JPMorgan Chase & Co.
11/01/2024 | Press release | Distributed by Public on 11/01/2024 14:22
Primary Offering Prospectus - Form 424B2
October 30,2024Registration Statement Nos. 333-270004 and333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 3-I datedApril 13, 2023, underlying supplementno. 24-I dated September 1, 2023,
the prospectus and prospectus supplement, eachdated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorganChase FinancialCompanyLLC
Structured Investments
$12,730,000
Step-Up Auto Callable Notes Linked to the J.P. Morgan
Dynamic BlendSMIndex due November 4, 2031
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
•The notes are designed for investors who seek early exit prior to maturity at a premium if, on any Review Date (other
than the final Review Date), the closing level of theJ.P.Morgan Dynamic BlendSMIndex, which we refer to as the Index,
is at or above the Call Value for that Review Date.
•The earliest dateon which anautomatic call may be initiated isNovember 4, 2025.
•The notes arealso designed for investors who seek uncapped, unleveraged exposure toany appreciationof the Index at
maturity, if the notes havenot been automatically called.
•Investors should be willing to forgo interest payments, whileseeking full repayment of principal at maturity.
•The notes areunsecuredand unsubordinated obligations ofJPMorgan 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 integral multiples thereof
•The notes priced on October 30, 2024 and are expected to settleon or about November 4, 2024.
•CUSIP: 48135UFJ4
Investing in the notes involves a number of risks. See "Risk Factors"beginning on page S-2 of the accompanying
prospectus supplement, Annex A to the accompanyingprospectus addendum, "RiskFactors" beginning on page PS-12
of the accompanying product supplement, "Risk Factors" beginning on page US-3 of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on page PS-7 of this pricing supplement.
Neither the Securities and Exchange Commission (the"SEC") nor anystate securities commission has approved or disapproved
of the notes or passed upon the accuracyor the adequacy ofthis pricing supplementor theaccompanying product supplement,
underlying supplement, prospectus supplement, prospectus and prospectusaddendum.Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$34
$966
Total
$12,730,000
$432,820
$12,297,180
(1)See"Supplemental Use ofProceeds"in this pricing supplement for informationabout the components ofthe price to publicof the
notes.
(2)J.P. MorganSecurities LLC, which we refer toas JPMS, acting asagent for JPMorgan Financial, will pay allof the selling
commissions of $34.00 per $1,000principalamount noteit receives from us to other affiliated or unaffiliated dealers.See "Plan of
Distribution (Conflicts ofInterest)"in the accompanyingproduct supplement.
The estimated value of the notes, when the terms of the noteswere set,was $900.00per $1,000 principal amount note.
See"The Estimated Value of the Notes" in thispricing supplement for additional information.
Thenotes arenot bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1 | Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase& Co.
Index: The J.P. Morgan Dynamic BlendSMIndex (Bloomberg
ticker: JPUSDYBL ). The level of the Index reflectsthe
deduction of 0.95% per annum that accrues daily.
Call Premium Amount:TheCall Premium Amount with
respect to each Review Date is set forth below:
•first Review Date:10.40% × $1,000
•second Review Date: 20.80% × $1,000
•third Review Date:31.20% × $1,000
•fourth Review Date:41.60% × $1,000
•fifth Review Date:52.00% × $1,000
•sixth Review Date:62.40% × $1,000
Call Value:The Call Value for each Review Date is set forth
below:
•first Review Date:100.50% of the Initial Value
•second Review Date:101.00% of the Initial Value
•third Review Date:101.50% of the Initial Value
•fourth Review Date:102.00% of the Initial Value
•fifth Review Date:102.50% of the Initial Value
•sixth Review Date:103.00% of the Initial Value
Participation Rate:100.00%
Pricing Date:October 30, 2024
Original Issue Date (Settlement Date): On or about November
4, 2024
Review Dates*: November 4, 2025, October 30, 2026, October
29, 2027, October 30, 2028, October 30, 2029, October 30,
2030and October 30, 2031 (final Review Date)
Call Settlement Dates*: November 7, 2025, November 4,
2026, November 3, 2027, November 2, 2028, November 2,
2029 and November 4, 2030
Maturity Date*:November 4,2031
* Subject to postponement in theevent of amarket disruption event
and as described under "Supplemental Terms of the Notes-
Postponement of a Determination Date - Notes linked solelyto the
Index" in theaccompanying underlying supplement and "General
Terms of Notes -Postponement of a Payment Date" inthe
accompanyingproduct supplement
Automatic Call:
If the closing level of the Index on any Review Date (other than
the final Review Date) is greater than or equal to the Call Value
for that Review Date, the notes will beautomatically called for a
cash payment,for each $1,000 principal amount note, equal to
(a) $1,000plus(b) the Call Premium Amount applicable to that
Review Date, payable on the applicable Call Settlement Date.
No further payments will be made on the notes.
If the notes are automaticallycalled, you will not benefit from
the feature that providesyouwith apositive return at maturity
equal to the Index Return timesthe Participation Rate if the
Final Value is greater thanthe Initial Value. Because this
feature does not apply to thepayment uponan automaticcall,
the payment upon anautomatic call may be significantly less
than the payment at maturity for thesame level of appreciation
in the Index.
Payment at Maturity:
If the notes have not been automatically called, at maturityyou
will receivea cash payment, for each $1,000principal amount
note, of $1,000 plus the Additional Amount, which may be zero.
If the notes have not been automatically called, you are entitled
to repayment of principal in full at maturity, subject to thecredit
risks of JPMorgan Financial and JPMorgan Chase & Co.
Additional Amount:If the notes havenot been automatically
called, the Additional Amountpayableat maturityper $1,000
principal amount note will equal:
$1,000 × Index Return × Participation Rate,
providedthat the Additional Amount will not beless than zero.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Indexon the Pricing Date,
which was151.84
Final Value: The closing level of the Index on the final Review
Date
PS-2 | Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
The J.P. Morgan Dynamic BlendSM Index
The J.P. Morgan Dynamic BlendSMIndex (the "Index") was developed and is maintained and calculated by J.P. Morgan Securities LLC
("JPMS"). The Index hasbeen calculated on a "live" basis (i.e., using real-time data) since March 23, 2021. The Index is reported by
Bloomberg L.P. under theticker symbol "JPUSDYBL Index."
The Index attempts to provide a dynamic rules-based allocation to the J.P. Morgan US Large Cap EquitiesFutures Index(the "Equity
Constituent") and the J.P. Morgan2Y US Treasury Futures Index (the "Bond Constituent" and, together with the Equity Constituent, the
"Portfolio Constituents") while targeting a level volatility of 3.0% (the "Target Volatility"). The Index tracks the return of (a) a notional
dynamic portfolioconsisting ofthe EquityConstituentand the Bond Constituent, less (b) the dailydeduction of 0.95% per annum (the
"Index Deduction"). Each futures contract underlying a Portfolio Constituent as of a particular time is referred to as an "Underlying
Futures Contract."
•The Equity Constituent isan excess return index that tracks the return of a notional rollingfutures positionin futures contracts
on the S&P 500® Index.For additional information about the Equity Constituent, see"Background on theJ.P. Morgan Futures
Indices" in the accompanying underlying supplement.
•The Bond Constituent is an excess return index that tracks the return of a notional rolling futuresposition in futures contracts
on 2-Year U.S. treasurynotes. For additional information about the Bond Constituent, see "Background on the J.P. Morgan
Futures Indices" in the accompanying underlying supplement.
The Index providesa diversified exposure that rebalancesdaily based on measures of market risk and diversification to attempt to
deliver stable volatility over time.
Considerations Relating tothe Volatility of the Portfolio Constituents. Under normalmarket conditions, the Equity Constituent's realized
volatility has tended to be relatively more variable than the Bond Constituent'srealized volatility. Consequently, and because the Index
seeks to maintainan annualized realizedvolatility approximately equalto the Target Volatilityof only 3.0%, the Index methodology may
be more likelytoshift exposure from the Equity Constituent to the Bond Constituent during periods of relatively higher market volatility
and to shift exposure from the Bond Constituent to the Equity Constituent under normal market conditions exhibiting relativelylower
market volatility.
In general, equity markets have historicallybeen more likely to outperform fixed-income markets during periodsof relatively lower
market volatilityandto underperform fixed-incomemarkets during periods of relativelyhigher market volatility. However, therecanbe
no assurance that the Indexallocation strategy will achieveits intended results or that the Index will outperform any alternative index or
strategy that might referencethe Portfolio Constituents. Past performanceshould not be considered indicative of future performance.
In any initial selection between two eligible notional portfolios, the Index will select the portfolio that has the higher allocation to the
Portfolio Constituent with a higher realizedvolatility, as described below, which generally will cause theEquity Constituent to receive a
higher allocation than if the portfolio that has the higher allocation to the Portfolio Constituent with a lower realized volatility were
selected.
Furthermore, under normal market conditions, the Equity Constituent's realized volatility has tended to be significantly higher than the
Bond Constituent's realized volatility. Under these circumstances and because the TargetVolatility is only3.0%, the Index is generally
expected tobe more heavily weighted towards the Bond Constituent. Past performance should not be considered indicative of future
performance. Under circumstances where the Equity Constituent's realized volatility is significantly higher than that of the Bond
Constituent, the performance of the Indexis expected to be influenced toa greater extent by the performance of the Equity Constituent
than by the performance of the Bond Constituent, even if the weight of the Bond Constituent issignificantly greater than the weight of
the Equity Constituent.
Consequently, even in cases where the allocation to the Bond Constituent isgreater than the allocation to the Equity Constituent, the
Index may be influenced to a greater extent by the performance of the Equity Constituent than by the performance of the Bond
Constituent because, under some conditions, the greater allocation to the Bond Constituent will not be sufficiently large to offset the
greater realized volatilityof the Equity Constituent.
Calculating the level of the Index. On any given day, the closing levelof the Index reflects(a) the weighted return performance of the
Portfolio Constituents less (b) the 0.95% per annum daily Index Deduction. The IndexLevel was set equal to 100.00 on July 25, 1990,
the base date of the Index. The Index is an "excess return" index because, through the Portfolio Constituents, it provides notional
exposure to futures contract returnsthat reflect changes in the price of those futurescontracts, as wellas their "roll" returns described
below. The Index is not a "total return" index becauseit does not reflect interest that could be earned on funds notionally committed to
the trading of futurescontracts.
No assurancecan be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successfulor will outperform any alternative indexor strategy thatmight reference the Portfolio
PS-3 | Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
Constituents. Furthermore,no assurance can be given that the realized volatility of the Index will approximate the Target
Volatility.The actual realized volatility of the Index maybe greater or less than the Target Volatility.
If the aggregate weight of the Portfolio Constituents in the Index is less than 100%, the Index will not be fully invested, and
any uninvested portion will earn no return. The Index Deduction is deducted daily at a rate of0.95% per annum, even when
the Index is not fully invested.
The Index is described asa "notional" or "synthetic" portfolio of assets because there is no actual portfolio of assets to
which any person is entitled or in which any person has any ownership interest. The Index merely referencescertain assets,
the performance of which will be used as a reference point for calculating thelevel of the Index.
See "The J.P. Morgan Dynamic BlendSMIndex"in the accompanying underlying supplement for more information about the
Index.
PS-4 | Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
Supplemental Terms of the Notes
Any valuesof the Index,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 theindenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payment upon an Automatic Call
Payment at MaturityIf the Notes Have Not Been Automatically Called
Thenotes will be automaticallycalled on the applicable Call Settlement Date, and you will
receive (a)$1,000 plus (b) the Call Premium Amount applicable to that ReviewDate.
No furtherpayments will bemadeon thenotes.
Comparethe closinglevel of theIndexto theapplicable Call Value on eachReviewDateuntil thefinal ReviewDate oranyearlier
automatic call.
ReviewDates Preceding the Final ReviewDate
AutomaticCall
Theclosing level of the
Indexis greater thanor
equal to the Call Value
fortheapplicable Review
Date.
Theclosing level of the
Indexis lessthanthe
Call Valuefor the
applicable ReviewDate.
Call
Value
Thenotes will not beautomaticallycalled.Proceedto the next ReviewDate.
No Automatic Call
Final ReviewDate
Thenotes havenot
been automatically
called. Proceed to the
payment at maturity.
Payment at Maturity
Youwill receive $1,000plus the Additional Amount, which will be equal to:
$1,000 × IndexReturn ×ParticipationRate,
provided that the Additional Amount will not be less than zero.
PS-5 | Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
Call Premium Amount
The table below illustrates the Call Premium Amount per $1,000 principal amount note for each Review Date (other than the final
Review Date) based on the Call Premium Amountsset forthunder "Key Terms-Call Premium Amount" above.
Review Date
Call Premium Amount
First
$104.00
Second
$208.00
Third
$312.00
Fourth
$416.00
Fifth
$520.00
Sixth
$624.00
PS-6 | Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
The following table illustrates the hypothetical payment at maturity onthe notes linked to a hypotheticalIndex. The hypothetical
payments set forth below assume the following:
•the notes have not been automaticallycalled;
•an Initial Value of 100.00; and
•a Participation Rate of 100.00%.
The hypotheticalInitial Value of 100.00has been chosen for illustrativepurposes only and doesnot represent the actual Initial Value.
The actual Initial Valueis the closing level of the Index on the Pricing Date andis specified under "Key Terms-Initial Value" in this
pricing supplement. For historical data regarding the actual closinglevels of the Index, please see the historicalinformation set forth
under "Hypothetical Back-Tested Data andHistorical Information"in thispricing supplement.
Each hypothetical payment at maturity set forth below is for illustrative purposes only and may not be theactual payment at maturity
applicable to apurchaser of the notes. The numbers appearing in thefollowing table have been rounded for easeof analysis.
Final Value
Index Return
Additional Amount
Payment at Maturity
165.00
65.00%
$650.00
$1,650.00
150.00
50.00%
$500.00
$1,500.00
140.00
40.00%
$400.00
$1,400.00
130.00
30.00%
$300.00
$1,300.00
120.00
20.00%
$200.00
$1,200.00
110.00
10.00%
$100.00
$1,100.00
105.00
5.00%
$50.00
$1,050.00
101.00
1.00%
$10.00
$1,010.00
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
80.00
-20.00%
$0.00
$1,000.00
70.00
-30.00%
$0.00
$1,000.00
60.00
-40.00%
$0.00
$1,000.00
50.00
-50.00%
$0.00
$1,000.00
40.00
-60.00%
$0.00
$1,000.00
30.00
-70.00%
$0.00
$1,000.00
20.00
-80.00%
$0.00
$1,000.00
10.00
-90.00%
$0.00
$1,000.00
0.00
-100.00%
$0.00
$1,000.00
PS-7 | Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
Note Payout Scenarios
Upside Scenario If Automatic Call:
If the closing level of the Index on any Review Date (other than the final Review Date)is greater thanor equal to the Call Value for that
Review Date, the notes will be automatically called and investors will receive on the applicable Call Settlement Date the$1,000
principal amount plusthe CallPremium Amount applicable to that Review Date. No further payments will be made on the notes.
•If the closing level of theIndexincreases 10.00% as of the first Review Date, the notes willbe automaticallycalled and investors
will receive a return equal to 10.40%, or $1,104.00per $1,000 principal amount note.
•If the notes have not been previously automaticallycalled and theclosing level of the Index increases 100.00%as of the sixth
Review Date, the notes will be automatically called and investors will receivea return equal to 62.40%, or $1,624.00 per $1,000
principal amount note.
If No AutomaticCall:
If thenotes have not been automatically called, investors will receive at maturity the$1,000 principal amount plus the Additional
Amount, which is equal to$1,000 times the Index Returntimesthe Participation Rate of 100.00%.
Upside Scenario:
If the notes have not been automatically called and the Final Valueisgreater than the Initial Value, the Additional Amount will be
greater than zero and investors will receive at maturitymorethan the principal amount of their notes.
•If the notes have not been automatically called and the closing level of the Index increases 10.00%, investors will receive at
maturitya return equal to 10.00%, or $1,100.00 per $1,000 principal amount note.
Par Scenario:
If the notes have not been automatically called and the Final Valueisequal to or less than the Initial Value, the Additional Amount will
be zero and investors will receive at maturity the principal amount of their notes.
The hypothetical returnsand hypothetical payments on the notesshown above applyonly if you hold the notes for their entire term
or until automatically called. These hypotheticalsdo not reflect the fees or expenses that would be associated with any sale in the
secondary market.If these fees and expenses were included, the hypothetical returns andhypothetical payments shown above would
likelybe 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,product supplement and underlying supplementand in Annex A tothe accompanying
prospectusaddendum.
Risks Relating to the NotesGenerally
•IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED, THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL
AMOUNT AT MATURITY-
If the notes have not been automatically calledand the Final Value isless thanor equal tothe Initial Value, you will receive only the
principal amount of your notes at maturity, and you will not be compensated for any loss in value due toinflation and other factors
relating to the value of money over time.
•THE LEVEL OF THE INDEX WILL INCLUDE A 0.95% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 0.95% per annum daily deduction. As a result of the deduction of this indexfee, the level of the Index will
trail the value of a hypothetical identically constituted synthetic portfolio from which no such fee or cost is deducted.
•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 todefault on our payment
obligations, you maynot receive any amounts owed to you under the notes and you could lose your entire investment.
PS-8 | Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a financesubsidiary 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 fromJPMorgan Chase &
Co., substantially all of our assets relate toobligations of JPMorgan Chase & Co. tomakepayments under loans made 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 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.
•THE CALL VALUE FOR EACH REVIEW DATE IS GREATER THAN THE INITIAL VALUE AND INCREASES PROGRESSIVELY
OVER THE TERM OF THE NOTES -
Thenotes will be automatically called, and you will receive a Call Premium Amount, onlyif the closinglevel of the Indexincreases
fromthe Initial Value such that it is greater thanor equal to the Call Value for a Review Date. Even if the closing level of the Index
increases over the term of the notes, it may not increase sufficiently for the notes to be automaticallycalled(including because,
due to the step-up Call Value feature, theCall Valuesincrease progressively over the termof the notes).
•IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TOTHE
APPLICABLE CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciationof the Index, which may besignificant. In addition, if the notes are automatically called, you will not
benefit from the feature that provides you witha positive return at maturity equal to the Index Returntimes the Participation Rateif
the Final Value is greater than the Initial Value. Because this feature doesnot apply to the payment upon an automaticcall, the
payment upon an automaticcallmay be significantly less than the payment at maturity for the same level of appreciationin 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 one year. There is no
guarantee that you would be able to reinvest the proceeds from an investment in the notesat a comparable returnfor a similar
level of risk. Even in cases where the notesare calledbefore maturity, you are not entitled to any fees and commissions described
on the front cover of thispricing supplement.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE PORTFOLIO CONSTITUENTS, THE UNDERLYING FUTURES
CONTRACTS OR THE SECURITIES INCLUDED IN THE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS.
•LACK OF LIQUIDITY -
The notes will not be listedon anysecurities exchange. Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes. You may notbe able to sellyour notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliates play avariety of roles inconnection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economicinterests are potentially adverse toyour interests as an investor in the notes. It ispossiblethat 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.See also "- Risks Relating to the Index - Our Affiliate, JPMS, Is the IndexSponsor and the Index Calculation Agent
of the Index and Each Portfolio Constituent and May Adjust the Indexor Each PortfolioConstituent in a Way that Affects Its Level"
below.
JPMS is one of the primary dealers through which the U.S. Federal Reserve conductsopen-market purchases and sales of U.S.
Treasuryand federal agencysecurities, including U.S.Treasury notes. These activities may affect the pricesand yields on the
PS-9 | Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
U.S. Treasury notes, which may in turn affect thelevel of the Bond Constituent and the level of the Bond Constituent. JPMS has
no obligation to take into considerationyour interests as aholder of thenotes when undertaking these activities.
•JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the merits of investing in the notesand the Portfolio Constituents and thefutures contracts composing
the Portfolio Constituents.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
•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 originalissue price of the
notes exceedsthe estimatedvalue of the notes becausecosts associated with selling, structuring and hedging the notes are
included in theoriginal issue price of the notes.These costs includethe 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 Value of the Notes" in this pricingsupplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See "The Estimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determination of the estimated value of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issuedby JPMorgan 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 ongoingliability management costs of the notes in comparisonto those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, 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 anypotentialchanges 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 maybe lower than the valueof the notesaspublished 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 prices of 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 in theoriginal 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 original issue price. Anysale by you prior to
the Maturity Date could result in a substantial loss to you.
•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 hedging profits, if any,estimated hedging
costs and the level of the Index. Additionally, independent pricing vendorsand/or third party broker-dealersmay publish a price for
the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the
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Index
price of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes -Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in theaccompanying product supplement.
Risks Relating to the Index
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX,THE
REFERENCE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS OF THE EQUITY CONSTITUENT,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the securities included in the reference index underlying the Underlying Futures Contracts of the Equity Constituent.
•OUR AFFILIATE, JPMS, IS THE INDEX SPONSOR AND THE INDEX CALCULATION AGENT OF THE INDEX AND EACH
PORTFOLIO CONSTITUENT AND MAY ADJUST THE INDEX OR EACH PORTFOLIO CONSTITUENT IN A WAY THAT
AFFECTS ITS LEVEL -
JPMS, one of our affiliates, currently actsas the index sponsor and the index calculation agent for the Index and the Portfolio
Constituentsand is responsible for calculating and maintaining the Indexand the Portfolio Constituents anddeveloping the
guidelines and policies governing their composition and calculation. In performing these duties, JPMS may have interestsadverse
to the interests of the holdersof the notes, which may affect your return on the notes, particularly where JPMS, as the index
sponsor and the index calculation agent of the Index and thePortfolio Constituents, isentitled to exercise discretion.The rules
governing the Indexand the Portfolio Constituentsmay be amended at any time bythe index sponsor of the Index and the Portfolio
Constituents, in its sole discretion. The rules alsopermit the use of discretion by the index sponsor and the index calculation agent
of the Index and the Portfolio Constituents inspecific instances, including, but not limited to, the determinationof whether to
replace a Portfolio Constituent with asubstitute or successor uponthe occurrenceof certain events affecting that Portfolio
Constituent, the selection of any substitute or successor and the determination of the levels to be used in the event of market
disruptions that affect the ability of the index calculation agent of the Indexand the Portfolio Constituents to calculate andpublish
the levelsof the Index andthe Portfolio Constituents and the interpretation of the rules governingthe Index and the Portfolio
Constituents. Although JPMS, acting as the index sponsor and the indexcalculation agent, willmake all determinationsand take
all action in relation to the Index and the Portfolio Constituents acting in good faith, it should be noted that JPMS may have
interests adverse to the interestsof the holders of the notes and the policies and judgments for which JPMS is responsible could
have an impact, positive or negative, on the level of the Index and the value of your notes.
Although judgments, policiesand determinations concerningthe Index and the Portfolio Constituents are made byJPMS,
JPMorgan Chase & Co., as the ultimate parent company of JPMorgan Chase Bank and JPMS, ultimately controls JPMorgan
Chase and JPMS. JPMS has no obligation to consider your interestsin taking anyactions that might affect the value of your notes.
Furthermore, the inclusion of the Portfolio Constituents in the Index is not an investment recommendation by us or JPMS of any of
the Portfolio Constituents, or any of the futures contracts composing any of the Portfolio Constituents.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE PORTFOLIO CONSTITUENTS -
The Index follows a notional rules-based proprietary strategy that operates on the basis of pre-determined rules. Under this
strategy, the Index seeks to maintain an annualized realized volatilityapproximately equal to the Target Volatility of 3.0%by
rebalancingits exposures to the Portfolio Constituents on each day basedon two measures of realized portfolio volatility: a shorter-
termvolatility measure and a longer-term volatility measure. By seekingtomaintain an annualized realized volatility approximately
equal to the Target Volatility, the Indexmay underperform an alternative strategy that seeks to maintain a higher annualized
realized volatility or an alternative strategy that does not seek to maintaina level volatility.
In addition, on each day, the Index generallyselects the notionalportfolio identified for the volatilitymeasure that has the lower
allocation to the Equity Constituent as the notionalportfolio to be tracked by the Index. The Index's selection of the notional
portfolio with the lower allocation to the Equity Constituent may be more likelyto result in the Index tracking a notional portfolio with
a lower realized volatility than if the Index weretoselect the notional portfolio with the higher allocationto the Equity Constituent.
No assurancecan be given that the investment strategyon which the Index is based will be successfulor that the Index will
outperformany alternative strategythat might be employed in respect of the Portfolio Constituents.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurancecan be given that the Index willmaintain an annualized realized volatility that approximates the Target Volatility. The
actual realized volatility of theIndex may be greater or lessthan the Target Volatility. The Indexseeksto maintain anannualized
realized volatility approximately equal to the Target Volatility of 3.0% by rebalancing its exposures to the Portfolio Constituents on
each day based on two measures of realized portfolio volatility. However, there is no guarantee that trends exhibited by either
measure of realized portfolio volatility will continue in the future. The volatility of a notionalportfolioon any day may change quickly
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Index
and unexpectedly. Accordingly, the actual realized annualized volatility of the Index on a daily basis may be greater than or less
than the Target Volatility, which may adversely affect the level of the Index and the value of the notes.
•THE PERFORMANCE OF THE INDEX MAY BE ADVERSELY AFFECTED BY ITS TARGET VOLATILITY OF 3.0%-
The Index seeks to maintain an annualized realized volatilityapproximatelyequal tothe Target Volatility of3.0%. A Target
Volatility of 3.0% is relatively low ascompared to indices with similar investment strategies established prior to the Index. A
relativelylower Target Volatility could result in poorer performance in general over time, especially during periodsof rising markets.
See also "-A Significant Portion of the Index's Exposure May Be Allocated to the Bond Constituent" and "- The Index May Be
More Heavily Influenced bythe Performance of the Equity Constituent Than the Performance of the Bond Constituent in General
Over Time" below.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
For eachvolatility measure on each day, the Indexseeks toidentify a notional portfoliocomposed of the Portfolio Constituents that
has an annualized realized volatilitydetermined for that volatilitymeasure approximately equal to the Target Volatility of 3.0% and
an aggregate weight of 100%. If the Index identifiesand selectssuch anotional portfolio for a volatilitymeasure, but the weight of
either Portfolio Constituent isgreater than100%, the weight of that Portfolio Constituent in the notional portfolio selected for that
volatilitymeasure on that day will be 100% and, if the weight of either Portfolio Constituent is less than 0%, the weight of that
Portfolio Constituent in the notionalportfolio selected for that volatilitymeasure on that day will be 0%. Inaddition, if there is no
such notional portfolio for a volatilitymeasure, the Index selects for that volatilitymeasure on that day the notional portfolio with the
lowest realized volatility.
As a result of applying a cap and floor and in the caseof selecting the notional portfolio with the lowest realized volatility, the
resulting notional portfoliomay be greater than or less than 3.0% for the relevant volatilitymeasure. If the annualized realized
volatilityof the notional portfolio selected for a volatility measure on any day is greater than3.0%, that notional portfolio will be
adjusted so that the weight of each Portfolio Constituent in that notional portfolio will be reduced proportionatelyto achieve a
notional portfolio that has an annualized realized volatility forthe relevant volatility measure of 3.0%. Under these circumstances,
the aggregate weight of the Portfolio Constituents in that notional portfolio will be less than 100%.
If the Index tracks a notional portfolio with an aggregate weight that is lessthan 100%, the Index will not be fully invested, and any
uninvestedportion will earnno return. The Indexmay be significantly uninvested onany given day, and will realize only a portion
of any gains due to appreciation of the Portfolio Constituents on any such day. The Index Deduction is deducted daily at a rate of
0.95% per annum, even whenthe Index is not fullyinvested.
•A SIGNIFICANT PORTION OF THE INDEX'S EXPOSURE MAY BE ALLOCATED TO THE BOND CONSTITUENT -
Under normal market conditions, the Equity Constituent hastended toexhibit a realized volatility that ishigher than the Target
Volatility and that is higher than the realized volatility of the Bond Constituent in general over time. As a result, and because the
Target Volatilityisonly 3.0%the Index will generally need to reduce its exposure to the Equity Constituent in order to approximate
the Target Volatility. Therefore, theIndexmay have significant exposurefor an extendedperiod of time to the Bond Constituent,
and that exposure may be greater, perhapssignificantly greater, than its exposure to the Equity Constituent.Moreover, under
certaincircumstances, the Index mayhave no exposure to the Equity Constituent. However, the returns of the Bond Constituent
maybe significantly lower than the returns of the Equity Constituent, and possibly even negative while the returns of the Equity
Constituent arepositive, which will adverselyaffect the levelof the Index and anypayment on, and the value of, thenotes.
•THE INDEX MAY BE MORE HEAVILY INFLUENCED BY THE PERFORMANCE OF THE EQUITY CONSTITUENT THAN THE
PERFORMANCE OF THE BOND CONSTITUENT IN GENERAL OVER TIME -
In any initial selection between two eligible notional portfolios, the Index will select the portfolio that has the higher allocation to the
Portfolio Constituent with a higher realizedvolatility, as described under "The J.P. Morgan DynamicBlendSMIndex" in the
accompanying underlying supplement, which generally will cause the Equity Constituent toreceive a higher allocation than if the
portfolio that has the higher allocation to the Portfolio Constituent with alower realized volatility were selected.
Furthermore, under normal market conditions, the Equity Constituent's realized volatility has been relatively more variable and has
tendedtobe significantly higher than the Bond Constituent's realized volatility. Under these circumstances and because the
Target Volatilityis only 3.0%, the Index isgenerally expected to be more heavily weighted towardsthe Bond Constituent.
However, under circumstances where the Equity Constituent's realizedvolatility is significantlyhigher than that of the Bond
Constituent, the performance of the Indexis expected to be influenced to a greater extent by the performance of the Equity
Constituent than by the performance of the Bond Constituent, even if the weight of the Bond Constituent is significantly greater
than the weight of the Equity Constituent.
Consequently, even in caseswhere the allocation to the Bond Constituent is greater than the allocation to the Equity Constituent,
the Index may be influenced to a greater extent by the performance of the Equity Constituent than by the performance of the Bond
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Constituent because, under some conditions, the greater allocation to the Bond Constituent will not be sufficiently large to offset
the greater realized volatility of the Equity Constituent.
Accordingly, the levelof the Indexmay decline if the value of the Equity Constituent declines, evenif the value of the Bond
Constituent increases at thesame time. See also "-The Returns of the Portfolio ConstituentsMay Offset Each Other or May
Become Correlated in Decline" below.
•THE RETURNS OF THE PORTFOLIO CONSTITUENTS MAY OFFSET EACH OTHER OR MAY BECOME CORRELATED IN
DECLINE -
At a time when the value of one Portfolio Constituent increases, the value of the other Portfolio Constituent may not increase as
much or may even decline. This may offset the potentially positive effect of the performance of theformer Portfolio Constituent on
the performance of the Index. During the termof the notes, it is possible that the value of the Indexmay decline even if the value
of one Portfolio Constituent rises, because of the offsetting effect of a decline in the other Portfolio Constituent. It is also possible
that the returns of the Portfolio Constituentsmay be positively correlated with each other. In this case, a decline inone Portfolio
Constituent would be accompanied by a declinein the other Portfolio Constituent, which may adversely affect the performance of
the Index. As a result, the Index maynot perform as well asan alternative index that tracks only one Portfolio Constituentor the
other.
•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in thispricingsupplement is purely theoretical and doesnot represent the actual historical performance of the Indexand has not
been verified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations. Alternative
modelling techniques might produce significantlydifferent results and mayprove to bemore appropriate. Past performance, and
especially hypothetical back-tested performance, is not indicative of future results. This type of information has inherent limitations
and youshould carefullyconsider these limitations before placing reliance on such information. Hypothetical back-tested
performance is derived bymeans of the retroactive application of a back-tested model that hasbeen designed with the benefit of
hindsight.
•THE INVESTMENT STRATEGY USED TO CONSTRUCT THE INDEX INVOLVES DAILY ADJUSTMENTS TO ITS NOTIONAL
EXPOSURE TO ITS PORTFOLIO CONSTITUENTS -
The Index is subject to daily adjustmentsto itsnotional exposure to its Portfolio Constituents. By contrast, a notional portfolio that
is not subject to daily exposure adjustments in thismanner could see greater compounded gains over time through exposure toa
consistentlyand rapidly appreciating portfolio consistingof the relevant Portfolio Constituents. Therefore, your return onthe notes
maybe less than the return you could realize onan alternative investment in the relevant Portfolio Constituents that isnot subject
to daily exposure adjustments. No assurance can be given that the investment strategy used to construct the Index will outperform
any alternative investment in the Portfolio Constituents of the Index.
•A PORTFOLIO CONSTITUENT OF THE INDEX MAY BE REPLACED BY A SUBSTITUTE INDEX OR FUTURES CONTRACT IN
CERTAIN EXTRAORDINARY EVENTS -
Following theoccurrence of certainextraordinary events withrespect to a Portfolio Constituent as described in theaccompanying
underlying supplement, a Portfolio Constituent may be replaced by asubstitute index or futures contract or the index calculation
agent may cease calculating and publishing in the Index. You should realize that changinga Portfolio Constituent may affect the
performance of the Index, andtherefore, the return on the notes, as the substitute index or futures contract may perform
significantlybetter or worse than the original Portfolio Constituent.For example, the substitute or successor Portfolio Constituent
mayhave higher fees or worse performance than the original Portfolio Constituent.
Moreover, thepoliciesof the indexsponsor of the substitute index or futures contractconcerning themethodology and calculation
of the substitute indexor futures contract, including decisions regarding additions, deletions or substitutions of the assets
underlying the substitute index or futurescontract could affect the level or price of the substitute index or futures contract and
therefore the value of the notes. The amount payable on the notes and their market value could also be affected if the sponsor of a
substitute index or the sponsor of the reference index of a substitutefuturescontract discontinues or suspends calculation or
dissemination of the relevant index, in which case it may become difficult to determine themarket value of the notes. The sponsor
of the substitute indexor futures contractwill have no obligation to consider your interests in calculating or revising such substitute
index or futurescontract.
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•EACH PORTFOLIO CONSTITUENT IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE UNDERLYING
FUTURES CONTRACTS -
The Portfolio Constituents each track the returns of the Underlying Futures Contracts. The price of an Underlying Futures Contract
dependsnot only on thepriceof the underlying asset referenced by the Underlying Futures Contract, but alsoon arange of other
factors, includingbut not limited to changing supply and demand relationships, interest rates, governmental and regulatory policies
and the policies of theexchangeson which the Underlying Futures Contracts trade. In addition, the futuresmarkets are subject to
temporary distortions or otherdisruptionsdue tovariousfactors, including the lack of liquidity in themarkets, the participation of
speculators and government regulation and intervention. These factorsand others can cause the prices of the Underlying Futures
Contracts to be volatile and could adverselyaffect the level of each Portfolio Constituent and the Index and any payments on, and
the value of, your notes.
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY
AFFECT THE VALUE OF YOUR NOTES -
Futures marketsare subject to temporary distortions or other disruptions due to variousfactors, including lack of liquidity, the
participation of speculators, and government regulationand intervention. In addition, futures exchanges generally have regulations
that limit the amount of the Underlying Futures Contract price fluctuations that may occur in a single day. Theselimits are
generally referred to as "dailyprice fluctuation limits" and the maximumor minimum price of a contract on any given day asa result
of these limits is referred to as a "limit price." Once the limit price has been reached in a particular contract, no trades may be
made at a price beyond the limit, or trading may be limited for a set period of time. Limit prices have the effect of precluding trading
in a particular contract or forcing the liquidation of contractsat potentially disadvantageous times or prices. These circumstances
could delay the calculationof the level of each Portfolio Constituent and could adversely affect the level of each Portfolio
Constituent and the Indexand any payments on, and the value of, your notes.
•AN INCREASE IN THE MARGIN REQUIREMENTS FOR THE UNDERLYING FUTURES CONTRACTS INCLUDED IN THE
PORTFOLIO CONSTITUENTS MAY ADVERSELY AFFECT THE LEVEL OF THAT PORTFOLIO CONSTITUENT -
Futures exchanges require market participants to post collateral in order to open and keep open positions in the Underlying
Futures Contracts. If an exchange increasesthe amount of collateral required to be posted to holdpositions in the Underlying
Futures Contracts, market participants who are unwilling or unable to post additional collateral mayliquidate their positions, which
maycause theprice or liquidity of the relevant Underlying Futures Contracts to decline significantly. As a result, the levelof the
relevant Portfolio Constituent and the Index and any payments on, and the value of, the notes may be adversely affected.
•THE INDEX MAY IN THE FUTURE INCLUDE UNDERLYING FUTURES CONTRACTS THAT ARE NOT TRADED ON
REGULATED FUTURES EXCHANGES -
The Index, through its exposure to the Portfolio Constituents, iscurrently based solely on futures contracts traded onregulated
futures exchanges (referred to in the United States as "designated contract markets"). If these exchange-tradedfuturescontracts
cease to exist, or if the calculation agent for the Portfolio Constituents substitutes an Underlying Futures Contract in certain
circumstances, the Index may in the future include futures contract or over-the-counter contracts traded on trading facilities that are
subject to lesser degrees of regulation or, in some cases, no substantive regulation. Asa result, trading in such contracts, and the
manner in which prices and volumes are reported by the relevant trading facilities, may not be subject to the provisionsof,and the
protectionsafforded by, the U.S. Commodity Exchange Act, or other applicable statutes and related regulations that govern trading
on regulated U.S.futuresexchanges or similar statutes and regulations that govern trading on regulated non-U.S. futures
exchanges.In addition, many electronic trading facilitieshave only recently initiated trading and do not have significant trading
histories. As a result, the trading of contracts on such facilities, and the inclusion of such contractsin the Index, through its
exposure to the Portfolio Constituents, may be subject to certain risks not presented by theUnderlying Futures Contracts, including
risks related tothe liquidityand price histories of the relevant contracts.
•NEGATIVE ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS CONSTITUTING THE
PORTFOLIO CONSTITUENTS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE PORTFOLIO CONSTITUENTS AND
THE VALUE OF THE NOTES -
The Portfolio Constituents each reference Underlying Futures Contracts. Unlike commonequity securities, Underlying Futures
Contracts, by their terms, have stated expirations. Asthe exchange-traded Underlying Futures Contracts that compose the
Portfolio Constituents approach expiration, they are replaced bysimilar contractsthathavea later expiration. For example, an
Underlying Futures Contract notionally purchased and heldin June mayspecify a September expiration date. As timepasses, the
contract expiring in September is replaced by a contract for delivery in December. This is accomplished by notionallyselling the
September contract and notionally purchasing the December contract. Thisprocess is referred to as "rolling." Excluding other
considerations, if pricesare higher in the distant delivery monthsthan in thenearer delivery months, the notional purchase of the
December contract would take place at a price that is higher than the price of the September contract, thereby creating anegative
"roll return." Negative roll returns adversely affect the returns of thePortfolio Constituents and, therefore, the level of the Index and
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any payments on, and the value of, the notes. Because of the potential effectsof negative roll returns, it is possible for the value of
a Portfolio Constituent to decrease significantly over time, even when thenear-term or spot pricesof the underlying assets or
instrumentsare stableor increasing. In addition, interest rates have been historically low for an extended periodand, if interest
rates revert totheir historical means, the likelihood that a roll return related to any Portfolio Constituent will be negative, as well as
the adverse effect of negativeroll returns on any Portfolio Constituent, will increase.
•OTHER KEY RISKS:
oTHE INDEX, WHICH WAS ESTABLISHED ON MARCH 23, 2021, AND THE PORTFOLIO CONSTITUENTS, WHICH WERE
ESTABLISHED ON DECEMBER 22, 2020, HAVE LIMITED OPERATING HISTORIES AND MAY PERFORM IN
UNANTICIPATED WAYS.
oTHE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO
WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST.
oTHE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING
INTEREST RATE-RELATED RISKS AND CREDIT RISK.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding theabove-listed
and other risks.
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Hypothetical Back-Tested Data and Historical Information
The following graph sets forththe hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index fromJanuary 4, 2019 through March 19, 2021 and the historical performance of the Index based on the
weekly historical closing levels of the Index fromMarch 26, 2021 through October 25, 2024.The Index was established onMarch 23,
2021, as represented by the vertical line in the following graph. All data to the left of that vertical linereflect hypotheticalback-tested
performance of the Index. Alldata to the right of that vertical line reflect actual historical performance of the Index. The closing level of
the Index on October 30, 2024 was 151.84. We obtained the closing levelsabove and below fromthe Bloomberg Professional® service
("Bloomberg"), without independent verification.
The data for the hypothetical back-tested performanceof the Index set forth in the following graphare purely theoretical and do not
represent the actual historical performance 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 asto the closing level of the Index onany Review Date. Therecanbe no assurance that the performance
of the Index will result in a payment at maturityin excess of your principal amount, subject to thecredit risks of JPMorgan Financial and
JPMorgan Chase & Co.
The hypothetical back-testedclosing levels of the Index have inherent limitations and have not been verified by an independent third
party. Thesehypotheticalback-testedclosing levels are determined bymeans of a retroactive application of a back-tested model
designed withthe benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guarantee of future returns. No
representation is made that an investment inthe notes will or is likely to achieve returns similar to thoseshown. Alternative modeling
techniquesor assumptions would produce different hypotheticalback-tested closinglevelsof the Index that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
Treatment as ContingentPayment Debt Instruments
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences," and inparticular the subsection
thereof entitled "- Tax Consequences to U.S. Holders- Notes with a Term of More than One Year - NotesTreated as Contingent
Payment Debt Instruments," in the accompanying product supplement no. 3-I. Unlike a traditional debt instrument that provides for
periodic paymentsof interest at a single fixed rate, with respect to which acash-method investor generally recognizes incomeonly
upon receipt of stated interest, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated for
U.S. federal income tax purposesas "contingent payment debt instruments." As discussed in that subsection, you generally will be
required to accrue original issue discount ("OID") on your notes in each taxable year at the "comparableyield," asdetermined by us,
although we will not makeany payment with respect to the notes except upon anautomaticcall or at maturity. Upon sale or exchange
(including an automatic call or at maturity), you will recognize taxableincome or loss equal to the difference between the amount
received from the saleor exchange andyour adjusted basisin thenote, which generally will equal the cost thereof, increasedby the
amount of OID you have accrued in respect of the note. You generally must treat any income asinterest income and anylossas
ordinary loss to the extent of previousinterest inclusions, and thebalance as capital loss.The deductibility of capital losses is subject
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to limitations.Special rules may apply if any payment in excess of the principal amount of your noteistreated as becoming fixed prior
to maturity. You shouldconsult your tax adviser concerning the applicationof these rules.The discussionsherein and in the
accompanying product supplement do not addressthe consequences totaxpayerssubject to specialtax accounting rules under
Section 451(b) of the Code. Purchasers who are not initial purchasers of notes at their issue price shouldconsult their tax advisers with
respect to the tax consequences of aninvestment in notes, including the treatment of the difference, if any, between the basis in their
notes and the notes' adjustedissue price.
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 instrumentslinked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthe scopeof Section 871(m) instruments issued prior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
incometaxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special taxcounselisof the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding onthe
IRS, and the IRS may disagree with this determination. Section 871(m) is complex and itsapplication may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should consult your tax
adviser regarding the potential application of Section871(m) to the notes.
The discussionsin the preceding paragraphs, when readin combination with the sectionentitled "Material U.S.Federal Income Tax
Consequences" (and in particular the subsection thereof entitled "- Tax Consequences to U.S. Holders- Notes with a Term of More
than One Year -Notes Treated as Contingent Payment Debt Instruments") in the accompanying product supplement, constitute the
full opinion of Davis Polk & WardwellLLP regarding the material U.S.federal income tax consequences of owning and disposing of
notes.
Comparable Yield and Projected Payment Schedule
Although it is not entirely clearhow thecomparable yield andprojected payment schedule should be determined when a debt
instrument maybe redeemed by the issuer prior to maturity, we have determined that the"comparable yield," basedupon the termto
maturityof the notes assuming no earlyredemptionoccurs and a varietyof other factors, includingactual market conditionsand our
borrowing costs for debt instruments of comparable maturities at the time of issuance, is an annualrate of 5.05%, compounded
semiannually.Based on our determinationof the comparable yield, the "projected payment schedule" per $1,000 principal amount note
consistsof a single payment at maturity, equal to$1,418.02. Assuming asemiannual accrual period, thefollowing table sets out the
amount of OID that will accrue with respect to a noteduringeach calendar period, based upon our determination of the comparable
yield and projected payment schedule.
Calendar Period
Accrued OID During
Calendar Period(Per
$1,000 Principal
Amount Note)
Total Accrued OID from Original
Issue Date (Per $1,000 Principal
Amount Note) asof End of
Calendar Period
November 4, 2024 through December 31, 2024…………
$7.86
$7.86
January1, 2025 through December 31, 2025………………
$51.54
$59.40
January1, 2026 through December 31, 2026……………....
$54.18
$113.58
January1, 2027 through December 31, 2027……………..
$56.95
$170.53
January1, 2028 through December 31, 2028……………...
$59.86
$230.39
January1, 2029 through December 31, 2029……………...
$62.92
$293.31
January1, 2030 through December 31, 2030………………
$66.14
$359.45
January1, 2031 through November 4, 2031……………
$58.57
$418.02
The comparable yield and projected payment scheduleare determined solely to calculate the amount on which you will be
taxed with respect to the notes in each year and are neither a prediction nor a guarantee of what the actual yield or timing of
PS-17| Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
the payment or payments will be. The amount you actually receiveat maturity or earlier sale or exchange of your noteswill
affect your income for that year, asdescribed above under "Treatment as Contingent Payment Debt Instruments."
The Estimated Value of the Notes
The estimated value of thenotes set forth on the cover of this pricing supplement isequal to the sum of the values of thefollowing
hypothetical components: (1) a fixed-income debt component with the same maturity asthe 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 anyexists) at
any time.The internal funding rate used in the determination of the estimated value of thenotes may differ from the market-implied
funding rate for vanilla fixed income instruments of asimilar maturityissued by JPMorganChase & Co. or its affiliates. Any difference
maybe based on, among other things, our and our affiliates'view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximate theprevailing market replacement funding rate for thenotes.Theuse of an internal
funding rate and anypotential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of thenotes.For additionalinformation, see "Selected Risk Considerations-Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes-The Estimated Value of the NotesIs Derived by Reference to anInternal Funding Rate" in this
pricing supplement.
The value of the derivativeor derivatives underlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates.These modelsare dependent on inputssuch as the traded market prices of comparable derivative instrumentsand on
various other inputs, some of which aremarket-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about futuremarket events and/or environments.Accordingly, theestimatedvalue of thenotes is
determined when the termsof the notes areset basedon 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 forthe notes that are greater than or less than the estimated value of the notes.In
addition, market conditions and other relevant factors in the futuremay change, and any assumptionsmay prove to be incorrect.On
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 ratemovements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfromyou in secondarymarket transactions.
The estimated value of thenotes is lower than the original issue price of the notesbecause costs associated withselling,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 obligations under the notes.Becausehedging our
obligations entails riskandmay be influenced by market forces beyond our control, thishedging may result in a profit that ismore or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be
allowed to other affiliatedor unaffiliated dealers, and weor one or more of our affiliates will retain any remaining hedging profits.See
"Selected Risk Considerations-Risks Relating to theEstimated Value and SecondaryMarket Prices of the Notes - The Estimated
Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes"in thispricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes-Secondary market prices of the notes will beimpactedby many
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 willbe partially paid back to you inconnection 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 andour internal secondary market funding rates
for structured debt issuances.This initial predeterminedtime period is intended to be the shorter of sixmonths and one-half of the
stated term of the notes.Thelengthof anysuch initialperiod reflects thestructure of the notes, whether our affiliates expect to earna
profit inconnection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as
determined byour affiliates.See "Selected Risk Considerations- Risks Relating to theEstimated 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 pricing supplement.
PS-18| Structured Investments
Step-Up Auto CallableNotesLinked totheJ.P. Morgan Dynamic BlendSM
Index
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 "Note Payout Scenarios"in this pricing supplementfor anillustration of the risk-return profile of
the notes and"The J.P.Morgan Dynamic BlendSM Index" in thispricingsupplementfor a description of the market exposure provided
by the notes.
The original issueprice of thenotes is equal to the estimated value of the notesplus the selling commissions paidto JPMS and other
affiliated or unaffiliated dealers, plus(minus) the projected profits (losses) that our affiliatesexpect 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 specialproducts counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offeredby this pricing supplement have beenissued by JPMorganFinancialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and suchnotes 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), providedthat 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 similarprovision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'sobligation under the related guarantee.
Thisopinion is given as of the date hereof and is limited 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 opinionis subject tocustomary assumptions about the
trustee's authorization, execution and delivery of the indenture and its authentication of the master note and the validity, 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 supplementedby theaccompanying
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 notesandsupersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. You shouldcarefullyconsider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying
prospectussupplement, the accompanying product supplement and the accompanying underlying supplementand in Annex A to the
accompanying prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisersbefore you invest in the notes.
You may access these documentson the SEC website at www.sec.gov asfollows (or if such addresshaschanged, by reviewingour
filings for the relevant dateon the SEC website):
•Product supplement no. 3-I dated April 13, 2023:
•Underlying supplement no. 24-I dated September 1, 2023:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectus addendum dated June 3,2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617.As used in thispricing
supplement,"we,""us" and "our" refer to JPMorgan Financial.