JPMorgan Chase & Co.

10/30/2024 | Press release | Distributed by Public on 10/30/2024 04:25

Primary Offering Prospectus - Form 424B2

The information in this preliminary pricing supplement is notcomplete and maybe changed. This preliminary pricing supplement is not
an offer to sell nordoes itseek an offer tobuy these securitiesin any jurisdiction where the offer or sale is notpermitted.
Subjectto completion datedOctober 29, 2024
November ,2024Registration Statement Nos.333-270004 and333-270004-01; Rule 424(b)(2)
Pricing supplement to productsupplement no.4-I dated April 13,2023,underlying supplementno.5-IIdated March5,2024,the prospectus and
prospectus supplement, eachdated April 13, 2023,and the prospectus addendum dated June 3,2024
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Indexdue August 30, 2027
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
•Thenotes are designed for investors whoseek a Contingent Interest Payment with respect to each Review Datefor
which theclosing level of theMerQube US Large-Cap Vol Advantage Index, which we refer to as the Index,isgreater
than or equal to 75.00% of the Initial Value, which we refer to asthe Interest Barrier.
•Thenotes will be automatically calledif the closing levelof the Index on any Review Date (other than the first through
fifthand final Review Dates) is greater than or equal to the Initial Value.
•The earliest dateon which an automatic call may be initiated isMay 27, 2025.
•Investors shouldbe willing to accept the riskof losing up to 80.00% of their principal and the risk that no Contingent
Interest Payment may bemade with respect tosome or allReview Dates.
•Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
•The Index is subject to a 6.0% per annum daily deduction. 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
without a 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 areunsecuredandunsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., asguarantor of the notes.
•Minimum denominations of $1,000 and integralmultiplesthereof
•Thenotes are expected to price on or about November 25, 2024 and are expected tosettle on or about November 29,
2024.
•CUSIP: 48135VAK4
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 on page US-4 of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on pagePS-6 of this pricing supplement.
Neitherthe SecuritiesandExchange Commission (the"SEC")norany state securities commission has approved or disapproved of thenotes or
passeduponthe accuracy or theadequacy ofthis pricing supplementor theaccompanyingproductsupplement, underlyingsupplement,
prospectus supplement, prospectusand prospectus addendum.Anyrepresentationtothecontraryisa criminal offense.
Price to Public (1)(2)
Feesand Commissions(2)(3)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1) See "Supplemental Useof Proceeds" in this pricing supplement for informationabout the components of the price to
public of the notes.
(2) With respect to notes sold to certain fee-based advisory accounts for which anaffiliated or unaffiliated broker-dealer
is an investment adviser, the price to the public will not be lower than$967.50 per $1,000 principal amount note. J.P.
Morgan Securities LLC, which we refer to as JPMS, and these broker-dealers will forgo any selling commissions related
to these sales.See "Planof Distribution (Conflicts of Interest)" in the accompanyingproduct supplement.
(3) With respect tonotes sold to brokerage accounts, JPMS, acting as agent for JPMorganFinancial, will payall of the
selling commissionsit receives from us toother affiliated or unaffiliated dealers. In no event will these selling
commissions exceed $32.50 per $1,000 principal amount note. See "Plan of Distribution (Conflicts of Interest)" in the
accompanying product supplement.
If the notes priced today, the estimated value of the notes would be approximately$927.00 per $1,000 principal amount
note. The estimated value of the notes, when the termsof the notes are set, will beprovided in the pricing supplement
and will not be less than $900.00per $1,000principal amount note. See"The Estimated Value of the Notes" in this
pricing supplement for additional information.
Thenotes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1 | Structured Investments
Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index:The MerQube US Large-Cap Vol Advantage Index
(Bloombergticker: MQUSLVA). The levelof the Index reflects a
deduction of 6.0% per annum that accruesdaily.
Contingent Interest Payments:If the notes have not been
automaticallycalled and theclosing level of the Indexon any
Review Date is greater than or equal to the Interest Barrier, you
will receiveon the applicableInterest Payment Date for each
$1,000 principal amount notea Contingent Interest Payment
equal to at least $8.3333 (equivalent to a Contingent Interest
Rate of at least10.00%per annum, payable at a rate of at least
0.83333%per month) (tobe provided in the pricing
supplement).
If theclosing level of theIndex 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: Atleast 10.00%per annum, payable
at a rate ofat least0.83333%per month (to be provided in the
pricingsupplement)
Interest Barrier:75.00% of the Initial Value
Buffer Threshold:80.00% of the Initial Value
Buffer Amount:20.00%
Pricing Date: On or aboutNovember 25, 2024
Original Issue Date (Settlement Date): On or about November
29, 2024
ReviewDates*:December 26, 2024, January 27, 2025,
February 25, 2025, March 25, 2025, April 25, 2025, May 27,
2025, June 25, 2025, July 25, 2025, August 25, 2025,
September 25, 2025, October 27, 2025, November 25, 2025,
December 26, 2025, January26, 2026, February 25, 2026,
March 25, 2026, April 27, 2026, May 26, 2026, June 25, 2026,
July 27, 2026, August 25, 2026, September 25, 2026, October
26, 2026, November 25, 2026, December 28, 2026, January 25,
2027, February25, 2027, March 25, 2027, April26, 2027, May
25, 2027, June 25, 2027, July 26, 2027 and August 25, 2027
(final Review Date)
Interest Payment Dates*:December 31, 2024, January 30,
2025, February28, 2025, March 28, 2025, April30, 2025, May
30, 2025, June 30, 2025, July 30, 2025, August 28, 2025,
September 30, 2025, October 30, 2025, December 1, 2025,
December 31, 2025, January29, 2026, March 2, 2026, March
30, 2026, April30, 2026, May 29, 2026, June 30, 2026, July 30,
2026, August 28, 2026, September 30, 2026, October 29, 2026,
December 1, 2026, December 31, 2026, January 28, 2027,
March 2, 2027, March 31, 2027, April 29, 2027, May 28, 2027,
June 30, 2027, July 29, 2027 and the Maturity Date
Maturity Date*:August 30, 2027
Call Settlement Date*:If thenotes are automatically called on
any Review Date(other than the first through fifth and final
Review Dates), the first Interest Payment Date immediately
following that Review Date
Automatic Call:
If theclosing level of the Index on anyReview Date (other than
the first through fifth and final Review Dates) isgreater than or
equal to theInitial Value, the notes will be automatically called
for acash payment, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the Contingent Interest Payment
applicable tothat Review Date, payable ontheapplicable Call
Settlement Date.No further payments will bemade on the
notes.
Payment at Maturity:
If thenotes have not beenautomatically calledand the Final
Valueisgreater than or equal to the Buffer Threshold, you will
receivea 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 thenotes have not beenautomatically calledand the Final
Valueisless than the Buffer Threshold, your payment at
maturityper $1,000 principal amount note, in addition to any
Contingent Interest Payment,will be calculated as follows:
$1,000 + [$1,000 ×(Index Return+ Buffer Amount)]
If thenotes have not beenautomatically calledand the Final
Valueisless than the Buffer Threshold, you will lose some or
most of your principalamount at maturity.
Index Return:(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Indexon thePricing Date
Final Value: Theclosing levelof the Index on the final Review
Date
* 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
supplementand "General Terms of Notes- Postponementof a
Payment Date" in the accompanying product supplement
PS-2 | Structured Investments
Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-CapVol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "Index
Calculation Agent"),in coordination with JPMS, and is maintained by the Index Sponsor and iscalculated and published by the Index
Calculation Agent. The Indexwas established on February11, 2022. An affiliate of ours currently has a 10% equityinterest in the Index
Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as amember of the board of directorsof 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, witha maximum exposure to the
Futures Contracts of 500% and a minimum exposureto the Futures Contracts of 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 a performance 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 underlying supplement.
On each weekly Index rebalance day, the exposure to the Futures Contracts is set equal to (a) the35%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 isequal to40%, the exposure to the 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 Fund is below 35%, and the Index'sexposure to the Futures Contractswill be less than 100% when the implied
volatilityof the SPY Fund is above35%. In general, the Index'starget volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility feature were employed. No assurance can beprovided that the volatility of the
Index will bestable at any time.
The investment objective of the SPY Fund is to provideinvestment results that, before expenses, correspond generally to theprice 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 implied volatilityof the SPY Fund asa proxyfor the volatility of
the Futures Contracts.
The 6.0% per annum daily deduction will offset any appreciation of the Futures Contracts, will heighten any depreciation ofthe Futures
Contracts and will generally be a drag on theperformance of the Index. The Index willtrail the performance of an identical index
without a deduction.
Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Buffer
Threshold, the Buffer Amountand the other economic terms available on the notesare more favorable to investors than the termsthat
would be available on a hypotheticalnote issued by us linked to an identical index without a dailydeduction. However, therecan be no
assurance that any improvement in the terms ofthe notesderived from the daily deduction will offset the negative effect of the daily
deduction on the performance of theIndex.The return onthe notesmay be lower thanthe return on a hypotheticalnote issued by us
linked to an identicalindex without a daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of 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 pricingsupplement. The daily deduction will effectively
reduce the value of the derivative or derivativesunderlyingthe 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 theuseof significant leverage. In addition, theIndex may be significantly
uninvested on any given day, and, in that case, will realize only aportion of any gains due to appreciation of the Futures
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 assurance can be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successful or will outperform any alternative index or strategy thatmight reference the FuturesContracts.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanying underlying
supplement.
PS-3 | Structured Investments
Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage 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, commonlyknown as the hybrid instrument exemption, that is available tosecurities that have one or morepaymentsindexed to the
value, level or rate of one or more commodities, as set out in section 2(f) of that statute.Accordingly, youare not afforded any
protection provided by the Commodity Exchange Act or anyregulation promulgated by theCommodity Futures Trading Commission.
Any values of the Index, and any valuesderivedtherefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or any other party.
How the Notes Work
Payments in Connectionwith the First through Fifth Review Dates
Payments in Connectionwith Review Dates (Other than the First through Fifth and Final Review Dates)
The closing level of the Indexis greater than or equal
tothe Interest Barrier.
The closing level of the Indexis lessthanthe Interest
Barrier.
First through Fifth Review Dates
Comparethe closing level of the Indexto theInterest Barrier oneach ReviewDate.
Youwill receive a Contingent Interest Payment onthe
applicable Interest Payment Date.
Proceed to the next ReviewDate.
No Contingent Interest Payment will bemadewith respect to
the applicable ReviewDate.
Proceed to the next ReviewDate.
The notes will be automaticallycalled on the applicable Call Settlement Date and youwill
receive (a) $1,000plus (b) the Contingent Interest Payment applicable to that ReviewDate.
No further payments will be made on thenotes.
ReviewDates (Other than the First through Fifth and Final ReviewDates)
AutomaticCall
The closinglevel of the
Indexis greater than or
equal tothe Initial Value.
The closinglevel of the
Indexis lessthanthe
Initial Value.
Initial
Value You will receive a Contingent Interest
Payment on theapplicable Interest
Payment Date.
Proceed to the next ReviewDate.
The closing level of the
Indexis greater thanor
equal to theInterest
Barrier.
No
Automatic
Call No Contingent Interest Payment will
bemadewith respect to the
applicable ReviewDate.
Proceed to the next ReviewDate.
The level of theIndexis less
than theInterest Barrier.
Compare theclosing level of theIndexto theInitial Value and the Interest Barrieron each ReviewDate until thefinal Review
Date oranyearlierautomatic call.
PS-4 | Structured Investments
Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The tablebelow illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the termof the
notesbasedona hypothetical Contingent Interest Rate of 10.00% per annum, depending on how many Contingent Interest Payments
are madeprior to automatic call or maturity. The actual Contingent Interest Rate will be provided in the pricing supplement and willbe
at least10.00% per annum (payable at a rate of at least 0.83333% per month).
Number of Contingent
Interest Payments
Total Contingent Interest
Payments
33
$275.0000
32
$266.6667
31
$258.3333
30
$250.0000
29
$241.6667
28
$233.3333
27
$225.0000
26
$216.6667
25
$208.3333
24
$200.0000
23
$191.6667
22
$183.3333
21
$175.0000
20
$166.6667
19
$158.3333
18
$150.0000
17
$141.6667
16
$133.3333
15
$125.0000
14
$116.6667
13
$108.3333
12
$100.0000
11
$91.6667
10
$83.3333
9
$75.0000
8
$66.6667
7
$58.3333
6
$50.0000
5
$41.6667
4
$33.3333
3
$25.0000
2
$16.6667
1
$8.3333
0
$0.0000
Review Dates Preceding the
Final Review Date
Youwill receive (a) $1,000plus (b)the
Contingent Interest Payment
applicable to thefinal ReviewDate.
The notes are not
automaticallycalled.
Proceed to maturity
Final ReviewDatePayment at Maturity
The Final Value is greater thanor equal tothe
Buffer Threshold.
Youwill receive,in additiontoany
Contingent Interest Payment:
$1,000+ [$1,000 × (IndexReturn +
Buffer Amount)]
Under these circumstances, youwill
lose some or most of your principal
amount at maturity.
The Final Value is lessthantheBuffer
Threshold.
PS-5 | Structured Investments
Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
Hypothetical PayoutExamples
The following examples illustrate payments on thenotes linked to ahypothetical Index, assuming a rangeof performances for the
hypotheticalIndex on the Review Dates.The hypothetical payments set forth below assume the following:
•the notes were sold only to brokerage accounts;
•an Initial Value of 100.00;
•an Interest Barrier of 75.00 (equal to 75.00% of the hypothetical Initial Value);
•a Buffer Threshold of 80.00 (equal to80.00% of thehypothetical Initial Value);
•a Buffer Amount of 20.00%;and
•a Contingent Interest Rate of 10.00% per annum.
ThehypotheticalInitial Value of 100.00 has been chosen for illustrativepurposes only and maynot represent a likely actual Initial
Value.The actual Initial Value will be the closinglevelof the Index on the Pricing Date and will be providedin the pricing supplement.
For historical data regarding the actual closing levels of the Index, please see the historical information set forth under "Hypothetical
Back-Tested Data and Historical Information" in this pricingsupplement.
Each hypothetical payment set forthbelow isfor 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 thesixthReview Date.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
105.00
$8.3333
Second Review Date
110.00
$8.3333
Third through Fifth
Review Dates
Greater than Initial Value
$8.3333
Sixth Review Date
120.00
$1,008.3333
TotalPayment
$1,050.00(5.00% return)
Because the closing level of the Index on the sixth 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 $1,008.3333 (or $1,000 plusthe Contingent Interest
Payment applicable to thesixth Review Date), payable on the applicable Call Settlement Date.The notes are not automatically callable
beforethesixth Review Date, even though the closing levelof the Index on each of the first through fifth Review Dates isgreater than
theInitial Value. When added to the Contingent Interest Paymentsreceived with respect to the prior Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,050.00. No further payments will be made on the notes.
Example 2- Notes have NOT been automatically calledandtheFinal Valueisgreater than or equal tothe Buffer Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
95.00
$8.3333
Second Review Date
85.00
$8.3333
Third through Thirty-
Second ReviewDates
Lessthan Interest Barrier
$0
Final Review Date
90.00
$1,008.3333
Total Payment
$1,025.00(2.50% return)
Because the notes have not been automaticallycalled and the Final Valueisgreater thanor equalto the Buffer Threshold, the payment
at maturity, for each $1,000 principal amount note,will be$1,008.3333(or $1,000plusthe Contingent Interest Payment applicable to
the final Review Date).When added to the Contingent Interest Paymentsreceived with respect to the priorReview Dates, the total
amount paid, for each $1,000 principal amount note, is $1,025.00.
PS-6 | Structured Investments
Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
Example 3- Notes have NOT been automatically calledandtheFinal Value is less than theBuffer Thresholdbut is greater
than or equal to theInterest Barrier.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
50.00
$0
Second Review Date
55.00
$0
Third through Thirty-
Second ReviewDates
Lessthan Interest Barrier
$0
Final Review Date
75.00
$958.3333
Total Payment
$958.3333 (-4.16667% return)
Because the notes have not been automatically called, the Final Value is lessthan the Buffer Threshold but is greater than or equal to
the Interest Barrier and the Index Return is -25.00%, the payment at maturity will be $958.3333 per $1,000 principalamount note,
calculatedasfollows:
$1,000 + [$1,000 × (-25.00% + 20.00%)] + $8.3333 = $958.3333
Example 4- Notes have NOT been automatically calledand theFinal Value is less than theBuffer Thresholdand the Interest
Barrier.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
40.00
$0
Second Review Date
45.00
$0
Third through Thirty-
Second ReviewDates
Lessthan Interest Barrier
$0
Final Review Date
40.00
$600.00
Total Payment
$600.00 (-40.00% return)
Because thenotes have not been automaticallycalled, the Final Value is lessthan the Buffer Threshold and the Interest Barrier and the
Index Returnis -60.00%, the payment at maturity will be$600.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%+ 20.00%)]= $600.00
The hypothetical returnsand hypothetical payments on thenotesshown above apply onlyif you hold thenotes for their entire term
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would be associated with any sale in the
secondarymarket.If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notesinvolvessignificant 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 totheaccompanying
prospectusaddendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
Thenotes do not guarantee any return of principal. If thenotes have not been automatically calledand the Final Value is less than
the Buffer Threshold, you will lose1% of theprincipal amount of your notes for every1% that the Final Valueisless than the Initial
Valuebymore than 20.00%.Accordingly, under these circumstances, you will loseup to80.00%of your principal amountat
maturity.
•THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL -
If the noteshave 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 Dateisgreater than or equal tothe Interest Barrier.If the closing level of the Indexon
that Review Date is less thantheInterest Barrier, no ContingentInterest Payment will be made with respect to thatReview Date.
Accordingly, if the closing level of the Indexon each Review Date is lessthanthe Interest Barrier, you will not receive any interest
payments over the termof the notes.
PS-7 | Structured Investments
Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
•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.Thelevel of the Index will trail the value of an identicallyconstituted
synthetic portfolio that is not subject to anysuch 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 strategyandcausing the level of theIndex to decline
steadily if the return of itsinvestment strategyis relatively flat. The Index will not appreciate unless the return of its investment
strategyissufficient to offset the negativeeffects of the indexdeduction, and then only to the extent that the return of itsinvestment
strategyisgreater thanthe indexdeduction. As a result ofthe indexdeduction, thelevel of the Index may decline even if the return
of its investment strategy is positive.
The daily deduction is one of the inputs our affiliates' internal pricingmodels use to valuethe 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 valueof 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 this pricing supplement.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes.Any actual or potential
change in ouror JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined bythe market for taking that credit
risk, is likely to adversely affect thevalue of the notes.If weand JPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to you under 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 thecollection of intercompany obligations. Aside from the initial capitalcontribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to makepayments under loansmade 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 key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to havesufficient resources tomeet our obligations in
respect of the notesas they come due. If JPMorgan Chase& Co. does not make payments to us and we areunable to make
payments on the notes, you may have toseek payment under the related guaranteebyJPMorgan Chase & Co., and that
guarantee will rankpari 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 appreciationof the Index, which may be significant.You will not participate in any appreciation of the Index.
•THE AUTOMATIC CALLFEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notesare automatically called, the termof thenotes may be reduced to asshort as approximatelysixmonths and you will
not receive any Contingent Interest Payments after the applicableCall Settlement Date.There is no guarantee that youwould be
ableto reinvest the proceeds from an investment in the notesat a comparable return and/or with acomparable interest rate for a
similar levelof risk.Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions
described on the front cover of this pricing supplement.
•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.
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Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
•THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE BUFFER
THRESHOLD 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 -
Anyresearch, opinions or recommendations could affect themarket value of the notes. Investors should undertake their own
independent investigation of the meritsof investing in the notes, the Index and the futurescontractscomposing the Index.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange. Accordingly, the price at whichyou may be able to trade your notesis
likelyto depend on the price, if any, at whichJPMS is willing to buy the notes. You may notbe able to sellyour notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should beable and willing to hold your notes to maturity.
•THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT -
You should consider your potential investment in the notesbased on the minimums for theestimated value of the notes and the
Contingent Interest Rate.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay avarietyof roles in connection with thenotes.In performing these duties, our and JPMorgan Chase &
Co.'seconomic interests are potentially adverse toyour interests as an investor in the notes.It is possible that hedging or trading
activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates whilethe
value of the notes declines.Please refer to"RiskFactors-Risks Relating to Conflicts of Interest"in the accompanyingproduct
supplement.
An affiliate of ours currentlyhasa 10% equity interest in the Index Sponsor, witha right to appoint an employeeof JPMS, another
of our affiliates, asa member of theboard of directors of theIndex 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 and our 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 roleof
an employee of JPMS asa member of the board of directorsof the Index Sponsor.
In addition, JPMSworked with the Index Sponsor in developing the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policiesand determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, 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 theEstimated Value andSecondary Market Prices of the Notes
•THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price ofthe
notes will exceed the estimated valueof the notesbecause costs associated withselling,structuring and hedging the notes are
included in the original issue price of the notes.Thesecosts include theselling commissions, if any, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligationsunder thenotes and the estimated cost of
hedging our obligations under the notes. See "The Estimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"The Estimated Value of the Notes"in this pricingsupplement.
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Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determinationof the estimated value of the notes maydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifference may
be based on, among other things, our and our affiliates'view of thefunding value of the notes as well as the higherissuance,
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 approximate the prevailing market replacement funding rate for the notes.The use of an
internal funding rateand any potential changes tothatratemay havean adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See"The Estimated Value of the Notes" in thispricing supplement.
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the noteswill be partiallypaid back toyou in
connection with any repurchases of your notesbyJPMS inan 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 valueof the notesaspublished by
JPMS (and which may be shown onyour customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take intoaccount our internal secondarymarket funding rates for structured debt issuances and,
also, because secondarymarket prices may exclude sellingcommissions,if any, projectedhedging profits, if any, and estimated
hedging costs that are included in the original issue price of the notes.Asa result, the price, if any, at which JPMS will be willingto
buy the notes from you in secondary market transactions, if at all, is likely to be lower thanthe original issue price. Anysale by you
prior to the Maturity Date could result in asubstantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of thenotes duringtheir term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, asidefrom theselling commissions, if any, projected hedging profits, if any, estimated
hedging costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealersmay publisha
price for the notes, which mayalso 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 purchaseyour notesin the secondary market. See "Risk
Factors - Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes- Secondarymarket prices of the
notes will beimpactedbymany economic and market factors" in the accompanyingproduct 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 takinganycorporate action that might affect
the level of the S&P 500® Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS-
No assurance can be given that the investment strategyon which the Index is based will be successfulor 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's exposure to the Futures Contracts is set
equal to (a) the 35% impliedvolatility target divided by(b) the one-weekimplied volatilityof the SPY Fund, subject to a maximum
exposure of 500%. The Indexuses the implied volatility 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 volatilityof the SPY Fund will be
representative of the implied or realized volatility of the Futures Contracts. Theperformance of the SPY Fund may not correlate
with the performance of the Futures Contracts, particularlyduring periodsof market volatility. In addition, the volatility of the
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Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
Futures Contracts on any daymaychange quicklyandunexpectedly and realizedvolatilitymaydiffer significantly from implied
volatility.In general, over time, the realized volatilities of theSPY Fund and the Futures Contracts have tended to be lower than
their respective impliedvolatilities; however, at any time those realized volatilities mayexceed their respective implied volatilities,
particularly during periodsof 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 weekly Index rebalance day, the Index will employ leverage to increase the exposureof theIndex to the Futures Contracts if
the implied volatility of the SPY Fund isbelow 35%, subject to amaximum 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 elevatedvolatility. When leverage is employed, any movementsin the prices of the
Futures Contracts will result in greater changesin 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, would negatively affect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where a significant increase in volatility is
accompanied by asignificant declinein the value of theFutures Contracts, thelevel of the Index may decline significantly before
the following Index rebalanceday when the Index'sexposure to the Futures Contracts would be reduced.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalanceday, the Index's exposureto the Futures Contracts will be less than 100% when the impliedvolatility
of the SPY Fund is above 35%. If the Index'sexposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvested portion will earn no return. The Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Futures Contracts on any such day. The 6.0% per annum deduction
is deducted daily, even when the Indexisnot fully invested.
•THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN
EXPIRING FUTURES CONTRACT INCLUDED IN THE INDEX-
As the Futures Contracts included in the Index come to expiration, they are replaced by Futures Contractsthat expirethree months
later. Thisis accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the Futures Contract
that expiresthree months from that time. Thisprocess is referred to as "rolling."Excluding other considerations, if themarket for
the Futures Contracts is in "contango," where the prices are higher in thedistant deliverymonths than in the nearer delivery
months, thepurchase of the later Futures Contract wouldtake place at a price that is higher than the price of the expiring Futures
Contract, thereby creating a negative "roll yield."In addition, excludingother considerations, if the market for the FuturesContracts
is in "backwardation," wherethe prices are lower in the distant deliverymonths than in the nearer delivery months, the purchase of
the later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, therebycreating
a positive "roll yield."The presence of contango in the market for the Futures Contracts could adversely affect the 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 an excess 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) anyprofit or loss
realized when rolling the relevant futures contracts (which is known as the"roll return"); and (c) any interest earned on thecash
deposited as collateral for the purchase of the relevant futures contracts (which is known as the "collateral return").
The Index measuresthe 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 aninvestment in the Futures Contracts). Investing inthenotes willnot generatethe same 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 generallyprovides exposure to a single futures contract on the S&P 500®Index that trades on the ChicagoMercantile
Exchange. Accordingly, the notesare less diversified than other funds, investment portfolios or indices investingin or tracking a
broader range of products and, therefore, could experience greater volatility. You should be aware that other indicesmay be more
diversified than the Indexin terms of both the number and varietyof futures contracts. Youwill not benefit, with respect to the
notes, from any of the advantagesof a diversified investment and will bear the risks of a highlyconcentrated investment.
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Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
•THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY -
The Index tracks the returnsof futurescontracts. The price of a futures contract depends not only on the price of the underlying
asset referencedbythe futures contract, but also on a range of other factors, includingbut not limited to changing supplyand
demand relationships, interestrates, governmentaland regulatorypolicies and the policiesof the exchanges on which the futures
contracts trade. In addition, the futuresmarkets aresubject to temporary distortionsor other disruptions due to various factors,
including the lack of liquidityin themarkets, the participation of speculators and government regulation and intervention.These
factors and others can cause the prices of futurescontracts to bevolatile.
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES-
Futures marketslike the Chicago Mercantile Exchange, themarket for theFutures Contracts, are subject to temporarydistortions
or other disruptions due to various factors, including thelackof liquidity inthemarkets, theparticipation of speculators, and
government regulation and intervention. In addition, futuresexchanges have regulations that limit the amount of fluctuation in
some futures contract prices that mayoccur during a single day. These limits are generally referred to as "daily price fluctuation
limits" andthemaximumor 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 aparticular contract, no trades may be made at aprice beyond the limit, or tradingmay
be limited for aset period of time. Limit prices have the effect of precludingtradingin a particular contract or forcing the liquidation
of contractsat potentiallydisadvantageous times or prices. These circumstances could affect the level of theIndex and therefore
could affect adversely the value of your notes.
•THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE-
The officialsettlement price and intraday trading prices of the Futures Contractsare calculated and published by the Chicago
Mercantile Exchange and areused to calculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price andintraday trading prices and may delay or prevent the calculation
of theIndex.
•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 to post collateral in order to open and to keep open positions in futures contracts. If
an exchange changes the amount of collateral required tobe posted to holdpositionsin the Futures Contracts, market participants
mayadjust their positions, which may affect the prices of the Futures Contracts. As a result, thelevel of the Index may beaffected,
which may adversely affect the valueof 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 this pricingsupplement is purely theoretical and doesnot represent the actual historicalperformance of the Indexandhasnot
beenverified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations.
Hypotheticalback-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed withthebenefit of hindsight. Alternativemodellingtechniques might produce significantly different resultsandmayprove
to bemore appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations and youshould carefully consider these limitations before placing reliance on such
information.
•OTHER KEY RISKS:
oTHE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS.
oHISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE
PERFORMANCE OF THE INDEX DURING THE TERM OF THE NOTES.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-listed and
other risks.
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Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January 4, 2019 through February 4, 2022, and the historical performance of the Index basedon the
weekly historical closing levels of the Index from February 11, 2022 through October 25, 2024. The Index was established on February
11, 2022, as represented by the vertical linein the followinggraph. All datato the left of that vertical line reflect hypothetical back-
tested performance of the Index. All data to the right of that vertical line reflect actualhistoricalperformance of the Index. The closing
level of the Index on October 28, 2024 was 3,934.34. We obtained the closing levels above and below fromthe Bloomberg
Professional®service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of the Index set forth in the followinggraph are purely theoretical and do not
represent the actual historicalperformance of the Index. See "Selected Risk Considerations- Risks Relating to the Index-
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations"
above.
Thehypothetical back-tested and historical closing levels ofthe Indexshould not be taken as an indication of future performance, and
no assurance can be given as to the closinglevel of the Index on the Pricing Date or any Review Date.There can be no assurance
that the performance of theIndex will result in the return of any of your principal amount in excess of $200.00 per $1,000principal
amount note, subject tothecredit risksof JPMorgan Financial and JPMorgan Chase & Co., or the payment of anyinterest.
The hypothetical back-tested closing levels of the Indexhave inherent limitationsand havenot been verified by an independent third
party. These hypothetical back-tested closing levels are determinedby means of a retroactive application of a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guaranteeof future returns.No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown.Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closing levelsof theIndex that might prove to be more
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no.4-I. In determining our reporting responsibilities weintend to treat (i) the notes for U.S. federal income tax purposes as
prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences-Tax Consequences to U.S. Holders - Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement.Based on the
adviceof Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment, but that there are other
reasonable treatments that the IRS or acourt may adopt, inwhichcase the timing and character of anyincome or loss on thenotes
could be materially affected.In addition, in 2007 Treasuryand the IRS released a notice requesting comments on the U.S. federal
income taxtreatment of "prepaid forward contracts" and similar instruments.The notice focuses in particular on whether to require
investors in theseinstruments to accrue income over the term of their investment.It alsoasks for commentson a number of related
topics, includingthecharacter of income or loss with respect to these instruments and the relevance of factors such as thenature of the
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Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
underlyingproperty 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 these issues could materiallyaffect the
taxconsequences of an investment in the notes, possibly with retroactive effect.Thediscussions above and in the accompanying
product supplement do not address the consequences to taxpayerssubject tospecial tax accounting rules under Section451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal income taxconsequencesof 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 anapplicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent, intend to)
withhold on any Contingent Interest Payment paid to a Non-U.S. Holder generallyat a rate of 30% or at a reduced ratespecified by an
applicable income tax treatyunder an "other income" or similar provision.We willnot be required topayany additional amounts with
respect to amounts withheld.In order toclaiman exemption from, or a reduction in, the 30% withholdingtax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and iseligible for suchan exemption or
reduction under an applicable tax treaty.If you area Non-U.S. Holder, you should consultyour taxadviser regarding the tax treatment
of thenotes, includingthepossibility of obtaining a 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 (unlessan income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities.Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations.Additionally, a recent IRS notice excludes fromthescope of 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 dividends for U.S. federal
income taxpurposes (each an "Underlying Security").Based on certain determinations made by us, we expect that Section 871(m) will
not apply tothenotes with regard to Non-U.S. Holders.Our determination is not binding on the IRS, andthe IRS may disagree with
thisdetermination.Section 871(m) is complex and its application may depend on your particular circumstances, including whether you
enter intoother transactions with respect to an Underlying Security.If necessary, further information regarding thepotential application
of Section 871(m) will be provided inthe pricing supplement for thenotes.You should consult your taxadviser regarding the potential
application of Section 871(m) to thenotes.
In theevent of any withholding on the notes, we will not be required topayany additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
Theestimated value of the notes set forth on the cover of this pricing supplementisequal to thesum of thevalues of thefollowing
hypothetical components: (1) a fixed-income debt component withthesame maturityasthe notes, valuedusingthe internal funding
ratedescribed below, and (2) the derivative or derivatives underlyingtheeconomic terms of the notes.Theestimated valueof the
notesdoes not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if anyexists) at
any time.The internal funding rate used in the determination of the estimated valueof the notes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof asimilar maturityissued by JPMorganChase & Co. or its affiliates. Any difference
maybebased on, among other things, ourand our affiliates'view of the funding value of the notes as well as the higherissuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixedincome
instrumentsof JPMorgan Chase & Co.This internal funding rate is based on certain market inputs and assumptions, which may prove
to beincorrect, and is intended to approximatetheprevailing market replacement funding rate for the notes. The use of an internal
funding rate and anypotential changes to that ratemay have an adverse effect on the terms of the notes and anysecondary market
prices of the notes. For additional information, see"Selected Risk Considerations- Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes - The Estimated Value of the NotesIs DerivedbyReference toan Internal Funding Rate" in this
pricingsupplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates.These modelsare dependent on inputssuch as the tradedmarket prices of comparable derivative instrumentsand on
variousother 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, theestimated value of the notes is
determined when the termsof the notes are set based on market conditions and other relevant factors and assumptions existing at that
time.
Theestimated value of thenotesdoesnot represent future values of the notes and may differ from others'estimates. Different pricing
modelsand assumptionscould provide valuations forthe notes that are greater than or less than the estimated value of the notes.In
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addition, market conditions and other relevant factors in the futuremay change, and any assumptionsmay prove to be incorrect.On
futuredates, the value of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorganChase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
which JPMS would be willingto buy notesfromyou in secondarymarket transactions.
The estimated value of the notes will be lower than the original issue priceof the notes because costs associated with selling,
structuring and hedging the notes are included in the originalissue price of the notes. These costs include the sellingcommissions, if
any, paid to JPMS andother affiliated or unaffiliated dealers,the projected profits, if any, that our affiliatesexpect to realize for
assuming risks inherent in hedgingour obligations under thenotes and the estimated cost of hedging our obligations under the notes.
Becausehedgingour obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a
profit that ismore or less than expected, or it mayresult in aloss. A portion of the profits, if any, realized in hedging our obligations
under the notessoldto brokerage accountsmay be allowedto 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 Valueand
Secondary Market Pricesof the Notes - The Estimated Value of the NotesWill Be 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 bymany
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in the original issue price of the notes willbe partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period.These costs can include selling commissions,if any,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internalsecondary market 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 thenotes.Thelengthof any such initial period reflects thestructure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred, as
determined by our affiliates.See"Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes- The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricingsupplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See "How the Notes Work"and "Hypothetical Payout Examples" in thispricingsupplement for an illustration of therisk-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 originalissue price of thenotes is equal to the estimated value of the notes plus the selling commissions, if any,paid to JPMS and
other affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes, plus theestimated cost of hedging our obligations under the notes.
SupplementalPlan of Distribution
With respect to notes sold to certain fee-based advisory accountsfor which an affiliated or unaffiliated broker-dealer is an investment
adviser, the price to the publicwill not be lower than $967.50 per $1,000 principalamount note. JPMS andthese broker-dealers will
forgo anyselling commissions related to these sales. See "Plan of Distribution (Conflicts of Interest)" in the accompanyingproduct
supplement.
With respect to notes sold to brokerage accounts, JPMS, acting as agent for JPMorgan Financial, willpay all of the selling commissions
it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed$32.50 per $1,000
principal amount note. See "Plan of Distribution (Conflictsof Interest)" in the accompanying product supplement.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying theapplicable
agent. We reservethe right to change the terms of, or reject anyoffer to purchase, the notes prior to their issuance. In the event of any
changes to the terms of the notes, we will notifyyou and you will be asked to accept such changes in connection withyour purchase.
You may also choose to reject such changes, in which case we may reject your offer topurchase.
PS-15| Structured Investments
Auto CallableContingentInterest Notes Linked to the MerQube US Large-
Cap Vol Advantage Index
You should read thispricing supplement together with theaccompanyingprospectus, as supplemented bythe accompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part, the accompanyingprospectus
addendumand the more detailed information contained in the accompanying product supplement and the accompanyingunderlying
supplement.This pricingsupplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. Youshould carefullyconsider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying
prospectussupplement, the accompanying product supplement and the accompanyingunderlying supplement and in Annex A to the
accompanying prospectus addendum,as the notesinvolve risks not associated with conventional debt securities. We urge you to
consult your investment,legal, tax, accounting and other advisersbefore you invest in the notes.
You may access these documentson the SEC website at www.sec.govasfollows (or if such addresshaschanged, by reviewingour
filingsfor the relevant dateon the SEC website):
•Product supplement no.4-I datedApril 13, 2023:
•Underlying supplement no.5-II dated March 5, 2024:
•Prospectus supplement andprospectus, each dated April 13, 2023:
•Prospectus addendum dated June 3, 2024:
Our CentralIndex 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.