JPMorgan Chase & Co.
JPMorgan Chase & Co.
30/10/2024 | Press release | Distributed by Public on 30/10/2024 20:40
Primary Offering Prospectus - Form 424B2
October 28, 2024RegistrationStatement Nos.333-270004and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlyingsupplement no. 5-IIdated March5, 2024,
the prospectus and prospectussupplement,eachdated April 13, 2023,andthe prospectus addendumdatedJune 3, 2024
JPMorganChase Financial Company LLC
Structured Investments
$355,000
Auto Callable Contingent Interest Notes Linked to the
MerQube US Tech+ Vol Advantage Indexdue November 1,
2029
Fully and Unconditionally Guaranteedby JPMorgan Chase & Co.
•The notes aredesigned for investors who seek a Contingent Interest Payment with respect to each Review Date for
whichtheclosing level of theMerQube US Tech+ Vol Advantage Index, which we refer toas the Index,is greater than or
equal to 80.00% of the Initial Value, which we refer to asthe Interest Barrier.
•If the closing level of the Index is greater than or equal to the Interest Barrier on any Review Date, investors will receive,
in addition to the Contingent Interest Payment withrespect to that Review Date, any previouslyunpaid Contingent
Interest Payments for prior Review Dates.
•The notes will be automatically calledif theclosing level of the Indexon any Review Date (other than the first through
eleventh and final Review Dates) is greater than or equal to theInitial Value.
•The earliest date on which an automatic call may be initiated isOctober 28, 2025.
•Investors shouldbe willing to accept the risk of losing up to 70.00% of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all Review Dates.
•Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
ContingentInterest Payments.
•The Index is subject to a 6.0% per annum daily deduction,and the performance of the Invesco QQQ TrustSM,
Series 1 (the"QQQ Fund") is subject toa notional financing cost. These deductions will offset any appreciation
of the components of the Index, will heighten any depreciation of those components and will generally be a drag
on the performance of the Index. The Indexwill trail theperformance of an identical index without such
deductions. See"Selected Risk Considerations-Risks Relating to the Notes Generally - The Level of the
Index Will Include a 6.0% per Annum Daily Deduction" and "Selected Risk Considerations - Risks Relating to
the Notes Generally -The Level of the Index Will Include the Deduction of a Notional Financing Cost" in this
pricing supplement.
•The notes are unsecured and unsubordinated obligations of JPMorgan ChaseFinancial Company LLC, which
we refer to as JPMorgan Financial, thepayment on which is fully and unconditionally guaranteed 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 riskofJPMorgan Chase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integral multiplesthereof
•The notes priced on October 28, 2024 and are expectedtosettle on or about October 31, 2024.
•CUSIP: 48135UCZ1
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 accompanying prospectus 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 pagePS-8 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor anystate securitiescommission has approved or disapproved
of the notesor passed upon the accuracyor the adequacy ofthis pricing supplement or theaccompanying product supplement,
underlying supplement, prospectus supplement, prospectusand prospectusaddendum.Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds to Issuer
Per note
$1,000
$37.50
$962.50
Total
$355,000
$13,312.50
$341,687.50
(1)See "Supplemental Use ofProceeds" in this pricingsupplement for information about thecomponents of the price to public ofthe
notes.
(2)J.P. MorganSecuritiesLLC, which we refer toas JPMS, acting as agentfor JPMorgan Financial, will payallof the selling
commissions of $37.50 per $1,000 principalamountnote it receivesfrom us toother affiliated or unaffiliated dealers. See "Plan of
Distribution (Conflicts of Interest)" in the accompanyingproductsupplement.
The estimated value of the notes, when the terms of the notes were set, was $904.60per $1,000 principal amount note.
See "The Estimated Value of theNotes" in thispricing supplement for additional information.
Thenotes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage 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 MerQube US Tech+ Vol Advantage Index
(Bloomberg ticker: MQUSTVA). The levelof the Indexreflects
a deduction of 6.0% per annum that accrues daily, and the
performance of the QQQ Fund issubject to a notional financing
cost that accrues daily.
Contingent Interest Payments:If the notes have not been
automatically called and theclosing level of the Index on any
Review Date is greater than or equal to the Interest Barrier, you
will receiveon the applicableInterest Payment Date for each
$1,000 principal amount notea Contingent Interest Payment
equal to $6.6667 (equivalent to a Contingent Interest Rate of
8.00% per annum, payable at a rate of 0.66667%per month),
plus any previouslyunpaid Contingent Interest Payments for
any prior Review Dates.
If the Contingent Interest Payment isnot paid on any Interest
Payment Date, that unpaid Contingent Interest Payment willbe
paid ona later Interest Payment Date if the closing levelof the
Index on the Review Date related to that later Interest Payment
Date is greater thanor equal to the Interest Barrier. You will not
receive any unpaid Contingent Interest Payments if the closing
level of the Index on each subsequent Review Date isless than
the Interest Barrier.
Contingent Interest Rate:8.00% per annum, payable at a rate
of 0.66667% per month
Interest Barrier:80.00% of the Initial Value, whichis9,151.584
Buffer Threshold:70.00% of the Initial Value, which is
8,007.636
Buffer Amount:30.00%
Pricing Date: October 28, 2024
Original Issue Date (Settlement Date): On or about October
31, 2024
Review Dates*:November 29, 2024, December 30, 2024,
January28, 2025, February 28, 2025, March 28, 2025, April 28,
2025, May 28, 2025, June 30, 2025, July28, 2025, August 28,
2025, September 29, 2025, October 28, 2025, November 28,
2025, December 29, 2025, January 28, 2026, March 2, 2026,
March 30, 2026, April 28, 2026, May 28, 2026, June 29, 2026,
July 28, 2026, August 28, 2026, September 28, 2026, October
28, 2026, November 30, 2026, December 28, 2026, January28,
2027, March 1, 2027, March 29, 2027, April 28, 2027, May 28,
2027, June 28, 2027, July 28, 2027, August 30, 2027,
September 28, 2027, October 28, 2027, November 29, 2027,
December 28, 2027, January28, 2028, February 28, 2028,
March 28, 2028, April 28, 2028, May 30, 2028, June 28, 2028,
July 28, 2028, August 28, 2028, September 28, 2028, October
30, 2028, November 28, 2028, December 28, 2028, January29,
2029, February 28, 2029, March 28, 2029, April30, 2029, May
29, 2029, June 28, 2029, July30, 2029, August 28, 2029,
September 28, 2029and October 29, 2029 (final Review Date)
Interest Payment Dates*:December 4, 2024, January 3, 2025,
January31, 2025, March 5, 2025, April 2, 2025, May 1, 2025,
June 2, 2025, July3, 2025, July 31, 2025, September 3, 2025,
October 2, 2025, October 31, 2025, December 3, 2025, January
2, 2026, February 2, 2026, March 5, 2026, April 2, 2026, May 1,
2026, June 2, 2026, July 2, 2026, July 31, 2026, September 2,
2026, October 1, 2026, November 2, 2026, December 3, 2026,
December 31, 2026, February2, 2027, March 4, 2027, April1,
2027, May 3, 2027, June 3, 2027, July 1, 2027, August 2, 2027,
September 2, 2027, October 1, 2027, November 2, 2027,
December 2, 2027, December 31, 2027, February 2, 2028,
March 2, 2028, March 31, 2028, May 3, 2028, June 2, 2028,
July 3, 2028, August 2, 2028,August 31, 2028, October 3,
2028, November2, 2028, December 1, 2028, January 3, 2029,
February 1, 2029, March 5, 2029, April 3, 2029, May 3, 2029,
June 1, 2029, July3, 2029, August 2, 2029, August 31, 2029,
October 3, 2029 and the Maturity Date
Maturity Date*:November 1,2029
Call Settlement Date*: If the notes are automatically called on
any Review Date (other than the first through eleventhand final
Review Dates), the first Interest Payment Date immediately
following that Review Date
Automatic Call:
If the closing level of the Index on anyReview Date (other than
the first through eleventh and final Review Dates)isgreater
than or equal to the Initial Value, the notes will be automatically
called for acash payment, for each $1,000principal amount
note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment applicable to that Review Date plus (c) anypreviously
unpaid Contingent Interest Paymentsfor anyprior Review
Dates, payable on the applicable Call Settlement Date.No
further payments willbemadeon the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value isgreater than or equal to the Buffer Threshold, you will
receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Contingent
Interest Payment, if any,applicable to the final Review Date
plus(c) if the Contingent Interest Payment applicable to thefinal
Review Date is payable,any previously unpaid Contingent
Interest Payments for any prior Review Dates.
If the notes have not been automatically called and the Final
Value isless than the Buffer Threshold, your payment at
maturityper $1,000 principal amount note will be calculated as
follows:
$1,000 + [$1,000 ×(Index Return + Buffer Amount)]
If the notes have not been automatically called and the Final
Value isless than the Buffer Threshold, you will lose some or
most of your principal amount at maturity.
Index Return:(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of theIndexon thePricing Date,
which was 11,439.48
Final Value: Theclosing level of the Index on the final Review
Date
* 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 to anIndex" in the accompanyingunderlying
supplement and "General Terms of Notes - Postponementof a
Payment Date" in the accompanying product supplement
PS-2| StructuredInvestments
Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage Index
The MerQube US Tech+Vol Advantage Index
The MerQube US Tech+ Vol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "IndexCalculation
Agent"), incoordination withJPMS, and is maintained by the Index Sponsor and is calculated and published by the IndexCalculation
Agent. The Index was established on June 22, 2021.An affiliate of ourscurrently has a10% equityinterest intheIndex Sponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of theboardof directors of the Index Sponsor.
Since February 9, 2024 (the "Amendment Effective Date"), the underlying asset to which the Index islinked (the "Underlying Asset")
has been an unfunded position in the QQQ Fund, calculated as the excess of the total return of the QQQ Fund over a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset wasan unfunded rolling position in E-Mini Nasdaq-100futures (the
"Futures Contracts").
The investment objective of the QQQ Fund is toseek to track the investment results, before fees and expenses, of the Nasdaq-100
Index®. For more information about the QQQ Fund and theNasdaq-100 Index®, see "Background on the Invesco QQQTrustSM, Series
1" and "Background on the Nasdaq-100 Index®," respectively, in the accompanying underlying supplement.
The Index attempts to provide a dynamic rules-based exposure to the Underlying Asset, while targeting a levelof implied volatility, with
a maximum exposure to the Underlying Asset of 500% and a minimum exposure to the Underlying Asset of 0%. The Index is subject to
a 6.0% per annum daily deduction, and the performance of the Underlying Asset is subject to a notional financingcost deducted daily.
On each weekly Index rebalance day, the exposure tothe Underlying Asset isset equal to (a) the 35% implied volatility target (the
"target volatility") divided by (b) the one-week implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. For
example, if the implied volatility of the QQQ Fund isequal to17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatilityof the QQQ Fund isequal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index's exposureto the Underlying Asset will be greater than 100% when the implied volatility of the QQQ Fund is below
35%, and the Index's exposure to the Underlying Asset will be less than 100% when the implied volatility of the QQQ Fund is above
35%. In general, the Index'starget volatility featureisexpected to result in the volatilityof the Index being morestableover time than if
no target volatilityfeature were employed. No assurance can be provided that thevolatilityof the Index will be stable atany time. The
Index usesthe implied volatility of the QQQ Fundasa proxyfor the realized volatilityof the Underlying Asset.
The Index tracks the performanceof the QQQ Fund, with distributions, if any, notionally reinvested,lessthe daily deduction of a
notional financing cost. The notional financing cost is intended toapproximate the cost of maintaining a position in the QQQ Fund
using borrowed funds at a rate of interest equal to SOFR plusa spread of 0.50% per annum. SOFR, the Secured Overnight Financing
Rate, isintended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. The Index isan
"excess return" index and not a "total return" index because, as part of the calculation of the level of the Index, the performance of the
QQQ Fund is reducedbythe notional financingcost. The notional financing cost has been deducted from the performance of the QQQ
Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notionalfinancing cost willoffset anyappreciationof the Underlying Asset, will heighten
any depreciation of the Underlying Asset and will generally be a drag on the performance of the Index. The Index will trail the
performance of an identical index without suchdeductions.
Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Buffer
Threshold, the Buffer Amount and the other economic terms available on the notesaremore favorable to investors than the termsthat
would be available on a hypothetical note issued by us linked to an identical index without a daily deduction. However, there can be no
assurance that anyimprovement in the terms of the notesderived from the daily deduction will offset the negative effect of thedaily
deduction on the performance of the Index.The return onthe notesmay belower than the return on a hypothetical note issued by us
linked to an identical index without a daily deduction.
The daily deduction and the volatility of theIndex (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 for purposes of
determining the estimated value of the notes set forth on the cover of this pricingsupplement. The daily deduction will effectively
reduce the value of the derivative or derivatives underlying the 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 the useof significant leverage. The notional financing cost deducted daily will
be magnified by any leverage provided by the Index.In addition, the Index may be significantly uninvested on any given day,
and, in that case, will realize only a portion of any gainsdue to appreciation of the Underlying Asset on that day. The index
deduction isdeducted daily at a rate of 6.0% per annum, even when the Index is not fully invested.
PS-3| StructuredInvestments
Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage Index
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 index or strategy thatmight reference the Underlying Asset.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanyingunderlying
supplement.
PS-4| StructuredInvestments
Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage Index
Supplemental Terms of the Notes
Any valuesof the Index, and any values derivedtherefrom, included in this pricing supplement may becorrected, in theevent of
manifest error or inconsistency, byamendment of this pricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment willbecomeeffective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payments in Connection with the First through EleventhReview Dates
Payments in Connectionwith Review Dates (Other than the First through Eleventh and Final Review Dates)
Theclosing level of the Indexis greaterthan or equal
tothe Interest Barrier.
Theclosing level of the Indexis less thantheInterest
Barrier.
First through EleventhReviewDates
Comparethe closinglevel of theIndexto the Interest BarrieroneachReviewDate.
You will receive (a)a Contingent Interest Payment on the
applicable Interest Payment Date plus(b)anypreviouslyunpaid
Contingent Interest Payments foranypriorReviewDates.
Proceedto the next ReviewDate.
No Contingent Interest Payment will bemadewith respect to
the applicable ReviewDate.
Proceedto the next ReviewDate.
Thenotes will be automaticallycalled onthe applicable Call Settlement Dateandyou will
receive (a)$1,000plus (b)theContingent Interest Payment applicable to that ReviewDate
plus(c) anypreviouslyunpaid ContingentInterest Payments for anypriorReview Dates.
No further payments will be made on thenotes.
ReviewDates (Other than the First through Eleventh and Final ReviewDates)
AutomaticCall
Theclosing level of the
Indexis greater thanor
equal to theInitial Value.
Theclosing level of the
Indexis less thanthe
Initial Value.
Initial
Value You will receive (a)a Contingent
Interest Payment on the applicable
Interest Payment Date plus(b)any
previouslyunpaid Contingent Interest
Payments foranyprior Review
Dates.
Proceedto the next ReviewDate.
The closing level of the
Indexis greater thanor
equal totheInterest
Barrier.
No
Automatic
Call No Contingent Interest Paymentwill
bemadewith respect to the
applicable ReviewDate.
Proceedto the next ReviewDate.
The closing level of the Index
is lessthanthe Interest
Barrier.
Comparethe closinglevel of the Indexto theInitial Valueandthe Interest Barrieroneach ReviewDate until thefinal Review
Dateor anyearlier automatic call.
PS-5| StructuredInvestments
Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest Payments per $1,000principal amount note over the termof the
notes based on the Contingent Interest Rate of 8.00% per annum, depending on how many Contingent Interest Payments are made
prior to automatic callor maturity.
Number of Contingent
Interest Payments
Total Contingent Interest
Payments
60
$400.0000
59
$393.3333
58
$386.6667
57
$380.0000
56
$373.3333
55
$366.6667
54
$360.0000
53
$353.3333
52
$346.6667
51
$340.0000
50
$333.3333
49
$326.6667
48
$320.0000
47
$313.3333
46
$306.6667
45
$300.0000
44
$293.3333
43
$286.6667
42
$280.0000
41
$273.3333
40
$266.6667
39
$260.0000
38
$253.3333
37
$246.6667
Review Dates Precedingthe
Final Review Date
You will receive (a)$1,000plus (b)the
Contingent Interest Payment, if any,
applicable to thefinal ReviewDate
plus (c) if the Contingent Interest
Payment applicable to the final Review
Dateis payable,anypreviouslyunpaid
Contingent Interest Payments for any
priorReviewDates.
Thenotes arenot
automaticallycalled.
Proceedto maturity
Final ReviewDatePayment at Maturity
TheFinal Valueis greaterthanor equal to the
Buffer Threshold.
You will receive:
$1,000 + [$1,000 × (IndexReturn+
Buffer Amount)]
Under these circumstances, you will
losesome ormostof yourprincipal
amount at maturity.
TheFinal Valueis lessthantheBuffer
Threshold.
PS-6| StructuredInvestments
Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage Index
36
$240.0000
35
$233.3333
34
$226.6667
33
$220.0000
32
$213.3333
31
$206.6667
30
$200.0000
29
$193.3333
28
$186.6667
27
$180.0000
26
$173.3333
25
$166.6667
24
$160.0000
23
$153.3333
22
$146.6667
21
$140.0000
20
$133.3333
19
$126.6667
18
$120.0000
17
$113.3333
16
$106.6667
15
$100.0000
14
$93.3333
13
$86.6667
12
$80.0000
11
$73.3333
10
$66.6667
9
$60.0000
8
$53.3333
7
$46.6667
6
$40.0000
5
$33.3333
4
$26.6667
3
$20.0000
2
$13.3333
1
$6.6667
0
$0.0000
PS-7| StructuredInvestments
Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage Index
Hypothetical Payout Examples
The followingexamples illustratepayments on the notes linked to a hypothetical Index, assuming a range of performances for the
hypothetical Index on the Review Dates.The hypothetical payments set forth below assume the following:
•an Initial Value of 100.00;
•an Interest Barrier of 80.00 (equal to 80.00% of the hypotheticalInitial Value);
•a Buffer Thresholdof 70.00 (equal to 70.00% of the hypothetical Initial Value);
•a Buffer Amount of 30.00%;and
•a Contingent Interest Rate of 8.00% per annum.
The hypothetical Initial Value of 100.00 has been chosen forillustrative purposes only and does not represent the actual Initial Value.
The actual Initial Valueis the closing level of the Indexon the Pricing Date and is specified under "Key Terms -Initial Value" in this
pricing supplement. For historical data regarding the actual closing levels of the Index, please see the historicalinformation set forth
under "Hypothetical Back-Tested Data and Historical Information" in thispricing supplement.
Each hypothetical payment set forthbelow isfor illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes.The numbers appearing in the following exampleshave been rounded for ease of analysis.
Example1 - Notes are automatically called on thetwelfth ReviewDate.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
105.00
$6.6667
Second Review Date
110.00
$6.6667
Third through Eleventh
Review Dates
Greater than Initial Value
$6.6667
Twelfth Review Date
115.00
$1,006.6667
Total Payment
$1,080.00 (8.00% return)
Because the closing level of the Index on the twelfth Review Dateis greater than or equal to the Initial Value, the notes will be
automatically called for a cash payment, for each $1,000 principal amount note, of $1,006.6667 (or $1,000plus the Contingent Interest
Payment applicable to the twelfth Review Date), payable on the applicable Call Settlement Date.The notes are not automatically
callable before the twelfth Review Date, even though the closing level of the Index on each of thefirst through eleventh Review Datesis
greater than the Initial Value. When added to the Contingent Interest Payments received with respect to theprior Review Dates, the
total amount paid, for each $1,000 principal amount note, is $1,080.00. No further payments will be made on the notes.
Example 2- Notes have NOT been automatically calledandthe Final Valueisgreater than or equal to the Buffer Threshold
and theInterest Barrier.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
95.00
$6.6667
Second Review Date
85.00
$6.6667
Third through Fifty-Ninth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
90.00
$1,386.6667
Total Payment
$1,400.00 (40.00% return)
Because the notes have not been automatically called and the Final Valueisgreater than or equalto the Buffer Thresholdand the
Interest Barrier, the payment at maturity, for each $1,000 principal amount note, willbe $1,386.6667 (or $1,000 plus the Contingent
Interest Payment applicable to the final Review Dateplus the unpaid Contingent Interest Paymentsfor any prior Review Dates).When
added to the Contingent Interest Paymentsreceived with respect to the priorReview Dates, the total amount paid, for each $1,000
principal amount note, is$1,400.00.
PS-8| StructuredInvestments
Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage Index
Example 3- Notes have NOT been automatically calledandthe Final Value is less than the Interest Barrier but is greater than
or equal to the Buffer Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
95.00
$6.6667
Second Review Date
80.00
$6.6667
Third through Fifty-Ninth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
75.00
$1,000.00
Total Payment
$1,013.3333 (1.33333% return)
Because the notes have not been automatically called and the Final Value is lessthan theInterest Barrier but is greater than or equal to
the Buffer Threshold, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00. When addedto the Contingent
Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is
$1,013.3333.
Example 4- Notes have NOT been automatically calledand theFinal Value is less than the Buffer Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
40.00
$0
Second Review Date
45.00
$0
Third through Fifty-Ninth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
40.00
$700.00
Total Payment
$700.00 (-30.00% return)
Because the notes have not beenautomatically called, the Final Value is lessthan the Buffer Threshold and theIndex Returnis -
60.00%, the payment at maturity will be $700.00 per $1,000 principal amount note, calculated asfollows:
$1,000 + [$1,000 × (-60.00% + 30.00%)]= $700.00
The hypothetical returnsand hypothetical payments on thenotesshown above apply only if you hold thenotes for their entire term
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would be associated with any sale in the
secondarymarket.If these fees and expenses were included, thehypothetical returns andhypothetical payments shown above would
likelybelower.
Selected Risk Considerations
An investment in thenotesinvolves significant risks.These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement,product supplement and underlyingsupplementand in Annex A tothe accompanying
prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes do not guarantee any return of principal. If the notes have not beenautomatically calledand the Final Value isless than
the Buffer Threshold, you will lose1% of the principal amount of your notes for every 1% that the Final Valueis less than the Initial
Valuebymore than 30.00%.Accordingly, under these circumstances, you will lose up to 70.00%of your principal amountat
maturity.
•THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL -
If the notes have not been automatically called, we willmake a Contingent Interest Payment with respect to a Review Date (and we
will payyouany previously unpaid Contingent Interest Paymentsfor anyprior Review Dates) only if the closing levelof the Index
on that Review Date is greater thanor equal to the Interest Barrier. If the closing levelof the Index on that Review Date is less
than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not receive any
unpaid Contingent Interest Paymentsif the closing level of the Index on each subsequent Review Date is less than the Interest
Barrier. Accordingly, if the closing level of the Index on each Review Date is less than the Interest Barrier, youwillnot receive any
interest payments over the term of the notes.
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Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage Index
•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.As a result, the level of the Index will trail the value ofan identically
constituted synthetic portfolio that is not subject toanysuch deduction.
Thisdeduction will place a significant drag on the performance of the Index, potentially offsetting positive returnson the Index's
investment strategy, exacerbating negative returnsof its investment strategy and causing the levelof the Index to declinesteadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of itsinvestment strategy is
sufficient to offset the negative effectsof thisdeduction, and then only to the extent that the return of its investment strategy is
greater than this deduction. As a result of this deduction, the level of the Index may decline even if the return of itsinvestment
strategy isotherwise positive.
The daily deduction is one of the inputs our affiliates' internal pricingmodels use to value the 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 thispricing supplement.
•THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST -
Since the Amendment Effective Date, the performance of the Underlying Asset has beensubject toa notional financingcost
deducted daily.The notional financingcost is intended to approximate the cost of maintaining a position in the QQQ Fund using
borrowedfunds at arate of interest equal to the daily SOFR rate plusa fixed spread.The actual cost of maintaining aposition in
the QQQ Fund at any time may be less than thenotional financing cost.Asa result of thisdeduction, the level of the Index will trail
the value of an identically constituted synthetic portfolio that is not subject to any such deduction.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent onour and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes.Any actual or potential
change in ouror JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined bythe market for taking that credit
risk, is likely to adversely affect thevalue of the notes.If we andJPMorgan 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.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capitalcontribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments under loans made by us to
JPMorgan Chase & Co.or under other intercompany agreements. As a 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
bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient 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 to seek 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 theaccompanying prospectus addendum.
•THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciationof the Index, which maybesignificant.You will not participate in any appreciation of the Index.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notesare automaticallycalled, the termof the notes may be reduced to as short asapproximately one year andyou willnot
receive any Contingent Interest Payments after the applicableCall SettlementDate.There is no guarantee that you would be able
to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate fora similar
level of risk.Even in cases where the notesare called before maturity, you are not entitled to any fees andcommissions described
on the front cover of thispricing supplement.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY
RIGHTS WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES.
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Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
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•THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE BUFFER
THRESHOLD 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 componentsof the Index.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange.Accordingly, the price at whichyou may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes. You may notbe able to sell your 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 affiliatesplay avarietyof roles in connection with thenotes.In performing these duties, our and JPMorgan Chase &
Co.'seconomic interests are potentially adverse to your interests as aninvestor in thenotes.Itispossible that hedging or trading
activities of oursor our affiliates inconnection with the notescould result in substantial returns for us or our affiliates while the
value of the notes declines.Please refer to"Risk Factors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to appoint an employeeof JPMS, another
of our affiliates, asa member of the board of directors of the Index Sponsor. The Index Sponsor can implement policies, make
judgments or enact changes to the Indexmethodology 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 value of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates andour respective employees areunder no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the role of
an employee of JPMS asa member of the board of directorsof theIndex Sponsor.
In addition, JPMS worked withthe Index Sponsor in developing the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index weremade by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for whichJPMS 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 in developing the 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 IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors.The originalissueprice of the
notes exceedsthe estimated valueof the notes because costs associatedwithselling, structuring and hedging the notesare
included in the original issue price of thenotes. These costs includetheselling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesand the estimated cost ofhedging
our obligations under the notes.See "The Estimated Valueof the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"The Estimated Value of the Notes"in this pricingsupplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate usedin the determinationof the estimated value of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissued by JPMorgan Chase & Co. or its affiliates. Anydifference may
be based on, amongother things, our and our affiliates'view of the funding value of the notes as well as the higherissuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for the conventionalfixed income
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Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
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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 terms of the notes and any
secondarymarket prices of the notes. See "The Estimated Value of the Notes" in this pricing supplement.
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the notes will be partiallypaid back to you in
connection with any repurchases of your notesbyJPMS in an amount that willdecline 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 estimated value of your notesduring thisinitial period maybe lower than the value of the notes aspublished by
JPMS (and which may be shown on your customer accountstatements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take into account our internalsecondarymarket funding ratesfor structured debt issuances and,
also, because secondarymarket prices may exclude selling commissions,projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the notes.As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissueprice. Any sale by you prior to
the Maturity Datecould 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 eachother, asidefrom the selling commissions,projected hedging profits, 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, which may also be reflected oncustomer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes -Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to the Index
•THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS
NO OBLIGATION TO CONSIDER YOUR INTERESTS -
The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute the componentsof
the Index or make other methodological changes that could affect thelevelof the Index. The Index Sponsor has no obligation to
consider your interests in calculating or revising the Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
No assurance can be given that the investment strategyon which the Index is based will be successful or that the Index will
outperformany alternative strategy that might be employed with respect to the Underlying Asset.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY-
No assurance can be given that the Index will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realized volatility of the Index may be
greater or less than the target volatility. On each weekly Index rebalance day, the Index's exposure to the Underlying Asset isset
equal to (a) the 35% implied volatility target dividedby (b) the one-weekimplied volatility of the QQQ Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, there is no guarantee that themethodology used by the Index to determine theimplied volatility of the QQQ Fund
will be representative of the realized volatility of the QQQ Fund. The volatilityof the Underlying Asset on any daymay change
quickly and unexpectedly and realizedvolatility maydiffer significantlyfrom impliedvolatility. In general, over time, the realized
volatilityof the QQQ Fund has tended to be lower than its implied volatility; however, at any time that realized volatility may exceed
its implied volatility, particularly duringperiodsof market volatility. Accordingly, the actual annualized realized volatility of the Index
maybe greater than or less than the target volatility, which may adversely affect thelevel of the Index and the value of the notes.
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•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE-
On a weeklyIndex rebalance day, the Index will employ leverage to increase the exposure of the Index to the Underlying Asset if
the implied volatility of the QQQ Fund is below 35%, subject to amaximum exposure of 500%. Under normal market conditions in
the past, the QQQ Fund has tended to exhibit an implied volatilitybelow 35%. Accordingly, the Index has generally employed
leveragein the past, except during periodsof elevatedvolatility. When leverage is employed, any movementsin the prices of the
Underlying Asset will result ingreater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage will magnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance of
the Index. Because the Index's leverage is adjusted only ona weeklybasis, insituations where a significant increase in volatility is
accompanied by asignificant decline in the price of the Underlying Asset, the level of the Index may decline significantlybefore the
following Index rebalance day whenthe Index'sexposure to the Underlying Asset would be reduced. In addition, the notional
financing cost deducted dailywill be magnified by any leverage provided by the Index.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED-
On a weeklyIndexrebalance day, the Index's exposureto the Underlying Asset will be less than 100% when the implied volatility
of the QQQ Fund is above 35%. If the Index's exposure to the Underlying Asset 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 Underlying Asset on anysuch day. The 6.0% per annum deduction is
deducted daily, even when the Index is not fully invested.
•AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Some of the equity securitiesheld by the QQQ Fund are issued by non-U.S. companies. Investments in securities linked to the
value of such non-U.S. equitysecurities involve risks associated with the home countries ofthe issuersof those non-U.S. equity
securities. The prices of securities issued by non-U.S. companies maybe affected by political, economic, financial and social
factors in the home countries of those issuers, or global regions, includingchanges in government, economicand fiscal policies
and currency exchange laws.
•THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
The QQQ Fund issubject to management risk, which is the risk that the investment strategies of the QQQ Fund's investment
adviser, the implementation ofwhich is subject to a number of constraints, maynot produce the intended results. These
constraints could adverselyaffect themarket price of the shares of the QQQ Fund and, consequently, thevalue of the notes.
•THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE QQQ FUND'S UNDERLYING INDEX AS WELL AS
THE NET ASSET VALUE PER SHARE -
The QQQ Fund does not fully replicate its underlying index and may hold securities different fromthose included in its underlying
index. In addition, the performance of the QQQ Fund will reflect additionaltransaction costs and fees that are not included in the
calculation of its underlying index. All of these factors may lead toa lack of correlation between the performance of the QQQ Fund
and its underlyingindex. In addition, corporateactions with respect to the equity securities underlying the QQQ Fund (such as
mergers and spin-offs) may impact thevariance between the performances of the QQQ Fund and its underlying index. Finally,
because theshares of the QQQ Fund are traded on asecuritiesexchange and are subject to market supply and investor demand,
the market value of one shareof the QQQ Fund maydiffer from the net asset value per share of the QQQ Fund.
During periodsof market volatility, securities underlying the QQQ Fund may be unavailable in thesecondary market, market
participants may be unable tocalculate accurately the net asset value per share of the QQQ Fund and the liquidity of the QQQ
Fund may be adversely affected. This kind of market volatility mayalso disrupt the abilityof market participants to create and
redeem shares of the QQQ Fund. Further, market volatilitymayadversely affect, sometimes materially, thepricesat which market
participants are willing to buyand sell shares of the QQQ Fund. As a result, under these circumstances, themarket value of
shares of the QQQ Fund mayvarysubstantially from the net asset value per share of the QQQ Fund. For all of the foregoing
reasons, theperformance of the QQQ Fund maynot correlate with the performance of its underlying index as well asthenet asset
value per share of the QQQ Fund, which could materially and adversely affect the value ofthe notes inthe secondarymarket
and/or reduce any payment on the notes.
•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS, AND THE HISTORICAL AND HYPOTHETICAL BACK-TESTED
PERFORMANCE OF THE INDEX ARE NOT INDICATIONS OF ITS FUTURE PERFORMANCE -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Data and Historical Information"
in thispricing supplement is purely theoretical and does not represent the actual historicalperformance of the Index and hasnot
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Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage Index
been verified by anindependent third party. Hypothetical back-tested performance measures have inherent limitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested modelthat has been
designed withthebenefit of hindsight. Alternativemodellingtechniquesmight produce significantly different resultsand may prove
to be more appropriate. Past performance, andespecially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations, and you should carefully consider these limitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance canbe provided that the QQQ Fund is anappropriate substitutefor the FuturesContracts. This replacement may
adversely affect the performance of the Index and thevalue of thenotes, as the QQQ Fund, subject to a notional financing cost,
mayperform worse, perhaps significantly worse, than the Futures Contracts.The Index lacks any operating history with the QQQ
Fund as the Underlying Asset prior to the Amendment Effective Date and may perform in unanticipated ways. Investors in the
notes should bear thisdifference in mind when evaluating the historical and hypothetical back-tested performance shown in this
pricing supplement.
•OTHER KEY RISK:
oTHE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS.
Pleaserefer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-
listed and other risks.
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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 June 18, 2021, and the historical performance of the Index based on the
weekly historical closing levels of the Index from June 25, 2021 throughOctober 25, 2024. The Index wasestablished on June 22,
2021, as represented by the vertical linein the following graph. All data to the left of that vertical linereflect hypotheticalback-tested
performance of the Index. All data to the right of that vertical line reflect actual historical performance of the Index.The closing level of
the Index onOctober 28, 2024 was 11,439.48. Weobtained the closing levels above and below from the Bloomberg Professional®
service ("Bloomberg"), without independent verification.
The data for the hypothetical back-tested performance of theIndex 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 to the Index -
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations,
and the Historical and Hypothetical Back-Tested Performance of the Index Are Not Indications of Its Future Performance" above.
Thehypothetical back-tested and historicalclosing levels ofthe Indexshould not be takenas an indication of future performance, and
no assurance can be given as to the closinglevel of the Indexon any Review Date.There canbe no assurance that theperformance
of the Index will result in the return of any of your principalamount in excess of $300.00 per $1,000 principal amount note, subject to
the credit risks of JPMorgan Financialand JPMorgan Chase & Co., or the payment of any interest.
The hypothetical back-testedclosing levels of the Indexhave inherent limitationsand havenot been verified by anindependent third
party. These hypothetical back-tested closing levels are determinedbymeans of a retroactive application of a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither an indicator 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 hypotheticalback-tested closinglevels of 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.
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Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. In determiningour reporting responsibilities we intend to treat (i) the notes for U.S. federal income taxpurposes as
prepaid forward contracts withassociated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences-TaxConsequences to U.S. Holders- Notes
Treated as Prepaid Forward Contracts withAssociated Contingent Coupons" in the accompanying product supplement. Based on the
advice of Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment, but that there are other
reasonable treatments that the IRS or acourt may adopt, in whichcase the timing and character of any income or loss on thenotes
could be materially affected.In addition, in 2007 Treasuryand the IRS released a notice requesting comments on the U.S. federal
income taxtreatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require
investors in these instrumentsto accrue income over the term of their investment. It also asks for commentsona number of related
topics, including the character of income or loss with respect to these instruments and the relevance of factors such as the nature of the
underlying property to which the instruments are linked. 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 affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. The discussions above and in the accompanying
product supplement do not address the consequences to taxpayerssubject to special tax accounting rules under Section 451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal incometax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders - Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least
if an applicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent,intend to)
withhold on any Contingent Interest Payment paid to a Non-U.S. Holder generallyat a rate of 30% or at a reduced ratespecified by an
applicableincome tax treatyunder an "other income" or similar provision. We will not be required to payany additional amounts with
respect to amounts withheld. In order toclaiman exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and iseligible for such an exemption or
reduction under an applicable tax treaty. Ifyou are a Non-U.S. Holder, you should consultyour tax adviser regarding the tax treatment
of the notes, including the possibility of obtaining a refund of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalentspaid or deemedpaid 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 from thescopeof 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 payU.S.-source dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certaindeterminationsmade by us, our special tax counselis of the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the
IRS, and the IRS may disagree with this determination.Section 871(m) is complex and itsapplication may depend on your particular
circumstances, including whether you enter intoother transactions with respect to an Underlying Security. You should consult your tax
adviser regarding the potential application of Section 871(m) to the notes.
In the event of any withholding on the notes, we will not be required topay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
Theestimated value of the notes set forth on the cover of this pricing supplementisequal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component withthe samematurityas the notes, valuedusingthe internal funding
ratedescribed below, and (2) the derivative or derivatives underlying the economic terms of the notes.The estimated value of the
notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if anyexists) at
any time.The internal funding rate used in thedetermination of theestimated valueof the notes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof a similar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybebased on, among other things, ourand our affiliates'view of the funding value of the notes as well as the higherissuance,
operational and ongoing liability management costs of thenotes in comparisonto those costs for theconventional fixedincome
instrumentsof JPMorgan Chase & Co.This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximate theprevailing market replacement funding rate for thenotes. The use of an internal
funding rate and any potential changes to that ratemay have an adverse effect on the terms of the notes and anysecondary market
prices of the notes. For additional information, see "Selected Risk Considerations - Risks Relating to the Estimated Value and
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Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
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Secondary Market Pricesof the Notes -The Estimated Valueof the NotesIs Derived byReference to an InternalFunding Rate" in this
pricing supplement.
The value of the derivative or derivativesunderlying the economic terms of thenotes is derived from internal pricingmodelsof our
affiliates.These modelsare dependent on inputssuch as the traded market prices of comparable derivative instrumentsand on
various other inputs, someof 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, theestimated value of thenotes is
determined when the termsof the notes areset based on market conditions and other relevant factors and assumptions existing at that
time.
Theestimated value of the notes does not represent future values of thenotes and may differ from others' estimates. Different pricing
modelsandassumptionscould provide valuations forthenotes that are greater than or less thanthe 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
future dates, thevalue of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfrom you in secondary market transactions.
The estimated value of the notesis lower than the originalissue priceof the notesbecausecosts associated withselling,structuring
and hedging the notes areincludedin the original issue price of the notes. These costsinclude the selling commissions 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. Becausehedgingour
obligations entails riskand may 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 thenotes may be
allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.See
"Selected Risk Considerations - Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes -The Estimated
Value of the NotesIs 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 secondary market prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes-Secondary market prices of the notes will be impacted bymany
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in the original issue price of the notes willbe partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period.These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances.This initial predetermined time period is intended to be the shorter of sixmonths and one-half of the
stated term of the notes.The lengthof 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 byour 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 pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See "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 Tech+ Vol Advantage Index" in this pricing supplement for a description of themarket
exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid toJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offered by this pricing supplement have been issued by JPMorgan Financialpursuant 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 globalnote that represents such notes (the "master note"), and such notes have beendelivered against payment as
contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitutea
PS-17| Structured Investments
Auto CallableContingentInterest NotesLinkedto the MerQubeUS Tech+
Vol Advantage Index
valid and binding obligationof JPMorgan Chase & Co., enforceable in accordance with theirterms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing andthe lack ofbad faith),provided that such counsel
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressedabove or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law 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 Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject tocustomary assumptions about the
trustee's authorization, execution and deliveryof the indenture andits authentication of themaster note and thevalidity, binding nature
and enforceabilityof the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filedasan exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. onFebruary 24,
2023.
Additional Terms Specific to the Notes
You should read thispricing supplement together with theaccompanying prospectus, as supplementedbythe accompanying
prospectus supplement 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 notes and supersedes all
other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, sample structures, fact sheets, brochures or other educational materialsof
ours. You should carefully consider, among other things, the matters set forth in the"RiskFactors" sections of the accompanying
prospectus supplement, the accompanying product supplement and the accompanying underlying supplement and 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.govasfollows (or if such addresshas changed, byreviewing 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 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.