JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 07:03
Primary Offering Prospectus - Form 424B2
October 28, 2024RegistrationStatement Nos. 333-270004 and333-270004-01; Rule 424(b)(2)
Pricing supplement to productsupplement no. 4-IdatedApril 13, 2023, underlyingsupplement no. 1-I dated April 13,2023,
the prospectus and prospectus supplement, eachdated April 13, 2023, and the prospectusaddendumdated June 3,2024
JPMorgan Chase Financial CompanyLLC
Structured Investments
$307,000
Capped Return Enhanced NotesLinked to the
SPDR®Gold Trust due May 1, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
•The notes are designed for investors whoseek a return of 1.50 times any appreciation of the SPDR® Gold Trust, up to a
maximum returnof 19.10%, at maturity.
•Investors should be willing to forgo interest payments and be willing to lose some or all of their principal amount at
maturity.
•The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co.Any
payment on thenotes is subject to the credit risk of JPMorgan Financial, as issuer of thenotes, and the credit
risk of JPMorgan Chase & Co., asguarantor of thenotes.
•Minimum denominations of $1,000 and integral multiples thereof
•The notespriced on October 28, 2024 and are expectedtosettle on or about October 31, 2024.
•CUSIP: 48135UH94
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 pagePS-3 of this pricing
supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securitiescommission has approved or disapproved
of the notes or passed upon the accuracyor the adequacy of this pricing supplement or theaccompanying product supplement,
underlying supplement, prospectus supplement, prospectus and prospectusaddendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$22.50
$977.50
Total
$307,000
$6,907.50
$300,092.50
(1) See "Supplemental Use ofProceeds" in this pricingsupplement for information about thecomponents of the price to publicofthe
notes.
(2) J.P.MorganSecuritiesLLC, which we refer toas JPMS, acting as agentfor JPMorgan Financial,will payall of the selling
commissions of $22.50 per $1,000 principalamountnote it receives from us tootheraffiliated or unaffiliated dealers.See"Plan of
Distribution (Conflictsof Interest)" in the accompanyingproductsupplement.
The estimated value of the notes, when the terms of thenotes were set,was $956.60 per $1,000 principal amount note.
See"The Estimated Value of theNotes"in this pricing supplementfor additional information.
Thenotes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
CappedReturn Enhanced Notes Linkedto theSPDR® Gold Trust
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Fund: The SPDR® GoldTrust (Bloomberg ticker: GLD)
Maximum Return:19.10% (corresponding to a maximum
payment at maturityof $1,191.00 per $1,000 principal amount
note)
Upside Leverage Factor:1.50
Pricing Date:October 28, 2024
Original Issue Date (Settlement Date): On or about October
31, 2024
Observation Date*: April 28, 2026
Maturity Date*: May 1, 2026
* Subject to postponement in theevent of amarket disruption
event and as describedunder "General Terms ofNotes-
Postponement of aDetermination Date -NotesLinkedto a
Single Underlying -NotesLinked to aSingleUnderlying(Other
Than a CommodityIndex)"and "General Terms ofNotes -
Postponement of aPayment Date" in theaccompanying product
supplement
Payment at Maturity:
If the Final Value isgreater than the Initial Value, your payment
at maturityper $1,000 principal amount note will be calculated
as follows:
$1,000 + ($1,000 × Fund Return × Upside Leverage Factor),
subject to theMaximum Return
If the Final Value isequal to theInitial Value, you will receive
the principal amount of yournotesat maturity.
If the Final Value isless than the Initial Value, your payment at
maturityper $1,000 principal amount note will be calculated as
follows:
$1,000 +($1,000 × Fund Return)
If the Final Value isless than the Initial Value, you will lose
some or allof your principal amount at maturity.
Fund Return:
(Final Value-Initial Value)
Initial Value
Initial Value: Theclosing priceof one share of the Fundonthe
Pricing Date, which was $253.33
Final Value: Theclosing price of one share of the Fund on the
Observation Date
Share Adjustment Factor:The Share Adjustment Factor is
referenced indetermining the closing price of one shareof the
Fund and is set equal to 1.0on thePricing Date. The Share
Adjustment Factor is subject to adjustment upon the
occurrence of certain events affecting the Fund.See "The
Underlyings - Funds- Anti-Dilution Adjustments" in the
accompanying product supplement for further information.
PS-2| Structured Investments
CappedReturn Enhanced Notes Linkedto theSPDR® Gold Trust
Supplemental Terms of the Notes
The notes are not commodity futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936,
as amended (the "Commodity Exchange Act").The notes are offered pursuant to an exemption from regulation underthe
Commodity Exchange Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or more
payments indexedto the value, level or rate of oneor more commodities, as set out in section 2(f) of that statute. Accordingly, you are
not afforded any protection providedby the Commodity Exchange Act or any regulation promulgated by the CommodityFutures
Trading Commission.
Any valuesof the Fund, and any values derivedtherefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of thispricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to the contraryin the indenture governing the notes, that amendment will become effective without consent of the holders of
the notes orany other party.
Hypothetical Payout Profile
The following table illustrates the hypothetical total returnand payment at maturity on thenoteslinked to a hypothetical Fund. The
"total return"as used in thispricing supplement is the number, expressedasa percentage that results from comparing the payment at
maturityper $1,000 principal amount note to $1,000. The hypothetical total returnsand payments set forth below assumethe following:
•an Initial Value of $100.00;
•a Maximum Return of 19.10%;and
•an Upside Leverage Factor of1.50.
Thehypothetical Initial Value of $100.00 has been chosen for illustrative purposesonly and doesnot represent theactualInitial Value.
The actual Initial Value isthe closing price of one share of the Fund on the Pricing Date andis specified under "Key Terms - Initial
Value" in thispricing supplement. For historical data regarding theactualclosing prices of one share of the Fund, please see the
historical information set forthunder "The Fund" in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity set forth below is for illustrative purposes only and maynot be the
actual total return or paymentat maturity applicableto a purchaser of the notes. The numbers appearing in the following tablehave
been rounded for ease of analysis.
Final Value
Fund Return
Total Returnon the Notes
Payment at Maturity
$180.00000
80.00000%
19.10%
$1,191.00
$165.00000
65.00000%
19.10%
$1,191.00
$150.00000
50.00000%
19.10%
$1,191.00
$140.00000
40.00000%
19.10%
$1,191.00
$130.00000
30.00000%
19.10%
$1,191.00
$120.00000
20.00000%
19.10%
$1,191.00
$112.73334
12.73334%
19.10%
$1,191.00
$110.00000
10.00000%
15.00%
$1,150.00
$105.00000
5.00000%
7.50%
$1,075.00
$101.00000
1.00000%
1.50%
$1,015.00
$100.00000
0.00000%
0.00%
$1,000.00
$95.00000
-5.00000%
-5.00%
$950.00
$90.00000
-10.00000%
-10.00%
$900.00
$80.00000
-20.00000%
-20.00%
$800.00
$70.00000
-30.00000%
-30.00%
$700.00
$60.00000
-40.00000%
-40.00%
$600.00
$50.00000
-50.00000%
-50.00%
$500.00
$40.00000
-60.00000%
-60.00%
$400.00
$30.00000
-70.00000%
-70.00%
$300.00
PS-3| Structured Investments
CappedReturn Enhanced Notes Linkedto theSPDR® Gold Trust
$20.00000
-80.00000%
-80.00%
$200.00
$10.00000
-90.00000%
-90.00%
$100.00
$0.00000
-100.00000%
-100.00%
$0.00
How the Notes Work
Upside Scenario:
If the Final Valueisgreater than theInitial Value, investors will receive at maturity the $1,000 principalamount plusa return equal to the
Fund Returntimesthe UpsideLeverage Factorof1.50, up to the Maximum Return of 19.10%.An investor will realize themaximum
payment at maturity at a FinalValueat or aboveapproximately112.73334% oftheInitial Value.
•If the closing price of one share of the Fund increases 10.00%, investors will receive at maturity a return equal to 15.00%, or
$1,150.00 per $1,000 principal amount note.
•If the closing price of one share of the Fund increases 40.00%, investors will receive at maturity a returnequal to the 19.10%
Maximum Return, or $1,191.00 per $1,000 principal amount note, which is the maximum payment at maturity.
Par Scenario:
If the Final Valueisequal to the Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Valueisless than the Initial Value, investors willlose 1% of the principalamount of their notes for every1% that the Final
Valueis less than theInitial Value.
•For example, if the closing price of one share of the Fund declines 60.00%, investors will lose60.00% of their principal amount and
receive only $400.00 per $1,000 principal amountnote at maturity.
The hypothetical returnsand hypothetical payments on the notesshown above apply onlyif you hold thenotesfor their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated withany sale in the secondarymarket. If these fees
and expenses were included, the hypothetical returnsand hypothetical paymentsshown above would likely be 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 supplementand product 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 do not guarantee any return of principal. If the Final Valueisless than the Initial Value, you will lose 1% of the principal
amount of your notes for every 1% that theFinal Valueis less than theInitial Value. Accordingly, under thesecircumstances,you
will lose some or all of your principal amount at maturity.
•YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN,
regardless ofany appreciation of theFund, whichmay be significant.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on ourand JPMorgan Chase & Co.'sability to pay all amountsdue on the notes. Any actual or potential
change in ouror JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined by the market for taking that credit
risk, is likely to adversely affect thevalue of thenotes.If weand JPMorgan Chase & Co. were todefault on our payment
obligations, you maynot receive any amounts owed toyou under the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a financesubsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments under loans made by us to
JPMorgan Chase & Co.or under other intercompany agreements.As a result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources tomeet our obligations in
PS-4| Structured Investments
CappedReturn Enhanced Notes Linkedto theSPDR® Gold Trust
respect of the notesas they come due. If JPMorgan Chase & Co. does not make payments tous and we areunable tomake
payments on the notes, you may have to seek payment under the related guaranteeby JPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligationsof JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THE COMMODITIES HELD BY THE FUND.
•LACK OF LIQUIDITY -
The notes will not be listed onany securities exchange. Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy thenotes.You may notbe able to sellyournotes.The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay a varietyof roles inconnection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economicinterests are potentially adverse toyour interests as an investor in the notes. It is possiblethat hedgingor trading
activities of ours or our affiliates inconnection with the notescould result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
In addition, the benchmark price of the Fund's Underlying Commodity (as defined under "The Fund" below) is administered by the
London Bullion Market Association ("LBMA") or an independent service provider appointed by the LBMA, and we are, or one of our
affiliates is, a price participant that contributes to the determination of that price. Furthermore, our affiliate is the custodian of the
Fund. We and our affiliates will have no obligation to consider your interestsasa holder of the notes in taking any actions in
connection with our rolesas a price participant and a custodian that might affect the Fund or the notes.
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 toseveral factors. The original issue priceof the
notes exceeds theestimated value of the notes becausecosts associated withselling, structuring and hedging the notesare
included in the original issue priceof 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 thenotesandtheestimated cost of hedging
our obligations under thenotes. See "TheEstimated Valueof theNotes" 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 theNotes"in this pricing supplement.
•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 may differ from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturityissued byJPMorgan Chase & Co. or its affiliates. Anydifference may
be based on, amongother things, our and our affiliates' view of the funding value of the notes as well as the higherissuance,
operational and ongoing liability management costs of the notes in 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 potentialchanges tothat ratemay havean adverse effect on the terms of the notes and any
secondarymarket prices of the notes.See "The Estimated Value of the Notes"in thispricing supplement.
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in theoriginal issue price of thenoteswill be partiallypaid back toyou in
connection with any repurchases of your notesbyJPMS in an amount that willdecline to zero over an initial predetermined period.
See"SecondaryMarket Prices of theNotes"in this pricingsupplement for additional information relating to this initial period.
PS-5| Structured Investments
CappedReturn Enhanced Notes Linkedto theSPDR® Gold Trust
Accordingly, the estimatedvalue of yournotesduring thisinitial period may be lower than the value of thenotesaspublished by
JPMS (and which may be shown on your customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket pricesof the notes will likely be lower than the original issue price of the notes because, amongother
things, secondary market prices take intoaccount our internal secondary market funding ratesfor structured debt issuances and,
also, because secondary market prices may exclude selling commissions,projected hedging profits, if any, and estimatedhedging
costs that are included inthe original issue price of thenotes. As a result, the price, if any, at which JPMS will be willing to buy the
notesfrom you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
the Maturity Datecould result in a substantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimatedhedging
costs and the price of oneshare of the Fund. Additionally, independent pricing vendors and/or third party broker-dealersmay
publish a price for thenotes, which may also be reflected on customer account statements. This pricemay bedifferent (higher or
lower) than the price of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondary market.See "Risk
Factors - Risks Relating to the Estimated Value andSecondary Market Prices of the Notes -Secondary market pricesof the
noteswill beimpacted bymanyeconomicand market factors" in the accompanying product supplement.
Risks Relating to the Fund
•THE FUND IS NOT AN INVESTMENT COMPANY OR COMMODITY POOL AND WILLNOT 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 who invest in regulatedinvestment companies
or commodity pools.
•THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND'S UNDERLYINGCOMMODITY AS WELL AS THE NET
ASSET VALUE PER SHARE -
The Fund does not fully replicate the performance of its Underlying Commodity due to the fees andexpenses chargedbythe Fund
or by restrictions on access to the Underlying Commoditydue to other circumstances. The Fund does not generate any income,
and as the Fund regularly sells its Underlying Commodity to pay for ongoing expenses, the amount of its Underlying Commodity
represented by eachshare gradually declines over time. The Fund sellsits Underlying Commodity to pay expenses on anongoing
basis irrespective of whether the trading price of the shares rises or falls in response tochanges in the price of its Underlying
Commodity. The sale by the Fund of its Underlying Commodity to pay expenses at a time of low prices for its Underlying
Commodity could adversely affect thevalue of the notes. Additionally, there is a risk that part or all of the Fund's holdings in its
Underlying Commoditycouldbe lost, damaged or stolen. Access to the Fund's Underlying Commodity could also be restricted by
natural events (such as an earthquake) or human actions (such as a terrorist attack).Allof these factors may lead to a lack of
correlation between the performance of the Fund and its Underlying Commodity. Inaddition, becausethe sharesof the Fund are
traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of the Fund
maydiffer from the net asset value per share of the Fund.
During periodsof market volatility, the Fund's Underlying Commodity may beunavailable in the secondary market, market
participants may be unable to calculate accurately the net asset value per shareof the Fund and the liquidityof the Fund maybe
adversely affected. Thiskind of market volatility mayalso disrupt the ability of market participants tocreate and redeemshares of
the Fund. Further, market volatilitymay adversely affect, sometimes materially, the pricesat which market participants are willing
to buy and sellshares of the Fund. As a result,under these circumstances, the market value of shares of the Fundmayvary
substantiallyfrom the net asset value per share of the Fund. For all of the foregoing reasons, the performance of the Fund may not
correlate with the performance of its Underlying Commodityas well as the net asset value per share of the Fund, which could
materially and adverselyaffect thevalue of the notes in the secondary market and/or reduce any payment on the notes.
•THE NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH GOLD -
The investment objective of the Fund is to reflect the performance of the price of gold bullion, lessthe expenses of the Fund's
operations. The price of gold is primarilyaffected by the global demand for and supply of gold. Themarket for goldbullion is
global, and gold prices aresubject tovolatile price movements over short periods of time and are affected by numerous factors,
including macroeconomic factors, such as the structure of and confidence in the global monetary system, expectations regarding
PS-6| Structured Investments
CappedReturn Enhanced Notes Linkedto theSPDR® Gold Trust
the future rate of inflation, the relativestrengthof,and confidencein, the U.S.dollar (the currency in which the price of gold is
usually quoted), interest rates, gold borrowingand lending rates and global or regional economic, financial, political, regulatory,
judicial or other events. Gold prices may beaffected by industry factors, such asindustrial and jewelry demand as well as lending,
sales and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral
institutions that hold gold. Additionally, gold prices may be affected by levels of gold production, production costsand short-term
changes insupply and demand due to trading activitiesin the gold market. From time to time, above-ground inventoriesof gold
mayalso influence the market. It is not possible topredict the aggregate effect of allor any combination of these factors. The
price of gold has recently been, and may continue to be, extremelyvolatile.
•THERE ARE RISKS RELATING TO COMMODITIES TRADING ON THE LBMA -
The investment objective of the Fund is to reflect the performance of the price of gold bullion, less theexpenses of the Fund's
operations. The price of gold is determined by the LBMA or an independent service provider appointed by the LBMA. The LBMA
is aself-regulatoryassociation of bullionmarket participants. Although allmarket-making members of the LBMA aresupervised by
the Bank of England and are required to satisfy a capital adequacy test,the LBMA itself is not a regulated entity. If theLBMA
shouldcease operations, or if bullion trading should becomesubject to a valueadded tax or other taxor any other form of
regulation currently not in place, the role of the LBMA gold priceasa global benchmark for the value of gold maybe adversely
affected. The LBMA is a principals' market, whichoperates in a manner moreclosely analogous toan over-the-counter physical
commodity market than regulated futures markets, and certain features of U.S. futures contracts are not present in the context of
LBMA trading. For example, there are no dailyprice limitson theLBMA which would otherwise restrict fluctuations in the prices of
LBMA contracts. In a declining market, it is possible that prices would continue to declinewithout limitation within a trading day or
over a period of trading days. The LBMA mayalter, discontinue or suspend calculation or dissemination of theLBMA gold price,
whichcouldadverselyaffect the value of the notes. The LBMA, or an independent service provider appointed bythe LBMA, will
have no obligation to consider your interests in calculating or revising the LBMA gold price.
•SINGLE COMMODITY PRICES TEND TO BE MORE VOLATILE THAN, AND MAY NOT CORRELATE WITH, THE PRICES OF
COMMODITIES GENERALLY -
The Fund islinked to a single commodity and not to a diverse basket of commodities or abroad-based commodityindex. The
Fund's Underlying Commodity may not correlate to the priceof commodities generally and maydiverge significantly fromthe prices
of commoditiesgenerally. Asa result,the notes carrygreater risk and may be morevolatile thannotes linked to the prices of more
commodities or a broad-based commodity index.
•THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED -
The calculation agent willmake adjustments to the Share Adjustment Factor for certain events affecting the shares of theFund.
However, the calculation agent willnot make an adjustment in response to all events that couldaffect the shares of the Fund. If an
event occurs that does not require the calculation agent to make an adjustment,the value of the notes maybe materiallyand
adversely affected.
PS-7| Structured Investments
CappedReturn Enhanced Notes Linkedto theSPDR® Gold Trust
The Fund
The Fund is an investment trust sponsored by World Gold Trust Services, LLC. The investment objective of the Fund is for itsshares to
reflect the performance of the price of gold bullion, less the expenses of the Fund'soperations. The Fund holds gold bars. We refer to
gold as the Underlying Commodity with respect to the Fund. For additional information about the Fund, see "Fund Descriptions- The
SPDR®Gold Trust" in the accompanying underlyingsupplement.
Historical Information
The following graph sets forththe historical performance of the Fund based onthe weeklyhistorical closing prices of oneshare of the
Fund from January 4, 2019 throughOctober 18, 2024. The closing price of one shareof the Fund on October 28, 2024 was $253.33.
We obtained the closing prices above and below from the BloombergProfessional®service ("Bloomberg"), without independent
verification. The closing pricesabove and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock
splits.
The historical closing prices of one share of the Fundshouldnot be takenasan indicationof future performance, and no assurance can
be given as to the closing price of oneshare of the Fundon the Observation Date.There canbe no assurance that the performance of
the Fund will result in the return of any of your principal amount.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Basedoncurrent market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, as morefully described in "Material U.S. FederalIncome Tax
Consequences- Tax Consequences to U.S. Holders -Notes Treated as Open Transactions That Are Not Debt Instruments" inthe
accompanying product supplement. Assuming this treatment is respected, subject tothe possible application of the "constructive
ownership" rules, the gain or loss onyour notesshould be treated aslong-term capital gain or loss if you hold your notes for more than
a year, whether or not you arean initial purchaser of notes at the issue price. The notescould be treated as "constructiveownership
transactions" within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would
otherwise be long-term capital gain and that was in excess of the "net underlying long-termcapital gain" (as defined in Section 1260)
would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a
constant yield over your holding period for the notes. In addition, long-term capital gain that you would otherwise recognize in respect
of your notes up to the amount of the "net underlying long-term capital gain" could, if you are anindividual or other non-corporate
investor, besubject to tax at the higher rates applicable to "collectibles" instead of the general rates that apply to long-term capital gain.
Our special tax counsel has not expressed an opinion with respect to whether the constructiveownership rulesapply to the notes.
Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules.
PS-8| Structured Investments
CappedReturn Enhanced Notes Linkedto theSPDR® Gold Trust
The IRS or a court may not respect the treatment of the notes described above, in which case the timing and character of anyincome
or losson your notes could be materially andadverselyaffected. In addition, in 2007 Treasury and the IRS releaseda notice
requesting comments on the U.S. federalincometax treatment of "prepaid forwardcontracts" and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the termof their investment. It also
asks for comments on a number of related topics, including the character of income or loss with respect to theseinstruments; the
relevance of factors such as the nature of the underlyingproperty to which the instruments are linked; the degree, if any, to which
income (includingany mandated accruals) realized by non-U.S. investorsshould besubject to withholding tax; and whether these
instrumentsare or should be subject to the constructiveownership regime described above. While thenotice requests comments on
appropriate transition rules and effective dates, anyTreasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the taxconsequences of aninvestment in the notes, possibly with retroactive effect. You
shouldconsult your tax adviser regarding the U.S. federal income taxconsequences of an investment in the notes, including the
potential application of the constructive ownership rules, possible alternative treatments and theissues presented bythisnotice.
The Estimated Value of the Notes
Theestimated value of the notes set forth on the cover of this pricing supplementis equal to the sum of the values of the following
hypothetical components: (1) a fixed-incomedebt component withthe same maturityasthe notes, valued usingthe 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 would be willing to buy your notes in any secondarymarket (if any exists) at
any time.The internal funding rate used inthe determination ofthe estimated valueof the notes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof a similar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybebased on, among other things, our and our affiliates'view of the funding value of thenotes as well as the higherissuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximatethe prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potentialchanges to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see "Selected Risk Considerations - Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes- The Estimated Value of the NotesIs Derived byReference to anInternal Funding Rate" in this
pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates. Thesemodelsare dependent on inputssuch as the traded market prices of comparable derivative instruments and on
various other inputs, someof 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 thenotes is
determined when the termsof the notes areset based on market conditions and other relevant factors and assumptions existing at that
time.
The estimated value of the notesdoesnot represent future values of thenotesandmay differ from others' estimates. Different pricing
modelsandassumptionscould provide valuations for thenotes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect.On
future dates, thevalue of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buynotesfromyou in secondarymarket transactions.
The estimated value of thenotes is lowerthan the original issue price of the notes becausecosts 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 estimatedcost of hedging our obligations under the notes. Because hedging our
obligations entails riskand may be influenced by market forces beyond our control, this hedging may result in a profit that ismore or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be
allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See
"Selected Risk Considerations-Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes - The Estimated
Value of the Notes Is LowerThan 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 anysecondarymarket prices of thenotes, see "Risk Factors - Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes- Secondary market prices of the notes will beimpactedbymany
PS-9| Structured Investments
CappedReturn Enhanced Notes Linkedto theSPDR® Gold Trust
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue priceof the notes will be partially paid back to you in connection with any repurchases of yournotes 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, estimated hedging costs and our internal secondary market funding rates
for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the
stated term of the notes. Thelength of any such initial period reflects the structure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, theestimated costs of hedging the notes and 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 theNotes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notesfor a Limited Time Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-returnprofile and market exposure provided by the
notes. See "Hypothetical Payout Profile" and "How the Notes Work" in this pricing supplement for an illustration of the risk-returnprofile
of the notes and "The Fund" in this pricing supplement for adescription of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paidto JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assumingrisks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as specialproducts counsel to JPMorgan Financial andJPMorgan Chase & Co., when the
notes offered by this pricing supplement have beenissued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes(the "master note"), and such notes have 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 applicable bankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealingand the lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusions expressed above 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 obligation under the related guarantee.
Thisopinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject to customary assumptions about the
trustee's authorization, execution and delivery of the indenture andits authentication of themaster note and thevalidity, binding nature
and enforceabilityof the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. onFebruary 24,
2023.
Additional Terms Specific to the Notes
You should read thispricing supplement together with the accompanying prospectus, as supplemented by the accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanyingprospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanyingunderlying
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 written materialsincludingpreliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. You should carefullyconsider, among other things, the matters set forth in the "RiskFactors" sections of the accompanying
prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, 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.
PS-10| Structured Investments
CappedReturn Enhanced Notes Linkedto theSPDR® Gold Trust
You may access these documents on the SEC website at www.sec.govasfollows (or if such address haschanged, by reviewing our
filings for the relevant date onthe 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:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617.As used in thispricing
supplement,"we,""us" and "our" refer to JPMorgan Financial.