JPMorgan Chase & Co.
11/04/2024 | Press release | Distributed by Public on 11/04/2024 09:23
Primary Offering Prospectus - Form 424B2
October31, 2024Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricingsupplement to productsupplement no. 4-Idated April 13, 2023, underlying supplement no.5-IIdated March 5,2024,theprospectus and
prospectussupplement,each dated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorganChase FinancialCompany LLC
Structured Investments
$46,000
Review Notes Linked to theMerQube US Large-Cap
Vol Advantage IndexdueNovember 4, 2027
Fully and UnconditionallyGuaranteed by JPMorgan Chase& Co.
•The notes aredesigned for investors who seek early exit prior to maturityat a premium if, on any Review Date, the
closing level of the MerQube US Large-Cap Vol Advantage Index, which we refer to as the Index, is at or abovethe Call
Value.
•The earliest dateon which an automatic call may be initiated is November 3, 2025.
•Investors should be willing to forgo interest anddividend payments and bewilling to accept the risk of losing some or all
of their principalamount at maturity.
•The Index is subject to a6.0% 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 thispricing supplement.
•The notes areunsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integral multiples thereof
•The notes priced on October 31, 2024 and are expectedtosettle on or aboutNovember 5, 2024.
•CUSIP:48135UBZ2
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of the accompanying
prospectus supplement, Annex A to the accompanyingprospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplement, "Risk Factors" beginning onpage US-4 of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securitiescommission has approved or disapproved
of the notes or passed uponthe accuracy or the adequacy of this pricing supplement or theaccompanying product supplement,
underlying supplement, prospectus supplement,prospectus and prospectusaddendum. Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$10
$990
Total
$46,000
$460
$45,540
(1)See"Supplemental Use ofProceeds"in this pricing supplementfor informationabout the componentsof the price to public ofthe
notes.
(2)J.P. MorganSecuritiesLLC, which we refer toas JPMS, acting as agentforJPMorgan Financial,will pay allof the selling
commissions of $10.00 per$1,000principalamountnote it receivesfrom us toother affiliated or unaffiliated dealers.See"Plan of
Distribution (Conflicts ofInterest)" in the accompanyingproductsupplement.
The estimated value of the notes, when the terms of thenotes were set,was $926.10 per $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
Review Notes Linked to theMerQubeUSLarge-Cap VolAdvantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US 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 withrespect
to each Review Date isset forth below:
•first Review Date:30.00% × $1,000
•second Review Date: 60.00% × $1,000
•final Review Date: 90.00% × $1,000
Call Value: 100.00% of the Initial Value
Barrier Amount: 60.00% of the Initial Value, which is2,250.516
Pricing Date:October 31, 2024
Original Issue Date (Settlement Date): On or about November
5, 2024
Review Dates*:November3, 2025, November 2, 2026 and
November 1, 2027 (final Review Date)
Call Settlement Dates*:November6, 2025, November 5, 2026
and the Maturity Date
Maturity Date*: November 4,2027
* Subject to postponement in the event of a market disruption
event and as described under "Supplemental Terms of the Notes
- Postponement of a Determination Date- Notes Linked Solely
to anIndex" in the accompanying underlying supplement and
"General Terms of Notes -Postponement of a Payment Date"in
the accompanyingproduct supplement
Automatic Call:
If the closing level of the Index on any Review Date is greater than
or equal to theCall Value, 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 the applicable Call Settlement Date. No
further payments will be madeon the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
is greater than or equal to theBarrier Amount, you will receive the
principal amount of your notes at maturity.
If the notes have not been automatically called and the Final Value
is less thanthe Barrier Amount,your payment at maturityper
$1,000 principal amount notewill be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and the Final Value
is less thanthe Barrier Amount, you will lose more than 40.00% of
your principal amount at maturity and could lose all of your principal
amount at maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value: The closing level of the Indexon thePricing Date,
which was 3,750.86
Final Value: Theclosing levelof the Index on the final Review
Date
PS-2| Structured Investments
Review Notes Linked to theMerQubeUSLarge-Cap VolAdvantage Index
The MerQube US Large-Cap Vol Advantage Index
TheMerQube US Large-CapVol 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 iscalculated and published bythe Index
Calculation Agent. The Index was established onFebruary11, 2022.An affiliate of ours currently has a 10% equityinterest in the
Index Sponsor, witha right to appoint an employee of JPMS, another of our affiliates, as a member of the board of directors of the
Index Sponsor.
The Index attempts to provide a 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 theFutures Contractsof 0%. The Index is subject to a 6.0%per annum daily
deduction. The S&P 500®Index consists of stocksof 500 companies selected to 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 the S&P 500® Index," respectively, in the accompanying underlyingsupplement.
On each weekly Index rebalance day, the exposure to theFutures Contracts is set equal to (a) the 35% implied volatilitytarget (the
"target volatility") divided by (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 SPY Fund 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 theimplied
volatilityof the SPY Fundis below 35%, and the Index'sexposure to the Futures Contractswill be less than 100% when the implied
volatilityof the SPY Fundis above35%. In general, the Index's target 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 be provided that the volatility of the
Index will bestableat any time.
The investment objective of the SPY Fund is to provide investment results that, before expenses, correspond generally to the price and
yield performance of the S&P500®Index. For more informationabout the SPY Fund, see "Background on the SPDR®S&P 500®ETF
Trust" in the accompanying underlying supplement. The Index uses the impliedvolatilityof the SPY Fund asa proxy for 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 an identicalindex
without a deduction.
Holding the estimated value of the notes and market conditions constant, theCall PremiumAmounts, the Barrier Amountand the other
economic terms available on the notesare more favorable to investors than the terms that would be available on a hypotheticalnote
issued by uslinked to an identical index without a daily deduction. However, there canbe no assurance that any improvement in the
terms of the notes derived from the dailydeduction willoffset the negative effect of the daily deduction on the performance of the
Index. The return on the notes may be lower than the return on ahypothetical noteissued by us linked to an identical index withouta
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' internalpricing 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 derivativeor derivatives underlying the economic termsof the notes.See "The Estimated Value of the Notes"
and "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with the use 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 dailyat 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 Indexwill 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 "TheMerQube Vol Advantage Index Series" in the accompanyingunderlying
supplement.
PS-3| Structured Investments
Review Notes Linked to theMerQubeUSLarge-Cap VolAdvantage Index
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 Exchange Act"). The notes are offeredpursuant 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 more paymentsindexed to the
value, level or rateof one or more commodities, as set 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 valuesderived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to thecontrary in the indenture governing the notes, that amendment willbecomeeffective 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 PremiumAmount applicable to that ReviewDate.
No furtherpayments will be madeon the notes.
ReviewDates
AutomaticCall
Theclosinglevel of the
Indexis greaterthan or
equal tothe Call Value.
Theclosinglevel of the
Indexis less thanthe
Call Value.
Call
Value
Compare theclosing level of the Indexto the Call Value oneach ReviewDate until anyearlier automatic call.
Thenotes will not be automaticallycalled. Proceedto the next ReviewDate, if any.
No Automatic Call
ReviewDates
Youwill receive theprincipal amount
of your notes.
Thenotes have not
been automatically
called. Proceedto the
payment at maturity.
Final ReviewDatePaymentatMaturity
TheFinal Value is greater thanor equal tothe
BarrierAmount.
You will receive:
$1,000 + ($1,000 × IndexReturn)
Under thesecircumstances, you will
lose some or all of your principal
amount at maturity.
TheFinal Value is less thantheBarrier Amount.
PS-4| Structured Investments
Review Notes Linked to theMerQubeUSLarge-Cap VolAdvantage Index
Call Premium Amount
The table below illustrates the Call Premium Amount per $1,000 principal amount note foreach Review Date basedon the Call
Premium Amountsset forthunder "Key Terms-Call Premium Amount"above.
Review Date
Call Premium Amount
First
$300.00
Second
$600.00
Final
$900.00
Hypothetical Payout Examples
The followingexamples illustratepayments on the notes linked to a hypothetical Index, assuming a range of performances for the
hypothetical Indexon the Review Dates.
In addition, the hypothetical paymentsset forth below assumethe following:
•an Initial Value of 100.00;
•a Call Value of 100.00 (equal to 100.00% of the hypothetical Initial Value);
•a Barrier Amountof 60.00 (equal to 60.00%of the hypotheticalInitial Value); and
•the Call Premium Amountsset forth under "KeyTerms -Call Premium Amount" above.
The hypotheticalInitial Value of 100.00 hasbeen chosen for illustrativepurposes only anddoesnot representtheactual Initial Value.
The actual Initial Valueis theclosing level of the Indexon 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, please see the historicalinformation set forth
under "Hypothetical Back-Tested Dataand Historical Information" in thispricing supplement.
Each hypothetical payment set forth below is for illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of the notes. Thenumbers appearing in the following exampleshave been rounded for ease of analysis.
Example 1- Notes are automatically called on the first Review Date.
Date
Closing Level
First Review Date
110.00
Notes are automaticallycalled
Total Payment
$1,300.00 (30.00% return)
Because the closing level of the Indexon the first Review Date isgreater than or equal to the Call Value, the notes will be automatically
called for acash payment, for each $1,000 principal amount note, of $1,300.00 (or $1,000plus the Call Premium Amount applicable to
the first Review Date), payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2- Notes are automatically called on the final Review Date.
Date
Closing Level
First Review Date
90.00
Notes NOT automatically called
Second Review Date
75.00
Notes NOT automatically called
Final Review Date
220.00
Notes are automaticallycalled
Total Payment
$1,900.00 (90.00% return)
Because the closing level of the Indexon the final Review Date is greater than or equal to the Call Value, the notes will be automatically
called for acash payment, for each $1,000 principal amount note, of $1,900.00 (or $1,000plus the Call Premium Amount applicable to
the final Review Date), payable on theapplicable Call Settlement Date, which is the Maturity Date.
PS-5| Structured Investments
Review Notes Linked to theMerQubeUSLarge-Cap VolAdvantage Index
Example 3- Notes have NOT been automatically called and the Final Value is greater than or equal tothe Barrier Amount.
Date
Closing Level
First Review Date
90.00
Notes NOT automatically called
Second Review Date
85.00
Notes NOT automatically called
Final Review Date
75.00
Notes NOT automatically called; Final Value is greater than or
equal toBarrier Amount
Total Payment
$1,000.00 (0.00% return)
Because the noteshave not been automaticallycalled and the Final Value is greater than or equal tothe Barrier Amount, the payment
at maturity, for each $1,000 principal amount note, will be $1,000.00.
Example4 - Notes have NOT been automatically called and theFinal Value is less than the Barrier Amount.
Date
Closing Level
First Review Date
80.00
Notes NOT automatically called
Second Review Date
70.00
Notes NOT automatically called
Final Review Date
40.00
Notes NOT automatically called; Final Value is less than Barrier
Amount
Total Payment
$400.00 (-60.00% return)
Because the noteshave not been automaticallycalled, the Final Value is lessthan theBarrier Amountand the Index Return is -60.00%,
the payment at maturity will be $400.00 per $1,000 principalamount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)]= $400.00
The hypothetical returns and hypothetical payments on the notesshown above apply onlyif 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
likelybelower.
Selected Risk Considerations
An investment in the notesinvolves significant risks. These risks are explained in more detail in the "Risk Factors"sections of the
accompanying prospectus supplement, product supplement and underlyingsupplementand in Annex A to the accompanying
prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. If the notes have not been automatically called andthe Final Value is less 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 lose more than 40.00% of your principal amount at maturity and could
lose all of your principalamount 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 annum daily 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 strategy is relatively flat. The Index willnot appreciate unless the return of itsinvestment
strategyissufficient to offset the negative effects of the index deduction, and then only to the extent that the return of itsinvestment
strategy isgreater than the index deduction. As a result of the index deduction, 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 pricing models use to value the derivative or derivatives underlying
the economic terms 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 derivatives underlying the economic terms of
PS-6| Structured Investments
Review Notes Linked to theMerQubeUSLarge-Cap VolAdvantage Index
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 andJPMorgan Chase & Co.'s ability to pay allamountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined bythemarket for taking that credit
risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to youunder the notes and you could loseyour 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 the collection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments under loans made by us to
JPMorgan Chase & Co.or under other intercompany agreements. 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
bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources tomeet our obligations in
respect of the notesas they come due. If JPMorgan Chase & Co. does not make payments tous and we are unable tomake
payments on the notes, you may have toseek payment under the related guarantee byJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligationsof JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TOANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless ofany appreciation ofthe Index, which maybe significant. You will not participate in any appreciation of the Index.
•THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE -
If the Final Value isless than the Barrier Amount andthenotes have not been automatically called, the benefit provided by the
Barrier Amount will terminate and you will be fully exposed to any depreciation of the Index.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT-
If your notes are automatically called, the termof the notes may be reduced to asshort asapproximatelyone year. Thereis no
guarantee that you would be able to reinvest the proceeds from an investment in the notesat a comparable return for a similar
level of risk.Even in cases where the notesarecalled before maturity, you are not entitled to any fees and commissions described
on the front cover of thispricing 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.
•JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigationof the meritsof investing in the notes, the Index and the futurescontractscomposing the Index.
•LACK OF LIQUIDITY -
The notes will not belistedonany securities exchange. Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes.Youmay notbe able to sell your notes.The notes
are not designed to be short-term trading instruments. Accordingly, you should beable and willing to holdyour notes to maturity.
PS-7| Structured Investments
Review Notes Linked to theMerQubeUSLarge-Cap VolAdvantage Index
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliates play a varietyof roles in connection with thenotes.In performing these duties, our and JPMorganChase &
Co.'seconomic interests are potentially adverse to your interests as an investor in the notes.It ispossible that 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"Risk Factors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to appoint an employeeof JPMS, another
of our affiliates, as a member of the board of directors of the Index Sponsor.The Index Sponsor can implement policies, make
judgments or enact changes to the Indexmethodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the value of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates andour respectiveemployees areunder no obligation toconsider 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 the Index Sponsor.
In addition, JPMS worked with the Index Sponsor indeveloping the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index weremade by JPMS, JPMorgan
Chase & Co., as the parent company ofJPMS, ultimatelycontrols 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 an investor in the notes inits 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 anestimate determined by reference to several factors. The originalissue price of the
notes exceedsthe estimated value of the notes becausecosts associated withselling, structuring and hedging the notesare
included in the original issue price of the notes. Thesecosts include the selling commissions, the projectedprofits, if any,that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesand the estimatedcost of hedging
our obligations under the notes. See "The Estimated Valueof the Notes" in this pricingsupplement.
•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 usedin the determination of the estimated value of the notes maydiffer from themarket-impliedfunding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifferencemay
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 ongoingliability management costs of the notes in comparisonto those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internalfunding rate and anypotential changes to that ratemay havean adverse effect on the terms of the notes and any
secondarymarket prices of the notes. See "The Estimated 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 generallyexpect that some of the costs included in the original issue price of the noteswill be partiallypaid back to you in
connection with any repurchases of your notesbyJPMS in an amount that will decline to zero over an initial predetermined period.
See "SecondaryMarket Prices of the Notes" in this pricingsupplement for additionalinformation relating to this initial period.
Accordingly, the estimated value of your notesduring thisinitial period maybe lower than the value of the notesas published by
JPMS (and which may be shown onyour customer account statements).
PS-8| Structured Investments
Review Notes Linked to theMerQubeUSLarge-Cap VolAdvantage Index
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket pricesof the notes willlikely belower than the original issue price of the notes because, among other
things, secondarymarket prices take intoaccount our internal secondary market fundingrates for structureddebt issuances and,
also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included in theoriginal issue price of the notes.As a result, the price, if any, at which JPMS will be willingto buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the original issueprice. Any sale by you prior to
the Maturity Datecould result in a substantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BEIMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, aside from the selling commissions, projected hedgingprofits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendorsand/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 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 Prices of the Notes- Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to the Index
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in takingany corporate 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 onwhich the Index is based will be successful or that the Index will
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 will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realized volatility 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 divided by (b) the one-weekimplied volatility of 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. Theperformance 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 daymaychange quicklyand unexpectedly and realized volatilitymaydiffer significantly fromimplied
volatility.In general, over time, the realized volatilities of the SPY 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 annualized realized volatilityof the Index may be greater
than or lessthan the target volatility, which mayadverselyaffect 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 rebalanceday, the Index will employ leverage to increase the exposure of theIndex to the Futures Contracts if
the implied volatility of the SPY Fundis below 35%, subject to a maximum exposure of 500%. Under normal market conditions in
the past, the SPY Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leveragein the past, except during periodsof elevated volatility. When leverage is employed, any movements in 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, theuseof
leverage will magnify any negative performance of the Futures Contracts, which, in turn, wouldnegatively affect theperformance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where asignificant increase in volatility is
accompanied by asignificant decline in the value of the Futures Contracts, the level of the Index may declinesignificantly before
the following Index rebalanceday when the Index's exposure to the Futures Contracts would be reduced.
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•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 impliedvolatility
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 Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of theFutures Contracts on any such day. The 6.0% per annumdeduction
is deducted daily, even when the Indexis not 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 Indexcome to expiration, they are replacedby Futures Contractsthat expirethree 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 toas "rolling."Excludingother 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 "rollyield."In addition, excluding other considerations, if the market for the Futures Contracts
is in "backwardation," where the prices arelower 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 levelof 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 return index that does not reflect total returns.The returnfrom investing in futurescontractsderives 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 thepurchase of the relevant futures contracts (which is known as the "collateral return").
The Index measures the returns accrued frominvesting in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated with an investment in the Futures Contracts). Bycontrast, a total return index, in additionto 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 inthe Futures Contracts). Investing in the noteswillnot generatethesame return
as would be generated frominvesting in a total return index related to the Futures Contracts.
•CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES -
The Index generally providesexposure to a single futures contract on theS&P 500®Indexthat trades on the Chicago Mercantile
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 indices may be more
diversified than the Indexin 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 futures contracts. The price of a futures contract dependsnot only on the price of the underlying
asset referencedbythe futures contract, but also on a range of other factors, including but not limited to changing supplyand
demand relationships, interestrates, governmentaland regulatory policiesand thepolicies of theexchanges on which the futures
contracts trade. In addition, the futuresmarkets are subject to temporary distortions or other disruptions due tovarious factors,
including the lack of liquidity in 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 temporarydistortions
or other disruptions due to various factors, including the lack of liquidity inthe markets, the participation of speculators, and
government regulation and intervention. In addition, futures exchanges have regulations that limit theamount of fluctuationin
some futures contract prices that may occur during a single day. These limits aregenerally referredto as "daily price fluctuation
limits" andthe maximum or minimum price of a contract on any given day as a result of these limitsis referred to asa "limit price."
Once the limit price hasbeen reached in a particular contract, no trades may be made at aprice beyond the limit, or trading may
be limited for aset period of time. Limit prices have the effect of precludingtradingin a particular contract or forcing the liquidation
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of contractsat potentially disadvantageous times or prices. These circumstances couldaffect the level of the Index 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 officialsettlement price and intraday trading prices of the Futures Contractsare calculated and published by the Chicago
Mercantile Exchange and areused tocalculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price and intraday 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 holdpositionsin the Futures Contracts, market participants
mayadjust their positions, which mayaffect the prices of theFutures Contracts. As a result, the level of the Index may 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 Dataand Historical Information"
in thispricing supplement is purely theoretical and does not represent the actual historicalperformance of the Indexand hasnot
been verified by anindependent third party. Hypothetical back-tested performance measures have inherent
limitations. Hypothetical back-tested performance is derivedby means of the retroactive application of a back-testedmodel that
has been designed with the benefit of hindsight.Alternative modelling techniques might produce significantly different results and
mayprove to be more appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of
future results. This type of information has inherent limitations and youshouldcarefully consider these limitationsbefore placing
reliance on such information.
•OTHER KEY RISKS:
oTHE INDEX WAS ESTABLISHED ONFEBRUARY 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 regardingtheabove-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, 2022, and the historicalperformance of the Index based on the
weekly historical closing levels of the Index from February 11, 2022 through October 25, 2024. The Index wasestablished on February
11, 2022, as represented by the vertical linein the following graph. All data to the left of that vertical line reflect hypothetical back-
tested performance of the Index. All data to the right of that vertical line reflect actual historicalperformance of the Index. The closing
level of the Index onOctober 31, 2024 was 3,750.86. We obtained the closing levels above and below from the Bloomberg
Professional®service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of theIndex set forth in the following graph 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 Data and Are Subject to Inherent Limitations"
above.
The hypothetical back-tested and historicalclosing levels of the Indexshould not be taken as an indication of future performance, and
no assurance can be given asto theclosinglevel of the Index onany Review Date. There can 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 been verified by anindependent third
party. These hypotheticalback-tested closing levelsare determined bymeans of a retroactive application of a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither anindicator nor a guarantee of future returns. No
representation is made that an investment inthenotes will or is likely to achieve returns similar to those shown. Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closinglevels of theIndex that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closinglevels 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 with that section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal incometax consequences of owning and disposing of notes.
Basedoncurrent 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. Federal Income 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 hold your notes for more than a year, whether or not you arean initial purchaser of notes at the issue
price. However, the IRS or acourt may not respect this treatment, in which case the timing and character of any income or loss on the
notes could bemateriallyand adversely affected. Inaddition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of "prepaidforwardcontracts" and similar instruments.Thenotice 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, includingthe 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 are linked; the degree, if any, to which income (including any mandated
accruals) realized bynon-U.S. investorsshould be subject to withholding tax; and whether these instruments are or should be subject
to the "constructive ownership" regime, which very generallycanoperate to recharacterize certain long-term capital gain as ordinary
income and impose a notionalinterest charge. While the notice requestscomments onappropriate transition rules and effective dates,
any Treasury regulations or other guidancepromulgated after consideration of theseissues could materially and adversely affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the
U.S. federal incometax consequences of an investment in the notes, including possiblealternative 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 theapplicable
Treasury regulations.Additionally, a recent IRS notice excludes fromthe scopeof 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 pay U.S.-source dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special taxcounsel isof the
opinion that Section 871(m) shouldnot 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. You should 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 supplement is equal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component withthe same maturityasthe notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated valueof the
notes does not represent a minimum price at which JPMS wouldbe willing to buy your notes in any secondarymarket (if anyexists) at
any time. The internalfunding rate used in thedetermination of the estimated value of the notes may differ from the market-implied
fundingrate for vanilla fixed income instrumentsof a similar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybe based on, among other things, our and our affiliates'view of thefunding value of the notes as well as the higher issuance,
operational and ongoingliability management costs of the notes in comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximatethe prevailing market replacement fundingrate for the notes. Theuse of an internal
fundingrate 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 by Reference to anInternal FundingRate" in this
pricing supplement.
The value of the derivativeor derivativesunderlying the economic terms of thenotes is derived from internal pricingmodelsof our
affiliates. These models are dependent on inputssuch as the traded market prices of comparable derivative instruments and on
various other inputs, someof which are market-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about futuremarket events and/or environments. Accordingly, the estimated value of the notes is
determined when the terms of the notes areset based on market conditions and other relevant factors and assumptions existing at that
time.
The estimated value of the notes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations for the notes that are greater than or less than the estimated value of the notes.In
addition, market conditions and other relevant factors in the futuremay change, and any assumptions may prove to be incorrect. On
future dates, thevalue of the notescouldchange significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notes fromyou in secondarymarket transactions.
The estimated value of the notes is lower than the originalissue price of the notes because costs associated with selling, structuring
and hedging the notes are includedin the original issue price of the notes. These costsinclude the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimatedcost of hedging our obligations under thenotes. Because hedging our
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obligations entails riskand may 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 notes may be
allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See
"Selected Risk Considerations -Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes- The Estimated
Value of the Notes Is LowerThan the Original Issue Price (Price to Public) of the Notes" in 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 beimpactedbymany
economic and market factors"in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue priceof the notes will be partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costscan includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costsandour internal secondarymarket funding rates
for structured debt issuances. This initial predetermined time period is intended to be the shorter of sixmonths and one-half of the
stated term of the notes. The lengthof any such initial period reflects the structure of the notes, whether our affiliatesexpect to earn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred,as
determined by our affiliates. See"Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes- The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-returnprofile and market exposure provided by the
notes. See "How the Notes Work"and "Hypothetical Payout Examples" in this pricing supplement for an illustration of the risk-return
profile of the notes and"TheMerQube US Large-Cap Vol Advantage Index" in thispricing supplement for a description of the market
exposure provided by the notes.
The originalissueprice of the notes is equal to the estimated value of the notes plus the selling commissions paid toJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliatesexpect to realize for assuming risks inherent
in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial andJPMorgan Chase & Co., when the
notes offered by this pricing supplement have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes(the "master note"), and such noteshave beendelivered against payment as
contemplated herein, such noteswill be valid and binding obligations of JPMorgan Financial and the related guarantee will constitutea
valid and binding obligationof JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealingand the lack of bad faith),provided that such counsel
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (ii) any provision of the indenture that purportsto avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'s obligationunder the related guarantee.
Thisopinion 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 delivery of the indenture and its authentication of themaster note and the validity, binding nature
and enforceabilityof the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
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Additional Terms Specific to the Notes
You should read thispricing supplement together with the accompanying prospectus, as supplementedbythe accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all
other prior or contemporaneous oral statements as well as any other writtenmaterialsincludingpreliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. You should carefully consider, among other things, the matters set forth in the "RiskFactors" sections of the accompanying
prospectus supplement, 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 debtsecurities. We urge you to
consult your investment, legal, tax, accounting and other advisersbefore youinvest in the notes.
You may access these documents on the SEC websiteat www.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 March5, 2024:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectus addendum dated June 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.