JPMorgan Chase & Co.
11/01/2024 | Press release | Distributed by Public on 11/01/2024 14:21
Primary Offering Prospectus - Form 424B2
The information in this preliminary pricing supplement is notcomplete and maybe changed. This preliminary pricing supplement is not
an offer to sell nordoes itseek an offer tobuy these securitiesin any jurisdiction wherethe offer or sale is notpermitted.
Subjectto completion datedNovember 1, 2024
November ,2024Registration Statement Nos.333-270004 and 333-270004-01; Rule 424(b)(2)
Pricingsupplementto productsupplementno. 4-IdatedApril 13, 2023, underlyingsupplement no.1-I dated April13,2023, the prospectusand
prospectus supplement, each dated April 13,2023,and the prospectus addendum dated June 3,2024
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent InterestNotes Linked to the Least Performing of the
iShares® Silver Trust, the Communication Services Select Sector SPDR®
Fund and theiShares®20+ Year Treasury Bond ETF dueNovember 10, 2027
Fully and UnconditionallyGuaranteedby JPMorgan Chase & Co.
•Thenotes are designed for investors whoseeka Contingent Interest Payment with respect to each Review Date for
which theclosingprice of oneshare of each of the iShares®Silver Trust, theCommunication Services Select Sector
SPDR® Fundand theiShares® 20+ Year Treasury Bond ETF,which we refer to as the Funds, is greater than or equal to
80.00% of itsInitial Value, which we refer to as an Interest Barrier.
•If theclosingprice of oneshare of each Fund is greater than or equal to its Interest Barrier on anyReview Date,
investors will receive, in addition to the Contingent Interest Payment with respect to that Review Date, anypreviously
unpaid Contingent Interest Paymentsfor prior Review Dates.
•The notes will be automatically calledif the closing price of one share of each Fundon any Review Date (other than the
first, second and final Review Dates) isgreater than or equal to itsInitial Value.
•The earliest dateon which an automatic call may be initiated is February 5, 2025.
•Investors should be willing toaccept the riskof losing some or all of their principal and the risk that no Contingent Interest
Payment may bemade with respect tosome or allReview 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 areunsecuredandunsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., asguarantor of the notes.
•Payments onthenotes are not linkedto abasket composed of the Funds.Payments on the notes are linked to the
performance of each of the Fundsindividually, as describedbelow.
•Minimum denominations of $1,000 and integralmultiplesthereof
•Thenotes areexpectedto price on or about November 5, 2024and are expected to settle on or about November 8,
2024.
•CUSIP: 48135VHD3
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-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 securities commission has approved or disapproved
of thenotes or passed upon the accuracyor the adequacy of this pricing supplement or theaccompanying product supplement,
underlyingsupplement, prospectus supplement,prospectusand prospectusaddendum. Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Feesand Commissions(2)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1) See "Supplemental Use ofProceeds" in this pricingsupplementforinformation about the componentsof theprice to publicof the
notes.
(2)J.P.MorganSecurities LLC, which we refertoasJPMS,acting as agent for JPMorganFinancial,will pay allof the selling
commissionsit receives fromustoother affiliatedorunaffiliated dealers. In no event will theseselling commissionsexceed $8.50 per
$1,000 principal amountnote.See "PlanofDistribution (ConflictsofInterest)"in theaccompanying product supplement.
If the notes priced today, the estimated value of the notes would be approximately $981.10per $1,000 principal amount
note. The estimated value of the notes, when the termsof the notes are set, will beprovided in the pricing supplement
and will not be less than $960.00per $1,000principal amount note.See"The Estimated Value of the Notes" in this
pricing supplement for additional information.
Thenotes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Funds:The iShares® Silver Trust (Bloomberg ticker: SLV), the
Communication Services Select Sector SPDR® Fund
(Bloombergticker: XLC) and the iShares®20+ Year Treasury
Bond ETF (Bloomberg ticker: TLT)
Contingent InterestPayments:If the notes have not been
automaticallycalled and theclosing price of oneshare of each
Fundon any Review Date is greater thanor equal to its Interest
Barrier, you willreceive on the applicableInterest Payment
Date for each $1,000 principalamount notea Contingent
Interest Payment equal toat least $11.25 (equivalent toa
ContingentInterest Rate of at least 13.50% per annum, payable
at a rate ofat least 1.125% per month) (to be provided inthe
pricingsupplement), plusanypreviouslyunpaid Contingent
Interest Payments for any prior Review Dates.
If the Contingent Interest Payment isnot paid onany Interest
Payment Date, that unpaid Contingent Interest Payment will be
paidon a later Interest Payment Date if the closingprice of one
share of each Fund on the Review Date related to that later
Interest Payment Date is greater than or equal to its Interest
Barrier. You will not receive any unpaid Contingent Interest
Payments if theclosing priceof oneshare of anyFund on each
subsequentReview Date isless than itsInterest Barrier.
Contingent InterestRate: Atleast 13.50%per annum, payable
at a rate ofat least 1.125% per month(to be provided inthe
pricingsupplement)
Interest Barrier:With respect to each Fund, 80.00% of its
Initial Value
Trigger Value: With respect to each Fund, 70.00% of itsInitial
Value
Pricing Date: On or aboutNovember 5, 2024
Original Issue Date (Settlement Date):On or about November
8, 2024
Review Dates*: December 5, 2024, January 6, 2025, February
5, 2025, March 5, 2025, April7, 2025, May 5, 2025, June 5,
2025, July7, 2025, August 5,2025, September 5, 2025,
October 6, 2025, November 5, 2025, December 5, 2025,
January5, 2026, February 5, 2026, March 5, 2026, April 6,
2026, May 5, 2026, June 5, 2026, July 6, 2026, August 5, 2026,
September 8, 2026, October 5, 2026, November 5, 2026,
December 7, 2026, January 5, 2027, February 5, 2027, March
5, 2027, April 5, 2027, May 5, 2027, June 7, 2027, July 6, 2027,
August 5, 2027, September 7,2027, October 5, 2027 and
November 5, 2027(the "finalReview Date")
Interest Payment Dates*: December 10, 2024, January 9,
2025, February10, 2025, March 10, 2025, April10, 2025, May
8, 2025, June 10, 2025, July 10, 2025, August 8, 2025,
September 10, 2025, October 9, 2025, November 10, 2025,
December 10, 2025, January8, 2026, February 10, 2026,
March 10, 2026, April 9, 2026, May 8, 2026, June 10, 2026,
July 9, 2026, August 10, 2026, September 11, 2026, October 8,
2026, November 10, 2026, December 10, 2026, January 8,
2027, February10, 2027, March 10, 2027, April8, 2027, May
10, 2027, June 10, 2027, July 9, 2027, August 10, 2027,
September 10, 2027, October 8, 2027 and the Maturity Date
Maturity Date*: November 10, 2027
Call Settlement Date*: If thenotes are automatically called on
any Review Date(other than the first,second and final Review
Dates), the first Interest Payment Date immediately following
that Review Date
* Subject to postponement in the eventof a market disruption event and as
describedunder"General Terms of Notes - Postponement of a
Determination Date- Notes Linked to Multiple Underlyings" and "General
Terms of Notes - Postponement of a Payment Date" in the accompanying
product supplement
Automatic Call:
If theclosing price of one share of each Fundonany Review
Date (other than the first, second and final Review Dates) is
greater than or equal to its 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
plus(c) anypreviously unpaid Contingent Interest Paymentsfor
anyprior Review Dates, payable on the applicable Call
Settlement Date. No further payments will bemade on the
notes.
Payment at Maturity:
If the notes have not been automatically calledand the Final
Valueof each Fund is greater than or equal to itsTrigger Value,
you will receive a cash payment at maturity, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the
Contingent Interest Payment, if any, applicable to the final
Review Date plus (c) if the Contingent Interest Payment
applicable to the final Review Date is payable, any previously
unpaid Contingent Interest Paymentsfor any prior Review
Dates.
If the notes have not been automatically calledand the Final
Valueof any Fundisless than itsTrigger Value, your payment
at maturity per $1,000 principal amount note will becalculated
as follows:
$1,000 + ($1,000 × Least Performing Fund Return)
If the notes have not been automatically called and the Final
Valueof any Fundisless than its Trigger Value, you will lose
more than30.00%of your principal amount at maturity and
could lose all of your principalamount atmaturity.
Least Performing Fund: TheFund with the Least Performing
Fund Return
Least Performing Fund Return:Thelowest of theFund
Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value -Initial Value)
Initial Value
Initial Value:With respect to eachFund, the closing price of
one share of that Fundon thePricing Date
Final Value: With respect to eachFund, the closing price of
one share of that Fund on thefinal Review Date
Share Adjustment Factor:With respect to each Fund, the
Share Adjustment Factor is referenced in determining the
closing price of one shareof that Fund and is set equal to 1.0
on the Pricing Date. The Share Adjustment Factor of each
Fund issubject to adjustmentupon the occurrence of certain
events affecting thatFund. See "The Underlyings-Funds -
Anti-Dilution Adjustments" in the accompanying product
supplement for further information.
PS-2| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
Supplemental Terms of the Notes
The notes are not commodity futurescontracts or swaps and are not regulated under the Commodity Exchange Act of 1936,
as amended (the "Commodity Exchange Act"). The notes are offered pursuant toan exemption from regulation under the
Commodity Exchange Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or more
payments indexedto the value, levelor rate of one or more commodities, as set out in section 2(f) of that statute. Accordingly, you are
not afforded any protection provided by the Commodity Exchange Act or any regulation promulgated by the CommodityFutures
Trading Commission.
Any values of the Funds, andanyvalues derived therefrom, included in this pricingsupplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricing supplement and the correspondingterms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will become effective without consent of the holders of
the notes or any other party.
How the Notes Work
Payments in Connection with the First and Second Review Dates
Payments in Connectionwith Review Dates (Other than the First, Second andFinal Review Dates)
The closing price of one share of each Fundis
greater thanor equal toits Interest Barrier.
The closing price of one share of anyFund is less
than its Interest Barrier.
First and Second ReviewDates
Compare the closing price of oneshareof each Fundto its Interest Barrieron each ReviewDate.
Youwill receive (a)a Contingent Interest Payment on the applicable
Interest Payment Date plus (b)anypreviouslyunpaid Contingent
Interest Payments foranypriorReviewDates.
Proceed to the next ReviewDate.
No Contingent Interest Payment will be madewith respect to
the applicable ReviewDate.
Proceed to the next ReviewDate.
The notes will beautomaticallycalled on the applicable Call Settlement Date and youwill
receive (a)$1,000 plus (b) theContingent Interest Payment applicable to that Review
Dateplus (c)anypreviouslyunpaid Contingent Interest Payments foranypriorReview
Dates.
No further payments will be made on the notes.
ReviewDates (Other than the First, Second and Final ReviewDates)
AutomaticCall
The closing price of one
share of eachFund is
greater thanor equal
toits Initial Value.
The closingprice of one
share of anyFund is
less than its Initial
Value.
Initial
Value You will receive (a) theContingent
Interest Paymentapplicable to that
ReviewDateplus (b)anypreviously
unpaid Contingent Interest
Payments for anypriorReview
Dates.
Proceed to the next ReviewDate.
The closing price of one
share of eachFund is
greater thanor equal to
its Interest Barrier.
No
Automatic
Call No Contingent Interest Payment will
be made with respectto the
applicable ReviewDate.
Proceedto the next ReviewDate.
The closing price of one
share of anyFund is less
than its Interest Barrier.
Compare the closing price of one share of each Fundto its Initial Value and its Interest Barrieron each ReviewDate until
thefinal ReviewDateor anyearlier automatic call.
PS-3| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
Payment at MaturityIf the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The tablebelow illustrates the hypothetical totalContingent Interest Payments per $1,000principal amount note over the termof the
notes basedon a hypothetical Contingent Interest Rate of 13.50% per annum, depending on how many Contingent Interest Payments
are made prior to automatic call ormaturity. The actual Contingent Interest Rate will be provided in the pricing supplement andwillbe
at least 13.50% per annum (payable at a rate of at least 1.125% per month).
Number of Contingent
Interest Payments
Total Contingent Interest
Payments
36
$405.00
35
$393.75
34
$382.50
33
$371.25
32
$360.00
31
$348.75
30
$337.50
29
$326.25
28
$315.00
27
$303.75
26
$292.50
25
$281.25
24
$270.00
23
$258.75
22
$247.50
21
$236.25
20
$225.00
19
$213.75
18
$202.50
17
$191.25
16
$180.00
Review Dates Preceding the
Final Review Date
Youwill receive (a)$1,000 plus (b) the
Contingent Interest Payment, if any,
applicable to thefinal ReviewDate
plus(c)if the ContingentInterest
Payment applicable to the final Review
Dateis payable, anypreviouslyunpaid
Contingent Interest Payments for any
prior ReviewDates.
The notes arenot
automaticallycalled.
Proceed to maturity
Final ReviewDatePayment at Maturity
The Final Value of eachFund is greaterthan or
equal to its Trigger Value.
Youwill receive:
$1,000+ ($1,000 × Least Performing
FundReturn)
Under thesecircumstances, youwill
lose some or all of your principal
amount at maturity.
The Final Value of anyFund is less thanits
TriggerValue.
PS-4| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
15
$168.75
14
$157.50
13
$146.25
12
$135.00
11
$123.75
10
$112.50
9
$101.25
8
$90.00
7
$78.75
6
$67.50
5
$56.25
4
$45.00
3
$33.75
2
$22.50
1
$11.25
0
$0.00
PS-5| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
Hypothetical PayoutExamples
The following examples illustrate payments on thenotes linked to threehypothetical Funds, assuming a range of performances for the
hypotheticalLeast Performing Fundon the Review Dates. Each hypothetical payment set forth belowassumes that the closing
price of one share of eachFund that is not theLeast Performing Fundon 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 Least Performing Fund of $100.00;
•an Interest Barrier for the Least Performing Fund of $80.00 (equalto 80.00% of itshypothetical Initial Value);
•a Trigger Value for the Least PerformingFund of $70.00 (equal to 70.00% of its hypothetical Initial Value); and
•a Contingent Interest Rate of 13.50% per annum.
The hypothetical Initial Value of the Least Performing Fundof $100.00 hasbeen chosen forillustrative purposes only and maynot
represent a likely actual Initial Valueof any Fund. The actual Initial Value of each Fund willbe the closingprice of one share of that
Fund on the Pricing Dateand will be provided in the pricingsupplement. For historical data regardingthe actual closing prices of one
share of each Fund, please see thehistorical information set forth under "The Funds" in this pricingsupplement.
Each hypothetical payment set forth below isfor illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of thenotes. The numbers appearing in the following exampleshave been rounded for ease of analysis.
Example 1 - Notes are automatically called on the third ReviewDate.
Date
Closing Price of One Shareof
Least PerformingFund
Payment (per $1,000 principalamount note)
First Review Date
$105.00
$11.25
Second Review Date
$115.00
$11.25
Third Review Date
$110.00
$1,011.25
Total Payment
$1,033.75(3.375% return)
Because the closing price of one shareof each Fund on the third Review Date is greater than or equal to itsInitial Value, the notes will
be automatically called for a cashpayment, for each $1,000 principal amount note, of $1,011.25(or $1,000 plus the Contingent Interest
Payment applicable to the third Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable
beforethe third Review Date, even though the closing price of one shareof each Fundoneach of the firstand second Review Dates is
greater than itsInitial Value. When added to the Contingent Interest Payments received with respect to the prior Review Dates, the
totalamount paid, for each $1,000 principal amount note, is $1,033.75. No further payments will be made on the notes.
Example2- Notes have NOT been automatically called and theFinal Value of the Least Performing Fundisgreater than or
equal to its Trigger Value and its Interest Barrier.
Date
Closing Price of One Share
of Least Performing Fund
Payment (per $1,000 principalamount note)
First Review Date
$95.00
$11.25
Second Review Date
$85.00
$11.25
Third through Thirty-Fifth
Review Dates
Less than Interest Barrier
$0
Final Review Date
$90.00
$1,382.50
Total Payment
$1,405.00(40.50% return)
Becausethe notes have not been automatically called and theFinal Valueof the Least Performing Fund isgreater than or equal to its
Trigger Value and its Interest Barrier, the payment at maturity, for each $1,000 principal amount note, will be $1,382.50 (or $1,000plus
the Contingent Interest Payment applicable to the final Review Dateplus the unpaid Contingent Interest Payments for any prior Review
Dates).When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for
each $1,000principal amount note, is$1,405.00.
PS-6| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
Example 3 - Notes have NOT been automatically called and the Final Value of the Least Performing Fund is lessthan its
Interest Barrier but is greater than or equal to its Trigger Value.
Date
Closing Price of One Shareof
Least Performing Fund
Payment (per $1,000 principalamount note)
First Review Date
$95.00
$11.25
Second Review Date
$80.00
$11.25
Third through Thirty-Fifth
Review Dates
Less than Interest Barrier
$0
Final Review Date
$75.00
$1,000.00
Total Payment
$1,022.50(2.25% return)
Because the notes have not been automaticallycalledand the Final Valueof the Least Performing Fund is less than itsInterest Barrier
but is greater than or equal toits Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00.
Whenadded to the Contingent Interest Payments received with respect to theprior Review Dates, the total amount paid, for each
$1,000 principal amount note, is$1,022.50.
Example 4- Notes have NOT been automatically called and the Final Value of the Least Performing Fund is lessthan its
Trigger Value.
Date
Closing Price of One Share
of Least Performing Fund
Payment (per $1,000 principalamount note)
First Review Date
$40.00
$0
Second Review Date
$45.00
$0
Third through Thirty-Fifth
Review Dates
Less than Interest Barrier
$0
Final Review Date
$40.00
$400.00
Total Payment
$400.00 (-60.00% return)
Becausethe notes have not been automatically called, theFinal Value of theLeast Performing Fund is less than its Trigger Valueand
theLeast PerformingFund Return is-60.00%, the payment at maturity will be $400.00 per $1,000principal amount note, calculated as
follows:
$1,000 + [$1,000 × (-60.00%)]= $400.00
The hypothetical returnsand hypothetical payments on thenotesshown above apply only if you hold the notes for their entireterm
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would beassociated with any sale in the
secondarymarket.If these fees and expenses were included, thehypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notesinvolvessignificant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplementandproduct supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. If the notes have not been automatically called and the Final Value ofany
Fundisless than itsTrigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the
Least Performing Fund is less than itsInitial Value. Accordingly, under these circumstances, you will lose more than30.00% of
your principal amount at maturity and could 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 thenotes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date (and we
will payyou any previously unpaid Contingent Interest Paymentsfor anyprior Review Dates) onlyif the closingprice of oneshare
of each Fundon that Review Date is greater than or equal to its Interest Barrier. If theclosing price of one shareof any Fundon
that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
PS-7| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
You will not receive any unpaid Contingent Interest Payments if the closing price of oneshare of any Fund on each subsequent
Review Date is less than its Interest Barrier. Accordingly, if the closing price of one share of any Fund oneach Review Date is less
than its Interest Barrier, you will not receive anyinterest payments over the term of thenotes.
•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 creditworthinessor credit spreads, as determined bythe market for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to you under the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loansmade by us to
JPMorgan Chase & Co. or under other intercompany agreements. Asa result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to havesufficient resources tomeet our obligations in
respect of the notesas they come due. If JPMorgan Chase& Co. does not make payments to us and we are unable to make
payments on the notes, you may have toseek payment under the related guaranteebyJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciationof any Fund, which may be significant. You will not participate in any appreciation of anyFund.
•YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACHFUND -
Payments onthenotes are not linkedto abasket composed of the Funds and are contingent upon the performance of each
individual Fund. Poor performance by any of theFunds over the term of the notesmay result in the notesnot being automatically
calledon a Review Date, maynegatively affect whether you will receive a Contingent Interest Payment on any Interest Payment
Date and your payment at maturityand willnot be offset or mitigated bypositive performance byanyother Fund.
•YOUR PAYMENT AT MATURITYWILL BE DETERMINED BY THE LEAST PERFORMING FUND.
•THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE-
If theFinal Valueof any Fundis lessthan its Trigger Value and the noteshave not been automatically called, the benefit provided
by the Trigger Value will terminate and you willbe fully exposed to any depreciation of theLeast Performing Fund.
•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 threemonthsand you will
not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be
ableto 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, you are not entitled to any fees and commissions
described on the front cover of this pricing supplement.
•YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON ANY FUND OR ANY SECURITIES HELD BY ANY
FUND OR HAVE ANY RIGHTS WITH RESPECT TO ANY FUND OR THE SECURITIES OR COMMODITIES HELD BY ANY
FUND.
•ANY PAYMENT ON THE NOTES WILL BE DETERMINED BY REFERENCE ONLY TO THE PRICE PERFORMANCES OF THE
ISHARES® 20+ YEAR TREASURY BOND ETF -
Any payment on the notes will be based in part on the price performance of the iShares®20+ Year Treasury Bond ETF, which
does not include dividends orother distributions on the iShares® 20+ Year Treasury Bond ETF or the securitiesheld by the
iShares®20+ Year Treasury Bond ETF. The magnitudeof this lost dividend or distribution yield may beparticularly significant. The
iShares®20+ Year Treasury Bond ETF is a bond fund and, as with any bond fund, distributionsof interest payments on the bonds
heldby theiShares® 20+ Year Treasury Bond ETF would be expected tomake up asignificant portion of the overallyield on a
direct investment in the iShares® 20+ Year Treasury Bond ETF. The notes will not reflect distributions of interest payments on the
PS-8| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
bonds held by the iShares® 20+ Year Treasury Bond ETF and, therefore, will not reflect the interest component of the yield on the
iShares®20+ Year Treasury Bond ETF. Asa result, the performanceof the iShares® 20+ Year Treasury Bond ETF as measured
for purposes of the notesmay be significantlyless than the return that a direct investor in the iShares® 20+ Year Treasury Bond
ETF would realize.
•THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS INTEREST BARRIER OR TRIGGER
VALUE IS GREATER IF THE PRICE OF ONE SHARE OF THAT FUND IS VOLATILE.
•LACK OF LIQUIDITY -
Thenotes will not be listed onanysecurities exchange.Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at whichJPMS is willing to buy thenotes. You may notbe able tosell yournotes. The notes
are not designed to be short-term trading instruments. Accordingly, you should beable and willing to hold your notes to maturity.
•THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT -
You should consider your potential investment in the notesbased on the minimums for theestimated value of the notes and the
Contingent Interest Rate.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay avarietyof roles in connection with thenotes. In performing these duties, our and JPMorgan Chase &
Co.'seconomic interests are potentially adverse toyour interests as an investor in the notes. It ispossiblethat hedging or trading
activities of ours or our affiliates in connection with the notes could 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.
In addition, the benchmark price of theiShares®Silver Trust's Underlying Commodity (as defined under "The Funds" below) is
administered by the London BullionMarket Association ("LBMA") or an independent service provider appointed by the LBMA, and
we are, or one of our affiliatesis, a price participant that contributes to the determination of that price. Furthermore, our affiliate is
the custodian of the iShares®Silver Trust.We and our affiliates will have no obligation to consider your interests as a holder of the
notes in takingany actionsin connection with our roles as apriceparticipant and a custodian that might affect the iShares®Silver
Trust or the notes.
Risks Relating to theEstimated Value and Secondary Market Prices of the Notes
•THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the
noteswill exceed the estimated valueof the notesbecausecosts associated with selling, structuring andhedging the notes are
included in the original issue price of the notes. Thesecosts 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 of hedging
our obligations under the notes. See "The Estimated Value of 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.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determinationof the estimated value of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifference may
be based on, among other things, our and our affiliates' view of thefunding value of the notes as well as the higher issuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is 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 ratemay have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See"The Estimated Value of the Notes" in thispricing supplement.
PS-9| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the noteswill be partiallypaid back to you in
connection with any repurchases of your notesbyJPMS in an amount that will decline to zero over an initial predetermined period.
See"SecondaryMarket Prices of the Notes" in this pricingsupplement for additionalinformation relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the valueof the notesaspublished by
JPMS (and which may be shown onyour customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take into account our internal secondarymarket funding rates for structured debt issuances and,
also, because secondarymarket prices may exclude selling commissions,projected hedging profits, if any, and estimatedhedging
costs that are included intheoriginal 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
theMaturity 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 thenotes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom the selling commissions,projected hedgingprofits, if any, estimated hedging
costs and theprices of one shareof the Funds. Additionally, independent pricing vendorsand/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 thenotes, if any, at which JPMS may be willing topurchase your notes in thesecondary market. See "Risk
Factors -Risks Relating to the Estimated ValueandSecondaryMarket Pricesof the Notes -Secondary market prices of the
noteswill beimpactedbymanyeconomic and market factors" in the accompanying product supplement.
Risks Relating to theFunds
•THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THAT FUND'S UNDERLYING INDEX OR
UNDERLYING COMMODITY, AS APPLICABLE, AS WELL AS THE NET ASSET VALUE PER SHARE -
Each of the Communication Services Select Sector SPDR®Fundand theiShares®20+ Year Treasury Bond ETF does not fully
replicate its UnderlyingIndex (as defined under "The Funds" below) and may hold securities different from those included inits
Underlying Index. Inaddition, the performance of each of theCommunication Services Select Sector SPDR® Fund and the
iShares®20+ Year Treasury Bond ETF will reflect additional transaction costs and fees thatare not included in thecalculation of its
Underlying Index. All of these factorsmay lead to a lack of correlation between the performance of each of the Communication
Services Select Sector SPDR® Fund and the iShares®20+ Year Treasury Bond ETFand its Underlying Index. In addition,
corporateactions with respect to the equity securities underlying the Communication Services Select Sector SPDR® Fund(such as
mergers and spin-offs) mayimpact the variance between the performances of that Fundand its Underlying Index. Finally, because
the shares ofeach ofthe Communication Services Select Sector SPDR®Fundand the iShares®20+ Year Treasury Bond ETFare
tradedon a securities exchange and aresubject to market supply and investor demand, the market value of one share of each of
theCommunication Services Select Sector SPDR® Fund and theiShares®20+ Year Treasury Bond ETFmay differ from the net
asset value per share ofthat Fund.
In addition, the iShares® Silver Trust does not fully replicate the performance of its Underlying Commodity due to the feesand
expensescharged by the iShares® Silver Trust or by restrictionson access to the relevant Underlying Commodity(asdefined
under "The Funds" below) dueto other circumstances. The iShares®Silver Trust does not generate anyincome, and as the
iShares®Silver Trust regularlysells its Underlying Commodity topayfor ongoingexpenses, the amount of its Underlying
Commodity represented by each share graduallydeclinesover time. TheiShares® Silver Trust sells its Underlying Commodity to
payexpenseson an ongoing basis irrespectiveof whether the trading price of the shares risesor falls in response to changes in
the price of its Underlying Commodity. The sale by theiShares® Silver Trust of its Underlying Commodityto payexpensesat a
time of low prices for its Underlying Commodity could adverselyaffect the value of the notes. Additionally, there is a risk that part
or all of the iShares® Silver Trust's holdings in its Underlying Commoditycould be lost, damaged or stolen. Access to the iShares®
Silver Trust's Underlying Commoditycould also be restricted by natural events (such as anearthquake) or human actions(such as
a terrorist attack). All of these factorsmay lead to a lack of correlationbetween the performance of the iShares®Silver Trust and
its Underlying Commodity. Inaddition, because the shares of theiShares® Silver Trust aretradedon a securities exchange and
PS-10| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
are subject to market supply and investor demand, themarket valueof one share of the iShares® Silver Trust may differ from the
net asset value per share of the iShares®Silver Trust.
During periodsof market volatility, securities underlying each of the Communication Services Select Sector SPDR®Fund and the
iShares®20+ Year Treasury Bond ETF or the Underlying Commodity of the iShares®Silver Trust may be unavailable in the
secondarymarket, market participants may be unable to calculate accurately the net asset value per share of that Fund and the
liquidity ofthat Fund may be adversely affected. This kindof market volatilitymay also disrupt the ability of market participants to
create and redeem shares of a Fund.Further, market volatility may adverselyaffect,sometimesmaterially, the prices at which
market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances, themarket value of
shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the
performance of each Fund may not correlate with the performance of its Underlying Indexor Underlying Commodity, asapplicable,
as well as the net asset value per share of that Fund, which could materially and adversely affect the value of the notes inthe
secondarymarket and/or reduce any payment on the notes.
•THE iSHARES® SILVER TRUST IS NOT AN INVESTMENT COMPANY OR COMMODITY POOL AND WILL NOT BE SUBJECT
TO REGULATION UNDER THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, OR THE COMMODITY EXCHANGE
ACT -
Accordingly, you will not benefit from any regulatory protections afforded to persons whoinvest in regulated investment companies
or commodity pools.
•THE NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH SILVER WITH RESPECT TO THE iSHARES® SILVER TRUST -
The iShares® Silver Trust seeks to reflect generally the performance of the price of silver, less the iShares®Silver Trust'sexpenses
and liabilities. The price of silver isprimarilyaffected byglobal demand for and supply of silver. Silver prices can fluctuate widely
and maybe affectedbynumerous factors. These include general economic trends, increases in silver hedging activity bysilver
producers, significant changes in attitude byspeculators and investors in silver, technical developments, substitutionissues and
regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rateof inflation, the
relativestrength of the U.S. dollar (thecurrency in which the price of silver isgenerally quoted) and other currencies, interest rates,
central bank sales, forward sales by producers, global or regionalpoliticalor economic events and production costs and disruptions
in major silver-producing countries, such as Mexico, China and Peru. The demand for and supply of silver affect silver prices, but
not necessarily in the samemanner assupply and demandaffect the prices of other commodities. The supplyof silver consistsof
a combination of new mine productionandexisting stocks of bullionand fabricatedsilver held by governments, public and private
financial institutions, industrial organizations and private individuals. In addition, the price of silver has on occasion been subject to
very rapid short-termchanges due to speculative activities. From time to time, above-ground inventories of silver may also
influence the market. The major enduses for silver include industrial applications, jewelry and silverware. It isnot possible to
predict the aggregateeffect ofall or any combination of these factors.
•THERE ARE RISKS RELATING TO COMMODITIES TRADING ON THE LBMA WITHRESPECT TO THE iSHARES® SILVER
TRUST -
The iShares® Silver Trust seeks to reflect generally the performance of the price of silver, less the iShares®Silver Trust's expenses
and liabilities. The price of silver isdeterminedby the LBMA or anindependentservice provider appointed by the LBMA. The
LBMA is aself-regulatoryassociation of bullionmarket participants. Although all market-making members of the LBMA are
supervisedbythe Bankof Englandandare required to satisfy acapitaladequacy test, theLBMA itself is not a regulated entity. If
the LBMA should cease operations, or if bullion tradingshould become subject to a value added taxor other tax or any other form
of regulationcurrently not in place, the role of the LBMA silver price as a global benchmarkfor the value of silver may be adversely
affected. The LBMA isa principals' market, which operates in a manner moreclosely analogous to an over-the-counter physical
commodity market than regulated futures markets, and certain features of U.S. futurescontracts are not present in the context of
LBMA trading. For example, there are no dailyprice limitson the LBMA which would otherwise restrict fluctuations in the prices of
LBMA contracts. In a declining market, it is possible that priceswould continue to declinewithout limitation within a trading day or
over a periodof trading days. The LBMA mayalter, discontinue or suspend calculation or dissemination of the LBMA silver price,
which could adversely affect the value of the notes.The LBMA, or an independent service provider appointed bytheLBMA, will
have noobligation to consideryour interests in calculating or revising the LBMA silver price.
•SINGLE COMMODITY PRICES TEND TO BE MORE VOLATILE THAN, AND MAY NOT CORRELATE WITH, THE PRICES OF
COMMODITIES GENERALLY -
The iShares® Silver Trust is linked to a singlecommodity and not to a diversebasket of commodities or a broad-based commodity
index. The iShares®Silver Trust's Underlying Commoditymay not correlate to the priceof commodities generally and may diverge
PS-11| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
significantlyfrom the prices of commodities generally. As a result, the notescarry greater risk and may be more volatile than notes
linked to the prices of more commodities or a broad-based commodity index.
•THERE ARE RISKS ASSOCIATED WITH THE COMMUNICATION SERVICES SELECT SECTOR SPDR® FUND ANDTHE
ISHARES® 20+ YEAR TREASURY BOND ETF -
Each of the Communication Services Select Sector SPDR®Fund and theiShares®20+ Year Treasury Bond ETFissubject to
management risk, whichisthe risk that the investment strategies of the applicableFund'sinvestment adviser, the implementation
of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the
market price of theshares of theCommunication Services Select Sector SPDR® Fund or the iShares® 20+ Year Treasury Bond
ETF and, consequently, the value of the notes.
•RISKS ASSOCIATED WITH THE COMMUNICATION SERVICES SECTOR WITH RESPECT TO THE COMMUNICATION
SERVICES SELECT SECTOR SPDR®FUND -
All or substantially all of the equitysecurities held by the Communication Services Select Sector SPDR®Fundare issuedby
companies whose primary line of business is directly associated with the communicationservicessector. As a result, thevalue of
the notes may be subject to greater volatility and be more adversely affected by asingleeconomic, political or regulatory
occurrence affecting thissector thana different investment linked tosecuritiesof a more broadly diversifiedgroup of issuers.
Communication servicescompanies are particularly vulnerable to the potential obsolescence of products and services due to
technologicaladvancement and theinnovation of competitors. Companies in the communication services sector may also be
affected byother competitive pressures, such aspricing competition, as well as research and development costs, substantial
capital requirements and government regulation. Additionally, fluctuating domestic and international demand, shifting
demographics and oftenunpredictable changesin consumer tastes can drastically affect a communicationservices company's
profitability. Whileall companies maybe susceptible to network security breaches, certaincompaniesin thecommunication
servicessector maybe particular targets of hacking and potential theft of proprietary or consumer information or disruptions in
service, which could have a material adverse effect on their businesses.These factors could affect the communicationservices
sector and could affect the value of theequitysecurities held by theCommunication Services Select Sector SPDR® Fund and the
price of theCommunication Services Select Sector SPDR®Fund during the term of the notes, which may adverselyaffect thevalue
of your notes.
•THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING
INTEREST RATE-RELATED RISKS, WITH RESPECT TO THE ISHARES® 20+ YEAR TREASURY BOND ETF -
TheiShares®20+ Year Treasury Bond ETF attempts to track the performance of an indexcomposed of U.S. Treasury bonds.
Investing in the notes that provide exposure to theiShares® 20+ Year Treasury Bond ETF, whichprimarily holds bonds, differs
significantlyfrom investing directly in bonds to be held to maturity, as thevalue of the iShares® 20+ Year Treasury Bond ETF
changes, at times significantly, during each trading daybased upon the current market prices of the underlying bonds. The market
prices of these bonds are volatile and significantly influenced by anumber of factors, particularly the duration of the underlying
bonds, the yieldson these bonds as compared tocurrent market interest rates and the actual or perceived credit quality of the U.S.
government.
In general, fixed-income instruments are significantly affected bychanges in current market interest rates. As interest rates rise,
the prices of fixed-income instruments are likelyto decrease, and as interest rate fall, theprice of fixed-income securities are likely
to increase. Securities withlonger durations tend to be more sensitive tointerest rate changes, usuallymaking them more volatile
than securities withshorter durations. As a result, risinginterest rates may cause the value of the long-dated bonds underlying the
iShares®20+ Year Treasury Bond ETF to decline, possibly significantly, which wouldadversely affect the value of the notes.
Interest ratesare subject tovolatility due to a variety of factors, including:
•sentiment regarding underlying strength or weakness intheU.S. economy and global economies;
•expectations regarding the level of price inflation;
•sentiment regarding credit qualityin the U.S. and globalcredit markets;
•Federal Reserve policies regardinginterest rates; and
•the performance of U.S. and foreign capitalmarkets.
•THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING
CREDIT RISK, WITH RESPECT TO THE ISHARES®20+ YEAR TREASURY BOND ETF -
TheiShares®20+ Year Treasury Bond ETF attempts to track the performance of an indexcomposed of U.S. Treasury bonds. The
prices of the bonds underlyingtheiShares®20+ Year Treasury Bond ETF are significantlyinfluenced by the creditworthiness of the
U.S. government. The bonds underlying theiShares® 20+ Year Treasury Bond ETFmay have their credit ratings downgraded, or
PS-12| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
their credit spreadsmay widen significantly. Following a ratings downgrade or the widening of credit spreads, the bonds underlying
theiShares®20+ Year Treasury Bond ETFmay suffer significant and rapid price declines. Therecan be no assurance that some
or all of the factors that contributed to that credit crisis will not depresstheprice, perhapssignificantly, of the bonds underlying the
iShares® 20+ Year Treasury Bond ETF, which would adverselyaffect the value of the notes.
•THE VALUE OF THE NOTES MAY BE INFLUENCED BY UNPREDICTABLE CHANGES IN THE MARKETS AND ECONOMIES
OF THE UNITED STATES WITH RESPECT TO THE ISHARES® 20+ YEAR TREASURY BOND ETF -
The value of the iShares®20+ Year Treasury Bond ETFthatattempts to track the performance of an index composed of U.S.
Treasury bonds may be influenced byunpredictablechanges, or expectationsof changes,in the U.S. market. Changes in the U.S.
government that may influence thevalue of the notesinclude:
•economic performance, including any financial or economic crises and changesin the gross domestic product, the principal
sectors, inflation, employment and labor, and prevailing prices and wages;
•the monetarysystem, including the monetary policy, the exchange rate policy, the economic and tax policies, banking
regulation, credit allocation and exchange controls;
•the externalsector, includingthe amount and types of foreign trade, the geographic distribution of trade, the balance of
payments, and reserves and exchange rates;
•public finance, including the budget process, anyentry into or termination of anyeconomic or monetary agreement or union,
the prevailing accountingmethodology, themeasuresof fiscal balance, revenues and expenditures, and anygovernment
enterprise or privatization program; and
•public debt, including external debt, debt service and thedebt record.
These factors interrelate in complex ways, and the effect of one factor on the market value of the bondsunderlying the iShares®
20+ Year Treasury Bond ETF mayoffset or enhance the effect of another factor. Changesin the value of the iShares® 20+ Year
Treasury Bond ETF may adversely affect any payment on the notes.
•THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED -
The calculation agent will make adjustments to the Share Adjustment Factor for each Fundfor certain events affecting theshares
of that Fund. However, thecalculation agent will not make an adjustment inresponse to all events that could affect the sharesof
the Funds. If an event occursthat does not require thecalculation agent to make an adjustment, the value of the notesmay be
materially andadverselyaffected.
PS-13| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
The Funds
The iShares® Silver Trust is an investment trust sponsored by iShares® DelawareTrust Sponsor LLC. The iShares® Silver Trust seeks
to reflect generally the performance of the price of silver, less the iShares®Silver Trust's expensesandliabilities. The assets of the
iShares® Silver Trust consistsprimarily of silver held by acustodian on behalf of theiShares® Silver Trust. We refer tosilver as the
Underlying Commodity with respect tothe iShares®Silver Trust. For additional information about the iShares®Silver Trust, see "Fund
Descriptions-The iShares®Silver Trust" in the accompanying underlyingsupplement.
TheCommunication Services Select Sector SPDR® Fund isan exchange-traded fund of the Select Sector SPDR® Trust, a registered
investment company, that seeks to provide investment results that, before expenses, correspond generally to the price and yield
performance of publicly traded equitysecurities of companies inthe Communication Services Select Sector Index, whichwe refer to as
the Underlying Index with respect to the Communication Services Select Sector SPDR® Fund. The Communication ServicesSelect
Sector Index is acapped modified market capitalization-based index that measures the performance of the GICS® communication
servicessector of the S&P 500® Index, which currentlyincludescompanies in thefollowing industries: diversified telecommunication
services; wirelesstelecommunicationservices; media; entertainment;andinteractive media & services. For additionalinformation
about theCommunication Services Select Sector SPDR®Fund, see "Fund Descriptions-The Select Sector SPDR® Funds" in the
accompanying underlying supplement.
The iShares® 20+ Year Treasury Bond ETF is an exchange-traded fund of iShares®Trust, a registered investment company, that seeks
to track the investment results, before fees and expenses, of an index composed of U.S. Treasury bonds with remaining maturities
greater than twentyyears, which is currentlythe ICE U.S. Treasury 20+ Year Bond Index,which we refer to as the Underlying Index
with respect to theiShares®20+ Year Treasury Bond ETF. The ICE U.S. Treasury 20+ Year Bond Indexmeasures the performance of
the U.S. dollar-denominated, fixed-rate U.S. Treasury market that have a remaining maturity greater than or equalto twenty years. For
additional information about the iShares®20+ Year TreasuryBondETF, see "Fund Descriptions - The iShares® 20+ Year Treasury
Bond ETF" in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance of each Fundbasedon the weekly historicalclosing prices of one share of
each Fund from January4, 2019 throughOctober 25, 2024. The closingprice of one share of theiShares® Silver Truston October 31,
2024 was$29.81.Theclosing price of one shareof the Communication Services Select Sector SPDR®Fundon October 31, 2024 was
$92.04. The closing priceof one share of the iShares® 20+ Year Treasury Bond ETF on October 31, 2024 was $92.45.We obtained
theclosing prices above and below from the Bloomberg Professional®service ("Bloomberg"), without independent verification. The
closing prices above and below mayhave beenadjusted byBloombergfor actions taken by the Funds, such as stocksplits.
The historical closing prices of one shareof each Fundshould not be taken as anindication of future performance, and no assurance
canbe given as tothe closing price of one share of any Fund on the Pricing Dateor any Review Date.Therecan be no assurance that
the performance of the Fundswill result in the return of anyof yourprincipal amount or the payment of anyinterest.
PS-14| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. In determiningour reporting responsibilities 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
adviceof Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment,but that there are other
reasonable treatments that the IRS or acourt may adopt, inwhichcase the timing and character of anyincome or loss on the notes
could be materially affected.In addition, in 2007 Treasuryand the IRS released a notice requesting comments on the U.S. federal
income taxtreatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether torequire
investors in theseinstrumentsto accrue income over the term of their investment. It also asks for commentson a number of related
topics, includingthecharacter of income or loss with respect to these instruments and the relevance of factors suchas 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.Thediscussions 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 consequences of an investment in the notes,
including possible alternative treatments and the issues presented bythe notice described above.
PS-15| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
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 anapplicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent, intend to)
withhold on any Contingent Interest Payment paid to a Non-U.S. Holder generallyat a rate of 30% or at a reduced ratespecified by an
applicable income tax treatyunder an "other income" or similar provision. We will not be required topayany additional amounts with
respect to amounts withheld. In order to claiman exemptionfrom, or a reduction in, the 30% withholdingtax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and iseligible for suchan exemption or
reduction under an applicable tax treaty. Ifyou are a Non-U.S. Holder, you should consultyour taxadviser regarding thetax treatment
of thenotes, includingthepossibility of obtaining a refund of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgatedthereunder ("Section 871(m)") generally impose a 30% withholding
tax (unlessan income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthescopeof 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 dividends for U.S. federal
income taxpurposes (each an "Underlying Security").Based on certain determinations made by us, we expect that Section 871(m) will
not apply tothenotes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, andthe IRS may disagree with
thisdetermination. Section871(m) is complex and its application may depend on your particular circumstances, including whether you
enter intoother transactions with respect to an Underlying Security.If necessary, further information regarding thepotential application
of Section 871(m) will be provided in the pricing supplement for the notes. You should consult your taxadviser regarding the potential
application of Section 871(m) to thenotes.
In theevent of any withholding on the notes, we will not be required topayany additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
Theestimated value of the notes set forth on the cover of this pricing supplementisequal to thesum of thevalues of thefollowing
hypothetical components: (1) a fixed-income debt component with the same maturityasthe notes, valuedusingthe internal funding
ratedescribed below, and (2) the derivative or derivatives underlyingtheeconomic terms of the notes.The estimated value of the
notes does not represent a minimum price at which JPMS wouldbe willing to buy your notes in any secondarymarket (if anyexists) at
any time.The internal funding rate used in the determination ofthe estimated valueof the notes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof asimilar maturityissued by JPMorganChase & Co. or its affiliates. Any difference
maybe based on, among other things, our and our affiliates'view of the funding value of thenotes as well as the higherissuance,
operational and ongoingliability management costs of the notesin 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 beincorrect, and is intended to approximatetheprevailing market replacement funding rate for the notes. The use of an internal
funding rate and anypotential changes to that ratemay have an adverse effect on the terms of the notes and anysecondary market
prices of the notes. For additional information, see"Selected Risk Considerations - Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes -The Estimated Value of the NotesIsDerived byReference toan Internal Funding Rate"in this
pricingsupplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates.These modelsare dependent on inputssuch as the traded market prices of comparable derivative instruments and on
variousother 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, theestimated value of thenotes is
determined when the termsof the notes are set based on market conditions and other relevant factors and assumptions existing at that
time.
Theestimated valueof the notes doesnot represent future values of the notes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations forthe notes that are greater than or lessthan 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
futuredates, the value 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
which JPMS would be willingto buy notesfromyou in secondarymarket transactions.
Theestimated value of the noteswill be lower than the original issue price of the notes because costs associatedwith selling,
structuring and hedging the notes are included in the originalissue price of the notes.These costs include the selling commissions
paidto JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliatesexpect to realize for assuming
PS-16| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
risks inherent in hedging our obligations under thenotes and the estimated cost of hedgingour obligations under the notes.Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result inaprofit that
ismoreor less than expected,or it may result in a loss. A portion of the profits, if any,realized in hedging our obligations under the
notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits.See "Selected Risk Considerations- Risks Relating to the Estimated Value and SecondaryMarket Prices of theNotes-The
Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricing 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 beimpacted bymany
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in the original issue price of the notes willbe partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period.These costs can includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances.This initial predetermined time period is intended to be the shorter of sixmonths and one-half of the
stated term of thenotes.The lengthof anysuch initial period reflects the structure of the notes, whether our affiliates expect toearn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred,as
determined by our affiliates.See "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes- The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a LimitedTime Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-returnprofile and market exposure provided by the
notes.See"How the Notes Work" and "Hypothetical Payout Examples" in this pricingsupplement for an illustration of therisk-return
profile of the notes and "The Funds"in this pricing supplement for a description of the market exposure provided by thenotes.
The originalissue price of thenotes is equal to the estimated value of the notesplus the selling commissionspaid toJPMS and other
affiliated or unaffiliated dealers,plus(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable
agent. We reservethe right to change the terms of, or reject anyoffer to purchase, the notes prior to their issuance. In the event of any
changes to the terms of the notes, we will notifyyou and you will be asked to accept such changes in connection withyour purchase.
You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should read thispricing supplement together with the accompanying prospectus, as supplementedbytheaccompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part,the accompanying prospectus
addendumand the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement.This pricingsupplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other writtenmaterialsincluding preliminary 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 in the "Risk Factors" sections of the accompanying
prospectussupplement and the accompanying product supplement and in Annex A to the accompanyingprospectusaddendum, 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.govasfollows (or if such addresshas changed, by reviewingour
filingsfor 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:
•Prospectus addendum datedJune 3, 2024:
PS-17| Structured Investments
Auto Callable ContingentInterestNotes Linked to theLeastPerforming of
the iShares®Silver Trust, the Communication Services SelectSector
SPDR®Fundand the iShares®20+ Year Treasury Bond ETF
Our CentralIndex 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.