JPMorgan Chase & Co.
11/01/2024 | Press release | Distributed by Public on 11/01/2024 13:34
Primary Offering Prospectus - Form 424B2
October 30, 2024
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-Idated April 13, 2023, underlying supplement no. 1-Idated April 13, 2023, the prospectus and
prospectussupplement, eachdated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorgan Chase Financial CompanyLLC
Structured Investments
$1,374,000
Auto CallableContingent Interest Notes Linked to the Lesser
Performing of the Nasdaq-100® Technology Sector IndexSMand
the Russell 2000® Index dueMay 5, 2026
Fully and Unconditionally Guaranteedby JPMorgan Chase & Co.
●The notes aredesigned for investors whoseek a Contingent Interest Payment with respect to each Review Date for which
the closing levelof each of the Nasdaq-100® Technology Sector IndexSM and the Russell 2000®Index, which we refer toas
the Indices, is greater than or equal to80.00% of its Initial Value, which we refer to as an Interest Barrier.
●The notes will be automatically calledif the closing levelof each Index on any Review Date (other than the first, second,
third, fourth, fifth and final Review Dates) is greater than or equalto its Initial Value.
●The earliest dateon which anautomatic call may be initiated is April30, 2025.
●Investors should be willing to accept the risk of losing some or allof their principal and the risk that no Contingent Interest
Payment may bemade 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
Contingent Interest Payments.
●The notes areunsecured andunsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, thepayment on which is fully and unconditionallyguaranteed byJPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk
of JPMorgan Chase & Co., as guarantor of the notes.
●Payments on the notes are not linkedto a basket composed of the Indices. Payments on the notes are linked to the
performance of each of the Indices individually, as described below.
●Minimum denominations of $1,000 and integralmultiplesthereof
●The notes priced on October 30, 2024 and are expected to settle on or about November 4, 2024.
●CUSIP:48135UET3
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of theaccompanying
prospectus supplement, Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-11 of
the accompanying product supplement and "Selected Risk Considerations"beginning on page PS-6 of this pricing
supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securitiescommission has approved or disapproved of
the notes or passed upon the accuracy or theadequacyof this pricingsupplement or the accompanying product supplement,
underlying supplement, prospectus supplement,prospectus and prospectusaddendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds to Issuer
Per note
$1,000
$18.50
$981.50
Total
$1,374,000
$25,419
$1,348,581
(1) See "Supplemental Use of Proceeds"in this pricing supplementfor information about the components of the price to publicof the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent forJPMorgan Financial, will pay allof the selling commissions
of $18.50 per$1,000 principal amount note it receives fromus toother affiliated or unaffiliated dealers.See "Planof Distribution(Conflicts
of Interest)" in the accompanying productsupplement.
The estimated value of the notes, when the terms of the notes were set, was $948.00 per $1,000 principal amount note. See
"The Estimated Value of the Notes" in this pricing supplement for additional information.
Thenotesare not bankdeposits, are not insured by the FederalDeposit Insurance Corporation or anyother governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices:The Nasdaq-100® Technology Sector IndexSM
(Bloomberg ticker: NDXT) and the Russell2000® Index
(Bloomberg ticker: RTY) (each an "Index" and collectively, the
"Indices")
Contingent Interest Payments:
If the notes have not been automatically called and the closing
level of eachIndex on any Review Date is greater than or equal
to its Interest Barrier, you will receive on the applicable Interest
Payment Date for each $1,000 principal amount note a
Contingent Interest Payment equal to $6.25 (equivalent to a
Contingent Interest Rate of 7.50% per annum, payable at a rate
of 0.625% per month).
If the closing level of either Index on any Review Date is less
than its Interest Barrier, no Contingent Interest Payment willbe
made with respect to that Review Date.
Contingent Interest Rate:7.50% per annum, payable at a rate
of 0.625% per month
Interest Barrier:With respect to each Index, 80.00% of its
Initial Value, which is 8,374.44 for the Nasdaq-100®Technology
Sector IndexSM and 1,786.4288 for the Russell 2000® Index
Trigger Value:With respect to each Index, 75.00% of its Initial
Value, which is7,851.0375 for the Nasdaq-100® Technology
Sector IndexSM and 1,674.777for the Russell 2000® Index
Pricing Date: October 30, 2024
Original Issue Date (Settlement Date): On or about November
4, 2024
Review Dates*: December 2, 2024, December 30, 2024,
January30, 2025, February 28, 2025, March 31, 2025, April 30,
2025, May 30, 2025, June 30, 2025, July30, 2025, September
2, 2025, September 30, 2025, October 30, 2025, December 1,
2025, December 30, 2025, January 30, 2026, March 2, 2026,
March 30, 2026 and April 30, 2026 (final Review Date)
Interest Payment Dates*: December 5, 2024, January3, 2025,
February 4, 2025, March 5, 2025, April 3, 2025, May 5, 2025,
June 4, 2025,July3, 2025, August 4, 2025, September 5, 2025,
October 3, 2025, November 4, 2025, December 4, 2025,
January5, 2026, February4, 2026, March 5, 2026, April2,
2026 and the Maturity Date
Maturity Date*: May5, 2026
Call Settlement Date*: If the notes are automatically called on
any Review Date (other than the first,second, third, fourth, fifth
and final Review Dates), the first Interest Payment Date
immediately following that Review Date
* Subject to postponement in theevent of a market disruption event and
as described under "General Termsof Notes -Postponement of a
Determination Date -Notes Linked toMultiple Underlyings" and
"General Terms of Notes -Postponement of a PaymentDate" inthe
accompanying product supplement
Automatic Call:
If the closing level of each Index on any Review Date (other
than the first, second, third, fourth, fifthand final Review Dates)
is greater than or equal toits Initial Value, the notes will be
automaticallycalled for a cash payment, for each $1,000
principal amount note, equal to (a) $1,000 plus(b) the
Contingent Interest Payment applicable to that Review Date,
payable on the applicable Call Settlement Date. No further
payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value of eachIndex is greaterthan or equal to its Trigger Value,
you will receive acash 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.
If the notes have not been automatically called and the Final
Value of either Index is less than its Trigger Value, your
payment at maturity per $1,000 principalamount note will be
calculatedas follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
If the notes have not been automatically called and the Final
Value of either Index is less than its Trigger Value, you willlose
more than 25.00% of your principal amount at maturity and
could loseall of your principal amount at maturity.
Lesser PerformingIndex:The Index with the Lesser
Performing Index Return
Lesser PerformingIndex Return:Thelower of the Index
Returns of the Indices
Index Return:With respect to each Index,
(Final Value -Initial Value)
Initial Value
Initial Value:With respect to each Index, the closing level of
that Index on the Pricing Date, which was10,468.05 for the
Nasdaq-100® Technology Sector IndexSMand 2,233.036 for the
Russell 2000® Index
Final Value:With respect to each Index, the closing level of
that Index on the final Review Date
PS-2| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
Supplemental Terms of the Notes
Any value of any underlier, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of thispricingsupplement and thecorrespondingterms of the notes. Notwithstanding
anything to the contraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payments in Connection with the First, Second, Third, Fourth and Fifth Review Dates
First, Second, Third, Fourth and Fifth Review Dates
Comparethe closing level of each Index to its Interest Barrieron each Review Date.
The closing level of eachIndex isgreater than or
equal to its Interest Barrier.
You will receive a Contingent Interest Payment on the
applicable Interest Payment Date.
Proceed to the next Review Date.
The closing level of either Index is less than its Interest
Barrier.
No Contingent Interest Payment will be made with respect to
theapplicable Review Date.
Proceed to the next Review Date.
Payments in Connection with Review Dates (Other than the First, Second, Third, Fourth, Fifth and Final Review Dates)
Review Dates(Other than the First, Second, Third, Fourth, Fifth and Final Review Dates)
Initial
Value
Compare the closing level of each Index to its Initial Value and its Interest Barrier oneach Review Date until the final
Review Date or any earlier automatic call.
The closing level of
each Index is
greater than or
equal to its Initial
Value.
Automatic Call
The notes will be automatically called on the applicable Call Settlement Date, and you will
receive (a) $1,000 plus (b) theContingent Interest Payment applicable to that Review
Date.
No further payments will be madeon the notes.
The closing level of
either Index is less
than its Initial
Value.
No
Automatic
Call
The closing level of
each Index is greater
than or equal to its
Interest Barrier.
You will receive a Contingent Interest
Payment on the applicable Interest
Payment Date.
Proceed to the next Review Date.
The closing level of
either Index is less than
its Interest Barrier.
No Contingent Interest Payment will be
made with respect to the applicable
Review Date.
Proceed to the next Review Date.
PS-3| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Review Dates
Preceding the Final
Review Date
Final Review Date
Paymentat Maturity
The notes arenot
automatically called.
The Final Value of each Index isgreater than
or equal to its Trigger Value.
You will receive (a) $1,000plus (b)the
Contingent Interest Payment, if any,
applicable to the final Review Date.
Proceed to maturity
The Final Value of either Index is less than its
Trigger Value.
You will receive:
$1,000 + ($1,000 × Lesser Performing
Index Return)
Under these circumstances, you will
lose some orall of your principal
amount at maturity.
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the termof the
notes based on the Contingent Interest Rate of 7.50% 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
18
$112.50
17
$106.25
16
$100.00
15
$93.75
14
$87.50
13
$81.25
12
$75.00
11
$68.75
10
$62.50
9
$56.25
8
$50.00
7
$43.75
6
$37.50
5
$31.25
4
$25.00
3
$18.75
2
$12.50
1
$6.25
0
$0.00
PS-4| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
Hypothetical Payout Examples
The following examplesillustrate payments on the notes linked to two hypothetical Indices, assuming a range of performances for the
hypothetical Lesser Performing Index on the Review Dates. Each hypothetical payment set forth below assumes that the closing
level of theIndex that is not the Lesser Performing Index on each Review Date is greater than or equal to its Initial Value(and
therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical paymentsset forth below assume the following:
●an Initial Value for the Lesser PerformingIndex of 100.00;
●an Interest Barrier for the Lesser Performing Index of 80.00 (equal to 80.00% of its hypothetical Initial Value);
●a Trigger Value for the Lesser Performing Index of 75.00 (equal to 75.00% of its hypothetical Initial Value); and
●a Contingent Interest Rate of 7.50% per annum (payable at a rate of 0.625% per month).
The hypothetical Initial Value of theLesser Performing Indexof 100.00has been chosen for illustrative purposes only and does not
represent the actual Initial Value of either Index.
The actual Initial Value of each Indexis theclosing level of that Index on the Pricing Date and is specified under "Key Terms - Initial
Value" in this pricing supplement. For historical data regarding the actual closing levels of each Index, please see thehistorical
information set forthunder "The Indices" in this pricingsupplement.
Each hypothetical payment set forthbelow is for illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of the notes. The numbers appearing inthe following examples havebeen rounded for ease of analysis.
Example 1- Notes are automaticallycalled on the sixth Review Date.
Date
Closing Level of Lesser
Performing Index
Payment (per $1,000 principal amount note)
First Review Date
105.00
$6.25
Second Review Date
110.00
$6.25
Third Review Date
110.00
$6.25
Fourth Review Date
105.00
$6.25
Fifth Review Date
110.00
$6.25
Sixth Review Date
120.00
$1,006.25
Total Payment
$1,037.50 (3.75% return)
Because the closing level of each Index on the sixth Review Date is greater than or equal to its Initial Value, the notes will be
automaticallycalled for a cashpayment, for each $1,000 principal amount note, of $1,006.25 (or $1,000 plus the Contingent Interest
Payment applicable to the sixth Review Date), payable on the applicable Call Settlement Date. The notes arenot automatically callable
before the sixth Review Date, even though the closing level of each Index on each of the first, second, third, fourth and fifth Review
Dates isgreater than its 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 $1,037.50. No further payments willbe made onthe notes.
PS-5| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
Example 2- Notes have NOT been automatically called and the Final Value of the Lesser Performing Index is
greater than or equal to its Trigger Value and its Interest Barrier.
Date
Closing Level of Lesser
Performing Index
Payment (per $1,000 principal amount note)
First Review Date
95.00
$6.25
Second Review Date
85.00
$6.25
Third through
Seventeenth Review
Dates
Less than Interest Barrier
$0
Final Review Date
90.00
$1,006.25
Total Payment
$1,018.75 (1.875% return)
Because the notes have not been automaticallycalled and the Final Value of the Lesser PerformingIndex is greater than or equal to its
Trigger Value and its Interest Barrier, the payment at maturity, for each $1,000 principal amount note, will be $1,006.25(or $1,000 plus
the Contingent Interest Payment applicable to thefinal Review Date). When added to the Contingent Interest Payments received with
respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is$1,018.75.
Example 3- Notes have NOT been automatically called and the Final Value of the Lesser Performing Index is
less than its Interest Barrier but is greater than or equal to its Trigger Value.
Date
Closing Level of Lesser
Performing Index
Payment (per $1,000 principal amount note)
First Review Date
90.00
$6.25
Second Review Date
85.00
$6.25
Third through
Seventeenth Review
Dates
Less than Interest Barrier
$0
Final Review Date
75.00
$1,000.00
Total Payment
$1,012.50 (1.25% return)
Because the notes have not been automaticallycalled and the Final Value of the Lesser PerformingIndex is less than its Interest
Barrier but is greater than or equalto its Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be
$1,000.00. When added to the Contingent Interest Payments received with respect tothe prior Review Dates, the total amount paid, for
each $1,000 principal amount note, is$1,012.50.
PS-6| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
Example 4- Notes have NOT been automatically called and the Final Value of the Lesser Performing Index is
less than its TriggerValue.
Date
Closing Level of Lesser
Performing Index
Payment (per $1,000 principal amount note)
First Review Date
65.00
$0
Second Review Date
70.00
$0
Third through
Seventeenth Review
Dates
Less than Interest Barrier
$0
Final Review Date
65.00
$650.00
Total Payment
$650.00 (-35.00% return)
Because the notes have not been automaticallycalled, the Final Value of the Lesser Performing Indexisless than itsTrigger Value and
the Lesser Performing Index Returnis -35.00%, the paymentat maturity will be $650.00 per$1,000 principal amount note, calculated
as follows:
$1,000 +[$1,000 × (-35.00%)] = $650.00
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 expensesthat would be associated with any sale in the
secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notes involvessignificant risks. These risks areexplained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS-
The notes donot guarantee any return of principal. If the notes have not been automatically called and the Final Value of either
Index is lessthan its Trigger Value, you will lose1% of the principal amount of your notes for every 1% that the Final Value of the
Lesser Performing Index is less than its Initial Value. Accordingly, under these circumstances, you willlose more than 25.00% of
your principal amount at maturity andcould lose all of your principal amount at maturity.
●THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL-
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only if
the closing levelof each Index on that Review Date is greater thanor equal to its Interest Barrier. If the closinglevel of either Index
on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Accordingly, if the closing level of either Index on each Review Date is lessthan its Interest Barrier, you will not receive any interest
payments over the termof the notes.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined by themarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a 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 from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments 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 tomake
payments on the notes, you may have to seek payment under the related guaranteeby JPMorgan Chase & Co., and that
guarantee will rank pari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
●THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciation of either Index, which may be significant. You willnot participate in any appreciationof either Index.
PS-7| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
●POTENTIAL CONFLICTS-
We and our affiliates play avariety of roles inconnection with the notes. In performingthese duties, our and JPMorgan Chase &
Co.'s economicinterests are potentially adverse to your interests as aninvestor in the notes. It ispossible that hedging or trading
activities of ours or our affiliates inconnection with thenotescould result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
●AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE RUSSELL 2000® INDEX -
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Smallcapitalization companies are less likely to paydividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock pricepressure under adverse marketconditions.
●NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM-
The non-U.S. equitysecurities included in the Nasdaq-100®Technology Sector IndexSMhave been 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
and/or the securities markets in the home countries of the issuersof those non-U.S. equitysecurities. Also, with respect to equity
securitiesthat are not listed in the U.S., there is generallyless publicly available information about companies in some of these
jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC.
●RISKS ASSOCIATED WITH THE TECHNOLOGY SECTOR WITH RESPECT TO THE NASDAQ-100®TECHNOLOGY SECTOR
INDEXSM-
All or substantially all of the equitysecurities included inthe Nasdaq-100® Technology Sector IndexSMare issued bycompanies
whose primaryline of business is directly associated with the technology sector. As a result, thevalue of the notes may be subject
to greater volatility and be more adversely affected by asingle economic, political or regulatory occurrence affecting this sector
than a different investment linked tosecurities of a more broadlydiversified group of issuers. Thevalue of stocksof technology
companiesand companies that rely heavilyon technologyisparticularly vulnerable to rapidchanges in technology product cycles,
rapid product obsolescence, government regulation and competition, both domesticallyand internationally, including competition
from foreign competitors with lower productioncosts. Stocks of technology companiesand companies that rely heavilyon
technology, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market.Technology
companiesare heavily dependent on patent and intellectual property rights, the lossor impairment of which mayadversely affect
profitability. Additionally, companies in the technology sector mayface dramaticandoften unpredictable changes in growth rates
and competition for theservices of qualified personnel. These factors could affect the technology sector and couldaffect the value
of the equity securities included in the Nasdaq-100® Technology Sector IndexSMand thelevel of the Nasdaq-100®Technology
Sector IndexSM during the term of the notes, which may adversely affect the value of your notes.
●YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX-
Payments on the notes are not linkedto a basket composed of the Indices and are contingent upon the performance of each
individualIndex. Poor performance by either of the Indices over the term of the notesmay result in the notes not being
automaticallycalled ona Review Date, may negatively affect whetheryou will receive a Contingent Interest Payment on any
Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by the other Index.
●YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
●THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE-
If the Final Value of either Index is less than its Trigger Value and the notes have not been automatically called, thebenefit
provided bythe Trigger Value will terminate and you will be fully exposed to any depreciation of the Lesser Performing 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 six months and you will
not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you wouldbe
able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a
similar levelof risk. Even in cases where the notes are called before maturity, youare not entitled to any feesand commissions
described on the front cover of this pricing supplement.
●YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
●THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS
GREATER IF THE LEVEL OF THAT INDEX IS VOLATILE.
●LACK OF LIQUIDITY-
The notes will not be listedon anysecurities exchange. Accordingly, theprice at which you may be able to tradeyour notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notesare not
designed to beshort-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
●THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of the notes is only anestimate determined by reference to several factors. The original issue price of the
notes exceedsthe estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in theoriginal issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesandthe estimated cost ofhedging
our obligations under the notes. See "The Estimated Valueof the Notes" in this pricing supplement.
PS-8| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
●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 notes maydiffer from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, among other things, our and our affiliates' view of the funding valueof the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay
prove to be incorrect, and is intended toapproximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and anypotential changes to that rate may have an adverse effect on the termsof the notes and any
secondary market prices of the notes. See "The Estimated Value of the Notes" in this pricing supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the notes will be partiallypaid back to you in
connection with any repurchases of your notesby JPMS in an amount that will decline to zero over an initial predetermined period.
See "SecondaryMarket Prices of the Notes" in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the value of the notes aspublished by
JPMS (and which may be shown on your customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondary market pricesof the notes willlikely be lower than the original issue price of the notes because, among other
things, secondarymarket 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 willingtobuy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
the Maturity 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 hedgingprofits, if any, estimated hedging
costs and the levels of the Indices. Additionally, independentpricing vendors and/or thirdparty broker-dealersmay publish a price
for the notes, which mayalso be reflected on customer account statements. This pricemay 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 "RiskFactors-
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.
The Indices
The Nasdaq-100® Technology Sector IndexSMis an equal-weighted, price-return index designed to measure the performanceof the
technologycompanies in theNasdaq-100 Index®. For additional information about the Nasdaq-100® Technology Sector IndexSM, see
Annex A in this pricingsupplement.
The Russell 2000® Indexconsists of the middle 2,000 companies included in the Russell 3000ETM Index and, as a result of theindex
calculation methodology, consistsof the smallest 2,000 companies included in the Russell 3000®Index. The Russell 2000® Index is
designed to track the performance of the small capitalizationsegment of the U.S.equity market. For additional information about the
Russell 2000®Index, see "Equity Index Descriptions -TheRussell Indices" in theaccompanying underlyingsupplement.
PS-9| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
Historical Information
The following graphs set forththe historical performance of each Index based on the weekly historical closing levels from January 4,
2019 through October 25, 2024. The closing level of the Nasdaq-100® Technology Sector IndexSM on October 30, 2024 was 10,468.05.
The closing levelof the Russell 2000® Index on October 30,2024 was 2,233.036. We obtained the closing levels above and below from
the Bloomberg Professional®service ("Bloomberg"), without independent verification.
The historical closing levels of each Indexshouldnot be taken asan indication of future performance, and no assurance can be given
as to the closing level of either Index on any Review Date. Therecanbe no assurance that the performance of the Indices will result in
the return of any of your principal amount or the payment of anyinterest.
Historical Performance of the Nasdaq-100® TechnologySector IndexSM
Source: Bloomberg
Historical Performance of the Russell 2000®Index
Source: Bloomberg
PS-10| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanyingproduct
supplement no. 4-I. In determining our reporting responsibilities weintend to treat (i) the notes for U.S. federal income taxpurposes as
prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences -TaxConsequences to U.S. Holders- Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement. Based on the
advice of Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment, but that thereare other
reasonable treatments that the IRS or a court may adopt, in whichcase the timing and character of anyincome or loss on the notes
could be materially affected. In addition, in 2007 Treasury and the IRS released anotice 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 theseinstruments to accrue income over the term of their investment. It also asks for commentson a number of related
topics, includingthe character of income or loss with respect to theseinstruments and the relevance of factors such as the nature of the
underlying property to which the instruments are linked. While thenotice 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 tospecial tax accounting rules under Section 451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal income tax consequencesof 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 onany Contingent Interest Payment paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by
an applicable income tax treaty under an "other income" or similar provision. We will not be required to pay any additionalamounts 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 is eligible for suchan exemptionor
reduction under an applicabletax treaty. If you are a Non-U.S. Holder, you should consultyour tax adviser regarding the tax treatment
of the notes, including thepossibility of obtaininga 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 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 the applicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthe scopeof Section 871(m) instruments issued prior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special tax counsel is of the
opinion that Section871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS,
and the IRS maydisagree with this determination. Section 871(m) iscomplex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. Youshould consult your tax
adviser regarding the potential application of Section871(m) to the notes.
In the event of any withholding on the notes, we will not be required to payany additional amounts with respect to amounts so withheld.
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 the following
hypothetical components: (1) a fixed-income debt component with the same maturityas the notes, valuedusing the internal funding
rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes. The estimated value of the notes
does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any
time. The internal funding rate used in the determination of the estimatedvalue of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Anydifferencemay be
based on, among other things, our and our affiliates'view of the funding value of the notesas well as the higher issuance,operational
and ongoing liabilitymanagement costs of the notesin comparison to thosecosts for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputsand assumptions, which mayprove to beincorrect,
and is intended to approximate theprevailing market replacement funding rate for the notes. The use of an internal funding rateand
any potential changes to that rate mayhave an adverse effect on theterms of the notesand any secondary market prices of the notes.
For additional information, see "SelectedRisk Considerations - The Estimated Value of the Notes Is Derived by Reference to an
Internal Funding Rate" in thispricingsupplement.
PS-11| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
The value of the derivativeor derivatives underlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates. These modelsare dependent on inputs such asthe traded market prices of comparable derivative instruments and onvarious
other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as
well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when
the terms of the notes are setbased on market conditions and other relevant factors and assumptionsexisting at that time.
The estimated value of thenotes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsandassumptionscould provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the futuremay change, and any assumptionsmay prove to be incorrect. On
future dates, the value of the notes could changesignificantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfromyou in secondarymarket transactions.
The estimated value of thenotes is lower than the original issue priceof the notes becausecosts associated with selling, structuring
and hedging the notes are included in the originalissue price of the notes. These costsinclude the sellingcommissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligationsunder the notes. Because hedging our
obligations entails riskandmay be influenced by market forces beyond our control, thishedging may result in a profit that 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 notesmay be
allowed to other affiliatedor unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See
"Selected Risk Considerations -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 be impacted bymany
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs
included in theoriginal issue price of the notes will be partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initialpredetermined period. These costscan includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances. Thisinitial predetermined time period is intended to be the shorter of six monthsand one-half of the
stated term of the notes. The length of any such initial period reflects thestructure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "Selected Risk Considerations -The Value of the Notes as Published by JPMS (andWhich May Be
Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time
Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-returnprofile andmarket exposure provided by the
notes. See "How the Notes Work" and "Hypothetical Payout Examples" in this pricing supplement for an illustration of the risk-return
profile of thenotes and "The Indices" in thispricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paidtoJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.
PS-12| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
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., whenthe
notes offeredby this pricing supplement have beenissued by JPMorgan Financialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and such notes have beendelivered against payment as
contemplated herein, suchnotes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicablebankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing and the lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'sobligationunder the related guarantee.
Thisopinion is given as of thedate hereof and 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 opinion issubject tocustomary assumptions about the
trustee's authorization,execution and delivery of the indenture and its authentication of the master note and thevalidity, binding nature
and enforceability of the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the accompanying prospectus,as supplemented bythe accompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. Youshould carefully consider, among other things, the matters set forth in the "Risk Factors" sections of theaccompanying
prospectussupplement and the accompanying product supplement and in Annex A to the accompanying prospectusaddendum, as the
notes involve risksnot associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
You may access these documents on the SEC websiteat www.sec.gov as follows(or if such addresshas changed, by
reviewing our filings for the relevant dateon the SEC website):
●Product supplement no. 4-I dated April 13, 2023:
●Underlying supplement no. 1-Idated April 13, 2023:
●Prospectus supplement and prospectus, each dated April 13, 2023:
●Prospectusaddendum datedJune 3, 2024:
Our Central Index Key, orCIK, ontheSEC websiteis 1665650,and JPMorganChase & Co.'s CIK is19617. Asused in this pricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.
PS-13| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
Annex A
The Nasdaq-100® Technology Sector IndexSM
All information contained in this pricing supplement regarding the Nasdaq-100® Technology Sector IndexSM, including, without limitation,
itsmake-up, method of calculationand changes in its components, has been derived from publicly available information, without
independent verification. Thisinformation reflects thepolicies of, andis subject to changeby, The Nasdaq Stock Market, Inc.
("Nasdaq"). The Nasdaq-100® Technology Sector IndexSM was developed by Nasdaq and is calculated, maintained and published by
The Nasdaq OMX Group, Inc. ("Nasdaq OMX"). Neither Nasdaq nor Nasdaq OMX has any obligation to continueto publish, and may
discontinue publication of, the Nasdaq-100® Technology Sector IndexSM.
The Nasdaq-100® Technology Sector IndexSM began on February22, 2006 at a base value of 1,000.00. The Nasdaq-100® Technology
Sector IndexSMis reported byBloomberg, L.P. under the ticker symbol "NDXT."
The Nasdaq-100® Technology Sector IndexSMis an equal-weighted, price-return index designed to measure the performanceof the
technologycompanies in theNasdaq-100 Index®.
Security Eligibility Criteria
The Nasdaq-100® Technology Sector IndexSMcontainssecurities of the Nasdaq-100 Index® which areclassified as Technology
according to the Industry Classification Benchmark ("ICB").The eligibility for the Nasdaq-100® Technology Sector IndexSM is
determined in a 2-step process and the security has to meetbothcriteria in order to become eligible for the Nasdaq-100®Technology
Sector IndexSM. For additional information about the Nasdaq-100 Index®, including the methodology for inclusion in the Nasdaq-100
Index®, see "Equity Index Descriptions - The Nasdaq-100 Index®" in the accompanying underlying supplement.
Parent Index
The security must be included in the Nasdaq-100 Index®, which includes 100 of the largest domestic and international non-financial
companieslisted on the Nasdaq.
Industryor Sector Eligibility
The company must be classified as a Technology Company (any company classified under the Technology Industry) according to ICB.
Constituent Selection
All securities that meet the applicable Security Eligibility Criteria described above are included in the Nasdaq-100®Technology Sector
IndexSM.
Constituent Weighting
The Nasdaq-100® Technology Sector IndexSMemploys an equal weighting methodologysuch that each company'sIndex market value
is rebalanced quarterlyto an equal-dollar value corresponding to an equal percent weight of the Nasdaq-100®Technology Sector
IndexSM's aggregate market value. Index Shares arecalculated by dividingthis equal-dollar market value for each Index Security by
the corresponding Last Sale Price of the security at the close of trading on the third Fridayin March, June, September, and December.
In the case of multiple share classesof acompany being included in the Nasdaq-100® Technology Sector IndexSM, the equal-weighted
market value will be divided equally among the securities of that company.
Index Calculation
The Nasdaq-100® Technology Sector IndexSMis an equal weighted, price return index. The Nasdaq-100® Technology Sector IndexSM
is calculated without regard to ordinary dividends, however, it does reflect special dividends. The formulaisas follows:
(1)
"Index Market Value" shall becalculated asfollows:
"Index Security" shall mean a security that has beenselected for membership in the Nasdaq-100® Technology Sector IndexSM,
havingmet allapplicable eligibility requirements.
n = Number of Index Securities included in the Nasdaq-100® Technology Sector IndexSM
qi = Number of shares of Index Security iapplied in the Nasdaq-100® Technology Sector IndexSM.
pi = Pricein quote currency of Index Security i. Depending on the time of thecalculation, the price can be either of the following:
PS-14| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
a.
The Start of Day (SOD) price which isthe previous index calculation day's (t-1) closing price for Index Security i adjusted
for corporate action(s) occurring prior to market open on date t, if any, for the SOD calculation only;
b.
The intraday price which reflects the current trading price received from the Nasdaq during the index calculation day;
c.
The End of Day (EOD) price refersto the Last Sale Price, which refers to thelast regular-way trade reported on Nasdaq;
or
d.
The Volume Weighted Average Price (VWAP)
t = current index calculation day
t-1 = current index calculation day
(2)
"PR Index Divisor" should be calculated as follows:
The Index Divisor serves the purpose of scaling an Index Market Valueto lower order of magnitude, which is recommended for
reporting purposes. The IndexDivisor is adjusted to ensure that changesin an Index Security's price or shares either by corporate
actions or index participationwhich occur outside of trading hours donot affect the index value. An Index Divisor change occursafter
the close of the Nasdaq-100®Technology Sector IndexSM.
Index Maintenance
Deletion Policy
If a component of the Nasdaq-100®Technology Sector IndexSMis removedfrom the Nasdaq-100 Index® for any reason, it is also
removed fromthe Nasdaq-100® Technology Sector IndexSMat the same time.
Replacement Policy
When a component of the Nasdaq-100 Index® that is classified as Technology according to ICB is removed from the Nasdaq-100
Index, it isalso removedfrom the Nasdaq-100 Technology Sector Index. As such, if the replacement company being added to the
Nasdaq-100 Index®is classified asTechnology according to ICB, it is addedto the Nasdaq-100®Technology Sector IndexSMand will
assume the weight of the removed company on the Index effectivedate.
When a component of the Nasdaq-100 Index® that is not classified asTechnology according to ICB is removed and the replacement
company beingadded to the Nasdaq-100 Indexis classifiedas Technologyaccording to ICB, the replacement company is considered
for addition to the Nasdaq-100 Technology Sector Index at the next quarterly Rebalance. When acomponent of the Nasdaq-100 Index
that isclassified as Technology according to ICB is removed from the Nasdaq-100 Indexand the replacement company being added to
the Nasdaq-100 Index®isnot classified as Technology according to ICB, the company is removed from the Nasdaq-100®Technology
Sector IndexSM and the divisor of the Nasdaq-100®Technology Sector IndexSMis adjusted to ensure Index continuity.
Additions Policy
If a security is added to the Nasdaq-100 Index® for any reason, it may be added to the Nasdaq-100® Technology Sector IndexSMat the
same time.
Corporate Actions
In the interim periods between scheduled index reconstitution and rebalance events, individualIndex securitiesmay be the subject to a
variety of corporate actions and events that require maintenance and adjustments to the Index.
In certain cases, corporateactionsandeventsare handledaccording to the weightingscheme or other indexconstruction techniques
employed. Wherever alternate methods aredescribed, the Index will follow the "Non-Market Cap Corporate ActionMethod."
Index Share Adjustments
Other than as a direct result of corporateactions, the Nasdaq-100®Technology Sector IndexSM does not normally experienceshare
adjustments between scheduled index rebalance and reconstitution events.
License Agreement
JPMorgan Chase & Co. or its affiliate intends to enter into anon-exclusive license agreement with Nasdaqproviding for the license to it
and certain of its affiliates or subsidiaries, including JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use
the Nasdaq-100® Technology Sector IndexSM in connectionwith certain securities, including thenotes.
The license agreement with Nasdaq provides that the following language must be stated in this pricing supplement:
PS-15| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the Nasdaq-100®TechnologySector IndexSM andthe Russell 2000® Index
The notes arenot sponsored, endorsed, sold or promoted by Nasdaq Inc. or its affiliates (Nasdaq, with its affiliates, are referred to as
the "Corporations"). The Corporationshave not passed on the legalityor suitability of, or the accuracy or adequacy of descriptions and
disclosures relating to, the notes. The Corporations make no representation or warranty, expressor implied, to the owners of the notes
or any member of the public regarding the advisability of investing in securities generally or in the notes particularly, or the ability of the
Nasdaq-100® Technology Sector IndexSMto track generalstockmarket performance. The Corporations' only relationship to the Issuer,
the Guarantor (if applicable) and their affiliates is in the licensing of Nasdaq®, Nasdaq-100® and Nasdaq-100 Index® registered
trademarks, service marks and certain trade names of the Corporations and the use of theNasdaq-100® Technology Sector IndexSM
whichis determined, composed and calculated by Nasdaq without regard to the Issuer or the Guarantor (if applicable) or the notes.
Nasdaq has no obligation to take the needs of the Issuer or the Guarantor (if applicable) or the owners of the notes into consideration in
determining, composing or calculating the Nasdaq-100® Technology Sector IndexSM. The Corporations arenot responsible for and
have not participated in the determination of the timing of,prices at, or quantities of the notes to be issued or in the determination or
calculation of the equation bywhich thenotes are to be convertedintocash. The Corporations have no liability inconnection with the
administration, marketingor trading of the notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE NASDAQ-
100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY,
EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE GUARANTOR (IF APPLICABLE), OWNERS
OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ-100®TECHNOLOGY SECTOR
INDEXSM OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND
EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE
WITH RESPECT TO THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED THEREIN. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST
PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE
POSSIBILITY OF SUCH DAMAGES.