JPMorgan Chase & Co.
10/31/2024 | Press release | Distributed by Public on 10/31/2024 12:27
Primary Offering Prospectus - Form 424B2
October 29, 2024RegistrationStatement Nos.333-270004and 333-270004-01; Rule 424(b)(2)
Pricing supplement to productsupplement no. 4-Idated April 13, 2023, underlyingsupplement no. 1-I datedApril 13, 2023,
the prospectus and prospectus supplement,eachdated April 13, 2023andthe prospectusaddendum dated June3, 2024
JPMorganChase Financial Company LLC
Structured Investments
$2,316,000
Capped Dual Directional Buffered EquityNotes Linked to
the S&P 500®Indexdue November 2, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase& Co.
•The notes aredesigned for investors who seek a capped, unleveraged exposure toany appreciation (witha Maximum
Upside Return of 18.05%), or a capped, unleveraged return equal to the absolute value of anydepreciation (upto the
Buffer Amountof20.00%), of the S&P 500® Index at maturity.
•Investors should be willing to forgo interest anddividend payments and be willing to lose up to 80.00% of their principal
amount at maturity.
•The notes areunsecured and unsubordinated obligations of JPMorganChase 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 integralmultiplesthereof
•The notespriced on October29, 2024(the "Pricing Date")and are expected to settle on orabout November 1, 2024.
The Strike Value has been determined by reference to the closing level of theIndex on October 28, 2024 and not
by reference to the closing level of the Index on the Pricing Date.
•CUSIP: 48135UX70
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of the accompanying
prospectus supplement, Annex A to the accompanying prospectus addendum,"Risk Factors" beginning on page PS-11
of theaccompanying product supplement and"Selected Risk Considerations" beginning on page PS-4 of this pricing
supplement.
Neither the Securities and Exchange Commission (the "SEC") nor anystate securitiescommission has approved or disapproved
of the notes or passed uponthe accuracy or the adequacy ofthis pricing supplement or theaccompanying product supplement,
underlying supplement, prospectus supplement, prospectusand prospectusaddendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$4
$996
Total
$2,316,000
$9,264
$2,306,736
(1)See"Supplemental Use ofProceeds"in this pricing supplement for informationabout thecomponentsof the price topublic ofthe
notes.
(2)J.P. MorganSecuritiesLLC, which werefer toasJPMS, actingas agentforJPMorgan Financial, will payallof the selling
commissions of $4.00per $1,000principal amount note it receives from usto other affiliated orunaffiliated dealers. See "Plan of
Distribution (Conflictsof Interest)"in theaccompanyingproductsupplement.
The estimated value of the notes, when the terms of thenoteswere set, was $991.30 per $1,000 principal amount note.
See "The Estimated Value of the Notes" in thispricing 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
Capped Dual Directional Buffered EquityNotes Linked to the S&P 500®
Index
Key Terms
Issuer:JPMorganChase Financial Company LLC, adirect,wholly
owned financesubsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index:The S&P 500®Index (Bloomberg ticker: SPX)
MaximumUpside Return:18.05% (corresponding to amaximum
payment at maturity if the Index Return is positive of $1,180.50 per
$1,000 principal amount note)
Buffer Amount: 20.00%
Strike Date:October 28, 2024
Pricing Date:October 29, 2024
Original Issue Date (Settlement Date):On or about November
1, 2024
Observation Date*: October 28, 2026
Maturity Date*:November 2,2026
* Subject to postponement in the event of a market disruption event
and as described under "General Termsof Notes -Postponement
of a Determination Date - Notes Linked to a Single Underlying-
Notes Linked to a Single Underlying (Other Than a Commodity
Index)" and "General Terms of Notes-Postponement of aPayment
Date" in the accompanying product supplement
Payment at Maturity:
If the Final Valueisgreater than the Strike Value, your payment at
maturityper $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 × Index Return), subject to the Maximum Upside
Return
If the Final Valueisequal to the Strike Value or is less than the
Strike Value by up to the Buffer Amount, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × AbsoluteIndex Return)
Thispayout formula results inan effective cap of 20.00% onyour
return at maturity if theIndexReturn is negative. Under these limited
circumstances, your maximum payment at maturity is $1,200.00 per
$1,000 principal amount note.
If the Final Valueisless than the Strike Value bymore than the
Buffer Amount, your paymentat maturity per $1,000 principal
amount note will be calculated as follows:
$1,000 + [$1,000 × (Index Return + Buffer Amount)]
If the Final Valueisless than the Strike Value by more than the
Buffer Amount, you will lose some or mostof your principalamount
at maturity.
Absolute Index Return: The absolute valueof theIndex Return.
For example, if the Index Return is -5%, the AbsoluteIndex
Return will equal 5%.
Index Return:
(Final Value - Strike Value)
Strike Value
Strike Value: The closinglevel of the Index on the Strike Date,
which was 5,823.52.The Strike Value is not the closing level
of the Index on the Pricing Date.
Final Value:Theclosing level of the Index on the Observation
Date
PS-2| Structured Investments
Capped Dual Directional Buffered EquityNotes Linked to the S&P 500®
Index
Supplemental Terms of the Notes
Any valuesof the Index, and any values derivedtherefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, by amendment of this pricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment willbecomeeffective without consent of the holders of
the notes or anyother party.
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total return and payment at maturityon the notes linkedto a hypothetical Index.
The "total return" as used in this pricing supplementis the number, expressed as a percentage, that resultsfrom comparing the
payment at maturity per $1,000 principal amount note to $1,000. Thehypothetical total returns and payments set forth below assume
the following:
•a Strike Value of 100.00;
•a Maximum Upside Return of 18.05%; and
•a Buffer Amount of 20.00%.
The hypothetical Strike Valueof 100.00 has been chosen for illustrative purposesonly and does not represent the actual Strike Value.
The actual Strike Value is theclosing level of the Index on the Strike Date and is specified under "Key Terms-Strike Value" in this
pricing supplement. For historical data regarding the actual closing levels of the Index, please see the historicalinformation set forth
under "The Index" in this pricing supplement.
Each hypothetical total return or hypotheticalpayment at maturity set forth below is for illustrative purposes only andmaynot be the
actual total return or paymentat maturity applicable to a purchaser of the notes. The numbers appearing in the followingtableand
graph have been rounded for ease of analysis.
Final Value
Index Return
AbsoluteIndex Return
Total Return on the Notes
Payment at Maturity
180.00
80.00%
N/A
18.05%
$1,180.50
165.00
65.00%
N/A
18.05%
$1,180.50
150.00
50.00%
N/A
18.05%
$1,180.50
140.00
40.00%
N/A
18.05%
$1,180.50
130.00
30.00%
N/A
18.05%
$1,180.50
120.00
20.00%
N/A
18.05%
$1,180.50
118.05
18.05%
N/A
18.05%
$1,180.50
110.00
10.00%
N/A
10.00%
$1,100.00
105.00
5.00%
N/A
5.00%
$1,050.00
101.00
1.00%
N/A
1.00%
$1,010.00
100.00
0.00%
0.00%
0.00%
$1,000.00
95.00
-5.00%
5.00%
5.00%
$1,050.00
90.00
-10.00%
10.00%
10.00%
$1,100.00
80.00
-20.00%
20.00%
20.00%
$1,200.00
70.00
-30.00%
N/A
-10.00%
$900.00
60.00
-40.00%
N/A
-20.00%
$800.00
50.00
-50.00%
N/A
-30.00%
$700.00
40.00
-60.00%
N/A
-40.00%
$600.00
30.00
-70.00%
N/A
-50.00%
$500.00
20.00
-80.00%
N/A
-60.00%
$400.00
10.00
-90.00%
N/A
-70.00%
$300.00
0.00
-100.00%
N/A
-80.00%
$200.00
PS-3| Structured Investments
Capped Dual Directional Buffered EquityNotes Linked to the S&P 500®
Index
The following graph demonstratesthe hypothetical payments at maturity on the notes for arange of Index Returns. There can be no
assurance that the performance of the Index will result in the return of any of your principal amount in excessof $200.00 per $1,000
principal amount note, subjectto the credit risksof JPMorgan Financial and JPMorgan Chase & Co.
How the Notes Work
Index Appreciation Upside Scenario:
If the Final Value isgreater than theStrike Value, investors will receive at maturity the$1,000 principal amount plus a return equal to
the Index Return, subject to the Maximum Upside Return of 18.05%. Aninvestor will realize themaximumupside payment at maturity
at a Final Value of 118.05% or moreof theStrike Value.
•If the closing level of the Index increases5.00%, investors will receive at maturitya return equal to 5.00%, or $1,050.00 per $1,000
principal amount note.
•If theclosing level of the Index increases 50.00%, investorswill receive at maturitya return equal to the 18.05% Maximum Upside
Return, or $1,180.50 per $1,000 principal amount note, which isthemaximumpayment atmaturityif the Index Return is positive.
Index Par or Index Depreciation Upside Scenario:
If the Final Valueisequal to the Strike Value or is lessthanthe Strike Valuebyup to the Buffer Amount of 20.00%, investors will
receive at maturitythe $1,000principal amount plusa return equal to the Absolute Index Return.
•For example, if the closing level of the Index declines 5.00%, investors will receive at maturity areturn equal to 5.00%, or
$1,050.00per $1,000 principal amount note.
Downside Scenario:
If theFinal Valueisless than the Strike Value bymore than the Buffer Amount of 20.00%, investors will lose 1% of the principal amount
of their notes for every 1% that the Final Value is less than the Strike Value by morethan the Buffer Amount.
•For example, if the closing level of the Index declines 60.00%, investors willlose 40.00%of their principal amount and receive only
$600.00 per $1,000 principalamount note at maturity, calculated as follows:
$1,000 + [$1,000 × (-60.00% +20.00%)] = $600.00
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term.
These hypotheticals do not reflect the feesor expenses that would be associated with anysale in the secondary market. If these fees
and expenses were included, the hypothetical returnsand hypothetical paymentsshown above would likely be lower.
PS-4| Structured Investments
Capped Dual Directional Buffered EquityNotes Linked to the S&P 500®
Index
Selected Risk Considerations
An investment in the notesinvolvessignificant risks. These risks are explained in more detail in the "Risk Factors"sections of the
accompanyingprospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. If the Final Valueisless than the Strike Value by more than 20.00%, you will
lose 1% of the principal amount of your notes for every 1% that the Final Value is lessthan the Strike Value by more than 20.00%.
Accordingly, under these circumstances, you will loseup to 80.00% of your principal amount at maturity.
•YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM UPSIDE RETURN IF THE INDEX RETURN IS
POSITIVE,
regardless oftheappreciation of the Index, which may be significant.
•YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER AMOUNT IF THE INDEX RETURN IS NEGATIVE -
Because the payment at maturity will not reflect the Absolute Index Return if the Final Value is less than the Strike Value by more
than the Buffer Amount, the Buffer Amountis effectivelya cap onyour return at maturity if the Index Returnisnegative. The
maximum payment at maturity if the Index Returnisnegative is $1,200.00 per $1,000 principal amount note.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent onourandJPMorgan Chase & Co.'sability to pay all amountsdue on the notes. Any actual or potential
change inour or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined bythemarket for taking that credit
risk, is likely to adversely affect the value of the notes.If weand JPMorgan Chase & Co. were to default onour payment
obligations, you maynot receive any amounts owed toyou under the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a 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 capitalcontribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments 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 thenotes. 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 havesufficient 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 to make
payments on the notes, you may have to seek 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 theaccompanying prospectus addendum.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities 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 sellyour notes.The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliates play avarietyof roles in connection with thenotes. In performing these duties, our and JPMorgan Chase &
Co.'s economic interests are potentially adverse toyour interests as an investor in the notes. It is possible that hedging or trading
activities of oursor our affiliates inconnection with the notescould result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to"Risk Factors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
PS-5| Structured Investments
Capped Dual Directional Buffered EquityNotes Linked to the S&P 500®
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 notesis only anestimate determined by reference to several factors. The originalissue price of the
notes exceedsthe estimated valueof the notes because costs associated withselling, structuring and hedging the notesare
included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesand the estimatedcost 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.
•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-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any differencemay
be based on, amongother things, our and our affiliates' view of thefunding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co.This internal funding rate is based on certain market inputs and assumptions, whichmay
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
secondarymarket prices of the notes. See "The Estimated Valueof the Notes" in this pricing 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 notes will be partially paid back to you in
connection with any repurchases of your notesbyJPMS in an amount that willdecline 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 notesaspublished by
JPMS (and which may be shown on your customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes will likely be lower than the original issue price of the notes because, among other
things, secondarymarket prices take intoaccount our internal secondarymarket funding ratesfor structured debt issuances and,
also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimatedhedging
costs that are included in the original issue price of the notes.As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Anysale by you prior to
the Maturity Date could result in a substantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, asidefrom theselling commissions, projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for
the notes, which may also be reflected oncustomer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors -
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes- Secondarymarket prices of the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to the Index
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in takinganycorporate action that might affect
the level of the Index.
PS-6| Structured Investments
Capped Dual Directional Buffered EquityNotes Linked to the S&P 500®
Index
The Index
The Index consists of stocks of 500companies selected to provide a performance benchmark for the U.S. equity markets. For
additional information about the Index, see "Equity Index Descriptions-The S&P U.S. Indices" in the accompanying underlying
supplement.
Historical Information
The following graph sets forth the historical performance of the Indexbased on the weeklyhistorical closing levels of the Index from
January 4, 2019 through October 25, 2024. Theclosing level of the Indexon October 28, 2024 was 5,823.52. Weobtained the closing
levels above and below from the Bloomberg Professional®service ("Bloomberg"), without independent verification.
The historical closing levels of the Index should not be takenas an indication of future performance, and no assurance can be given as
to the closinglevel of the Indexon the Observation Date. There can be noassurance that the performance of the Indexwill result in the
return of any of your principal amount in excessof $200.00 per $1,000 principal amount note, subject to the credit risksof JPMorgan
Financial and JPMorgan Chase & Co.
Tax Treatment
In determining our reporting responsibilities, we intend to treat the notes for U.S. federal income tax purposes as "open transactions"
that are not debt instruments,as described in the section entitled "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 no. 4-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable
treatment, but that there are other reasonable treatments that the IRS or acourt may adopt, in which case the timing and character of
any income or loss on the notes could be materially and adversely affected.
No statutory, judicial or administrativeauthority directly addresses the characterization of the notes (or similar instruments) for U.S.
federal income tax purposes, and no rulingisbeing requested from the IRS with respect to their proper characterization and treatment.
Assuming that "open transaction" treatment is respected, the gain or loss on your notes should be treated aslong-term capital gain or
loss if you hold your notes formore than a year, whether or not you are an initial purchaser of the notesat the issue price.However,
the IRS or a court may not respect the treatment of the notes as "opentransactions," in which case the timing and character of any
income or loss on thenotes could be materially and adversely affected.For instance, the notescould be treated as contingent payment
debt instruments, in which case the gain on your notes would be treated asordinary income andyou would be required to accrue
originalissuediscount on your notes in each taxable year at the "comparable yield," as determined by us, although we willnot make
any payment with respect to the notes until maturity.
PS-7| Structured Investments
Capped Dual Directional Buffered EquityNotes Linked to the S&P 500®
Index
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid
forwardcontracts" and similar instruments.Thenotice focuses in particular on whether to require investors in these instruments to
accrue income over the term of their investment.It also asks for comments on a number ofrelated topics, including thecharacter of
income or loss with respect tothese instruments; the relevance of factors such as the nature of the underlying property towhich the
instrumentsarelinked; the degree, if any, to which income (including anymandated accruals) realized bynon-U.S. investors should be
subject to withholding tax; and whether these instruments are or should be subject to the "constructive ownership" regime, which very
generally can operate to recharacterize certain long-term capitalgain as ordinary income and impose a notional interest charge.While
the notice requestscommentson appropriate transition rulesand effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect thetax consequences of an investment in the
notes, possibly with retroactive effect.You should review carefully the section entitled "Material U.S. Federal Income Tax
Consequences" in the accompanying product supplement and consult your taxadviser regarding the U.S. federal income tax
consequencesof an investment in the notes, including possible alternative treatments and the issuespresented by thisnotice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalentspaid or deemedpaid to Non-U.S. Holders with respect to certain
financial instrumentslinked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirementsset forth in theapplicable
Treasury regulations.Additionally, a recent IRS notice excludes from thescope 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 payU.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinationsmade by us, our special taxcounsel isof the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the
IRS, and the IRS may disagree with this determination. Section 871(m) is complex and itsapplication may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. You shouldconsult your tax
adviser regarding the potential application of Section 871(m) to thenotes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement isequal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component withthe same maturityas the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the
notes does not represent a minimum price at which JPMS wouldbe willing to buy your notes in any secondarymarket (if any exists) at
any time. The internal funding rate used in thedetermination of the estimated value of the notes may differ from the market-implied
funding rate for vanilla fixed income instruments of asimilar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybe based on, among other things, our and our affiliates' view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximatethe prevailing market replacement fundingrate for thenotes. The use of an internal
funding rate and any potential changes to that ratemay have an adverse effect on the terms of the notes and anysecondary market
prices of the notes. For additionalinformation, see "Selected Risk Considerations - Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes-The Estimated Value of the NotesIs Derived by Reference to anInternal Funding Rate" in this
pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal 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, theestimated value of thenotes 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 the notes does not represent future values of thenotes and may differ from others' estimates. Different pricing
modelsand assumptions could provide valuations forthe notes that are greater than or less than the estimated value of the notes.In
addition, market conditions and other relevant factors in the futuremay change, and any assumptionsmay prove to be incorrect. On
future dates, thevalue of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfromyou in secondarymarket transactions.
Theestimated value of the notes is lower than the originalissue price of the notesbecausecosts associated withselling, structuring
and hedging the notes are included in the original issueprice of the notes. These costsincludethe sellingcommissions paid to JPMS
PS-8| Structured Investments
Capped Dual Directional Buffered EquityNotes Linked to the S&P 500®
Index
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Becausehedgingour
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 affiliatedor unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.See
"Selected Risk Considerations - Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes- The Estimated
Value of the NotesIs Lower Than the Original Issue Price (Price to Public) of the Notes"in this pricing 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 Pricesof the Notes - Secondary market prices of the notes will beimpacted bymany
economic andmarket 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 will be partially paid back toyou in connection with any repurchases of your notesby
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 costs and our 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 anysuch 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 byour 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 "Hypothetical Payout Profile"and "How the Notes Work"in this pricingsupplement for anillustration of the risk-returnprofile
of the notes and"The Index" inthis pricing supplement for adescription of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the sellingcommissions 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 obligationsunder thenotes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offered by this pricing supplement have been issued by JPMorganFinancial pursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and such notes have been delivered against payment as
contemplated herein, suchnotes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitutea
valid and binding obligationof JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing and thelack ofbad 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
conclusionsexpressedabove or (ii) any provision of the indenture that purports to avoid the effect offraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'s obligation under the related guarantee.
Thisopinion is given as of the date hereof and is limited to the laws of the Stateof New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject to customary assumptions about the
trustee's authorization, execution and delivery of the indenture andits authentication of themaster note and thevalidity, binding nature
and enforceabilityof the indenture with respect to the trustee, allas stated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
Additional Terms Specific to the Notes
You should readthispricing supplement together with theaccompanyingprospectus, as supplemented by theaccompanying
prospectus supplement relating to our SeriesA 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
PS-9| Structured Investments
Capped Dual Directional Buffered EquityNotes Linked to the S&P 500®
Index
supplement.This pricingsupplement, together with the documents listed below, contains the terms of the notes andsupersedes all
other prior or contemporaneous oral statements as well as any other writtenmaterialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours.You shouldcarefullyconsider, among other things, the matters set forth in the "RiskFactors" sectionsof the accompanying
prospectus supplement and theaccompanying product supplement and in Annex A to the accompanying prospectus addendum, as the
notes involve risksnot associated with conventional debt securities.We urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
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. 1-Idated April 13, 2023:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectus addendum datedJune 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in thispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.