JPMorgan Chase & Co.
10/31/2024 | Press release | Distributed by Public on 10/31/2024 11:26
Primary Offering Prospectus - Form 424B2
October 29,2024 Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlyingsupplement no. 5-II dated March5, 2024, the prospectus and
prospectussupplement, each dated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorganChase FinancialCompanyLLC
Structured Investments
$147,000
Auto CallableAccelerated Barrier NotesLinked to the
MerQube US Large-Cap Vol Advantage Indexdue
November 1,2029
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
•The notes aredesigned for investors whoseek early exit prior to maturityat a premium if, on any Review Date(other
than the final Review Date), the closing levelof theMerQubeUS Large-Cap Vol Advantage Index, which we refer toas
the Index, is at or abovethe Call Value.
•The earliest date on which an automatic call may be initiated isNovember 3, 2025.
•The notes arealso designed for investors who seek an uncapped return of 3.00 timesanyappreciationof the Index at
maturity,if the notes have not been automatically called.
•Investors should be willing to forgo interest and dividend payments and be willing to accept the risk of losingsome or all
of their principal amount at maturity.
•The Index is subject to a 6.0% per annumdaily deduction. This daily deduction will offset any appreciation of
the futures contracts included in the Index, will heighten any depreciation of those futures contracts andwill
generally be a drag on the performance of the Index. The Index will trail the performance of an identical index
withouta deduction. See "Selected Risk Considerations- Risks Relating to the Notes Generally-The Level
of the Index Will Include a 6.0% per Annum Daily Deduction" in this pricing supplement.
•The notes areunsecured and unsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed 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 JPMorganChase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integral multiples thereof
•The notespricedon October 29, 2024 and are expectedtosettle on or about October 31, 2024.
•CUSIP: 48135UVA5
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 accompanying prospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplement, "Risk Factors" beginning on page US-4 of the accompanying underlying
supplementand "Selected Risk Considerations" beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor anystate securitiescommission has approved or disapproved
of the notes or passed upon the accuracy or the adequacy of this pricing supplement or theaccompanying product supplement,
underlying supplement, prospectus supplement, prospectusand prospectusaddendum. Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$50
$950
Total
$147,000
$7,350
$139,650
(1)See "Supplemental Use of Proceeds" in this pricingsupplementfor information about the components of the priceto public of the
notes.
(2) J.P. Morgan SecuritiesLLC, which we refer toas JPMS, acting asagentforJPMorgan Financial, will payallof theselling
commissionsof $50.00per $1,000 principalamountnoteit receives from us toother affiliated orunaffiliated dealers.See "Plan of
Distribution (Conflictsof Interest)"in theaccompanying productsupplement.
The estimated value of the notes, when the terms of thenotes were set, was $878.40per $1,000 principal amount note.
See "The Estimated Value of the Notes" in this pricing supplement for additional information.
The notes arenot 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
Auto CallableAcceleratedBarrier Notes Linked to theMerQube US Large-
Cap Vol AdvantageIndex
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQubeUS Large-Cap Vol Advantage Index
(Bloomberg ticker: MQUSLVA). The levelof the Index reflects
a deduction of 6.0% per annum that accrues daily.
Call Premium Amount:TheCall Premium Amount with
respect to each Review Date is set forth below:
•first Review Date: 24.00% × $1,000
•second Review Date: 30.00% × $1,000
•third Review Date: 36.00% × $1,000
•fourth Review Date: 42.00% × $1,000
•fifth Review Date: 48.00% × $1,000
Call Value:100.00% of the Initial Value
Upside Leverage Factor: 3.00
Barrier Amount: 50.00% of the Initial Value, whichis1,973.85
Pricing Date: October 29, 2024
Original Issue Date (Settlement Date): On or about October
31, 2024
Review Dates*:November 3, 2025, January 29, 2026, April
29, 2026, July 29, 2026, October 29, 2026 and October 29,
2029 (final Review Date)
Call Settlement Dates*:November 6, 2025, February 3, 2026,
May4, 2026, August 3, 2026 and November 3, 2026
Maturity Date*:November 1,2029
* Subjectto postponementin the event of amarket disruption
event and asdescribed under"Supplemental Termsof the Notes
- Postponement of aDetermination Date -Notes LinkedSolely
to an Index" in theaccompanying underlying supplementand
"General Terms ofNotes-Postponement ofaPaymentDate" in
the accompanying product supplement
Automatic Call:
If the closing level of the Indexon any Review Date (other than the
final Review Date)is greater than or equal to the CallValue, the
notes will beautomatically called for a cash payment, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the Call Premium
Amount applicable to that Review Date, payable on theapplicable
Call Settlement Date. No further payments willbe made onthe
notes.
If the notes are automatically called, you will not benefit fromthe
Upside Leverage Factor that applies to the payment at maturity if the
Final Value is greater than theInitial Value. Because the Upside
Leverage Factor does not apply to the payment upon an automatic
call, the payment upon an automaticcall may besignificantly less
than the payment at maturity for thesame level of appreciation in the
Index.
Payment at Maturity:
If thenotes have not been automatically called and the Final Valueis
greater than theInitial Value, your payment at maturity per $1,000
principal amount notewill be calculated as follows:
$1,000 + ($1,000 × Index Return × Upside Leverage Factor)
If thenotes have not been automatically called and the Final Valueis
equal to theInitial Value or is lessthan theInitial Value but greater
than or equal to the Barrier Amount, you will receive the principal
amount of your notes at maturity.
If thenotes have not been automatically called and the Final Valueis
less than the Barrier Amount, 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 is
less than the Barrier Amount, you will lose more than 50.00% of your
principal amount at maturity and could lose allof your principal
amount at maturity.
Index Return:
(Final Value-Initial Value)
Initial Value
Initial Value: The closing levelof theIndexon the Pricing Date,
which was 3,947.70
Final Value: The closing levelof theIndex on the final Review Date
PS-2 | Structured Investments
Auto CallableAcceleratedBarrier Notes Linked to theMerQube US Large-
Cap Vol AdvantageIndex
The MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "Index
Calculation Agent"), in coordination with JPMS, and is maintained by the Index Sponsor and iscalculated and published by the Index
Calculation Agent. The Index was established onFebruary 11, 2022. An affiliate of ours currently has a 10% equityinterest in the Index
Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as a member of the board of directorsof the Index
Sponsor.
The Index attempts to providea dynamic rules-based exposure to an unfunded rolling position in E-mini® S&P 500® futures (the
"Futures Contracts"), which reference the S&P 500®Index, whiletargeting a level of implied volatility, with a maximum exposure to the
Futures Contracts of 500% and a minimum exposureto the Futures Contracts of 0%. TheIndex is subject to a 6.0% per annum daily
deduction. The S&P 500®Index consists of stocksof 500 companies selectedto provide aperformance benchmark for the U.S. equity
markets.For more information about the Futures Contractsand the S&P 500® Index, see "Background on E-mini® S&P 500® Futures"
and "Background on theS&P 500®Index," respectively, in the accompanying underlyingsupplement.
On each weekly Index rebalance day, theexposure to the Futures Contracts is set equal to (a) the 35% implied volatilitytarget (the
"target volatility") dividedby(b) the one-week implied volatility of the SPDR® S&P 500®ETF Trust (the "SPY Fund"), subject to a
maximum exposure of 500%. For example, if the implied volatilityof the SPY Fund is equal to 17.5%, the exposure to the Futures
Contracts will equal 200% (or35% /17.5%) and if the implied volatility of the SPYFund is equal to 40%, the exposure tothe Futures
Contracts will equal 87.5% (or 35% / 40%). The Index's exposure to the Futures Contractswill be greater than 100% when the implied
volatilityof theSPY Fund is below 35%, and the Index's exposure to the Futures Contractswill be less than 100% when the implied
volatilityof theSPY Fund is above 35%. In general, the Index'starget volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility feature were employed. No assurance can beprovided that the volatilityof the
Index will bestable at any time.
The investment objective of theSPY Fund is toprovideinvestment results that, before expenses, correspond generally to the price and
yield performance of the S&P500®Index. For more informationabout the SPYFund, see"Background on theSPDR® S&P 500®ETF
Trust"in the accompanying underlyingsupplement. The Index uses the impliedvolatilityof the SPYFund as a proxyfor the volatility of
the Futures Contracts.
The 6.0% per annum daily deduction will offset any appreciation of the Futures Contracts, will heighten any depreciation ofthe Futures
Contracts and will generally be a drag on the performance of the Index. The Index willtrail the performance of anidenticalindex
without a deduction.
Holding the estimated value of the notes and market conditions constant, theCall Premium Amounts, the Upside Leverage Factor, the
Barrier Amount and the other economic terms available on the notesare more favorable to investors than the terms that would be
available on ahypothetical note issued by us linked to anidentical index without a daily deduction. However, there can be no
assurance that any improvement in the terms of the notes derived from the daily deduction will offset the negative effect of thedaily
deduction on the performance of the Index.The return onthe notes may be lower than the return on a hypotheticalnote issued by us
linked to an identicalindex without a daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of theprimary 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 for purposes of
determining the estimatedvalue of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivativesunderlying the economic terms of thenotes.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. In addition, theIndex may besignificantly
uninvested on any given day, and, in that case, will realize only aportion of any gains due to appreciation of theFutures
Contracts on that day. The index deduction is deducted daily at a rate of 6.0% per annum, even when the Index is not fully
invested.
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 index or strategy thatmight reference the Futures Contracts.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanyingunderlying
supplement.
PS-3 | Structured Investments
Auto CallableAcceleratedBarrier Notes Linked to theMerQube US Large-
Cap Vol AdvantageIndex
Supplemental Terms of the Notes
The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended
(the "Commodity ExchangeAct").The notes areofferedpursuant to an exemption from regulation under the Commodity Exchange
Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or morepaymentsindexed to the
value, level or rateof one or more commodities, asset out insection 2(f) of that statute. Accordingly, youare not afforded any
protection provided by the Commodity Exchange Act or anyregulation promulgated by the Commodity Futures Trading Commission.
Any valuesof the Index, and any valuesderivedtherefrom, included in this pricing supplement may be corrected, in theeventof
manifest error or inconsistency, byamendment of this pricingsupplement and the correspondingterms of the notes. Notwithstanding
anything to thecontrary in 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 upon an Automatic Call
Payment at MaturityIf the Notes Have Not Been Automatically Called
Thenotes will be automaticallycalled onthe applicable Call Settlement Date, and youwill
receive (a)$1,000 plus (b) the Call Premium Amount applicable to that ReviewDate.
No further payments will be madeon thenotes.
Compare the closinglevel of the Indexto the Call Value oneachReviewDateuntil thefinal ReviewDateoranyearlier automatic call.
ReviewDatesPreceding the Final ReviewDate
AutomaticCall
Theclosinglevel of the
Indexis greaterthanor
equal tothe Call Value.
Theclosinglevel of the
Indexis less thanthe
Call Value.
Call
Value
Thenotes will not be automaticallycalled.Proceed to the next ReviewDate.
NoAutomaticCall
Review DatesPreceding
the
Final Review Date
You will receive:
$1,000 + ($1,000× IndexReturn ×
Upside Leverage Factor)
Thenotes havenot
been automatically
called. Proceed tothe
payment atmaturity.
Final ReviewDatePayment atMaturity
TheFinal Valueis greater than the Initial Value.
You will receive:
$1,000 + ($1,000×IndexReturn)
Under these circumstances, you will
lose some or all of yourprincipal
amount at maturity.
TheFinal Valueis equal totheInitial Value oris less
thantheInitial Valuebut greaterthanor equal to
theBarrier Amount.
TheFinal Valueis lessthanthe BarrierAmount.
You will receivethe principal amount of
your notes.
PS-4 | Structured Investments
Auto CallableAcceleratedBarrier Notes Linked to theMerQubeUS Large-
Cap Vol AdvantageIndex
Call Premium Amount
The table below illustrates theCall Premium Amount per $1,000 principal amount note foreach Review Date (other than the final
Review Date) based on the Call Premium Amountsset forth under "Key Terms -Call Premium Amount" above.
Review Date
Call Premium Amount
First
$240.00
Second
$300.00
Third
$360.00
Fourth
$420.00
Fifth
$480.00
Payment at MaturityIf the Notes Have Not Been Automatically Called
The following table illustrates the hypothetical total return and payment at maturity on the noteslinked to a hypothetical Indexif the
notes have not been automaticallycalled. The"total return"as used in this pricing supplementis the number, expressed asa
percentage, that results from comparing the payment at maturity per $1,000 principalamount note to $1,000. The hypothetical total
returnsand paymentsset forth below assumethe following:
•the notes have not been automaticallycalled;
•an Initial Value of 100.00;
•an Upside Leverage Factor of 3.00; and
•a BarrierAmount of 50.00 (equal to 50.00%of the hypothetical Initial Value).
The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and doesnot represent theactual Initial Value.
The actual Initial Valueis theclosinglevel of the Index on the Pricing Date and is specified under "Key Terms-Initial Value" in this
pricing supplement. For historical data regarding the actual closing levels of the Index, please see the historical information set forth
under "Hypothetical Back-Tested Dataand Historical Information" in thispricing supplement.
Each hypothetical total returnor hypotheticalpayment at maturity set forth below is for illustrative purposes only and may not be the
actual total return or paymentat maturity applicable to a purchaser of the notes. The numbers appearing in the following tablehave
been rounded for ease of analysis.
Final Value
Index Return
Total Returnon the Notes
Payment at Maturity
165.00
65.00%
195.00%
$2,950.00
150.00
50.00%
150.00%
$2,500.00
140.00
40.00%
120.00%
$2,200.00
130.00
30.00%
90.00%
$1,900.00
120.00
20.00%
60.00%
$1,600.00
110.00
10.00%
30.00%
$1,300.00
105.00
5.00%
15.00%
$1,150.00
101.00
1.00%
3.00%
$1,030.00
100.00
0.00%
0.00%
$1,000.00
95.00
-5.00%
0.00%
$1,000.00
90.00
-10.00%
0.00%
$1,000.00
80.00
-20.00%
0.00%
$1,000.00
70.00
-30.00%
0.00%
$1,000.00
60.00
-40.00%
0.00%
$1,000.00
50.00
-50.00%
0.00%
$1,000.00
49.99
-50.01%
-50.01%
$499.90
40.00
-60.00%
-60.00%
$400.00
30.00
-70.00%
-70.00%
$300.00
20.00
-80.00%
-80.00%
$200.00
10.00
-90.00%
-90.00%
$100.00
0.00
-100.00%
-100.00%
$0.00
PS-5 | Structured Investments
Auto CallableAcceleratedBarrier Notes Linked to theMerQubeUS Large-
Cap Vol AdvantageIndex
Note Payout Scenarios
Upside Scenario If Automatic Call:
If theclosing level of the Indexon any Review Date (other than the final Review Date)is greater than or equal to the Call Value, the
notes will beautomatically called and investors will receive on the applicable Call Settlement Date the$1,000 principal amount plus the
Call Premium Amount applicable to that Review Date. No further payments will be made on the notes.
•If the closing level of the Index increases 10.00% as ofthe first Review Date, the notes will be automaticallycalled and investors
will receive a return equal to24.00%, or $1,240.00 per $1,000 principal amount note.
•If the notes have not been previously automaticallycalled and theclosing level of the Index increases80.00% as ofthe fifth Review
Date, the notes willbe automatically called and investors will receive a return equal to48.00%, or $1,480.00 per $1,000 principal
amount note.
Upside ScenarioIf No Automatic Call:
If thenotes have not been automatically called and theFinalValueisgreater than theInitial Value, investors will receive at maturity the
$1,000 principal amountplus a return equal to theIndex Return timesthe Upside Leverage Factor of 3.00.
•If the notes have not been automatically called and the closing level of the Indexincreases 5.00%, investorswill receive at maturity
a return equal to 15.00%, or $1,150.00 per $1,000 principalamount note.
Par Scenario:
If the notes have not been automatically called and the Final Valueisequal to theInitial Value or is less than the Initial Value but
greater than or equal tothe Barrier Amount of 50.00% of the Initial Value, investors will receive at maturity the principal amount of their
notes.
Downside Scenario:
If thenotes have not been automatically called andthe Final Valueisless than the Barrier Amount of 50.00% of theInitial Value,
investors will lose 1% of the principal amount of their notes for every 1% that theFinal Value is less than the Initial Value.
•For example, if the notes have not been automatically called andthe closinglevel of the Index declines 60.00%, investorswill lose
60.00% of their principal amount and receive only $400.00per $1,000 principal amount note at maturity.
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would be associated with any 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 notes involvessignificant risks. These risks are explained in more detail in the "Risk Factors"sections of the
accompanyingprospectus supplement, product supplementand underlying supplementand in Annex A tothe accompanying
prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. Ifthenotes have not been automatically called and the Final Value isless than
the Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial
Value. Accordingly, under these circumstances, you will losemore than50.00% of your principal amount at maturity andcould
lose all of your principal amount at maturity.
•THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annumdaily deduction. The level of the Index will trail the value of an identicallyconstituted
synthetic portfolio that is not subject to any such deduction.
The index deduction will placea significant drag on the performance of the Index, potentially offsetting positive returns on the
Index's investment strategy, exacerbating negative returns of itsinvestment strategy and causing the level of the Index to decline
steadily if the return of itsinvestment strategyis relatively flat. The Index will not appreciateunless the return of its investment
strategy issufficient to offset the negative effects of the index deduction, and then only to the extent that the return of itsinvestment
PS-6 | Structured Investments
Auto CallableAcceleratedBarrier Notes Linked to theMerQubeUS Large-
Cap Vol AdvantageIndex
strategy isgreater than the index deduction. As a result of the indexdeduction, thelevel of the Index may decline even if the return
of its investment strategy is positive.
The daily deduction is one of the inputs our affiliates' internal pricingmodels 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 SecondaryMarket Prices of
the Notes" in thispricing supplement.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined bythemarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were todefault on our payment
obligations, you may not receive any amounts owed toyouunder the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loansmade by us to
JPMorgan Chase & Co. or under other intercompany agreements.As a result, we are dependentupon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co. and in a
bankruptcy or resolution of JPMorgan Chase & Co. we are not expectedto havesufficient resources to meet our obligations in
respect of the notesas they come due. If JPMorgan Chase & Co. does not make payments tous and we are unable to make
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.
•IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE
APPLICABLE CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of the Index, which maybesignificant. In addition, if the notes are automaticallycalled, you willnot
benefit from theUpside Leverage Factor that applies to thepaymentat maturity if the Final Value is greater than the Initial Value.
Because the Upside Leverage Factor doesnot apply to the payment upon an automatic call, the payment upon an automatic call
maybe significantly lessthan the payment at maturity for the same level of appreciation in theIndex.
•THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEWDATE -
If the notes have not been automatically calledand the Final Valueisless than the Barrier Amount, the benefit provided by the
Barrier Amount will terminate and you willbe fully exposed to any depreciation of theIndex.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT-
If your notes are automaticallycalled, the term of the notes may be reduced to asshort asapproximately one year. There is no
guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar
level of risk. Even in cases where the notes arecalled before maturity, you are not entitled to any fees and commissions described
on the front cover of this pricing supplement.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500®
INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING
THE INDEX.
•THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE LEVEL
OF THE INDEX IS VOLATILE.
PS-7 | Structured Investments
Auto CallableAcceleratedBarrier Notes Linked to theMerQubeUS Large-
Cap Vol AdvantageIndex
•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 investigation of the meritsof investing in the notes, the Index and the futures contractscomposing the Index.
•LACK OF LIQUIDITY -
The notes will not belisted onanysecurities exchange. Accordingly, the price at whichyou may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes.You may notbe able to sell your notes.The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to holdyour notes to maturity.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay 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. It is possiblethat hedging or trading
activities of ours or 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 Conflicts of Interest" in the accompanying product
supplement.
An affiliate of ourscurrentlyhas a10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another
of our affiliates, asa member of the board of directors of the Index Sponsor. The IndexSponsor can implement policies, make
judgments or enact changes to the Indexmethodology that could negatively affect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculationor dissemination of the Index. Any ofthese actions could adversely
affect the value of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
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 roleof
an employee of JPMS asa member of the board of directorsof theIndex Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policiesgoverning the composition and
calculation of the Index. Although judgments, policiesand determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimately controls JPMS. The policies and judgments for which JPMS was
responsible could have 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 in its role indeveloping the guidelines and policies governing the
Index or making judgments that may affect the level of the 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 originalissue price ofthe
notesexceedsthe estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costs include the selling commissions,the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging
our obligationsunder the notes. See "The Estimated Valueof the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES-
See "The Estimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE-
Theinternal funding rate usedin the determinationof the estimated value of the notesmay differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedby JPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, amongother things, our and our affiliates' view of thefunding value of the notes as well as thehigherissuance,
operational and ongoingliability management costs of the notesin comparison to those costs for the conventional fixedincome
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
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internal funding rateand any potentialchanges to thatrate may havean adverse effect on the termsof the notes and any
secondarymarket prices of the notes.See"TheEstimated Valueof the Notes" in thispricing supplement.
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back toyou in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See "Secondary Market Prices of the Notes" in this pricingsupplement for additional information relating to this initial period.
Accordingly, the estimated value of your notes during thisinitial period may be lower than the value of the notes as published 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, among other
things, secondary market prices take intoaccount our internal secondary market funding rates for structured debt issuances and,
also, because secondary market pricesmay 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 willing to 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
theMaturity Date could result in a substantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom the selling commissions, projected hedgingprofits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealersmay publish a price for
the notes, which may also be reflected oncustomer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondarymarket.See"Risk Factors-
Risks Relating to the Estimated Value and Secondary Market Pricesof the Notes- Secondarymarket prices of the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to the Index
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THECOMPANIES THAT MAKE UP THE S&P 500®INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in takinganycorporate action that might affect
the level of the S&P 500®Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS-
No assurance can be given that the investment strategy onwhichthe Index is based will be successful or that the Indexwill
outperformany alternative strategythat might be employed with respect to the Futures Contracts.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY-
No assurance can be given that the Index willmaintain an annualized realized volatility that approximates itstarget 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 Futures Contracts is set
equal to (a) the 35% implied volatility target dividedby (b) the one-weekimplied volatilityof the SPY Fund, subject to a maximum
exposure of 500%. The Index uses the impliedvolatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.
However, there is no guarantee that the methodology used by the Index to determine the implied volatility of the SPY Fund will be
representative of the implied or realized volatility of the Futures Contracts. The performance of the SPY Fundmay not correlate
with the performance of the Futures Contracts, particularlyduring periodsof market volatility. In addition, the volatility of the
Futures Contracts on any day maychange quicklyand unexpectedly and realizedvolatilitymaydiffer significantly fromimplied
volatility.In general, over time, the realized volatilities of theSPY Fund and the Futures Contracts have tended to be lower than
their respective impliedvolatilities; however, at any time those realized volatilities mayexceed their respective implied volatilities,
particularly during periods of market volatility. Accordingly, the actual annualizedrealized volatilityof the Index may be greater
than or lessthan the target volatility, which may adversely affect the level of the Index and the value of the notes.
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•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE-
On a weeklyIndex rebalance day, the Index will employleverage to increase the exposureof theIndex to the Futures Contracts if
the impliedvolatility of the SPY Fundis below 35%, subject to a maximum exposure of 500%. Under normal market conditionsin
the past, the SPY Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leverage in the past, except during periods of elevatedvolatility. When leverage is employed, any movementsin the prices of the
Futures Contracts will result in greater changes in the level of the Index than if leverage were not used. In particular, theuse of
leverage willmagnify any negative performance of the Futures Contracts, which, in turn, would negatively affect the performance of
the Index. Because the Index's leverage is adjusted only on a weekly basis, in situations where asignificant increase in volatility is
accompanied by asignificant decline in the value of the Futures Contracts, thelevel of the Index may decline significantly before
the following Index rebalanceday when the Index'sexposure to the Futures Contracts would be reduced.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalance day, the Index's exposure to the Futures Contracts will be less than 100% when the implied volatility
of the SPY Fund is above 35%. If the Index's exposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Index may be significantly uninvested on any given day, and will
realize only aportion of any gainsdue to appreciation of theFutures Contracts on any such day.The 6.0% per annum deduction
is deducted daily, even when the Index isnot fully invested.
•THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN
EXPIRING FUTURES CONTRACT INCLUDED IN THE INDEX-
As the Futures Contracts included in the Index come to expiration, they are replacedby Futures Contractsthat expire three months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the Futures Contract
that expires three months from that time. Thisprocess is referred to as "rolling."Excluding other considerations, if the market for
the Futures Contracts is in "contango," where the prices arehigher in the distant delivery months than in the nearer delivery
months, the purchase of the later Futures Contract would take place at a price that is higher than theprice of the expiring Futures
Contract, thereby creating a negative "roll yield."In addition, excluding other considerations, if the market for the FuturesContracts
is in "backwardation," where the prices are lower in the distant deliverymonths than in the nearer delivery months, the purchase of
the later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, therebycreating
a positive "roll yield."The presence of contango in the market for the Futures Contracts could adversely affect the level of the
Index and, accordingly, any payment on the notes.
•THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT "TOTAL RETURNS"-
The Index is anexcess returnindex that does not reflect total returns.The return from investing in futures contractsderives from
three sources: (a) changes in the price of the relevant futures contracts (which isknown as the "price return"); (b) any profit or loss
realized when rolling the relevant futures contracts (which is known as the "roll return"); and (c) any interest earned on thecash
deposited as collateral for the purchase of the relevant futures contracts (which is known as the "collateralreturn").
The Index measures the returns accrued from investing in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated withan investment in the Futures Contracts).By contrast, a total return index, in addition to reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e., the
collateral return associated with an investment in the Futures Contracts).Investing in the notes will not generate the same return
as would be generated frominvesting in a total return index related tothe Futures Contracts.
•CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES-
The Index generallyprovidesexposure to a single futures contract on the S&P 500®Index that trades on the ChicagoMercantile
Exchange. Accordingly, the notesare less diversified than other funds, investment portfolios or indices investingin or tracking a
broader range of products and, therefore, could experience greater volatility. You should be aware that other indicesmay be more
diversified than the Index in terms of both the number and varietyof futures contracts. You will not benefit, with respect to the
notes, from any of the advantages of a diversified investment and will bear the risks of a highlyconcentrated investment.
•THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY-
The Index tracks the returnsof futurescontracts. The price of a futures contract depends not only on the price of the underlying
asset referencedby the futures contract, but also on a range of other factors, including but not limited to changing supplyand
demand relationships, interestrates, governmentaland regulatorypoliciesand the policiesof theexchanges on which the futures
contracts trade. In addition, the futuresmarkets are subject to temporary distortions or other disruptions due to various factors,
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including the lack of liquidityin the markets, the participation of speculators and government regulation and intervention.These
factors and others can cause the prices of futures contracts to be volatile.
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES-
Futures marketslike the Chicago Mercantile Exchange, themarket for the Futures Contracts, are subject to temporary distortions
or other disruptions due to various factors, including the lackof liquidity in the markets, the participation of speculators, and
government regulation and intervention. In addition, futuresexchanges have regulations that limit theamount of fluctuationin
some futures contract prices that mayoccur during a single day. These limits are generally referred to as "daily price fluctuation
limits" and the maximumor minimum price of a contract on any given day as a result of these limitsis referred to as a "limit price."
Once the limit price has been reached in aparticular contract, no trades may be madeat aprice beyond the limit, or trading may
be limited for a set period of time. Limit prices have the effect of precluding trading in a particular contract or forcingthe liquidation
of contractsat potentiallydisadvantageous times or prices. These circumstances could affect the level of theIndex and therefore
could affect adversely the value of your notes.
•THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE-
The official settlement price and intraday trading prices of the Futures Contractsare calculated and published by the Chicago
Mercantile Exchange and areused to calculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price andintraday trading prices and may delay or prevent the calculation
of the Index.
•CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY
ADVERSELY AFFECT THE VALUE OF THE NOTES-
Futures exchanges require market participants topost collateral in order to open and to keep open positions in futures contracts. If
an exchange changes the amount of collateral required to be posted to hold positionsin the Futures Contracts, market participants
mayadjust their positions, which mayaffect the prices of theFutures Contracts. As a result, thelevel of the Indexmay beaffected,
whichmay adversely affect the value of the notes.
•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Data and Historical Information"
in thispricing supplement is purely theoretical and doesnot represent the actual historicalperformance of the Index and hasnot
been verified by anindependent third party.Hypothetical back-tested performance measures have inherentlimitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed with the benefit of hindsight.Alternative modellingtechniquesmight produce significantly different results and 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 and youshouldcarefully consider these limitations before placing reliance on such
information.
•OTHER KEY RISKS:
oTHE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS.
oHISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE
PERFORMANCE OF THE INDEX DURING THE TERM OF THE NOTES.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-listed
and other risks.
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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 January4, 2019 through February 4, 2022and the historical performance of the Index basedon the
weekly historical closing levels of the Index from February 11, 2022 through October 25, 2024. The Index wasestablished onFebruary
11, 2022, as represented by the vertical line in the followinggraph. 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 29, 2024 was 3,947.70.We obtained the closinglevels 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 followinggraph are purely theoretical and do not
represent the actual historicalperformance of the Index. See "Selected Risk Considerations - Risks Relating to theIndex-
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Dataand Are Subject to Inherent Limitations"
above.
The hypothetical back-tested and historical closing levels of the Indexshould not be taken as an indication of future performance, and
no assurance can be given asto theclosing level of the Index on any Review Date. Therecan be no assurance that theperformance
of the Index will result in the return of any of yourprincipal amount.
The hypothetical back-testedclosing levels of the Index have inherent limitations and havenot beenverified by an independent third
party. These hypotheticalback-testedclosing levelsare determined by means of a retroactiveapplication of a back-tested model
designed with the benefit 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
techniques or assumptions would produce different hypothetical back-tested closing levels of the Index that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
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 incombination withthat section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the materialU.S. federal incometax consequences of owning and disposing of notes.
Basedon current market conditions, in the opinion of our special tax counselit is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, asmorefully described in "Material U.S. FederalIncome Tax
Consequences- Tax Consequences to U.S. Holders-Notes Treated as Open Transactions That Are Not Debt Instruments" in the
accompanying product supplement. Assuming this treatment is respected, the gain or losson your notes should be treated aslong-
termcapitalgain or loss if you holdyour notes for more than a year, whether or not you arean initial purchaser of notes at the issue
price. However, the IRS or a court maynot respect this treatment, in which casethe timing and character of any income or losson the
notes could be materially and adversely affected.In addition, in 2007Treasury and the IRS released a notice requesting comments on
the U.S. federal income taxtreatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on
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whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments arelinked; the degree, if any, to which income (including any mandated
accruals) realized bynon-U.S. investors shouldbe subject to withholding tax; and whether these instruments are or should besubject
to the "constructive ownership" regime, which very generallycanoperate to recharacterize certain long-term capital gain as ordinary
income and impose a notional interest charge. While the notice requestscomments on appropriate transition rules and effective dates,
any Treasury regulations or other guidancepromulgated after consideration of theseissues couldmaterially and adversely affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. You should consult your taxadviser regardingthe
U.S. federal incometax consequences of an investment in the notes, including possible alternative treatments and the issuespresented
by thisnotice.
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 the applicable
Treasury regulations. Additionally, a recent IRS notice excludes from the 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 dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special taxcounselisof the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.Our determination is not binding on the
IRS, and the IRS may disagree with this determination.Section 871(m) is complex and itsapplication may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. Youshould consult your tax
adviser regarding the potential application of Section 871(m) to the notes.
The Estimated Value of the Notes
The estimated 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-income debt component withthe same maturityasthe notes, valued usingthe internal funding
rate described below, and (2) the derivative or derivatives underlying theeconomic terms of the notes.The estimated value of the
notesdoes not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if anyexists) at
any time.The internal funding rate used in the determination of the estimated valueof thenotes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof a similar maturityissued by JPMorganChase & Co. or its affiliates. Any difference
maybe based on, among other things, ourand our affiliates'view of the funding value of the notesas well as the higherissuance,
operational and ongoingliability management costs of thenotes in comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co.This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximatetheprevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that ratemay have an adverse effect on the terms of the notes and anysecondary market
prices of the notes. For additionalinformation, see "Selected Risk Considerations- Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes- The Estimated Value of the NotesIs Derived byReference toanInternalFunding Rate" in this
pricing supplement.
The value of thederivative or derivatives underlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates.These models are dependent on inputssuch as the tradedmarket prices of comparable derivative instruments and on
various other inputs, some of which aremarket-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, theestimatedvalue of thenotes is
determined when the terms of the notes are set basedon market conditions and other relevant factors and assumptions existing at that
time.
The estimated value of the notes does not represent future values of the notes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations forthe notes that are greater than or less thanthe estimated value of the notes.In
addition, market conditions and other relevant factors in the futuremay change, and any assumptions may prove to be incorrect.On
future dates, the value of the notescouldchange significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase& Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willingto buy notesfromyou in secondarymarket transactions.
The estimated value of the notes is lower than the originalissue priceof the notes because costs associatedwithselling, structuring
and hedging the notes are included in the original issueprice of the notes.These costsinclude the sellingcommissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
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hedging our obligations under the notes and the estimated cost of hedging our obligationsunder thenotes.Becausehedgingour
obligations entails risk and may beinfluenced 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 thenotes may be
allowed to other affiliatedor unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.See
"Selected Risk Considerations - Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes- The Estimated
Value of the NotesIs 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 Prices of the Notes- Secondary market prices of the notes will be impacted bymany
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in 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 initialpredetermined period.These costs can includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internalsecondarymarket 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.The lengthof any such initial period reflects the structure of thenotes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as
determined by our affiliates.See "Selected Risk Considerations- 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 Thanthe Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes.See "How the Notes Work" and "Note Payout Scenarios" in this pricingsupplement for anillustration of the risk-return profile of
the notes and"TheMerQube US Large-Cap Vol Advantage Index"in this pricing supplement for a description of the market exposure
provided by the notes.
The originalissue price of the notes is equal to the estimated value of the notesplus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus(minus) the projected profits (losses) that our affiliatesexpect to realize for assuming risks inherent
in hedging our obligations under the notes, plus the estimated cost of hedging our obligationsunder the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial andJPMorgan Chase & Co., when the
notesoffered by this pricing supplement have beenissued by JPMorganFinancial 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 suchnotes(the "master note"), and such noteshave beendelivered against payment as
contemplated herein, such noteswill be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicablebankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealingand the lack ofbad faith),provided that such counsel
expresses no opinionas to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'sobligationunder the related guarantee.
This opinion is given as of thedate hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the
trustee's authorization, execution and deliveryof the indenture and its authentication of the master note and the validity, binding nature
and enforceabilityof the indenture with respect to the trustee, allas stated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the accompanying prospectus, as supplementedby the 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 inthe accompanying product supplement and the accompanying underlying
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supplement. This pricing supplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well asany other written materials includingpreliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, sample structures, fact sheets, brochures or other educational materials of
ours. You should carefullyconsider, among other things, the matters set forth in the "RiskFactors" sections of the accompanying
prospectus supplement, the accompanying product supplement and theaccompanying underlying supplement and in Annex A to the
accompanying prospectus addendum, as the notesinvolve risks not associated with conventional debt securities. We urge you to
consult your investment,legal, tax, accounting and other advisersbefore you invest in the notes.
You may access these documentson the SEC website at www.sec.gov asfollows (or if such address haschanged, by reviewingour
filings for the relevant dateon the SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 5-II dated March5, 2024:
•Prospectus supplement andprospectus, each dated April 13, 2023:
•Prospectusaddendum 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.