JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 12:35
Primary Offering Prospectus - Form 424B2
October 28, 2024
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-Idated April 13, 2023, underlyingsupplement no. 5-II dated March5, 2024, the prospectus and
prospectussupplement, eachdated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorgan Chase Financial CompanyLLC
Structured Investments
$1,315,000
Auto CallableContingent Interest Notes Linked to the MerQube
US Tech+ Vol Advantage Index due November 2, 2027
Fully and Unconditionally Guaranteedby JPMorgan Chase & Co.
●The notes aredesigned for investors whoseek a Contingent Interest Payment with respect to each Review Date for which
the closing levelof the MerQube US Tech+ Vol Advantage Index, which we refer to as theIndex, is greater than or equalto
60.00% of the Initial Value, which we refer to as the Interest Barrier.
●The notes will be automatically calledif the closing levelof the Index on any Review Date (other than the first and final
Review Dates) isgreater than or equal to the Initial Value.
●The earliest dateon which anautomatic call may be initiated is April28, 2025.
●Investors should be willing to accept the risk of losing some or allof their principal and the risk that no Contingent Interest
Payment may bemade with respect to some or all Review Dates.
●Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
●The Index is subject to a 6.0% per annum dailydeduction, and the performance of the Invesco QQQ TrustSM, Series
1 (the "QQQ Fund") is subject to a notional financing cost. These deductionswill offset any appreciation of the
components of the Index, will heighten any depreciation of those components and will generally be adrag on the
performance of the Index. The Index will trail theperformance of an identical indexwithout such deductions. See
"Selected Risk Considerations-Risks Relating to the Notes Generally-The Levelof the Index Will Include a
6.0% per Annum Daily Deduction"and "Selected Risk Considerations - Risks Relating to the Notes Generally -
The Level of the Index Will Include the Deduction of a Notional Financing Cost" in this pricing supplement.
●The notes areunsecured andunsubordinated obligations of JPMorgan ChaseFinancial Company LLC, which we refer toas
JPMorgan Financial, thepayment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk
of JPMorgan Chase & Co., as guarantor of the notes.
●Minimum denominations of $1,000 and integralmultiplesthereof
●The notes priced on October 28, 2024 and are expected to settle on or about October 31, 2024.
●CUSIP:48135UFH8
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of theaccompanying
prospectus supplement, Annex A to the 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
supplement and "Selected Risk Considerations" beginning on page PS-7 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") noranystate securitiescommission has approved or disapproved of
the notes or passed upon the accuracy or theadequacyof this pricingsupplement or the accompanying 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
$30
$970
Total
$1,315,000
$39,450
$1,275,550
(1) See "Supplemental Use of Proceeds"in this pricingsupplementfor information about the components of the price to public ofthe notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent forJPMorgan Financial, will pay allof the sellingcommissions
of $30.00 per$1,000 principal amount note it receives fromus toother affiliatedor unaffiliateddealers.See "Planof Distribution(Conflicts
of Interest)" in the accompanying productsupplement.
The estimated value of the notes, when the terms of the notes were set, was $922.00 per $1,000 principal amount note. See
"The Estimated Value of the Notes" in this pricing supplement for additional information.
Thenotesare not bankdeposits, are not insured by the FederalDeposit Insurance Corporation or anyother governmental agency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:JPMorgan Chase & Co.
Index:The MerQube US Tech+ Vol Advantage Index
(Bloomberg ticker: MQUSTVA). The levelof the Indexreflects
a deductionof 6.0% per annum that accruesdaily, and the
performance of the QQQ Fund issubject to a notional
financing cost that accrues daily.
Contingent Interest Payments:
If the notes have not been automatically called and the
closing level of the Index on any Review Date is greater than
or equal to the Interest Barrier, you will receive onthe
applicableInterest Payment Date for each $1,000 principal
amount note a Contingent Interest Payment equal to $27.50
(equivalent to a Contingent Interest Rate of 11.00% per
annum, payableat a rateof 2.75% per quarter).
If the closing level of the Index on any Review Date is less
than the Interest Barrier, no Contingent Interest Payment will
be made with respect to that Review Date.
Contingent Interest Rate:11.00% per annum, payable at a
rate of 2.75% per quarter
Interest Barrier/Trigger Value: 60.00%of the Initial Value,
whichis 6,863.688
Pricing Date:October 28, 2024
Original Issue Date (Settlement Date):On or about October
31, 2024
Review Dates*:January 28, 2025, April28, 2025, July28,
2025, October 28, 2025, January 28, 2026, April28, 2026,
July 28, 2026, October 28, 2026, January 28, 2027, April 28,
2027, July28, 2027 and October 28, 2027 (final Review Date)
Interest Payment Dates*:January 31, 2025, May1, 2025,
July 31, 2025, October 31, 2025, February 2, 2026, May 1,
2026, July31, 2026, November 2, 2026, February 2, 2027,
May3, 2027, August 2, 2027 and the Maturity Date
Maturity Date*:November 2,2027
Call Settlement Date*:If thenotes are automatically called
on any Review Date (other than the first and final Review
Dates), the first Interest Payment Date immediately following
that Review Date
* Subject to postponement in theevent of a market disruption event
and as described under "Supplemental Terms ofthe Notes-
Postponement of a Determination Date - Notes Linked Solely toan
Index" in theaccompanying underlying supplement and "General
Terms of Notes-Postponement of a Payment Date" inthe
accompanying product supplement
Automatic Call:
If the closing level of the Index on any Review Date (other
than the first and final Review Dates) is greater than or equal
to the Initial Value, the notes will be automaticallycalled for a
cash payment,for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Contingent Interest Payment
applicableto that Review Date, payable onthe applicable Call
Settlement Date. No further payments willbe made onthe
notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value isgreater than or equalto the Trigger Value, you will
receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000plus(b) the Contingent
Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and the Final
Value isless than the Trigger Value, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and the Final
Value isless than the Trigger Value, you will lose more than
40.00% of your principalamount at maturity and could lose all
of your principal amount at maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Index on the Pricing
Date, which was 11,439.48
Final Value:Theclosing level of theIndex on the final Review
Date
PS-2| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
The MerQube US Tech+Vol Advantage Index
The MerQube US Tech+ Vol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "Index Calculation
Agent"), incoordination withJPMS, and is maintained by the Index Sponsor and is calculated and published by the IndexCalculation
Agent. The Index was established on June22, 2021. An affiliateof ourscurrently has a 10% equityinterest in theIndexSponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of the board of directors of the Index Sponsor.
Since February 9, 2024 (the "Amendment Effective Date"), the underlying asset to which the Index islinked (the "Underlying Asset")
has been an unfunded position in the QQQ Fund, calculated as the excess of the total return of the QQQ Fund over a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset wasan unfunded rolling position in E-Mini Nasdaq-100futures (the
"Futures Contracts").
The investment objective of the QQQ Fund is to seek to track the investment results, before fees and expenses, of the Nasdaq-100
Index®. For more information about the QQQ Fund and theNasdaq-100 Index®, see "Background on the Invesco QQQTrustSM, Series
1" and "Background on the Nasdaq-100 Index®," respectively, in the accompanying underlying supplement.
The Index attempts to providea dynamic rules-based exposure to the Underlying Asset, while targeting a levelofimplied volatility, with
a maximum exposure to the Underlying Asset of 500% and a minimum exposure to the Underlying Asset of 0%. The Index is subject to
a 6.0% per annum daily deduction, andthe performance of the Underlying Asset is subject to a notional financing cost deducted daily.
On each weekly Index rebalance day, the exposure to the Underlying Asset is set equal to (a) the35% implied volatility target (the
"target volatility") dividedby (b) the one-week implied volatility of the QQQ Fund, subject toa maximum exposure of 500%. For
example, if the implied volatility of the QQQ Fund isequal to 17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatilityof the QQQ Fundisequal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index's exposureto the Underlying Asset will be greater than 100% when the implied volatility of the QQQ Fund isbelow
35%, and the Index's exposure to the Underlying Asset will be less than 100% when the impliedvolatility of the QQQ Fund is above
35%. In general, the Index'starget volatility featureis expected to result in the volatilityof the Indexbeing more stable over time than if
no target volatility feature were employed. No assurance can be provided that thevolatilityof the Index will be stable at any time.The
Index usesthe implied volatility of the QQQ Fund asa proxyfor the realized volatilityof the Underlying Asset.
The Index tracks the performanceof the QQQ Fund, with distributions, if any, notionally reinvested, lessthe daily deduction of a
notional financing cost. The notional financingcost is intended toapproximate the cost of maintaining a position inthe QQQ Fund
using borrowed funds at a rate of interest equal to SOFR plus a spread of 0.50% per annum. SOFR, the Secured Overnight Financing
Rate, is intended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. The Indexis an
"excess return" index and not a "total return" index because, as part of the calculation of the level of the Index, theperformance of the
QQQ Fund is reduced by the notional financingcost. The notional financing cost has been deducted from the performance of the QQQ
Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notionalfinancing cost willoffset any appreciationof the Underlying Asset, willheighten
any depreciation of the Underlying Asset and will generally be a drag on the performance of theIndex. The Index will trail the
performance of anidenticalindex without such deductions.
Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Trigger
Value and the other economicterms available onthe notes are more favorableto investors than the terms that would be available on a
hypothetical note issued byus linkedto an identical index without a daily deduction. However, there can be no assurancethat any
improvement inthe terms of the notes derived fromthe dailydeduction will offset the negative effect of the daily deduction on the
performance of the Index. The return on the notes maybe lower than the return on a hypothetical note issued by us linked to an
identical index without a daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates'internal pricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivativesunderlying the economic termsof the notes. See "The Estimated Value of the Notes"
and "Selected Risk Considerations- Risks Relating tothe Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with the useof significant leverage. The notional financing cost deducted daily will
be magnified by any leverage provided by the Index. In addition, the Index may be significantly uninvested on any given day,
and, in that case, will realize only a portion of any gainsdue to appreciation of the Underlying Asset on that day. The index
deduction isdeducted daily at a rateof 6.0% per annum, even when the Index is not fully invested.
PS-3| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
No assurancecan be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successfulor will outperform anyalternative indexor strategy thatmight reference the Underlying Asset.
For additional information about theIndex, see "The MerQube Vol Advantage Index Series" in the accompanying underlying
supplement.
PS-4| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
Supplemental Terms of the Notes
Any value of any underlier, and any values derived therefrom, included in this pricingsupplement may be corrected, in the event of
manifest error or inconsistency, byamendment of thispricingsupplement and thecorrespondingterms of the notes. Notwithstanding
anything to the contrary in the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payment in Connection with the First Review Date
First Review Date
Comparethe closing level of the Index to the Interest Barrieron the Review Date.
The closing level of the Index is greater thanor equal
to the Interest Barrier.
You will receive a Contingent Interest Payment on the
applicable Interest Payment Date.
Proceed to the next Review Date.
The closing level of the Index is less than the Interest
Barrier.
No Contingent Interest Payment will be made with respect to
theapplicable Review Date.
Proceed to the next Review Date.
Payments in Connection with Review Dates (Other than the First and Final Review Dates)
Review Dates(Other than the First andFinal Review Dates)
Initial
Value
Compare the closing level of the Indexto the Initial Value and the Interest Barrier on each Review Date until the final
Review Date or any earlier automatic call.
The closing level of
theIndex is
greater than or
equal to the Initial
Value.
Automatic Call
The notes will be automatically called on the applicable Call Settlement Date, and you
will receive (a) $1,000plus (b) the Contingent Interest Payment applicable to that
Review Date.
No further payments will be madeon the notes.
The closing level of
theIndex isless
thanthe Initial
Value.
No
Automatic
Call
The closing level of the
Index is greater than
or equal to the Interest
Barrier.
You will receive a Contingent Interest
Payment on the applicable Interest
Payment Date.
Proceed to the next Review Date.
The closing level of the
Index is less thanthe
Interest Barrier.
No Contingent Interest Payment will be
made with respect to the applicable
Review Date.
Proceed to the next Review Date.
PS-5| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Review Dates
Preceding the Final
Review Date
Final Review Date
Paymentat Maturity
The notes arenot
automatically called.
The Final Value is greater thanor equal to
the Trigger Value.
You will receive (a) $1,000plus (b)the
Contingent Interest Payment applicable
to the final Review Date.
Proceed to maturity
The Final Value is less thanthe Trigger
Value.
You will receive:
$1,000 + ($1,000 × Index Return)
Under these circumstances, you will
lose some orall of your principal
amount at maturity.
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the termof the
notes based on the Contingent Interest Rate of 11.00% per annum, depending on how many Contingent Interest Payments are made
prior to automatic callor maturity.
Number of Contingent
Interest Payments
Total Contingent Interest
Payments
12
$330.00
11
$302.50
10
$275.00
9
$247.50
8
$220.00
7
$192.50
6
$165.00
5
$137.50
4
$110.00
3
$82.50
2
$55.00
1
$27.50
0
$0.00
Hypothetical Payout Examples
The following examplesillustrate payments on the notes linked to ahypothetical Index, assuming a range of performancesfor the
hypotheticalIndex on the Review Dates. The hypothetical paymentsset forth below assume the following:
●an Initial Value of 100.00;
●an Interest Barrier and a Trigger Value of 60.00 (equal to 60.00% of the hypothetical InitialValue); and
●a Contingent Interest Rate of 11.00% per annum (payable at a rateof 2.75% per quarter).
The hypothetical Initial Value of 100.00 hasbeen chosen for illustrativepurposes only and doesnot represent theactual Initial Value.
The actual Initial Value is the closinglevel of the Index on the Pricing Date and is specified under "Key Terms- Initial Value" in this
pricing supplement. For historical data regarding the actualclosing levels of the Index, pleaseseethe historical information set forth
under "Hypothetical Back-Tested Data and Historical Information" in thispricing supplement.
Each hypothetical payment set forthbelow is for illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of the notes. The numbers appearing inthe following examples havebeen rounded for ease of analysis.
PS-6| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
Example 1- Notes are automaticallycalled on the second Review Date.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
105.00
$27.50
Second Review Date
110.00
$1,027.50
Total Payment
$1,055.00 (5.50% return)
Because the closing level of the Index on the second Review Date is greater than or equal to the Initial Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,027.50 (or $1,000plusthe Contingent Interest
Payment applicable to the second Review Date), payable on the applicable Call Settlement Date. The notes are not automatically
callable before the second Review Date, even though theclosing level of the Index onthe first Review Dateisgreater than the Initial
Value. When added to the Contingent Interest Payment received with respect to the prior Review Date, the total amount paid, for each
$1,000 principal amount note, is $1,055.00. No further payments willbe made on thenotes.
Example 2- Notes have NOT been automatically called and the Final Value is greater than or equal to the
Trigger Value.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
95.00
$27.50
Second Review Date
85.00
$27.50
Third through Eleventh
Review Dates
Less than Interest
Barrier
$0
Final Review Date
90.00
$1,027.50
Total Payment
$1,082.50 (8.25% return)
Because the notes have not been automaticallycalled and the Final Value is greater than or equal to the Trigger Value, the payment at
maturity, for each $1,000 principal amount note, will be$1,027.50 (or $1,000plusthe Contingent Interest Payment applicable to the
final Review Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,082.50.
Example 3- Notes have NOT been automatically called and the Final Value is less than the Trigger Value.
Date
Closing Level
Payment (per $1,000principal amount note)
First Review Date
50.00
$0
Second Review Date
55.00
$0
Third through Eleventh
Review Dates
Less than Interest
Barrier
$0
Final Review Date
50.00
$500.00
Total Payment
$500.00 (-50.00% return)
Because the notes have not been automatically called, the Final Value is lessthan the Trigger Value and the Index Returnis -50.00%,
the payment at maturity will be $500.00 per $1,000 principalamount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returnsand hypothetical payments on the notesshown above apply only if you hold the notes for their entire term
or until automatically called. These hypotheticalsdo not reflect the fees or expensesthat would be associated withanysale inthe
secondarymarket. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
PS-7| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
Selected Risk Considerations
An investment in the notes involvessignificant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement, product supplement and underlying supplement and in Annex A tothe accompanying
prospectusaddendum.
Risks Relating to the NotesGenerally
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS-
The notes donot guarantee any return of principal. If the notes have not been automatically called and the Final Value isless than
the Trigger Value, you willlose 1% of the principal amount of your notes for every1% that the Final Value isless than the Initial
Value. Accordingly, under these circumstances, you will lose more than40.00%of your principal amount at maturity and couldlose
all of your principal amount at maturity.
●THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL-
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only if
theclosing levelof the Index on that Review Date isgreater than or equal to the Interest Barrier. If the closing level of the Index on
that Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Accordingly, if the closing level of the Indexon each Review Date is lessthan the Interest Barrier, you will not receive anyinterest
payments over the termof the notes.
●THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
TheIndex is subject to a 6.0% per annum daily deduction. As a result, the level of the Index will trail the value of an identically
constitutedsynthetic portfolio that is not subject to any such deduction.
Thisdeduction will place a significant drag on the performance of theIndex, potentially offsetting positive returnson the Index's
investment strategy, exacerbating negative returnsof its investment strategy and causing the levelof the Index to declinesteadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of itsinvestment strategyis
sufficient to offset the negative effectsof thisdeduction, and then only to the extent that the returnof its investment strategy is
greater than this deduction. As a result of this deduction, the level of the Indexmay decline even if the return of its investment
strategy isotherwise positive.
The daily deduction is one of the inputs our affiliates' internal pricingmodels use to valuethe derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimated value of the notes set forth on the cover of this pricing
supplement.The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and SecondaryMarket Prices of
the Notes" in thispricing supplement.
●THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST -
Since the Amendment Effective Date, theperformanceof the Underlying Asset has been subject toa notional financing cost
deducted daily.The notional financingcost is intended to approximate the cost of maintaining a position in the QQQ Fund using
borrowedfunds at a rate of interest equal to the daily SOFR rate plusa fixed spread. The actual cost of maintaining aposition in
the QQQ Fund at any time may be less thanthe notional financing cost. Asa result of thisdeduction, the level of the Index will trail
the value of an identically constituted synthetic portfolio that is not subject to any such deduction.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our 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, asdetermined by themarket for taking that credit
risk, is likely to adversely affect thevalue of the notes.If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a financesubsidiary of JPMorgan Chase & Co., we have no independent operations beyond theissuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capitalcontribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to
JPMorgan Chase & Co. or under other intercompany agreements. Asa result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in
respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable tomake
payments on the notes, you may have to seek payment under the related guaranteeby JPMorgan Chase & Co., and that
guarantee will rank pari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
●THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciation of the Index, which maybe significant. You will not participate in any appreciation of the Index.
●THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE-
If the Final Value isless than the Trigger Value and the notes have not been automatically called, thebenefit provided by the
Trigger Value will terminateand you will befully exposed to any depreciationof the Index.
PS-8| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
●THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notesare automatically called, the termof the notes may be reduced to asshort as approximately sixmonths and you will
not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is noguarantee that you would be
able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a
similar levelof risk. Even in cases where the notes are called before maturity, youare not entitled to any feesand commissions
described on the front cover of this pricing supplement.
●YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY
RIGHTS WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES.
●THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE
IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE.
●JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the meritsof investing in the notes, the Index and the componentsof the Index.
●LACK OF LIQUIDITY-
The notes will not be listedon anysecurities exchange. Accordingly, theprice at which you may be able to tradeyour notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not
designed to beshort-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
●POTENTIAL CONFLICTS-
We and our affiliates play avariety of roles inconnection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economicinterests are potentially adverse to your interests as aninvestor in the notes. It ispossible that hedging or trading
activities of ours or our affiliates inconnection with thenotescould result in substantial returns for us or our affiliates whilethe
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflictsof Interest" in the accompanying product
supplement.
An affiliate of ours currentlyhas a 10% equity interest in the Index Sponsor, witha right to appoint an employee of JPMS, another
of our affiliates, asa member of the board of directors of the Index Sponsor.The Index Sponsor can implement policies, make
judgments or enact changes to the Index methodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the valueof 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 are under no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the role of
an employee of JPMS as a member of the board of directorsof the Index Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for whichJPMS was
responsible could have an impact,positive or negative, on the levelof the Index and the value of your notes. JPMS is under no
obligation to consider your interests as an investor in the notes in its role in developing 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 thenotes is only an estimate determined by reference to several factors. The original issue priceof the
notes exceedsthe estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in theoriginal issue price of the notes. Thesecosts include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesandthe estimated cost ofhedging
our obligations under the notes. See "The Estimated Valueof the Notes" in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See "The Estimated Value of the Notes" in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determination of the estimated value of the notes maydiffer from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Anydifference may
be based on, among other things, our and our affiliates' view of the funding valueof the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay
prove to be incorrect, and is intended toapproximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and anypotential changes to that rate may have an adverse effect on the termsof the notes and any
secondary market prices of the notes. See "The Estimated Value of the Notes" in this pricing supplement.
PS-9| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the notes will be partiallypaid back to you in
connection with any repurchases of your notesby JPMS in an amount that will decline to zero over an initial predetermined period.
See "SecondaryMarket Prices of the Notes" in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the value of the notes aspublished by
JPMS (and which may be shown on your customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondary market pricesof the notes willlikely be lower than the original issue price of the notes because, among other
things, secondarymarket prices take intoaccount our internal secondary market funding rates for structureddebt issuances and,
also, becausesecondarymarket prices may exclude sellingcommissions, projected hedging profits, if any, and estimatedhedging
costs that are included inthe original issue price of the notes. As a result, the price, if any, at which JPMS will be willing tobuy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale byyou prior to
the Maturity Date could result in a substantial loss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, aside from theselling commissions, projected hedgingprofits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for
the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than theprice
of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondary market. See "Risk Factors-Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes- Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in theaccompanying product supplement.
Risks Relating to the Index
●THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS
NO OBLIGATION TO CONSIDER YOUR INTERESTS -
The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute the components of
the Index or make other methodological changes that could affect thelevel of the Index. The Index Sponsor has no obligationto
consider your interests incalculating or revising the Index.
●THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
No assurancecan be given that theinvestment strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed with respect to the Underlying Asset.
●THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurancecan be given that theIndex will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatility isa level of implied volatility and therefore the actual realizedvolatility of the Index maybe
greater or less than the target volatility.On each weekly Index rebalance day, the Index'sexposure to the Underlying Asset is set
equal to (a) the 35% implied volatility target divided by (b) the one-week implied volatilityof the QQQ Fund, subject to amaximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, there isno guarantee that the methodology used by the Index to determine the implied volatilityof the QQQ Fund
will be representative of the realized volatility of the QQQ Fund. The volatilityof the Underlying Asset on any daymay change
quickly and unexpectedly andrealizedvolatility maydiffer significantlyfromimplied volatility. In general, over time, the realized
volatilityof the QQQ Fundhas tended to belower than its implied volatility; however, at any time that realized volatility may exceed
its implied volatility, particularly duringperiods of market volatility. Accordingly, the actualannualized realized volatility of the Index
maybe greater than or less than the target volatility, which mayadversely affect the level of the Index and the value of the notes.
●THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE -
On a weeklyIndex rebalance day, the Index will employ leverage to increase the exposure of the Index to the UnderlyingAsset if
the impliedvolatility of the QQQ Fund is below 35%, subject to amaximum exposure of 500%. Under normal market conditionsin
the past, the QQQ 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
Underlying Asset will result in greater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage willmagnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where asignificant increase in volatility is
accompanied by a significant declinein the price of the Underlying Asset, the level of the Index may declinesignificantly before the
following Index rebalance day when the Index'sexposure to the Underlying Asset would be reduced. Inaddition, thenotional
financing cost deducted daily will be magnified by any leverage provided by the Index.
●THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalance day, the Index's exposureto the Underlying Asset will be less than 100% when the implied volatility
of the QQQ Fund is above 35%. If the Index's exposure to the Underlying Asset is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Index may be significantly uninvested on any given day, and will
realize only a portion of any gains due to appreciationof the Underlying Asset on any such day. The 6.0% per annum deductionis
deducted daily, even when the Index is not fullyinvested.
PS-10| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
●AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Some of the equity securities held by the QQQ Fund are issued by non-U.S. companies. Investments insecurities linked to the
value of such non-U.S. equitysecuritiesinvolve risks associated with the homecountries ofthe issuersof those non-U.S. equity
securities.The prices of securities issued by non-U.S. companies maybe affectedby political, economic, financial and social
factors in the home countries of thoseissuers, or global regions, including changes in government, economicand fiscalpolicies
and currency exchange laws.
●THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
The QQQ Fund issubject to management risk, which is the risk that the investment strategies of the QQQ Fund'sinvestment
adviser, theimplementation ofwhich issubject to a number of constraints, may not produce the intended results. These constraints
could adversely affect the market price of the shares of the QQQ Fund and, consequently, the value of the notes.
●THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE QQQ FUND'S UNDERLYING INDEX AS WELL AS
THE NET ASSET VALUE PER SHARE -
The QQQ Fund does not fullyreplicateits underlying index and may hold securities different fromthose included in its underlying
index. In addition, the performance of the QQQ Fund will reflect additional transaction costs and fees that are not included in the
calculation of its underlying index. All of these factors may lead to alack of correlation between the performance of the QQQ Fund
and its underlying index. In addition, corporate actions with respect to the equity securities underlying the QQQ Fund (such as
mergers and spin-offs) mayimpact thevariance between the performances of the QQQ Fund and its underlying index. Finally,
because theshares of the QQQ Fund are traded on asecuritiesexchange and are subject to market supply and investor demand,
the market value of one share of the QQQ Fund maydiffer from the net asset valueper share of the QQQ Fund.
During periodsof market volatility, securities underlying the QQQ Fund may be unavailable in the secondary market, market
participants may be unable tocalculate accurately the net asset value per share of the QQQ Fund and the liquidity of the QQQ
Fund may be adversely affected. Thiskind of market volatility may also disrupt the ability of market participants to createand
redeem shares of the QQQ Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market
participants are willing to buyandsell shares of the QQQ Fund. As a result, under these circumstances, themarket value of shares
of the QQQ Fund may vary substantially from the net asset value per share of the QQQ Fund. For all of the foregoing reasons, the
performance of the QQQ Fund may not correlate with the performance of its underlying index as well asthe net asset value per
share of the QQQ Fund, which could materiallyand adversely affect the value of the notesin thesecondarymarket and/or reduce
any payment on the notes.
●HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS, AND THE HISTORICAL AND HYPOTHETICAL BACK-TESTED
PERFORMANCE OF THE INDEX ARE NOT INDICATIONS OF ITS FUTURE PERFORMANCE -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in thispricingsupplement is purely theoretical and does not represent the actual historical performance of the Indexand has not
been verified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested modelthat has been
designed withthe benefit of hindsight. Alternativemodellingtechniques might producesignificantly different resultsand may prove
to be more appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations, and you should carefully consider theselimitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance can be provided that the QQQ Fund is an appropriatesubstitute for the FuturesContracts. This replacement may
adversely affect the performance of the Index and the value of the notes, as the QQQ Fund, subject to a notional financing cost,
mayperform worse, perhaps significantly worse, thanthe Futures Contracts. The Indexlacks anyoperating history with the QQQ
Fund as the Underlying Asset prior to the Amendment Effective Date and may perform in unanticipated ways. Investors in the
notes should bear thisdifference in mind when evaluatingthe historical and hypothetical back-tested performance shown in this
pricing supplement.
●OTHER KEY RISK:
o THE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-
listed and other risks.
PS-11| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forththe hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January 4, 2019 through June 18, 2021, and the historical performanceof the Indexbased on the
weekly historical closing levels of the Index from June 25, 2021 through October 25, 2024. The Index was established on June22,
2021, as representedby the vertical linein the followinggraph. All data to the left of that vertical linereflect hypotheticalback-tested
performance of the Index. Alldata to the right of that vertical line reflect actual historical performance of the Index. The closing level of
the Index on October 28, 2024 was 11,439.48. We obtained the closinglevels above and below from the Bloomberg Professional®
service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of the Index set forth in the following graph are purely theoretical and do not
represent the actual historical performance of the Index. See "Selected Risk Considerations- Risks Relating to the Index-
Hypothetical Back-Tested Data Relatingto the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations,
and the Historical and Hypothetical Back-Tested Performance of the Index Are Not Indications of Its Future Performance" above.
The hypothetical back-tested and historical closing levels of the Index should not be taken as an indication of future performance, and
no assurance can be given asto the closing level of the Index on any Review Date. There can be no assurance that the performance of
the Index will result in the return of any of your principal amount or thepayment of any interest.
Hypothetical Back-Tested and Historical Performanceof the
MerQube US Tech+ Vol Advantage Index
Source: Bloomberg
The hypothetical back-tested closing levels of the Index have inherent limitations and have not been verified by an independent third
party. These hypothetical back-tested closing levels are determined by means of a retroactive application of a back-tested model
designed withthe benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guaranteeof future returns. No
representation is made that an investment in thenotes will or is likely to achieve returns similar to thoseshown. Alternative modeling
techniquesor assumptions would produce different hypotheticalback-tested closinglevelsof 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.
PS-12| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanyingproduct
supplement no. 4-I. In determining our reporting responsibilities weintend to treat (i) the notes for U.S. federal income taxpurposes as
prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences -Tax Consequences to U.S. Holders- Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement. Based on the
advice of Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment, but that thereare other
reasonable treatments that the IRS or a court may adopt, in whichcase the timing and character of anyincome or loss on the notes
could be materially affected. In addition, in 2007 Treasury and the IRS released anotice requesting comments on the U.S. federal
income taxtreatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require
investors in theseinstruments to accrue income over the term of their investment. It also asks for commentson a number of related
topics, includingthe character of income or loss with respect to these instruments and the relevance of factors such as the nature of the
underlying property to which the instruments are linked. While thenotice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of theseissues could materially affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. The discussions above and in the accompanying
product supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal income tax consequencesof an investment in the notes, including
possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders - Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at
least if an applicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent, intend
to) withhold onany Contingent Interest Payment paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by
an applicable income tax treaty under an "other income" or similar provision. We will not be required to pay any additionalamounts with
respect to amounts withheld. In order toclaiman exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and is eligible for suchan exemptionor
reduction under an applicable tax treaty. Ifyou are a Non-U.S. Holder, you should consultyour taxadviser regarding the tax treatment
of the notes, including thepossibility of obtaininga refund of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial instrumentslinked toU.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthe scopeof Section 871(m) instruments issued prior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special tax counsel is of the
opinion that Section871(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 maydisagree with this determination. Section 871(m) iscomplex and its application 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 Section871(m) to the notes.
In the event of any withholding on the notes, we will not be required to payany additional amounts with respect to amounts so withheld.
The Estimated Value ofthe Notes
The estimated value of thenotes set forth on the cover of this pricing supplement isequal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturityas the notes, valuedusing the internal funding
rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes. The estimated value of the notes
does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any
time. The internal funding rate used in the determination of the estimatedvalue of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Anydifferencemay be
based on, among other things, our and our affiliates'view of the funding value of the notesas well as the higher issuance,operational
and ongoing liabilitymanagement costs of the notesin comparison tothose costs for the conventional fixed incomeinstruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputsand assumptions, which mayprove to beincorrect,
and is intended to approximate theprevailing market replacement funding rate for the notes. The use of an internal funding rate and
any potential changes to that rate mayhave an adverse effect on theterms of the notesand any secondary market prices of the notes.
For additional information, see "Selected Risk Considerations - Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes -The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate" in thispricing supplement.
PS-13| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
The value of the derivativeor derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These modelsare dependent on inputs such asthe traded market prices of comparable derivative instruments and onvarious
other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as
well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when
the terms of the notes are setbased on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of thenotes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsandassumptionscould provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the futuremay change, and any assumptionsmay prove to be incorrect. On
future dates, thevalue of the notescould changesignificantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfromyou in secondarymarket transactions.
The estimated value of thenotes is lower than the original issue priceof the notes becausecosts associated with selling, structuring
and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our
obligations entails riskandmay be influenced by market forces beyond our control, thishedging may result in a profit that is more 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 notesmay 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 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" in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes- Secondary market prices of the notes will beimpacted by many
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs
included in theoriginal 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 initialpredetermined period. These costscan includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances. Thisinitial predetermined time period is intended to be the shorter of six monthsand one-half of the
stated term of the notes. The length of any such initial period reflects thestructure of the notes, 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 Than the Then-Current Estimated Value of the Notes for a LimitedTime Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See "How the Notes Work" and "Hypothetical Payout Examples" in this pricingsupplement for an illustration of the risk-return
profile of thenotes and "The MerQube US Tech+ Vol Advantage Index" in this pricingsupplement 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 notes plus the selling commissions paidtoJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliatesexpect to realize forassuming risks inherent
in hedging our obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.
PS-14| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Tech+
Vol Advantage Index
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offeredby this pricing supplement have beenissued by JPMorgan Financialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and such notes have beendelivered against payment as
contemplated herein, suchnotes will be valid and binding obligations of JPMorgan Financial and the relatedguarantee 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 dealing andthe 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
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.
Thisopinion is given as of thedate hereof and is limited to the laws of the State of New York, the General CorporationLaw of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject tocustomary assumptions about the
trustee's authorization, execution and delivery of the indenture and its authentication of the master note and thevalidity, binding nature
and enforceability of the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filed asan 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 theaccompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, sample structures, fact sheets, brochures or other educational materialsof
ours. Youshould carefully consider, among other things, the matters set forth in the "Risk Factors" sections of theaccompanying
prospectussupplement, the accompanying product supplement and the accompanying underlying supplement and in Annex A to the
accompanying prospectus addendum, as the notes involve 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 atwww.sec.gov as follows (or if such address has changed, by reviewing
our filings for the relevant date on the SEC website):
●Product supplement no. 4-I dated April 13, 2023:
●Underlying supplement no. 5-II dated March 5, 2024:
●Prospectus supplement and prospectus, each dated April 13, 2023:
●Prospectus addendum datedJune 3, 2024:
Our Central Index Key, orCIK, on the SEC websiteis 1665650,and JPMorgan Chase & Co.'s CIK is 19617. Asused in this pricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.