were employed. No assurance can beprovided that the volatility of 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 underlyingsupplement. 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 theperformance of the Index. The Index willtrail the performance of an identicalindex
without a deduction.
Holding the estimated value of the notes and market conditions constant, the Call Premium Amounts, the Barrier Amount and the other
economic terms available on the notesare morefavorable to investors than the terms that would be available on a hypothetical note
issuedbyuslinkedto an identicalindex without a daily deduction. However, therecanbe no assurance that any improvement in the
terms of the notes derived from the dailydeduction willoffset the negative effect of the daily deduction on the performance of the
Index. The return on the notes may be lower than the return on ahypotheticalnoteissued by us linked to an identical index without a
daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates' internalpricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimatedvalue of the notes set forth on thecover of this pricingsupplement. The daily deduction will effectively
reduce the value of the derivative or derivativesunderlyingthe economic termsof the notes. See "The Estimated Value of the Notes"
and "Selected 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 Futures Contracts.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanyingunderlying
supplement.
PS-3| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage 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 ExchangeAct"). The notes areoffered pursuant to an exemptionfrom regulation under the Commodity Exchange
Act, commonlyknown as the hybrid instrument exemption, that is available tosecurities that have one ormore paymentsindexed to the
value, level or rate of one or more commodities, asset out in section 2(f) of that statute. Accordingly, you are not afforded any
protection provided by the Commodity Exchange Act or anyregulation promulgated by theCommodity Futures Trading Commission.
Any value of any underlier, and any values derived therefrom, included in this pricingsupplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricing supplement andthe correspondingterms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or any other party.
How the Notes Work
Payment upon an Automatic Call
Review Dates
Call
Value
Compare the closing level of the Indexto the Call Valueon each Review Date until any earlier automatic call.
The closing level is
greater thanor
equal tothe Call
Value.
AutomaticCall
The notes will be automatically calledon the applicable Call Settlement Date and you will
receive (a) $1,000 plus (b) the Call Premium Amount applicable to that Review Date.
No further payments will be madeon the notes.
The closing level is
less than the Call
Value.
No AutomaticCall
The notes will not beautomatically called. Proceed to the next Review Date, if any.
Payment at MaturityIf the Notes Have Not Been Automatically Called
Review Dates
Final Review Date
Payment atMaturity
The Final Value of the Index is greater than
or equal tothe Barrier Amount.
You will receive the principal amount of
your notes.
The notes have not
been automatically
called. Proceed tothe
payment at maturity.
The Final Value is less than the Barrier
Amount.
You will receive:
$1,000 + ($1,000 × Index Return)
Under these circumstances, you will lose
some or all of your principal amount at
maturity.
PS-4| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
Call Premium Amount
The tablebelow illustrates the hypothetical Call Premium Amount per $1,000 principal amount note for each Review Date based on the
minimum Call Premium Amountsset forthunder "Key Terms -Call Premium Amount" above. The actual Call Premium Amounts will
be provided in the pricingsupplement and will not be lessthan theminimum Call PremiumAmountsset forthunder "Key Terms - Call
Premium Amount."
Review Date
Call Premium Amount
First
$90.00
Second
$135.00
Third
$180.00
Fourth
$225.00
Fifth
$270.00
Sixth
$315.00
Seventh
$360.00
Eighth
$405.00
Ninth
$450.00
Tenth
$495.00
Eleventh
$540.00
Twelfth
$585.00
Thirteenth
$630.00
Fourteenth
$675.00
Fifteenth
$720.00
Sixteenth
$765.00
Seventeenth
$810.00
Eighteenth
$855.00
Final
$900.00
PS-5| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked to ahypotheticalIndex, assuming a range of performances for the
hypothetical Index on the Review Dates.
In addition, the hypothetical paymentsset forth below assume the following:
●an Initial Value of 100.00;
●a Call Value of 100.00 (equal to 100.00% of the hypothetical Initial Value);
●a Barrier Amount of 50.00 (equal to 50.00% of the hypothetical Initial Value); and
●the Call Premium Amounts are equal to theminimum Call Premium Amountsset forth under "Key Terms-Call Premium
Amount" above.
The hypothetical Initial Value of 100.00 hasbeen chosen for illustrative purposes only andmaynot represent a likely actualInitial
Value. Theactual Initial Valuewill be the closing level of the Index on the Pricing Date and will be provided in the pricingsupplement.
For historical data regarding the actual closing levels of the Index, please see the historical information set forth under "Hypothetical
Back-TestedData and Historical Information" in this pricing supplement.
Each hypothetical payment set forth below isfor illustrative purposes only and maynot be the actual payment applicable to a purchaser
of thenotes. Thenumbers appearing in the following examples have been rounded for ease of analysis.
Example 1 - Notes are automatically called on the first Review Date.
Date
Closing Level
First Review Date
110.00
Notesare automaticallycalled
Total Payment
$1,090.00(9.00% return)
Because theclosing level of the Index on the first Review Date isgreater than or equal to the Call Value, the notes willbeautomatically
called for acash payment, for each $1,000 principal amount note, of $1,090.00 (or $1,000 plus the Call Premium Amount applicable to
the first Review Date), payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 - Notes are automatically called on the final Review Date.
Date
Closing Level
First Review Date
90.00
Notes NOT automaticallycalled
Second Review Date
85.00
Notes NOT automaticallycalled
Third through Eighteenth
Review Dates
Less than Call Value
Notes NOT automaticallycalled
Final Review Date
150.00
Notesare automaticallycalled
TotalPayment
$1,900.00(90.00% return)
Because theclosing level of the Index on the final Review Date is greater than or equalto the Call Value, the notes willbeautomatically
called for acash payment, for each $1,000 principal amount note, of $1,900.00 (or $1,000 plus the Call Premium Amount applicable to
the final Review Date), payable on the applicable Call Settlement Date, which is the Maturity Date.
Example 3 - Notes have NOT been automatically called and the Final Value is greater than or equal to the Barrier
Amount.
Date
Closing Level
First Review Date
90.00
Notes NOT automaticallycalled
Second Review Date
85.00
Notes NOT automaticallycalled
Third through Eighteenth
Review Dates
Less than Call Value
Notes NOT automaticallycalled
FinalReview Date
60.00
Notes NOT automaticallycalled; Final Value is greater than or equal
to Barrier Amount
Total Payment
$1,000.00(0.00% return)
Because the notes have not been automaticallycalled and the Final Value is greater than or equal to the Barrier Amount, the payment
at maturity, for each $1,000 principal amount note, will be $1,000.00.
Example 4 - Notes have NOT been automatically called and the Final Value is less than the Barrier Amount.
PS-6| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
Date
Closing Level
First Review Date
80.00
Notes NOT automaticallycalled
Second Review Date
75.00
Notes NOT automaticallycalled
Third through Eighteenth
Review Dates
Less than Call Value
Notes NOT automaticallycalled
Final Review Date
40.00
Notes NOT automaticallycalled; Final Value is lessthan Barrier
Amount
Total Payment
$400.00 (-60.00% return)
Because the notes have not been automaticallycalled, the Final Value is lessthan the Barrier Amount and theIndex Return is -
60.00%, the payment at maturity will be $400.00 per $1,000 principal amount note, calculated asfollows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returnsand hypothetical payments on the notesshown above apply onlyif you hold the notes for their entire term
or until automatically called.These hypotheticalsdo not reflect thefees or expensesthat would be associated withanysale in the
secondarymarket. If these fees and expenses were included, thehypothetical 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 underlyingsupplement and in Annex A totheaccompanying
prospectusaddendum.
Risks Relating to the Notes Generally
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS-
The notes donot guarantee any return of principal. If the notes have not been automatically called and the Final Value is less than
the Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial
Value. Accordingly, under these circumstances, you will losemore than 50.00% of your principal amount at maturity and couldlose
all of your principal amount at maturity.
●THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction. The level of the Index will trail the value of an identicallyconstituted
synthetic portfoliothat is not subject to any such deduction.
The index deduction will placea significant drag on the performance of the Index, potentially offsetting positive returns on the
Index's investment strategy, exacerbating negative returns of itsinvestment strategyandcausing the level of the Index to decline
steadily if the return of itsinvestment strategy is relatively flat. The Index will not appreciate unless the return of itsinvestment
strategyissufficient to offset the negativeeffectsof the index deduction, and then only to the extent that the return of its
investment strategy is greater than the index deduction. Asa result of the index deduction, the level 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 Secondary Market Prices of
the Notes" in this pricing supplement.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our andJPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined bythemarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to youunder 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., wehave no independent operations beyond the issuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments under loansmade by us to
JPMorgan Chase & Co. or under other intercompany agreements. Asa result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co.and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to havesufficient resources tomeet our obligations in
respect of the notesas they come due. If JPMorgan Chase& Co. does not make payments to us and we are unable to make
payments on the notes, you may have toseek payment under the related guaranteebyJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
●THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of the Index, which may be significant. You will not participate inany appreciation of the Index.
PS-7| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
●THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE -
If theFinal Valueisless than the Barrier Amount and the notes have not been automatically called, the benefit provided bythe
Barrier Amount will terminateand you willbe fully exposed to any depreciation of the Index.
●THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notesare automatically called, the termof the notes may be reduced to asshort as approximately sixmonths. There isno
guaranteethat you would be able to reinvest the proceeds from an investment in the notesat a comparable return for a similar
level of risk. Even in cases where the notesarecalled before maturity, you are not entitled to any fees andcommissions described
on the front cover of thispricing supplement.
●THE NOTES DO NOT PAY INTEREST.
●YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500®
INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING
THE INDEX.
●THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIERAMOUNT IS GREATER IF THE LEVEL
OF THE INDEX IS VOLATILE.
●JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the meritsof investing in the notes, the Index and the futures contractscomposing the Index.
●LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange. Accordingly, theprice at which you maybe able to trade your notesis likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not
designed to be short-termtrading instruments. Accordingly, you should be able and willing to hold your notes tomaturity.
●THE 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
Call Premium Amounts.
Risks Relating to Conflicts of Interest
●POTENTIAL CONFLICTS-
We and our affiliatesplay avarietyof roles in connection with thenotes. In performingthese duties, our andJPMorgan Chase &
Co.'seconomic interests are potentially adverse toyour interests as an investor in the notes. Itispossible that hedging or trading
activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanyingproduct
supplement.
An affiliate of ours currentlyhas a 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 Index methodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the valueof the notes. The Index Sponsor has no obligation toconsider 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 roleof
an employee of JPMS asa member of the board of directorsof the Index Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policiesgoverning the composition and
calculation of the Index. Although judgments, policiesand determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for 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 indevelopingthe guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
●THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the
notes will exceed the estimated valueof the notesbecause costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costsinclude theselling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligationsunder the notesand the 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.
PS-8| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
●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 higher issuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is basedon certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potentialchanges tothat ratemay have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Valueof the Notes" in thispricing supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the noteswill be partiallypaid back toyou in
connection with any repurchases of your notesbyJPMS inan amount that willdecline to zero over an initial predetermined period.
See "Secondary Market Prices of the Notes" in thispricingsupplementfor additional information relating to this initial period.
Accordingly, the estimatedvalue of your notes during thisinitial period may be lower than the valueof the notesaspublished by
JPMS (and which may be shown onyour customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take into account our internal secondarymarket funding rates for structureddebt issuances and,
also, because secondarymarket prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included intheoriginal issue price of the notes. As a result, the price, if any, at which JPMS will be willing tobuy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
the Maturity Datecould result in a substantialloss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes duringtheir term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom theselling commissions, projected hedgingprofits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for
the notes, whichmay also be reflectedoncustomer account statements. This price may be different (higher or lower) than the price
of thenotes, 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 pricesof the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to the Index
●JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking anycorporate action that might affect
the level of the S&P 500® Index.
●THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS -
No 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 tothe 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 realizedvolatility 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 volatilityof the SPY Fund, subject to a maximum
exposure of 500%. The Indexuses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.
However, there is no guarantee that the methodology used by the Index to determinetheimpliedvolatility 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 market volatility. In addition, the volatility of the
Futures Contracts on any daymaychange quicklyandunexpectedly and realizedvolatilitymaydiffer significantly from implied
volatility.In general, over time, the realized volatilities of the SPY Fundand 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 conditions in
the past, the SPY Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leveragein the past, except during periodsof elevatedvolatility. When leverage is employed, any movementsin the prices of the
Futures Contracts will result in greater changesin the level of the Index than if leverage were not used. In particular, theuseof
leverage will magnify any negative performance of the Futures Contracts, which, in turn, would negatively affect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where a significant increase in volatility is
accompanied by asignificant declinein the value of theFutures Contracts, the level of the Index may decline significantly before
the following Index rebalanceday when the Index'sexposure to the Futures Contracts would be reduced.
PS-9| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
●THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalance day, the Index's exposureto the Futures Contracts will be less than 100% when the implied volatility
of the SPY Fund is above 35%. If the Index'sexposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Futures Contracts on any such day. The 6.0% per annum deduction
is deducted daily, even when the Indexisnot fully invested.
●THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN
EXPIRING FUTURES CONTRACT INCLUDED IN THE INDEX -
As the Futures Contracts included in the Index come to expiration, they are replaced by Futures Contractsthat expire three months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the FuturesContract
that expiresthree months from that time. Thisprocess is referred toas "rolling." Excluding other considerations, if 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," where the prices are lower in the distant deliverymonths than in the nearer delivery months, the purchase of
the later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, therebycreating
a positive "rollyield."The presence of contango in the market for the Futures Contracts could adversely affect the levelof the
Index and, accordingly, any payment on the notes.
●THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT "TOTAL RETURNS" -
The Index is an excess return index that does not reflect total returns. The return frominvestingin futures contracts derives 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 "collateral return").
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 willnot 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 ChicagoMercantile
Exchange. Accordingly, the notesare less diversified than other funds, investment portfolios or indices investingin or tracking a
broader range of products and, therefore, couldexperience greater volatility. You should be aware that other indicesmay be more
diversified than the Indexin terms of both the number and varietyof futures contracts. You will not benefit, with respect tothe
notes, from any of the advantagesof a diversified investment and will bear the risks of a highlyconcentrated investment.
●THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY -
The Index tracks the returnsof futurescontracts. The price of afutures 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 regulatorypoliciesand the policies of 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 generally referred 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 made at aprice 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 could affect the level of theIndex and therefore
could affect adversely the value of your notes.
●THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE -
The officialsettlement price and intraday trading prices of the Futures Contractsare calculated and published by the Chicago
Mercantile Exchange and areused to calculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price and intraday trading prices and may delay or prevent the calculation
of theIndex.
●CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY
ADVERSELY AFFECT THE VALUE OF THE NOTES -
Futures exchanges require market participants to post collateral in order 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 mayaffect the prices of theFutures Contracts. As a result, thelevel of the Indexmay be affected,
which may adversely affect the valueof the notes.
PS-10| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
●HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in this pricingsupplement is purely theoretical and doesnot represent the actual historicalperformance of the Indexand hasnot
beenverified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations.
Hypotheticalback-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed withthebenefit of hindsight. Alternative modellingtechniquesmight 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:
o THE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS.
o HISTORICAL 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-11| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage 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 linein the followinggraph. All data to the left of that vertical line reflect hypothetical back-tested
performance of the Index. Alldata to the right of that vertical linereflect actualhistorical performance of the Index. The closing level of
the Index on October 29, 2024 was 3,947.70. We obtained the closing levels above and below fromthe Bloomberg Professional®
service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of the Index set forth in the following graph are purely theoretical and do not
represent the actual historicalperformance of the Index. See "Selected Risk Considerations-Risks Relating tothe Index-
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations"
above.
The hypothetical back-tested and historical closing levels of the Indexshould not be taken as an indication of future performance, and
no assurance can be given as to the closing level of the Index onthe Pricing Date or any Review Date. There can be no assurance that
the performance of the Indexwill result in the return of anyof your principal amount.
Hypothetical Back-Tested and Historical Performance of the
MerQube US Large-Cap Vol Advantage Index
Source: Bloomberg
The hypothetical back-tested closing levels of the Index have inherent limitations and havenot been verified by an independent third
party. These hypothetical back-tested closing levels are determined by means of a retroactive applicationof a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither anindicator nor a guaranteeof future returns. No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closinglevels of theIndex that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
PS-12| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanyingproduct
supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal incometax consequences of owning and disposing of notes.
Based oncurrent market conditions, in the opinion of our special tax counselit is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, 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. Assumingthis treatment is respected, the gainor loss on your notes should be treated asshort-
termcapitalgain or loss unless you hold your notes for more than a year, in whichcase the gain or loss should be long term capital
gainor loss, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not respect this
treatment,in which case the timing and character of any income or losson the notes could be materially and adverselyaffected. In
addition, in 2007 Treasury and the IRS released a notice requestingcomments on the U.S. federal income tax treatment of "prepaid
forwardcontracts" and similar instruments. The notice focuses in particular on whether to require investorsin these instruments to
accrue income over the term of their investment. It also asksfor comments on a number of related topics, including the character of
income or loss with respect tothese instruments; the relevance of factors such as the nature of the underlying property towhichthe
instrumentsare linked; the degree, if any, to which income (including any mandated accruals) realized bynon-U.S. investors should be
subject to withholding tax; and whether these instruments are or should be subject to the "constructive ownership" regime, which very
generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the
notes, possibly with retroactive effect. You should consult your taxadviser regarding the U.S. federal income tax consequences of an
investment in the notes, including possible alternative treatmentsand the issues presented by thisnotice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unlessan income tax treatyapplies) 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 fromthescope of Section 871(m) instruments issuedprior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could payU.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 maydependon your particular circumstances, including whether you enter
intoother transactions with respect to an Underlying Security. If necessary, further information regarding the potentialapplication of
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.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement isequal to thesum of thevalues of thefollowing
hypothetical components: (1) a fixed-income debt component with the same maturityasthe notes, valued using 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 estimatedvalueof the notesmaydiffer from the market-impliedfunding
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 the funding value of the notesas well as the higher issuance, operational
and ongoing liabilitymanagement costs of thenotesin comparison tothose costs for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputsandassumptions, which mayprove to be incorrect,
and is intended to approximate theprevailingmarket replacement funding rate for the notes. The use of an internal funding rateand
anypotential changes to that rate mayhave an adverse effect on the terms of the notesand any secondary market prices of the notes.
For additional information, see "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes -The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate" in thispricing supplement.
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 inputs such asthetradedmarket prices of comparablederivative 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 aresetbased on market conditions and other relevant factors and assumptions existing at that time.
PS-13| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
The estimated value of the notes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On
futuredates, the value of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
which JPMS would be willingto buy notesfromyou in secondary market transactions.
The estimated value of the notes will be lower than the original issue priceof 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 selling commissionspaid
to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliatesexpect to realizefor assuming risks
inherent in hedging our obligations under the notesandtheestimated cost of hedging our obligationsunder thenotes. Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result ina profit that
ismoreor less than expected,or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the
notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits. See "Selected Risk Considerations-Risks Relatingto the Estimated Valueand SecondaryMarket Prices of theNotes-The
Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricingsupplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes - Secondary market prices of the notes will beimpacted bymany
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of thecosts
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 costscan includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structureddebt issuances. Thisinitial predetermined time period is intended to be theshorter of sixmonthsandone-half of the
stated term of thenotes. Thelengthof any such initial period reflects the structure of the notes, whether our affiliatesexpect to earn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes-The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this 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 the risk-return
profile of the notes and "TheMerQube US Large-Cap Vol Advantage Index" in this pricingsupplement for a description of the market
exposure provided by the notes.
The originalissue price of thenotes 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 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 to change the terms of, or rejectanyoffer to purchase, the notes prior totheir issuance. In the event of any
changes to the terms of the notes, we will notifyyou and you will be asked to accept such changes in connection withyour purchase.
You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should read thispricing supplement together with theaccompanyingprospectus, as supplemented bythe accompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part, the accompanyingprospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricingsupplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochuresor other educational materialsof
ours. You shouldcarefully consider, among other things, the mattersset forthin the "Risk Factors" sections of theaccompanying
prospectussupplement, the accompanying product supplement and the accompanying underlyingsupplement and in Annex A to the
accompanying prospectus addendum, as the notesinvolve risks not associated with conventional debt securities. Weurge you to
consult your investment,legal, tax, accounting and other advisersbefore you invest in the notes.
PS-14| Structured Investments
Review NotesLinked to the MerQube US Large-Cap VolAdvantage Index
You may accessthesedocuments onthe SEC websiteat www.sec.gov asfollows (or if such addresshas 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 dated March5, 2024:
●Prospectus supplement andprospectus, each dated April 13, 2023:
●Prospectus addendum datedJune 3, 2024:
Our CentralIndex Key, orCIK, on the SEC websiteis1665650,and JPMorgan Chase & Co.'sCIK is19617. Asused in this pricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.