JPMorgan Chase & Co.
10/03/2024 | Press release | Distributed by Public on 10/03/2024 14:05
Primary Offering Prospectus - Form 424B2
October 1, 2024
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to productsupplement no. 4-Idated April 13, 2023, underlying supplement no. 5-II dated March5,2024, the prospectus and
prospectussupplement, each dated April 13, 2023,and the prospectus addendum dated June3,2024
JPMorganChase FinancialCompany LLC
Structured Investments
$897,000
Auto CallableContingent Interest Notes Linked to the MerQube
US Tech+ Vol Advantage Index due October 4, 2029
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
●The notes aredesigned for investors who seek a Contingent Interest Payment with respect to each Review Date for which
the closing level of the MerQube US Tech+ Vol Advantage Index, which we refer to as the Index, is greater than or equalto
60.00% of the Initial Value, which we refer to as the Interest Barrier.
●The notes will be automatically called if the closing level of the Index on any Review Date (other than the first and final
Review Dates) is greater thanor equal to the Initial Value.
●The earliest dateon which an automatic call may be initiated is April1, 2025.
●Investors should be willing toaccept the riskof losing some or allof their principal and the risk that no Contingent Interest
Payment may be made with respect tosome or all Review Dates.
●Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
●The Index is subject to a 6.0% per annum daily deduction, and the performance of the Invesco QQQ Trust
SM
, Series
1 (the "QQQ Fund") is subject to a notional financing cost. These deductions will offset any appreciation of the
components of the Index, will heighten any depreciation of those components and will generally be adrag on the
performance of the Index. The Index will trail the performance of an identical indexwithout such deductions. See
"Selected Risk Considerations- Risks Relating to the Notes Generally -The Levelof the Index Will Include a
6.0% per Annum Daily Deduction"and "Selected Risk Considerations-Risks Relating to the Notes Generally -
The Level of the Index Will Include the Deduction of a Notional Financing Cost" in this pricing supplement.
●The notes areunsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer toas
JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk
of JPMorgan Chase & Co., as guarantor of the notes.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes priced on October 1, 2024 and areexpected to settle on or about October 4, 2024.
●CUSIP:48135UJX9
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of theaccompanying
prospectus supplement, Annex A to the accompanyingprospectus addendum, "Risk Factors" beginning on page PS-11 of
the accompanying product supplement,"Risk Factors" beginning on page US-4 of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on page PS-7 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 theaccuracy or theadequacyof this pricing supplement or the accompanyingproduct supplement,
underlying supplement, prospectus supplement, prospectusand 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
$37.50
$962.50
Total
$897,000
$33,637.50
$863,362.50
(1) See "Supplemental Use ofProceeds" in this pricingsupplement for informationabout the componentsof the price to public ofthe notes.
(2) J.P. MorganSecuritiesLLC, which wereferto as JPMS,actingasagentforJPMorgan Financial,will payall ofthe sellingcommissions
of $37.50per$1,000principalamount noteitreceivesfromustootheraffiliatedor unaffiliateddealers.See"PlanofDistribution(Conflicts
of Interest)"in theaccompanyingproduct supplement.
The estimated value of the notes, when the terms of the notes were set, was $912.10 per $1,000 principal amount note. See
"The Estimated Value of theNotes" in this pricing supplement for additional information.
Thenotes are not bankdeposits, are not insured bytheFederal Deposit Insurance Corporation or anyother governmental agency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:JPMorgan Chase & Co.
Index:The MerQube US Tech+ Vol Advantage Index
(Bloomberg ticker: MQUSTVA). The levelof the Index reflects
a deduction of 6.0% per annum that accruesdaily, and the
performance of the QQQ Fund issubject to a notional financing
cost that accrues daily.
Contingent Interest Payments:
If the notes have not been automatically called and the closing
level of the Index on any Review Date is greater than or equal
to the Interest Barrier, you willreceive on the applicableInterest
Payment Date for each $1,000 principal amount note a
Contingent Interest Payment equal to $30.00 (equivalent to a
Contingent Interest Rate of 12.00% per annum, payable at a
rate of 3.00% per quarter).
If the closing level of the Index on any Review Date is less than
the Interest Barrier, no Contingent Interest Payment will be
made with respect to that Review Date.
Contingent Interest Rate:12.00% per annum, payable at a
rate of 3.00% per quarter
Interest Barrier/Trigger Value: 60.00% of the Initial Value,
whichis6,590.208
Pricing Date:October 1, 2024
Original Issue Date (Settlement Date):On or about October
4, 2024
Review Dates*:January 2, 2025, April 1, 2025, July 1, 2025,
October 1, 2025, January 2, 2026, April1, 2026, July 1, 2026,
October 1, 2026, January 4, 2027, April1, 2027, July 1, 2027,
October 1, 2027, January 3, 2028, April3, 2028, July 3, 2028,
October 2, 2028, January 2, 2029, April2, 2029, July 2, 2029
and October 1, 2029 (final Review Date)
Interest Payment Dates*:January 7, 2025, April 4, 2025, July
7, 2025, October 6, 2025, January7, 2026, April 7, 2026, July
7, 2026, October 6, 2026, January7, 2027, April 6, 2027, July
7, 2027, October 6, 2027, January6, 2028, April 6, 2028, July
7, 2028, October 5, 2028, January5, 2029, April 5, 2029, July
6, 2029 and the Maturity Date
Maturity Date*:October 4, 2029
Call Settlement Date*:If the notes are automatically calledon
any Review Date (other than the first and final Review Dates),
the first Interest Payment Date immediately followingthat
Review Date
* Subjectto postponement in theevent of amarket disruption event and
as describedunder "Supplemental Terms oftheNotes-
Postponementof aDetermination Date -NotesLinked Solely toan
Index" intheaccompanyingunderlying supplement and "General Terms
of Notes-Postponement of aPaymentDate"in theaccompanying
product supplement
Automatic Call:
If the closing level of the Index on any Review Date (other than
the first and final Review Dates) is greater thanor equalto the
Initial Value, the notes will be automaticallycalled for a cash
payment, for each $1,000 principal amount note, equal to (a)
$1,000 plus(b) the Contingent Interest Payment applicable to
that Review Date, payable on the applicable CallSettlement
Date. No further payments will be madeon the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value isgreater than or equalto theTrigger 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 applicable to the final Review Date.
If the notes have not been automatically called and the Final
Value isless than the Trigger Value, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and the Final
Value isless than the Trigger Value, you will lose more than
40.00% of your principal amount at maturity and could lose all
of your principal amount at maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Index on the Pricing Date,
which was 10,983.68
Final Value:The closing level of the Index on the final Review
Date
PS-2| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
The MerQube US Tech+Vol Advantage Index
The MerQube US Tech+ Vol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "IndexCalculation
Agent"), incoordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the Index Calculation
Agent. The Index was established on June 22, 2021. An affiliate of ourscurrently has a 10% equityinterest intheIndexSponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of theboard of directors of the Index Sponsor.
Since February 9, 2024 (the "Amendment Effective Date"), the underlying asset to which the Index islinked (the "Underlying Asset")
has been an unfunded position in the QQQ Fund, calculated as the excess of the total return of the QQQ Fund over a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset wasan unfunded rolling position in E-Mini Nasdaq-100futures (the
"Futures Contracts").
The investment objective of the QQQ Fund is to seek to track the investment results, before fees and expenses, of the Nasdaq-100
Index
®
. For more information about the QQQ Fund and the Nasdaq-100 Index
®
, see "Background on the Invesco QQQ Trust
SM
, Series
1" and"Background on the Nasdaq-100Index
®
," respectively, in the accompanying underlying supplement.
The Index attempts to provide a dynamic rules-based exposure to the Underlying Asset, while targeting alevelof implied volatility, with
a maximum exposure to the Underlying Asset of 500% and a minimum exposure to the Underlying Asset of 0%. The Index is subject to
a 6.0% per annumdaily deduction, and theperformance of the Underlying Asset is subject to a notional financingcost deducted daily.
On each weekly Index rebalance day, theexposure tothe Underlying Asset isset equal to (a) the 35% implied volatility target (the
"target volatility") divided by (b) the one-week implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. For
example, if the implied volatility of the QQQ Fund isequal to17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatilityof the QQQ Fundisequal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index's exposureto the Underlying Asset will be greater than 100% when the implied volatility of the QQQ Fund is below
35%, and the Index's exposure to the Underlying Asset willbe less than 100% when the implied volatility of the QQQ Fund is above
35%. In general, the Index'starget volatility featureisexpected to result in the volatilityof the Index being morestable over time than if
no target volatilityfeature were employed. No assurance can be provided that the volatilityof the Index will be stable at any time.The
Index usesthe implied volatility of the QQQ Fund as a proxyfor the realizedvolatilityof the Underlying Asset.
The Index tracks the performance of the QQQ Fund, with distributions, if any, notionallyreinvested, less thedaily deduction of a
notional financingcost. The notional financing cost is intended toapproximate the cost of maintaining a position in the QQQ Fund
using borrowed funds at a rate of interest equal to SOFR plus aspread of 0.50% per annum. SOFR, the Secured Overnight Financing
Rate, is intended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasurysecurities. The Indexis an
"excess return" index and not a "total return" index because, as part ofthecalculation of the level of the Index, the performance of the
QQQ Fund is reduced bythe notional financingcost. The notional financing cost has been deducted from the performance of the QQQ
Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notional financing cost will offset anyappreciationof the Underlying Asset, will heighten
any depreciation of the Underlying Asset and will generally be a drag on the performance of the Index. The Index will trailthe
performance of an identicalindex without suchdeductions.
Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Trigger
Value and the other economicterms available onthenotes are more favorable to investors than the terms that would be available on a
hypothetical note issued byus linkedto an identical index without a daily deduction.However, there can be no assurance that any
improvement in the terms of the notes derived from the dailydeduction will offset the negative effect of the daily deduction on the
performance of the Index. The return on the notes maybe lower than the return on a hypothetical note issued by us linked to an
identical index without a dailydeduction.
The dailydeduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates'internal pricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivatives underlying the economic terms of the notes. See "The Estimated Value of the Notes"
and "Selected Risk Considerations - Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with theuse of significant leverage. The notional financing cost deducted daily will
be magnified by any leverage provided by the Index. Inaddition, the Index maybesignificantly uninvested on any given day,
and, in that case, will realize only a portion of any gainsdue to appreciation of the Underlying Asset on that day. The index
deduction isdeducted dailyat a rateof 6.0% per annum, even when the Index is not fully invested.
PS-3| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
No assurancecan be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successful or will outperform any alternative indexor strategy thatmight reference the Underlying Asset.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanyingunderlying
supplement.
PS-4| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
Supplemental Terms of the Notes
Any value of any underlier, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to the contraryin the indenture governing the notes, that amendment willbecome effective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payment in Connection with the First Review Date
First Review Date
Comparethe closing level of the Index to the Interest Barrieron the Review Date.
The closing level of the Index is greater than or equal
to the Interest Barrier.
You will receive a Contingent Interest Payment on the
applicable Interest Payment Date.
Proceed to the next Review Date.
The closing level of the Index is less than the Interest
Barrier.
No Contingent Interest Payment will be made with respect to
theapplicable Review Date.
Proceed to the next Review Date.
Payments in Connectionwith Review Dates (Other than the First and Final Review Dates)
Review Dates(Other than the First and Final Review Dates)
Initial
Value
Compare the closing level of the Indexto the Initial Value and the Interest Barrier on each Review Date until the final
Review Date or any earlier automatic call.
The closing level of
theIndex isgreater
thanor equal to
theInitial Value.
Automatic Call
The notes will be automatically called on the applicable Call Settlement Date, and you will
receive (a) $1,000 plus (b) theContingent Interest Payment applicable to that Review
Date.
No further payments will be made on the notes.
The closing level of
theIndex isless
thanthe Initial
Value.
No
Automatic
Call
The closing level of the
Index is greater than or
equal tothe Interest
Barrier.
You will receive a Contingent Interest
Payment on the applicable Interest
Payment Date.
Proceed to the next Review Date.
The closing level of the
Index is less than the
Interest Barrier.
No Contingent Interest Payment will be
made with respect to the applicable
Review Date.
Proceed to the next Review Date.
PS-5| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Review Dates
Preceding the Final
Review Date
Final Review Date
Paymentat Maturity
The notes arenot
automatically called.
The Final Value is greaterthanor equal to
the Trigger Value.
You will receive (a) $1,000plus (b)the
Contingent Interest Payment applicable
to the final Review Date.
Proceed to maturity
The Final Value is less thanthe Trigger
Value.
You will receive:
$1,000 + ($1,000 × Index Return)
Under these circumstances, you will
lose some orall of your principal
amount at maturity.
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the termof the
notes basedon the Contingent Interest Rate of 12.00% per annum, depending on how many Contingent Interest Payments are made
prior to automatic call or maturity.
Numberof Contingent
InterestPayments
Total Contingent Interest
Payments
20
$600.00
19
$570.00
18
$540.00
17
$510.00
16
$480.00
15
$450.00
14
$420.00
13
$390.00
12
$360.00
11
$330.00
10
$300.00
9
$270.00
8
$240.00
7
$210.00
6
$180.00
5
$150.00
4
$120.00
3
$90.00
2
$60.00
1
$30.00
0
$0.00
PS-6| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked to a hypothetical Index, assuming a range of performances for the
hypothetical Indexon the Review Dates. The hypotheticalpaymentsset forth below assume the following:
●an Initial Value of 100.00;
●an Interest Barrier and a Trigger Value of 60.00 (equal to 60.00% of the hypothetical Initial Value); and
●a Contingent Interest Rate of 12.00%per annum (payable at a rate of 3.00% per quarter).
The hypothetical Initial Value of 100.00 has been chosen for illustrativepurposes only and doesnot represent the actual Initial Value.
The actual Initial Value is the closinglevel of the Indexon the Pricing Date and is specified under "Key Terms- Initial Value" in this
pricing supplement. For historical data regarding the actual closing levels of the Index, please see the historical information set forth
under "Hypothetical Back-Tested Dataand Historical Information" in thispricing supplement.
Each hypothetical payment set forth below isfor illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following examples havebeen rounded for ease of analysis.
Example 1 - Notes are automatically called on the second Review Date.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
105.00
$30.00
Second Review Date
110.00
$1,030.00
Total Payment
$1,060.00 (6.00% return)
Because the closing level of the Index on the second Review Date is greater than or equal to the Initial Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,030.00 (or $1,000 plus the Contingent Interest
Payment applicable to thesecond Review Date), payable on the applicable Call Settlement Date. The notes are not automatically
callable before the second Review Date, even though the closing level of the Index on thefirst Review Date is greater than the Initial
Value. When added to the Contingent Interest Payment received with respect to the prior Review Date, the total amount paid, for each
$1,000 principal amount note, is $1,060.00. No further payments willbemade on thenotes.
Example 2 - Notes have NOT been automatically called and the Final Value is greater than or equal to the
Trigger Value.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
95.00
$30.00
Second Review Date
85.00
$30.00
Third through Nineteenth
Review Dates
Less than Interest Barrier
$0
Final Review Date
90.00
$1,030.00
Total Payment
$1,090.00 (9.00% return)
Because the notes have not been automatically called and the Final Value is greater than or equal to the Trigger Value, the payment at
maturity, for each $1,000 principal amount note, will be $1,030.00 (or $1,000 plusthe Contingent Interest Payment applicable to the
final Review Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,090.00.
PS-7| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
Example 3 - Notes have NOT been automatically called and the Final Value is less than the Trigger Value.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
50.00
$0
Second Review Date
55.00
$0
Third through Nineteenth
Review Dates
Less than Interest Barrier
$0
Final Review Date
50.00
$500.00
Total Payment
$500.00 (-50.00% return)
Because the notes have not been automatically called, the Final Value is lessthan the Trigger Value and the Index Returnis -50.00%,
the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returnsand hypothetical payments on the notesshown above apply only if you hold the notes for their entire term
or until automatically called. These hypotheticalsdo not reflect the fees or expensesthat would be associated withany sale in the
secondarymarket. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notesinvolves significant risks. These risks areexplained inmore detail in the "Risk Factors" sections of the
accompanying prospectus supplement,product supplement and underlyingsupplement and in Annex A tothe accompanying
prospectus addendum.
Risks Relating to the NotesGenerally
●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 is less than
the Trigger Value, you will lose 1% of the principalamount of your notes for every1% that the Final Value isless than the Initial
Value. Accordingly, under these circumstances, you will lose more than 40.00% 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 the notes have not been automatically called, we willmake a Contingent Interest Payment with respect to a Review Date only if
the closing level of the Index on that Review Date is greater than or equal to the Interest Barrier. If theclosing level of the Index on
that Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Accordingly, if the closing level of the Indexon each Review Date is lessthan the Interest Barrier, you will not receive any interest
payments over the term of thenotes.
●THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction. As a result, the level of the Index will trail the value of an identically
constituted synthetic portfolio that is not subject to anysuch deduction.
Thisdeduction will place a significant drag on the performance of the Index, potentially offsetting positive returnson the Index's
investment strategy, exacerbating negative returnsof its investment strategy andcausing the level of the Index to declinesteadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of itsinvestment strategyis
sufficient to offset the negative effectsof thisdeduction, and then only to the extent that the return of its investment strategy is
greater than this deduction. As a result of this deduction, the level of the Indexmay decline even if the return of itsinvestment
strategy isotherwise positive.
The daily deduction is one of the inputs our affiliates' internal pricing models use to value the derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimated value of thenotes set forth on the cover of this pricing
supplement. The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See"The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes" in thispricing supplement.
●THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST -
Since the Amendment Effective Date, the performance of the Underlying Asset has been subject toa notional financing cost
deducted daily. The notional financingcost is intended to approximate the cost of maintaining a position in the QQQ Fund using
borrowedfunds at a rate of interest equal to the daily SOFR rate plusa fixed spread. The actual cost of maintaining aposition in
the QQQ Fund at any time may be less than the notional financing cost.As a result of this deduction, the level of the Indexwill trail
the value of an identically constituted synthetic portfolio that is not subject to any such deduction.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent 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, as determined bythe market for taking that credit
risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to youunder the notes and you could lose your entire investment.
PS-8| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capitalcontribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments under loansmade by us to
JPMorgan Chase & Co.or under other intercompany agreements.As a result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligationsunder 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 havesufficient resources tomeet our obligations in
respect of the notesas they come due. If JPMorgan Chase& Co. does not make payments tous 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 rank pari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
●THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciation of the Index, which maybe significant. You will not participate inany appreciation of the Index.
●THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE-
If the Final Value is less than the Trigger Value and the notes have not beenautomatically called, the benefit provided bythe
Trigger Value will terminate and you will befully exposed to any depreciation of the Index.
●THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notes are automatically called, the term of the notes may be reduced to asshort as approximately sixmonths and you will
not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you wouldbe
able to reinvest the proceeds from an investment in the notes at a comparable return and/or with acomparable interest rate for a
similar levelof risk. Even in cases where the notes are called before maturity, youarenot entitled to any feesand commissions
described on the front cover of this pricing supplement.
●YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY
RIGHTS WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES.
●THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE
IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE.
●JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigationof the meritsof investing in the notes, the Index and the componentsof the Index.
●LACK OF LIQUIDITY-
The notes will not belistedonany securities exchange. Accordingly, the price at which you maybe able to tradeyour notesis likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not
designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts 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 economicinterests are potentially adverse to your interests as an investor in the notes. Itispossible that hedging or trading
activities of oursor our affiliates in connection with the notescould result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflictsof Interest" in the accompanyingproduct
supplement.
An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another
of our affiliates, as a member of the board of directors of the Index Sponsor. The Index Sponsor can implement policies, make
judgments or enact changes to the Indexmethodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the value of the notes. The Index Sponsor has noobligation to consider your interests in calculating, maintaining orrevising
the Index, and we, JPMS, our other affiliates andour respectiveemployees areunder no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the role of
an employee of JPMS asa member of the board of directors of the Index Sponsor.
In addition, JPMS worked with the Index Sponsor indeveloping the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for which JPMS was
responsible couldhave an impact, positive or negative, on the levelof the Index and the value of your notes. JPMS is underno
obligation to consider your interests as aninvestor in the notes inits role in developing the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
PS-9| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
●THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the
notes exceedsthe estimated value of the notes because costs associated with selling, structuring and hedging the notesare
included in the original issue price of the notes. These costsinclude theselling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimatedcost ofhedging
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 pricingsupplement.
●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 notes maydiffer from themarket-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 valueof the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay
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 to that rate may havean adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Value of the Notes" in this pricing supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the noteswill be partially paid back to you in
connection with any repurchases of your notes byJPMS in an amount that willdecline to zero over an initial predetermined period.
See "Secondary Market Prices of the Notes" in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimated value of your notesduring thisinitial period maybe lower than the value of the notesas published 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 pricesof thenotes willlikely 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 selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willingto buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
the Maturity Date could result in a substantial loss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic andmarket factors, which
mayeither offset or magnify eachother, asidefrom the selling commissions, projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for
the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than theprice
of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See "Risk Factors-Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes -Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to the Index
●THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS
NO OBLIGATION TO CONSIDER YOUR INTERESTS -
The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute the componentsof
the Index or make other methodological changes that could affect the level of the Index. The Index Sponsor has no obligation to
consider your interests incalculating or revising the Index.
●THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
No assurance can be given that the investment strategyon which the Index is based will be successful or that the Index will
outperformany alternative strategythat might be employed with respect to the Underlying Asset.
PS-10| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
●THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurance can be given that the Index willmaintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realizedvolatility of the Index maybe
greater or less than the target volatility.On each weekly Index rebalance day, the Index'sexposure to the Underlying Assetisset
equal to (a) the 35% implied volatility target divided by (b) the one-week implied volatilityof the QQQ Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, there is no guarantee that the methodology used by the Index to determine theimplied volatilityof the QQQFund
will be representative of the realized volatility of the QQQ Fund. The volatilityof the Underlying Asset on any daymay change
quickly and unexpectedly and realized volatility maydiffer significantlyfromimpliedvolatility. In general, over time, the realized
volatilityof the QQQ Fundhas tended to be lower than its implied volatility; however, at any time that realizedvolatility may exceed
its implied volatility, particularly during periods of market volatility. Accordingly, the actual annualized realized volatility of the Index
maybe greater than or less than the target volatility, whichmayadversely affect thelevelof theIndex and the value of the notes.
●THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE -
On a weeklyIndex rebalanceday, the Index will employ leverage to increase the exposureof the Index to the Underlying Assetif
theimplied volatility of the QQQ Fund is below 35%, subject to a maximum exposure of 500%. Under normal market conditions in
the past, the QQQ Fund has tended to exhibit an implied volatilitybelow 35%.Accordingly, the Index has generally employed
leveragein the past, except during periodsof elevatedvolatility. When leverage is employed, any movements in the prices of the
Underlying Asset will result ingreater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage will magnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where asignificant increase in volatility is
accompanied by a significant decline in the price of the Underlying Asset, the level of the Index may decline significantlybeforethe
following Index rebalance daywhen the Index'sexposure tothe Underlying Asset would bereduced. In addition, the notional
financing cost deducted dailywill be magnified by any leverage provided by the Index.
●THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalanceday, the Index's exposureto the Underlying Asset will beless than 100% when theimplied volatility
of the QQQ Fund is above 35%. If the Index's exposure to the Underlying Asset is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Underlying Asset on anysuch day. The 6.0% per annum deductionis
deducted daily, even when the Index is not fullyinvested.
●AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Some of the equity securitiesheldby the QQQ Fund are issued by non-U.S. companies. Investments insecurities linked to the
value of such non-U.S. equitysecurities involve risks associated with the home countries ofthe issuers of those non-U.S. equity
securities. The prices of securities issued by non-U.S. companies maybe affectedbypolitical, economic, financial and social
factors in the home countriesof thoseissuers, or global regions, includingchanges in government, economicand fiscalpolicies
and currency exchange laws.
●THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND -
The QQQ Fund issubject tomanagement risk, which is the risk that the investment strategies of the QQQ Fund's investment
adviser, the implementation ofwhich is subject to a number of constraints, may not produce the intended results. These constraints
could adversely affect the market price of theshares of theQQQ Fund and, consequently, the value of the notes.
●THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE QQQ FUND'S UNDERLYING INDEX AS WELL AS
THE NET ASSET VALUE PER SHARE -
The QQQ Fund does not fullyreplicate its underlying index and may hold securities different fromthose included in its underlying
index. In addition, the performance of the QQQ Fund will reflect additional transaction costs and fees that are not includedin the
calculation of its underlying index. All ofthese factorsmay lead to alackof correlation between the performance of the QQQ Fund
and its underlyingindex. In addition, corporateactions with respect to the equity securitiesunderlying the QQQ Fund (such as
mergers and spin-offs) mayimpact thevariance between the performances of the QQQ Fund and its underlying index. Finally,
because theshares of the QQQ Fund are traded on asecurities exchange and are subject to market supply and investor demand,
the market value of one shareof the QQQ Fund may differ from the net asset value per share of the QQQ Fund.
During periodsof market volatility, securities underlying the QQQ Fund may be unavailable in the secondary market, market
participants may be unable to calculate accurately the net asset value per share of the QQQ Fund and the liquidity of the QQQ
Fund may be adversely affected. Thiskind of market volatility may also disrupt the ability of market participants tocreateand
redeem shares of the QQQ Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market
participants are willing to buyand sell shares of the QQQ Fund. As a result, under these circumstances, the market value of shares
of the QQQ Fund mayvary substantially from the net asset valueper share of the QQQ Fund. For all of the foregoing reasons, the
performance of the QQQ Fund may not correlate with the performance of itsunderlyingindex as well asthe net asset value per
share of the QQQ Fund, which could materially and adversely affect the value of the notes in the secondarymarket and/or reduce
any payment on the notes.
PS-11| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
●HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS, AND THE HISTORICAL AND HYPOTHETICAL BACK-TESTED
PERFORMANCE OF THE INDEX ARE NOT INDICATIONS OF ITS FUTURE PERFORMANCE -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in thispricing supplement is purely theoretical and does not represent the actual historical performance of the Indexand hasnot
been verified by an independent third party. Hypothetical back-tested performance measures have inherent limitations.
Hypothetical back-tested performance is derived bymeans of the retroactive application of a back-tested modelthat has been
designed withthebenefit of hindsight. Alternative modellingtechniques might produce significantly different resultsand may prove
to be more appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations, andyou should carefully consider these limitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance canbe provided that the QQQ Fund is an appropriatesubstitutefor the FuturesContracts. This replacement may
adversely affect the performance of the Index and the valueof the notes, as the QQQ Fund, subject to a notional financing cost,
mayperform worse, perhaps significantly worse, than the Futures Contracts.The Index lacks any operating history with the QQQ
Fund as the Underlying Asset priorto the Amendment Effective Date and may perform in unanticipated ways. Investors in the
notes should bear thisdifference in mind when evaluatingthe historical and hypothetical back-tested performance shown in this
pricing supplement.
●OTHER KEY RISK:
o THE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-
listed and other risks.
PS-12| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forththe hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January 4, 2019 through June 18, 2021, and the historical performance of the Index based on the
weekly historical closing levels of the Index from June 25, 2021 through September 27, 2024. The Index was established on June 22,
2021, as represented by the vertical line in the following graph. All data to the left of that vertical line reflect hypothetical back-tested
performance of the Index. All data to the right of that vertical line reflect actual historical performance of the Index. The closing level of
the Index on October 1, 2024 was 10,983.68. We obtained the closing levels above and below from the Bloomberg Professional
®
service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of theIndex set forth in the following graphare purely theoretical and do not
represent the actual historicalperformance of the Index. See "Selected Risk Considerations- Risks Relating to the Index -
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations,
and the Historical and Hypothetical Back-Tested Performance of the Index Are Not Indications of Its Future Performance" above.
The hypothetical back-tested and historical closing levels of the Index should not be taken as an indication of future performance, and
no assurance can be given as to the closinglevel of the Index on any Review Date. There canbe no assurance that theperformance of
the Index will result in the return of anyof your principal amount or the payment of any interest.
Hypothetical Back-Tested and Historical Performance of the
MerQube US Tech+ Vol Advantage Index
Source: Bloomberg
The hypothetical back-testedclosing levels of the Index have inherent limitations and have not beenverified by anindependent third
party. These hypothetical back-tested closing levels are determined by means of a retroactive application of a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guarantee of future returns. No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closing levels of the Index that might prove to be more
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
PS-13| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal IncomeTax Consequences" in the accompanying product
supplement no. 4-I. In determiningour reporting responsibilities weintend to treat (i) the notes for U.S. federal income tax purposes as
prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences -TaxConsequences to U.S. Holders - Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement. Based on the
advice of Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment, but that there are other
reasonable treatments that the IRS or acourt may adopt, in whichcase the timing and character of anyincome or loss on thenotes
could be materially affected. In addition, in 2007 Treasury and the IRS released anotice requesting comments on the U.S. federal
income taxtreatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require
investors in these instrumentsto 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 such as the nature of the
underlying property to which the instruments are linked. While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the
taxconsequences of an investment in the notes, possibly with retroactiveeffect. The discussions above and in the accompanying
product supplement do not address the consequences to taxpayers subject tospecial tax accounting rules under Section451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal income tax consequencesof an investment in the notes, including
possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders- Tax Considerations.The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at
least if an applicable Form W-8 isprovided), it is expected that withholding agents will (and we, if we are the withholding agent,intend
to) withhold onany Contingent Interest Payment paid to a Non-U.S. Holder generally at a rate of 30%or at a reduced ratespecified by
an applicable income tax treaty under an "other income" or similar provision. We willnot be required to pay any additional amounts with
respect to amounts withheld. In order to claiman exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and iseligible for such an exemption or
reduction under an applicable tax treaty. If you area Non-U.S. Holder, you should consultyour tax adviser regarding thetax treatment
of the notes, including the possibility of obtaining a refund of any withholding tax and thecertification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalentspaid or deemedpaid to Non-U.S. Holders with respect to certain
financial instrumentslinked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations. Additionally, a recent IRS notice excludes 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"). Basedon certain determinations made byus, our special taxcounsel is of the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS,
and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter intoother transactions with respect to an Underlying Security. Youshouldconsult your tax
adviser regarding the potential application of Section 871(m) to thenotes.
In the event of any withholding on the notes, we will not be required topay any additional amounts with respect to amounts so withheld.
The Estimated Value ofthe Notes
The estimated value of the notes set forth on the cover of this pricing supplement is equal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component withthe same maturityasthe notes, valuedusing the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes
does not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if any exists) at any
time. The internal funding rateused in the determination of the estimatedvalue of the notes may differ from the market-impliedfunding
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 the funding value of the notesas well as the higher issuance,operational
and ongoing liabilitymanagement costs of thenotesin comparison to those costs for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputsandassumptions, which mayprove to be incorrect,
and is intended to approximate theprevailing market replacement funding rate for the notes. The use of an internal funding rateand
any potential changes to that rate 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 Prices of
the Notes -The Estimated Value of the Notes Is Derived by Reference toan Internal Funding Rate" in thispricing supplement.
PS-14| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
The value of the derivativeor derivatives underlying the economic terms of the notes is derived from internal pricingmodels of our
affiliates. These modelsare dependent on inputs such asthetradedmarket prices of comparablederivative instruments and onvarious
other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as
well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when
the terms of the notesaresetbased on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes doesnot represent future values of the notes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the futuremay change, and any assumptions may prove to be incorrect. On
future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest rate movements 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 notesbecause costs associated withselling, structuring
and hedging the notes are includedin the original issueprice 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 thenotes. Becausehedgingour
obligations entails riskand may beinfluenced by market forces beyond our control, thishedging may result in a profit that ismore or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligationsunder the notesmay 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 thispricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices of the notes, see "Risk Factors - Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes-Secondary market prices of the notes will beimpacted by many
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 costscan include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimatedhedging costs andour internal secondarymarket funding rates
for structured debt issuances. Thisinitial predetermined timeperiod is intended to be the shorter of sixmonths and one-half of the
stated term of the notes. Thelength of anysuch initial period reflects the structure of thenotes, whether our affiliatesexpect to earn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred,as
determined 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 pricingsupplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See "How the Notes Work" and "Hypothetical Payout Examples" in this pricingsupplement for an illustration of the risk-return
profile of the notes and "TheMerQube US Tech+ Vol Advantage Index" inthis pricingsupplement for a description of the market
exposure provided by the notes.
The originalissueprice of the notes is equal to the estimated value of the notes plus the selling commissions paid toJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliatesexpect to realize forassuming risks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
PS-15| Structured Investments
Auto CallableContingentInterest Notes Linkedto the MerQubeUS Tech+
Vol Advantage Index
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
notes offered by this pricing supplement have been issued by JPMorgan Financialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents suchnotes (the "master note"), and such notes have been delivered 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 obligationof JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicablebankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing and the lack ofbad faith),provided that such counsel
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressedabove or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'s obligationunder the related guarantee.
Thisopinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject tocustomary assumptions about the
trustee's authorization, execution and deliveryof the indenture andits authentication of themaster note and thevalidity, binding nature
and enforceabilityof the indenture with respect to the trustee, 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 read thispricing supplement together with the accompanying prospectus, as supplementedbythe accompanying
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 in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes andsupersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, sample structures, fact sheets, brochures or other educational materials of
ours. You should carefully consider, among other things, the matters set forthin the "Risk Factors" sections of the accompanying
prospectus supplement, the accompanying product supplement and the accompanying underlyingsupplement and in Annex A to the
accompanying prospectus addendum, as the notes involve risks not associated with conventional debt securities. Weurge you to
consult your investment, legal, tax, accounting and other advisersbefore youinvest in the notes.
You may accessthesedocumentson the SEC websiteat www.sec.gov asfollows(or if such addresshas changed, by
reviewing our filings for the relevant date on the SEC website):
●Product supplement no. 4-I dated April 13, 2023:
●Underlyingsupplement no. 5-II dated March5, 2024:
●Prospectus supplement and prospectus, each dated April 13, 2023:
●Prospectus addendum dated June 3, 2024:
Our Central Index Key, orCIK, on the SEC websiteis 1665650,and JPMorgan Chase& Co.'sCIK is19617. Asused inthis pricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.