JPMorgan Chase & Co.

10/30/2024 | Press release | Distributed by Public on 10/30/2024 14:17

Primary Offering Prospectus - Form 424B2

October 28,2024Registration Statement Nos.333-270004and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 3-I dated April 13, 2023, underlyingsupplement no. 1-I dated April 13,2023, theprospectus and
prospectussupplement, eachdatedApril 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorganChase FinancialCompanyLLC
Structured Investments
$432,000
Capped Notes Linked to the Least Performing of the S&P
500®Index, the Russell 2000®Indexand the Nasdaq-100
Index®due November 2, 2028
Fully and UnconditionallyGuaranteedbyJPMorgan Chase & Co.
•The notes aredesigned for investors who seek exposure to any appreciation of the least performing of the S&P 500®
Index, the Russell 2000®Index and the Nasdaq-100 Index®, which we refer toas the Indices, over the term of the notes
up to a maximum return of 28.45% at maturity.
•Investors should be willing to forgo interest and dividend payments, whileseeking full repayment of principal at maturity.
•The notes areunsecured and unsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment 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 onthenotes are not linked to abasket composed of the Indices.Payments on the notesare linked to the
performance of each of the Indicesindividually, as describedbelow.
•Minimum denominations of $1,000 and integral multiples thereof
•The notes priced on October 28, 2024 and are expected tosettleon or about October 31, 2024.
•CUSIP: 48135UGG9
Investing in the notes involves a number of risks.See"Risk Factors"beginning on page S-2 of the accompanying
prospectus supplement,Annex A to the accompanyingprospectus addendum, "Risk Factors" beginning on page PS-12
of the accompanying product supplement and"Selected Risk Considerations" beginning on page PS-3 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 accuracyor the adequacy ofthis pricing supplement or theaccompanying 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
$37.1875
$962.8125
Total
$432,000
$16,065
$415,935
(1)See"Supplemental Use of Proceeds"in this pricing supplementforinformationabout the components of the price to public of the
notes.
(2)J.P. MorganSecuritiesLLC, which we refer toas JPMS, acting as agent forJPMorganFinancial, will payall of theselling
commissions it receives fromus to otheraffiliated or unaffiliated dealers.Theseselling commissionswill varyand will be upto $37.50
per $1,000 principal amount note.See"Plan of Distribution(Conflictsof Interest)" in the accompanyingproduct supplement.
The estimated value of the notes, when the terms of the notes were set,was $932.70 per $1,000 principal amount note.
See"The Estimated Value of the Notes" in this pricing supplementfor additional information.
Thenotes are not bankdeposits, 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
Capped Notes Linked to the Least Performingof theS&P500®Index, the
Russell2000®Indexand the Nasdaq-100 Index®
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The S&P 500® Index (Bloomberg ticker: SPX), the
Russell 2000® Index (Bloomberg ticker:RTY) and the Nasdaq-
100 Index® (Bloomberg ticker: NDX)
Participation Rate:150.00%
Maximum Amount:$284.50per $1,000 principal amount note
Pricing Date:October 28, 2024
Original Issue Date (Settlement Date): On or about October
31, 2024
Observation Date*:October 30, 2028
Maturity Date*: November 2,2028
* Subjectto postponement in the event of a market disruption event
and as describedunder"General Terms of Notes-Postponement
of a Determination Date-Notes Linked toMultiple Underlyings"
and "General Terms of Notes -Postponement ofa PaymentDate"
in theaccompanying product supplement
Payment at Maturity:
At maturity, you will receivea cash payment, for each $1,000
principal amount note, of $1,000 plusthe Additional Amount,
whichmay be zero and will not be greater than the Maximum
Amount.
You are entitled to repayment of principal in full at maturity,
subject to the credit risks of JPMorgan Financial and JPMorgan
Chase & Co.
Additional Amount:
The AdditionalAmount payable at maturityper $1,000 principal
amount note will equal:
$1,000 × Least Performing Index Return× Participation Rate,
provided that the Additional Amount will not beless than zero or
greater than the Maximum Amount.
Least Performing Index: TheIndex with theLeast Performing
Index Return
Least Performing Index Return:The lowest of the Index
Returns of the Indices
Index Return:
With respect to each Index,
(Final Value -Initial Value)
Initial Value
Initial Value:With respect toeach Index, the closing level of
that Index on the Pricing Date, which was 5,823.52 for the S&P
500® Index, 2,244.068for the Russell 2000® Index and
20,351.07for the Nasdaq-100 Index®
Final Value: With respect to eachIndex, the closing level of
that Index on the ObservationDate
PS-2 | Structured Investments
Capped Notes Linked to the Least Performingof theS&P500®Index, the
Russell2000®Indexand the Nasdaq-100 Index®
Supplemental Terms of the Notes
Any valuesof the Indices, and anyvalues derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to the contrary in theindenture governing the notes, that amendment will become effective without consent of the holders of
the notes or anyother party.
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical payment at maturity on the noteslinked to three hypothetical Indices. The
hypothetical payments set forth below assume the following:
•an Initial Value for the Least Performing Index of 100.00;
•a Participation Rate of 150.00%; and
•a Maximum Amount of $284.50 per $1,000 principal amount note.
The hypothetical Initial Value of the Least Performing Index of 100.00hasbeen chosen for illustrative purposes only anddoesnot
represent the actual Initial Value of any Index. The actual Initial Value of each Indexistheclosing level of that Index on the Pricing
Date and is specified under "Key Terms - InitialValue" in this pricing supplement. For historical data regarding theactualclosing
levelsof each Index, please see the historical information set forthunder "The Indices"in thispricingsupplement.
Each hypothetical payment at maturityset forth below is for illustrative purposes only and may not be the actual payment at maturity
applicableto apurchaser of the notes. The numbers appearing in the following table and graphhave been rounded for ease of
analysis.
Final Value of the Least
Performing Index
Least PerformingIndex
Return
Additional Amount
Payment at Maturity
180.00000
80.00000%
$284.50
$1,284.50
165.00000
65.00000%
$284.50
$1,284.50
150.00000
50.00000%
$284.50
$1,284.50
140.00000
40.00000%
$284.50
$1,284.50
130.00000
30.00000%
$284.50
$1,284.50
120.00000
20.00000%
$284.50
$1,284.50
118.96667
18.96667%
$284.50
$1,284.50
110.00000
10.00000%
$150.00
$1,150.00
105.00000
5.00000%
$75.00
$1,075.00
101.00000
1.00000%
$15.00
$1,015.00
100.00000
0.00000%
$0.00
$1,000.00
95.00000
-5.00000%
$0.00
$1,000.00
90.00000
-10.00000%
$0.00
$1,000.00
80.00000
-20.00000%
$0.00
$1,000.00
70.00000
-30.00000%
$0.00
$1,000.00
60.00000
-40.00000%
$0.00
$1,000.00
50.00000
-50.00000%
$0.00
$1,000.00
40.00000
-60.00000%
$0.00
$1,000.00
30.00000
-70.00000%
$0.00
$1,000.00
20.00000
-80.00000%
$0.00
$1,000.00
10.00000
-90.00000%
$0.00
$1,000.00
0.00000
-100.00000%
$0.00
$1,000.00
PS-3 | Structured Investments
Capped Notes Linked to the Least Performingof theS&P500®Index, the
Russell2000®Indexand the Nasdaq-100 Index®
The following graph demonstratesthe hypothetical payments at maturity on the notes for a rangeof Least Performing Index Returns.
There canbe no assurance that the performance of the Least PerformingIndex will result in a payment at maturity inexcess of
$1,000.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the Notes Work
Upside Scenario:
If the Final Value of each Index is greater than itsInitial Value, investors will receive at maturitythe $1,000 principal amount plusthe
Additional Amount, which is equal to $1,000 timestheLeast Performing Index Return times the Participation Rate of 150.00%, and
which willnot be greater than the Maximum Amount of $284.50 per $1,000 principal amount note.Aninvestor will realize the maximum
payment at maturity at a FinalValue of the Least Performing Index of approximately 118.96667%or more of its Initial Value.
•If the closing level of the Least PerformingIndex increases5.00%, investors will receive at maturitya return equal to7.50%, or
$1,075.00 per $1,000 principal amount note.
•If the closing level of the Least Performing Indexincreases 50.00%, investors will receive at maturity a return equal to28.45%, or
$1,284.50per $1,000 principal amount note, which is the maximumpayment at maturity.
Par Scenario:
If the Final Value of any Indexis less than or equal to its Initial Value, the Additional Amount will be zero and investors will receive at
maturitythe principal amount of their notes.
The hypothetical returnsand hypothetical payments on the notesshown above applyonly if you hold the notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated withany sale in the secondarymarket.If these fees
and expenses were included, the hypothetical returns and hypothetical paymentsshown above would likely be lower.
Selected Risk Considerations
An investment in thenotesinvolves significant risks. These risks are explained in more detail in the"Risk Factors"sections of the
accompanyingprospectus supplementand product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the NotesGenerally
•THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY -
If the Final Value of any Indexis less than or equal to its Initial Value, you will receive onlythe principal amount of your notes at
maturity, and you will not be compensated for anyloss in value due to inflation and other factors relating to the value of money over
time.
•YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM AMOUNT,
regardless of any appreciation of any Index, whichmay besignificant.
PS-4 | Structured Investments
Capped Notes Linked to the Least Performingof theS&P500®Index, the
Russell2000®Indexand the Nasdaq-100 Index®
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our andJPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined bythe market for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were todefault on our payment
obligations, you maynot receive any amounts owed to youunder the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capitalcontribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loansmade by usto
JPMorgan Chase & Co.or underother 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
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 tomake
payments on the notes, you may have toseek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligationsof JPMorgan Chase & Co.For more
information, see theaccompanying prospectus addendum.
•YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX -
Payments onthenotes are not linked to abasket composed of the Indices and are contingent upon the performance of each
individual Index. Poor performance by anyof the Indicesover the term of the notes may negatively affectyour payment at maturity
and will not be offset or mitigated by positive performance byanyother Index.
•YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
•LACK OF LIQUIDITY -
Thenotes will not belisted onany securities exchange.Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy thenotes. You may notbe able to sell yournotes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to holdyour notes to maturity.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliates play a varietyof roles in connection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economic interests are potentially adverse toyour interests as an investor in the notes. It is possible that hedging or trading
activities of oursor our affiliates in connection with the notescould result in substantial returns for us or our affiliates whilethe
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
Risks Relating to theEstimated 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 originalissuepriceof the
notes exceedsthe estimated value of the notes becausecosts associated withselling, structuring and hedging the notesare
included in the original 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 obligationsunder the notesand the estimated cost of hedging
our obligations under the notes. See"The Estimated Valueof the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"The Estimated Value of the Notes"in this pricing supplement.
PS-5 | Structured Investments
Capped Notes Linked to the Least Performingof theS&P500®Index, the
Russell2000®Indexand the Nasdaq-100 Index®
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate usedin the determination of the estimated value of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Any differencemay
be based on, among other things, our and our affiliates'view of thefunding valueof the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co.This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes.The use of an
internal funding rate and any potential changes tothat rate may havean adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Valueof the Notes" in thispricing supplement.
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the noteswill be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See"Secondary Market Prices of the Notes"in this pricingsupplement 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 account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket pricesof thenotes will likely be lower than the original issue price of the notes because, among other
things, secondarymarketprices take intoaccount our internal secondarymarket funding rates for structured debt issuances and,
also, because secondary market prices may exclude sellingcommissions, projected hedging profits, if any, and estimatedhedging
costs that are included in theoriginal issue price of the notes.As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Any sale by you prior to
the Maturity Datecould result in a substantialloss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, aside fromthe selling commissions,projected hedging profits, if any, estimated hedging
costs and the levelsof the Indices.Additionally, independent pricing vendors and/or third party broker-dealers may publish a price
for thenotes, which may also be reflected on customer account statements. This price may be different (higher or lower)than the
price of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Value and Secondary Market Pricesof theNotes- Secondarymarket prices of thenotes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to theIndices
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in takinganycorporate action that might affect
the level of the S&P 500® Index.
•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.Small capitalization companies are less likely to paydividends ontheir stocks, and the presenceof a
dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
•NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX®-
Some of the equity securities included in theNasdaq-100 Index® have been issued by non-U.S. companies. Investmentsin
securities linked to the value of such non-U.S. equitysecurities involve risks associated with the home countries of theissuersof
those non-U.S. equity securities.
PS-6 | Structured Investments
Capped Notes Linked to the Least Performingof theS&P500®Index, the
Russell2000®Indexand the Nasdaq-100 Index®
The Indices
The S&P 500® Index consistsof stocks of 500 companies selected to provide aperformance benchmark for the U.S. equity markets.
For additional information about the S&P 500® Index, see "Equity Index Descriptions- The S&P U.S. Indices"in the accompanying
underlying supplement.
The Russell 2000® Indexconsistsof the middle 2,000companies included in the Russell 3000E™ Index and, as a result of the index
calculation methodology, consistsof the smallest 2,000companies included in the Russell 3000® Index. The Russell2000® Index is
designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the
Russell 2000®Index, see "Equity Index Descriptions -The Russell Indices" in the accompanying underlyingsupplement.
The Nasdaq-100 Index®is a modifiedmarket capitalization-weighted index of 100 of the largest non-financialsecurities listed on The
Nasdaq StockMarket based on market capitalization. For additional information about the Nasdaq-100 Index®, see "Equity Index
Descriptions -The Nasdaq-100 Index®" in theaccompanying underlying supplement.
Historical Information
The following graphs set forththe historical performance of each Index based on the weekly historical closing levels fromJanuary4,
2019 through October 25, 2024.The closinglevel of the S&P 500®Index onOctober 28, 2024 was 5,823.52.The closing level of the
Russell 2000® Indexon October 28, 2024was2,244.068.The closing levelof theNasdaq-100 Index® on October 28, 2024 was
20,351.07. Weobtained the closing levelsabove and below from the Bloomberg Professional®service ("Bloomberg"), without
independent verification.
The historicalclosing levels of eachIndexshould not be taken asan indication of future performance, and noassurance can begiven
as to the closing level of any Index on the Observation Date.There can be no assurance that the performance of theIndices will result
in a payment at maturityin excessof yourprincipal amount,subject to the credit risksof JPMorgan Financial and JPMorgan Chase &
Co.
PS-7 | Structured Investments
Capped Notes Linked to the Least Performingof theS&P500®Index, the
Russell2000®Indexand the Nasdaq-100 Index®
Tax Treatment
There is uncertaintyregarding the U.S. federal income taxconsequences of an investment in the notes due to the lack of governing
authority.You should review carefullythesection entitled "Material U.S. Federal Income Tax Consequences," and in particular the
subsection thereof entitled "-Tax Consequences to U.S. Holders -Notes with a Term of More than One Year- NotesTreated as
Contingent Payment Debt Instruments" in the accompanying product supplement no.3-I. Based on current market conditions, we
intend to treat the notes for U.S. federal incometax purposes as "contingent payment debt instruments." Assuming this treatment is
respected, as discussedin that subsection, unlike a traditional debt instrument that provides for periodic payments of interest at asingle
fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt of stated interest, you generally
will be required to accrueoriginal issue discount ("OID") on your notesin each taxable year at the "comparable yield," asdetermined by
us, although we will not make any payment with respect to the notes until maturity.Upon sale or exchange (including at maturity), you
will recognize taxable income or lossequal to the difference between the amount received from the sale or exchange and your adjusted
basis in the note, whichgenerally will equal the cost thereof,increased by the amount of OID you have accrued in respect of the note.
You generallymust treat any income as interest income and anyloss as ordinary loss to the extent of previous interest inclusions, and
the balance as capital loss.The deductibility of capital losses is subject to limitations.Special rules may apply if the amount payable at
maturityis treated as becoming fixed prior to maturity.You should consult your tax adviser concerning the application of these rules.
The discussionsherein and inthe accompanying product supplement do not address theconsequences to taxpayers subject to special
tax accounting rules under Section 451(b) of the Code. Purchasers who are not initial purchasers of notesat their issue price should
PS-8 | Structured Investments
Capped Notes Linked to the Least Performingof theS&P500®Index, the
Russell2000®Indexand the Nasdaq-100 Index®
consult their tax advisers withrespect to the tax consequences of an investment in notes, including the treatment of the difference, if
any, between the basis in their notes and the notes' adjusted issue price.
Our intended treatment of the notes as CPDIs will be binding on you, unless you properly disclose to the IRS an alternative treatment.
Also, the IRS may challenge the treatment of the notesas CPDIs. If the IRS successfully challenges the treatment of the notes as
CPDIs, then the notes will be treatedasdebt instruments that are not CPDIsand, would requirethe accrual of original issue discount as
ordinary interest income based on a yield tomaturity higher than the comparable yield. Accordingly, under this treatment, your annual
taxable income from (and adjustedtaxbasis in) thenotes would be higher than if the noteswere treated as CPDIs, and any loss
recognized upon a dispositionof the notes (including upon maturity) would be capitalloss, the deductibility of which is subject to
limitations. Accordingly, this alternative treatment could result in adverse tax consequences to you.
Section 871(m) of the Code and Treasury regulations promulgatedthereunder ("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 toU.S. equities or indices that include U.S. equities.Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations.Additionally, a recent IRS notice excludes fromthe scope of 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 certain determinationsmade by us, our special taxcounsel isof 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.
The discussionsin the preceding paragraphs, when read incombination with the section entitled "Material U.S. Federal Income Tax
Consequences" (and in particular the subsection thereof entitled "- Tax Consequences to U.S. Holders - Notes with a Term of More
than One Year - Notes Treated asContingent Payment Debt Instruments") in the accompanying product supplement, to the extent
they reflect statements of law, constitute the fullopinion of Davis Polk & Wardwell LLP regarding the material U.S. federalincome tax
consequencesof owning anddisposingof the notes.
Comparable Yield andProjected Payment Schedule
We have determined that the "comparable yield" is an annual rate of 4.84%, compounded semiannually. Based on our determination of
the comparable yield, the "projected payment schedule" per $1,000 principal amount note consistsof a single payment at maturity,
equal to$1,211.30. Assuming a semiannual accrual period, the following table sets out the amount of OID that will accrue with respect
to a noteduring each calendar period, based upon our determination of thecomparable yield and projected payment schedule.
Calendar Period
Accrued OID During
Calendar Period (Per
$1,000 Principal Amount
Note)
Total Accrued OID from Original
Issue Date (Per $1,000 Principal
Amount Note) as of End of
Calendar Period
October 31, 2024 through December 31, 2024………........
$8.07
$8.07
January1, 2025 through December 31, 2025…………..........
$49.39
$57.46
January1, 2026 through December 31, 2026………..............
$51.80
$109.26
January1, 2027 through December 31, 2027……….............
$54.33
$163.59
January1, 2028 throughNovember 2, 2028………………..
$47.71
$211.30
The comparable yield and projected payment scheduleare determined solely to calculate the amount on which you will be
taxed with respect to the notes in each year and are neither a prediction nor a guarantee of what the actual yield will be. The
amount you actually receive at maturity or earlier sale or exchange of your notes will affect your income for that year, as
described above under "Tax Treatment."
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplementis equal to thesum of the values of thefollowing
hypothetical components: (1) a fixed-income debt component withthe same maturityasthe notes, valued using the internal funding
PS-9 | Structured Investments
Capped Notes Linked to the Least Performingof theS&P500®Index, the
Russell2000®Indexand the Nasdaq-100 Index®
rate described below, and (2) the derivative or derivatives underlyingtheeconomic terms of the notes.The estimated value of the
notesdoes not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if any exists) at
any time.The internal funding rate used in the determination of the estimated 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
maybe based on, among other things, our and our affiliates'view of the funding value of thenotes as well as the higherissuance,
operational and ongoing liability management costs of thenotes in comparisonto those costs for the conventional 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 to approximatetheprevailing market replacement funding rate for thenotes. Theuse of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see "Selected Risk Considerations - Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes- The Estimated Value of the NotesIsDerived byReference to an InternalFunding Rate"in this
pricing supplement.
The value of the derivativeor derivatives underlying the economic terms of the notes is derived from internal pricingmodelsof our
affiliates.These modelsare dependent on inputssuch as the traded market prices of comparable derivative instruments and on
various other inputs, someof whicharemarket-observable, and which can includevolatility, dividend rates, interest rates and other
factors, as well as assumptions about futuremarket events and/or environments.Accordingly, theestimated value of the notes is
determined when the termsof the notes are set based on market conditions and other relevant factors and assumptions existing at that
time.
The estimated value of the notes does not represent future values of the notes and may differ from others'estimates. Different pricing
modelsand assumptionscould 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 futuremay 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 notes fromyou in secondarymarket transactions.
The estimated value of the notes is lower than the originalissue price of the notes becausecosts associatedwithselling, structuring
and hedging the notes are included in 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 bymarket forces beyond our control, thishedging may result in a profit that ismore or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be
allowed to other 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 Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes"in this pricing 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 impactedbymany
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 inconnection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period.These costscan includeselling commissions,
projectedhedging profits, if any, and, in some circumstances, estimatedhedging costs andour internalsecondarymarket 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 affiliates expect toearn a
profit inconnection withour hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred,as
determined by our affiliates.See "Selected Risk Considerations - Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes- The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period"in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes.See "Hypothetical Payout Profile"and "How the Notes Work" inthis pricing supplement for an illustration of the risk-return profile
of the notes and"The Indices"in this pricingsupplementfor a description of themarket exposure provided by the notes.
PS-10| Structured Investments
Capped Notes Linked to the Least Performingof theS&P500®Index, the
Russell2000®Indexand the Nasdaq-100 Index®
The originalissueprice of thenotes is equal to the estimated value of the notesplus the selling commissions paid toJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliatesexpect 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 andJPMorgan Chase & Co., when the
notesoffered 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 fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents suchnotes(the "master note"), and such noteshave beendelivered against payment as
contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitutea
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affectingcreditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing and the lack ofbad faith),providedthat such counsel
expressesno opinionas 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 thedate 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 to customary assumptions about the
trustee's authorization, execution and deliveryof the indenture andits authentication of the master note and thevalidity, binding nature
and enforceabilityof the indenture with respect to the trustee, allasstated 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 readthispricing supplementtogether with theaccompanyingprospectus, as supplemented bytheaccompanying
prospectus supplement 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 inthe accompanyingproduct 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 materialsincludingpreliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours.Youshould carefullyconsider, among other things, the matters set forth inthe "RiskFactors"sections of the accompanying
prospectus supplement and the accompanyingproduct 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 documentson the SEC website at www.sec.gov asfollows (or if such address haschanged, by reviewing our
filings for the relevant date on the SEC website):
•Product supplement no. 3-I dated April 13, 2023:
•Underlying supplement no. 1-Idated April 13, 2023:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectus addendum dated June3, 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.