JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 13:46
Primary Offering Prospectus - Form 424B2
October 28, 2024Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricingsupplement to productsupplement no. 4-I dated April 13, 2023, underlying supplement no. 5-IIdated March5,2024,
the prospectus and prospectus supplement, eachdated April 13, 2023, andthe prospectus addendumdated June 3,2024
JPMorgan Chase Financial CompanyLLC
Structured Investments
$426,000
Auto Callable Contingent Interest Notes Linked to the MerQube US
Tech+ Vol Advantage Indexdue November 1, 2029
Fullyand Unconditionally Guaranteed by JPMorgan Chase & Co.
•The notes are designed for investors who seek a Contingent Interest Payment with respect to eachReview Date for
whichthe closing level of theMerQube US Tech+ Vol Advantage Index, which we refer toas the Index,isgreater than or
equal to 75.00% of the Initial Value, which we refer to asthe Interest Barrier.
•The notes will beautomatically called if theclosing levelof the Index on any Review Date (other than the first through
eleventh and final Review Dates) is greater than or equal to theInitial Value.
•The earliest dateon which an automatic call may be initiated is October 28, 2025.
•Investors shouldbe willing toaccept the risk of losingup to 70.00% of their principal and the risk that no Contingent
Interest Payment may bemade with respect to some or all Review Dates.
•Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
ContingentInterest Payments.
•The Index is subject to a 6.0% per annum dailydeduction, and the performance of the Invesco QQQ TrustSM,
Series 1 (the"QQQ Fund") is subject toa notional financing cost. These deductions will offset any appreciation
of the components of the Index, will heighten any depreciation of those components andwill generally be a drag
on the performance of the Index. The Indexwill trail theperformance of an identical index without such
deductions. See "Selected Risk Considerations - Risks Relating to the Notes Generally-The Level of the
Index Will Include a 6.0% per Annum Daily Deduction" and "Selected Risk Considerations- Risks Relating to
the Notes Generally- The Level of the Index Will Include the Deduction of a Notional Financing Cost" in this
pricing supplement.
•The notes areunsecured and unsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, thepayment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integralmultiplesthereof
•The notes priced on October 28, 2024 and are expected to settle on or about October 31, 2024.
•CUSIP: 48135UBH2
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 theaccompanying prospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplement, "Risk Factors" beginning on page US-4of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on page PS-8 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor anystate securitiescommission has approved or disapproved
of the notes or passed upon the accuracyor the adequacy of this pricing supplement or theaccompanying product supplement,
underlying supplement, prospectus supplement,prospectusand prospectus addendum. Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds toIssuer
Per note
$1,000
$37.50
$962.50
Total
$426,000
$15,975
$410,025
(1) See "Supplemental Use ofProceeds" in this pricing supplementforinformation about thecomponents of the price to public ofthe
notes.
(2) J.P.MorganSecurities LLC, which we refer toas JPMS, acting as agentfor JPMorgan Financial, will pay allof the selling
commissions of $37.50 per $1,000 principalamountnote it receives from us toother affiliated or unaffiliated dealers. See "Plan of
Distribution (Conflicts of Interest)" in the accompanyingproduct supplement.
The estimated value ofthe notes, whenthe terms of the notes were set, was$901.90per$1,000 principal amountnote. See"The
EstimatedValue of the Notes" in thispricingsupplement foradditional information.
Thenotes are not bankdeposits, are not insured by the Federal DepositInsurance Corporation or any other governmental agency and are not
obligationsof, or guaranteed by,abank.
PS-1| Structured Investments
Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned financesubsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Tech+ Vol Advantage Index
(Bloomberg ticker: MQUSTVA). The levelof the Indexreflects
a deduction of 6.0% per annum that accrues daily, and the
performance of the QQQ Fund issubject toa notional financing
cost that accrues daily.
Contingent Interest Payments:If the notes have not been
automatically called and the closing level of the Index on any
Review Date is greater than or equal to the Interest Barrier, you
will receiveon the applicable Interest Payment Date for each
$1,000 principal amount notea Contingent Interest Payment
equal to $8.2083 (equivalent to a Contingent Interest Rate of
9.85%per annum, payable at a rateof 0.82083%per month).
If the closing level of the Index on any Review Date is less than
the Interest Barrier, no Contingent Interest Payment willbe
made with respect to that Review Date.
Contingent Interest Rate:9.85% per annum, payable at a rate
of 0.82083%per month
Interest Barrier:75.00% of the Initial Value, which is 8,579.61
Buffer Threshold:70.00% of the Initial Value, which is
8,007.636
Buffer Amount:30.00%
Pricing Date:October 28, 2024
Original Issue Date (Settlement Date): On or about October
31, 2024
Review Dates*:November 29, 2024, December 30, 2024,
January28, 2025, February 28, 2025, March 28, 2025, April 28,
2025, May 28, 2025, June 30, 2025, July28, 2025, August 28,
2025, September 29, 2025, October 28, 2025, November 28,
2025, December 29, 2025, January 28, 2026, March 2, 2026,
March 30, 2026, April28, 2026, May 28, 2026, June 29, 2026,
July 28, 2026, August 28, 2026, September 28, 2026, October
28, 2026, November 30, 2026, December 28, 2026, January28,
2027, March 1, 2027, March 29, 2027, April 28, 2027, May 28,
2027, June 28, 2027, July 28, 2027, August 30, 2027,
September 28, 2027, October 28, 2027, November 29, 2027,
December 28, 2027, January28, 2028, February 28, 2028,
March 28, 2028, April 28, 2028, May 30, 2028, June 28, 2028,
July 28, 2028, August 28, 2028, September 28, 2028, October
30, 2028, November 28, 2028, December 28, 2028, January 29,
2029, February 28, 2029, March 28, 2029, April 30, 2029, May
29, 2029, June 28, 2029, July30, 2029, August 28, 2029,
September 28, 2029 and October 29, 2029 (final Review Date)
Interest Payment Dates*:December 4, 2024, January 3, 2025,
January31, 2025, March5, 2025, April 2, 2025, May 1, 2025,
June 2, 2025, July3, 2025, July 31, 2025, September 3, 2025,
October 2, 2025, October 31, 2025, December 3, 2025, January
2, 2026, February 2, 2026, March 5, 2026, April 2, 2026, May 1,
2026, June 2, 2026, July 2, 2026, July 31, 2026, September 2,
2026, October 1, 2026, November 2, 2026, December3, 2026,
December 31, 2026, February 2, 2027, March 4, 2027, April1,
2027, May 3, 2027, June 3, 2027, July 1, 2027, August 2, 2027,
September 2, 2027, October 1, 2027, November 2, 2027,
December 2, 2027, December 31, 2027, February 2, 2028,
March 2, 2028, March 31, 2028, May 3, 2028, June 2, 2028,
July 3, 2028, August 2, 2028,August 31, 2028, October 3,
2028, November 2, 2028, December 1, 2028, January 3, 2029,
February 1, 2029, March 5, 2029, April 3, 2029, May 3, 2029,
June 1, 2029, July3, 2029, August2, 2029, August 31, 2029,
October 3, 2029and theMaturity Date
Maturity Date*:November 1,2029
Call Settlement Date*:If thenotes are automatically called on
any Review Date (other than the first through eleventhandfinal
Review Dates), the first Interest Payment Date immediately
following that Review Date
Automatic Call:
If the closing level of the Index on any Review Date (other than
the first through eleventh and final Review Dates) is greater
than or equal to the Initial Value, thenotes 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 to that Review Date, payable on the
applicable Call Settlement Date.No further payments willbe
made on the notes.
Payment at Maturity:
If the notes have not beenautomatically called and the Final
Value isgreater than or equal to the Buffer Threshold, you will
receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Contingent
Interest Payment, if any,applicable to thefinal Review Date.
If the notes have not beenautomatically called and the Final
Value isless than the Buffer Threshold, your payment at
maturityper $1,000 principal amount note will be calculated as
follows:
$1,000 + [$1,000 ×(Index Return + Buffer Amount)]
If the notes have not beenautomatically called and the Final
Value isless 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:Theclosing level of the Indexon the Pricing Date,
which was 11,439.48
Final Value: Theclosing level of theIndex 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 toanIndex" in the accompanyingunderlying
supplement and "General Terms of Notes- Postponementof a
Payment Date" in the accompanying product supplement
PS-2| Structured Investments
Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
The MerQube US Tech+Vol Advantage Index
TheMerQube US Tech+ Vol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "IndexCalculation
Agent"), incoordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the Index Calculation
Agent.The Index was established on June 22, 2021. An affiliateof ourscurrently has a10% equityinterest in the IndexSponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of the boardof directors of the Index Sponsor.
Since February 9, 2024 (the "Amendment Effective Date"), the underlying asset to which the Indexislinked (the "Underlying Asset")
has been an unfunded position in the QQQ Fund, calculated as the excess of the total return of the QQQ Fundover a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset was an unfunded rolling position in E-Mini Nasdaq-100futures (the
"Futures Contracts").
The investment objective of the QQQ Fund is to seek to track the investment results, before fees and expenses, of the Nasdaq-100
Index®. For more information about the QQQ Fund and the Nasdaq-100 Index®, see "Background on the Invesco QQQ TrustSM, Series
1" and "Background on the Nasdaq-100 Index®," respectively, in the accompanying underlying supplement.
The Index attempts to provide a dynamic rules-based exposure to the Underlying Asset, while targeting alevel of implied volatility, with
a maximum exposure to the Underlying Asset of 500% and a minimum exposure to the Underlying Asset of 0%. TheIndex is subject to
a 6.0% per annum daily deduction, and theperformance of the Underlying Asset is subject to a notional financing cost deducted daily.
On each weekly Index rebalance day, the exposure to the Underlying Asset is set equal to (a) the 35%implied volatility target (the
"target volatility") dividedby (b) the one-week implied volatility of the QQQ Fund, subject toa maximum exposure of 500%. For
example, if the implied volatility of the QQQ Fund isequal to17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatilityof the QQQ Fundis equal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index's exposureto the Underlying Asset will be greater than 100% when the implied volatility of the QQQ Fund is below
35%, and the Index's exposure to the Underlying Asset will be less than 100% when the implied volatility of the QQQ Fund is above
35%. In general, the Index's target volatility featureisexpected to result in the volatilityof the Indexbeingmore stable over time thanif
no target volatilityfeature were employed. No assurance can be provided that thevolatilityof theIndex will be stable atany time. The
Index usesthe implied volatility of the QQQ Fundasa proxyfor the realized volatilityof the Underlying Asset.
The Index tracks the performanceof the QQQ Fund, with distributions, if any, notionally reinvested,lessthe daily deduction of a
notional financingcost. The notional financing cost is intended to approximate the cost of maintaining a position in the QQQ Fund
using borrowed funds at a rate of interest equal to SOFR plus aspread of 0.50% per annum. SOFR, the Secured Overnight Financing
Rate, is intended to be a broad measure of the cost of borrowing cash overnight collateralizedby Treasurysecurities.The Index isan
"excess return" index and not a "total return" index because, as part of thecalculation of the level of the Index, the performance of the
QQQ Fund is reducedbythe notional financing cost. The notional financing cost has beendeductedfrom the performance of the QQQ
Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notional financing cost willoffset anyappreciationof the Underlying Asset, will heighten
any depreciation of the Underlying Asset and will generally be a drag on the performance of the Index. The Index will trail the
performance of anidentical index without such deductions.
Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Buffer
Threshold, the Buffer Amount and the other economic terms available on the notesare more favorable to investors than the termsthat
would be available on a hypothetical note issued by us linked to an identical index without a daily deduction. However, there canbe no
assurance that anyimprovement in the terms of the notes derived from the daily deduction will offset the negative effect of the daily
deduction on the performanceof theIndex. The return on the notes may be lower than the return on a hypothetical note issued by us
linked to an identical index without a daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates'internalpricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimatedvalue of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or 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 the use of significant leverage. The notional financing cost deducted daily will
be magnified by any leverage provided by the Index.In addition, the Index may be significantly uninvested on any given day,
and, in that case, will realize only a portion of any gainsdue to appreciation of the UnderlyingAsset on that day.The index
deduction isdeducted daily at a rate of 6.0% per annum, even when the Index is not fully invested.
PS-3| Structured Investments
Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
No assurancecan be given that the investment strategy used to construct the Indexwill achieve its intended results or that
the Index will be successful or will outperform any alternative index or strategy thatmight reference the Underlying Asset.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanying underlying
supplement.
PS-4| Structured Investments
Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage 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, byamendment of this pricing supplement andthe corresponding terms of the notes. Notwithstanding
anything to the contrary in the indenture governing the notes, that amendment will become effective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payments in Connectionwith the Firstthrough Eleventh Review Dates
Payments in Connection with Review Dates(Other than theFirst through Eleventh and Final Review Dates)
Theclosing level of the Indexis greater thanor equal
totheInterest Barrier.
Theclosing level of the Indexis lessthan the Interest
Barrier.
First through EleventhReviewDates
Comparethe closinglevel of the Indexto the Interest Barrier oneachReview Date.
You will receive a Contingent Interest Payment onthe
applicable Interest Payment Date.
Proceedto the next ReviewDate.
No Contingent Interest Payment will be made with respect to
the applicable ReviewDate.
Proceedto the next ReviewDate.
Thenotes will be automaticallycalledon theapplicable Call Settlement Dateandyouwill
receive (a) $1,000 plus (b) the Contingent Interest Payment applicable tothat ReviewDate.
No further payments will be made on thenotes.
ReviewDates (Other than the Firstthrough Eleventh and Final ReviewDates)
Automatic Call
Theclosing level of the
Indexis greater than or
equal tothe Initial Value.
The closinglevel ofthe
Indexis lessthanthe
Initial Value.
Initial
Value You will receive a Contingent Interest
Payment on the applicable Interest
Payment Date.
Proceedto the next ReviewDate.
The closing level of the
Indexis greater thanor
equal totheInterest
Barrier.
No
Automatic
Call No Contingent Interest Payment will
bemade withrespecttothe
applicable ReviewDate.
Proceedto the next ReviewDate.
The level of the Indexis less
than the Interest Barrier.
Comparethe closinglevel of theIndexto theInitial Valueandthe Interest Barrier oneachReviewDate until thefinal Review
Dateor anyearlier automatic call.
PS-5| Structured Investments
Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest Payments per $1,000principal amount note over the term of the
notes based on the Contingent Interest Rate of 9.85% per annum, depending on how many Contingent Interest Payments are made
prior to automatic callor maturity.
Review Dates Preceding the
Final Review Date
You will receive (a)$1,000plus (b)the
Contingent Interest Payment,if any,
applicable to the final ReviewDate.
Thenotes arenot
automaticallycalled.
Proceedto maturity
Final ReviewDatePayment at Maturity
TheFinal Valueis greater than or equal tothe
Buffer Threshold.
You will receive:
$1,000 + [$1,000× (IndexReturn+
Buffer Amount)]
Under these circumstances, you will
lose some or most of your principal
amount at maturity.
TheFinal Valueis less than theBuffer
Threshold.
PS-6| Structured Investments
Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
Number of Contingent
Interest Payments
Total Contingent Interest
Payments
60
$492.5000
59
$484.2917
58
$476.0833
57
$467.8750
56
$459.6667
55
$451.4583
54
$443.2500
53
$435.0417
52
$426.8333
51
$418.6250
50
$410.4167
49
$402.2083
48
$394.0000
47
$385.7917
46
$377.5833
45
$369.3750
44
$361.1667
43
$352.9583
42
$344.7500
41
$336.5417
40
$328.3333
39
$320.1250
38
$311.9167
37
$303.7083
36
$295.5000
35
$287.2917
34
$279.0833
33
$270.8750
32
$262.6667
31
$254.4583
30
$246.2500
29
$238.0417
28
$229.8333
27
$221.6250
26
$213.4167
25
$205.2083
24
$197.0000
23
$188.7917
22
$180.5833
21
$172.3750
20
$164.1667
19
$155.9583
18
$147.7500
17
$139.5417
16
$131.3333
15
$123.1250
14
$114.9167
13
$106.7083
12
$98.5000
11
$90.2917
10
$82.0833
9
$73.8750
8
$65.6667
7
$57.4583
6
$49.2500
5
$41.0417
4
$32.8333
3
$24.6250
2
$16.4167
1
$8.2083
0
$0.0000
PS-7| Structured Investments
Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
Hypothetical Payout Examples
The followingexamplesillustratepayments on the notes linked to ahypothetical Index, assuming a range of performancesfor the
hypothetical Index on the Review Dates.In addition, the hypothetical payments set forth below assume the following:
•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 70.00 (equalto70.00% of thehypothetical Initial Value);
•a Buffer Amount of 30.00%;and
•a Contingent Interest Rate of 9.85% per annum.
The hypothetical Initial Value of 100.00 has been chosen forillustrative purposes only and doesnot represent the actual Initial Value.
The actual Initial Valueis the closinglevel of the Indexon the Pricing Date and is specifiedunder "Key Terms -Initial Value" in this
pricing supplement. For historical data regarding the actual closing levels of the Index, please see the historicalinformation set forth
under "Hypothetical Back-Tested Dataand Historical Information" in thispricing supplement.
Each hypothetical payment set forth below isfor illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of the notes.The numbers appearing in the following examples have been rounded for ease of analysis.
Example1 - Notes are automatically called on thetwelfth Review Date.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
105.00
$8.2083
Second Review Date
110.00
$8.2083
Third through Eleventh
Review Dates
Greater than Initial Value
$8.2083
Twelfth Review Date
120.00
$1,008.2083
Total Payment
$1,098.50 (9.85% return)
Because the closing level of the Index on the twelfth Review Date is greater than or equal to the Initial Value, the notes will be
automatically called for a cash payment, for each $1,000 principal amount note, of $1,008.2083 (or $1,000 plus the Contingent Interest
Payment applicable to the twelfth Review Date), payable on the applicable Call Settlement Date.The notes are not automatically
callable before the twelfth Review Date, even though the closing level of the Index on the first through eleventh Review Dates is greater
than the Initial Value. When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total
amount paid, for each $1,000 principal amount note, is$1,098.50. No further payments will be madeon the notes.
Example 2- Notes have NOT been automaticallycalledand theFinal Valueis greater than or equal to the Interest Barrier and
the Buffer Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
95.00
$8.2083
Second Review Date
85.00
$8.2083
Third through Fifty-Ninth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
90.00
$1,008.2083
Total Payment
$1,024.625 (2.4625% return)
Because the notes have not been automaticallycalled and the Final Value is greater than or equal to the Interest Barrier and the Buffer
Threshold, the payment at maturity, for each $1,000 principal amount note, willbe$1,008.2083 (or $1,000 plus the Contingent Interest
Payment applicable to the final Review Date).When added to the Contingent Interest Payments received with respect to the prior
Review Dates, the total amount paid, for each $1,000 principal amount note, is$1,024.625.
PS-8| Structured Investments
Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
Example 3- Notes have NOT been automaticallycalledand theFinal Value is less than the Interest Barrier but is greater than
or equal to the Buffer Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
95.00
$8.2083
Second Review Date
80.00
$8.2083
Third through Fifty-Ninth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
70.00
$1,000
Total Payment
$1,016.4167 (1.64167% return)
Because the notes have not been automaticallycalledand the Final Value is lessthan the Interest Barrier but is greater than or equal to
the Buffer Threshold, the payment at maturityfor each $1,000 principal amount note, will be $1,000.00.When added to the Contingent
Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is
$1,016.4167.
Example 4- Notes have NOT been automaticallycalledand theFinal Value is less than the Buffer Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
40.00
$0
Second Review Date
45.00
$0
Third through Fifty-Ninth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
40.00
$700.00
Total Payment
$700.00 (-30.00% return)
Because the notes havenot been automatically called, the Final Value is lessthan theBuffer Threshold and the Index Returnis -
60.00%, the payment at maturity will be$700.00 per $1,000 principal amount note, calculated asfollows:
$1,000 + [$1,000 × (-60.00%+ 30.00%)]= $700.00
The hypothetical returnsand hypothetical payments on thenotesshown above apply only if 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, thehypothetical returns and hypothetical payments shown above would
likelybelower.
Selected Risk Considerations
An investment in the notesinvolves significant risks. These risks are explained in more detail in the "Risk Factors"sections of the
accompanying prospectus supplement, product supplement and underlying supplementand in Annex A tothe accompanying
prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes do not guarantee any return of principal. If thenotes have not been automatically called and the Final Value isless than
the Buffer Threshold, you will lose1% of the principal amount of your notes for every1% that the Final Valueisless than the Initial
Valuebymore than 30.00%.Accordingly, under these circumstances, you will loseup to70.00% of your principal amountat
maturity.
•THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL -
If the notes have not been automatically called, we willmake a Contingent Interest Payment with respect to a Review Date only if
the closing 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 than the Interest Barrier, no ContingentInterest Payment will be made with respect to thatReview Date.
Accordingly, if theclosing level of the Indexon each ReviewDate is less than the Interest Barrier, you will not receive any interest
payments over the term of thenotes.
•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.As a result, the level of the Index will trail the value of an identically
constitutedsyntheticportfolio that is not subject to anysuch deduction.
PS-9| Structured Investments
Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
Thisdeduction will place a significant drag on the performance of the Index, potentially offsetting positive returns on the Index's
investment strategy, exacerbating negative returns of its investment strategy and causing the levelof the Index to declinesteadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of itsinvestment strategy is
sufficient to offset the negative effectsof thisdeduction, andthen only to the extent that the returnof its investment strategy is
greater than this deduction. As a result of this deduction, the level of the Indexmay decline even if the return of itsinvestment
strategy isotherwise positive.
The dailydeduction is one of the inputs our affiliates' internal pricingmodels use to value the derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimated value of the notes set forth on the cover of this pricing
supplement.The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes" in thispricing supplement.
•THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST -
Since the Amendment Effective Date, the performance of the Underlying Assethas been subject to a notional financing cost
deducted daily.The notional financing cost is intended to approximate the cost of maintaining a position in the QQQ Fund using
borrowedfunds at a rate of interest equal to the daily SOFR rateplusa fixed spread.Theactual cost of maintaining a position in
the QQQ Fund at any time may be less than the notional financing cost.Asa result of this deduction, the level of the Index will trail
the value of an identically constituted synthetic portfolio that is not subject to any such deduction.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amounts due on the notes.Any actual or potential
change in ouror JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined by the market for taking that credit
risk, is likely to adversely affect thevalue of the notes.If we and JPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to you under the notesand you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a financesubsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments under loans made by us to
JPMorgan Chase & Co. or under other intercompany agreements.As a result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in
respect of the notesas they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make
payments on the notes, you may have to seek payment under the related guarantee byJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligationsof JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED 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 besignificant.You will not participate in any appreciation of the Index.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notesare automaticallycalled, the termof the notes may be reduced to asshort asapproximatelyone yearandyou will not
receive any Contingent Interest Payments after the applicable Call Settlement Date.There is no guarantee that you would be able
to reinvest the proceeds froman investment in the notes at a comparable return and/or with a comparable interest rate fora similar
level of risk.Even incases where the notesare called before maturity, you are not entitled to any fees andcommissions described
on the front cover of this pricing supplement.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY
RIGHTS WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES.
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Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
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 -
Any research, opinions or recommendations could affect the market value of the notes.Investors should undertake their own
independent investigation of the meritsof investing in the notes, the Index and the componentsof the Index.
•LACK OF LIQUIDITY -
The notes will not be listed onany securities exchange. Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at whichJPMS is willing to buy the notes. You may notbe able to sellyour notes. Thenotes
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 affiliatesplay a varietyof roles in connection with the notes.In performing these duties, our and JPMorgan Chase &
Co.'seconomicinterests are potentially adverse to your interests as aninvestor in the notes.It ispossible that hedging or trading
activities of ours or our affiliates in connection with the notescould result in substantial returns for us or our affiliates while the
value of the notes declines.Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
An affiliate of ours currentlyhas a 10% equity interest in the Index Sponsor, with a right to appoint an employeeof JPMS, another
of our affiliates, asa member of the board of directors of the Index Sponsor. The Index Sponsor can implement policies, make
judgments or enact changes to the Index methodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculationor dissemination of the Index. Any of these actions could adversely
affect the value of the notes. The Index Sponsor has noobligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates and our respective employees areunder no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the roleof
an employee of JPMS asa member of the board of directors of theIndex Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policiesgoverning the composition and
calculation of the Index. Although judgments, policiesand determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for which JPMS was
responsible could have an impact,positive or negative, on the levelof the Index and thevalue of your notes. JPMS is underno
obligation to consider your interests as an investor inthe notes in its role indeveloping the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
•THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors.The original issue priceof the
notes exceeds theestimatedvalueof the notes because costs associatedwithselling, structuring and hedging the notesare
included in the original issue priceof the notes.These costsincludethe selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligationsunder the notesand theestimated cost of hedging
our obligations under the notes.See "TheEstimated Valueof the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"The Estimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate usedin the determination of the estimated value of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissued byJPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, amongother 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 notesin comparison to those costs for the conventional fixedincome
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
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Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
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 anypotential changes to that rate mayhavean adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The EstimatedValueof 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 theoriginal issue price of the notes will be partiallypaid back to you in
connection with any repurchases of your notes byJPMS in an amount that willdecline to zero over an initial predetermined period.
See"SecondaryMarket Prices of the Notes" in this pricingsupplement for additional information relating to this initial period.
Accordingly, the estimated value of your notesduring thisinitial period maybe lower than the value of the notes aspublished by
JPMS (and which may be shown on your customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondary market prices of the notes will likely belower than the original issue price of the notes because, amongother
things, secondary market prices take into account our internalsecondarymarket funding ratesfor structureddebt issuances and,
also, because secondary market prices may exclude sellingcommissions,projected hedging profits, if any, and estimated hedging
costs that are included in theoriginal issue price of the notes. As a result, the price, if any, at whichJPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the original issue price. Anysale by you prior to
the Maturity Datecould result in a substantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, aside from the selling commissions,projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealersmay publish a price for
the notes, which may also be reflected oncustomer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Valueand Secondary Market Prices of the Notes - Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to the Index
•THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS
NO OBLIGATION TO CONSIDER YOUR INTERESTS -
The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute the componentsof
the Index or make other methodologicalchanges that could affect thelevelof the Index. The Index Sponsor has no obligation to
consider your interests in calculating or revising the Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
No assurance can begiven that theinvestment strategyonwhichthe Index is based will be successfulor that the Indexwill
outperformany alternative strategy that might be employed with respect to the Underlying Asset.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY-
No assurance can begiven that theIndex willmaintain 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 may be
greater or less than the target volatility. On each weekly Index rebalance day, the Index's exposure to the Underlying Asset isset
equal to (a) the 35% impliedvolatility target dividedby(b) the one-week implied volatilityof the QQQ Fund, subject to amaximum
exposure of 500%. The Index uses the impliedvolatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, there isno guarantee that themethodology used by the Index to determine theimplied volatilityof the QQQFund
will be representative of the realizedvolatility of the QQQ Fund. The volatilityof the Underlying Asset on any day may change
quickly and unexpectedly and realizedvolatility maydiffer significantlyfromimplied volatility. In general, over time, the realized
volatilityof the QQQ Fundhas tended to be lower than its implied volatility; however, at any time that realized volatility may exceed
its implied volatility, particularly during periodsof market volatility. Accordingly, the actual annualized realized volatility of the Index
maybe greater than or less than the target volatility, which may adversely affect thelevelof theIndex and thevalue of the notes.
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Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
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•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE-
On a weeklyIndex rebalance day, the Index will employ leverage to increase the exposure of the Index to the Underlying Asset if
the impliedvolatility of the QQQ Fund is below 35%, subject to a maximum exposure of 500%. Under normal market conditions in
the past, the QQQ Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leverage in the past, except during periods of elevated volatility. When leverage is employed, any movementsin the prices of the
Underlying Asset will result in greater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage will magnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance of
the Index. Because the Index's leverage is adjusted only ona weekly basis, in situations where asignificant increase in volatility is
accompanied by a significant decline in the price of the Underlying Asset, the level of the Index may decline significantly before the
following Index rebalance daywhen the Index'sexposure to the Underlying Asset would be reduced. In addition, the notional
financing cost deducted dailywill be magnified by any leverage provided by the Index.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED-
On a weeklyIndex rebalance day, the Index's exposureto the Underlying Asset will beless than 100% when the implied volatility
of the QQQ Fund is above 35%. If the Index's exposure to the Underlying Asset is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gains due to appreciation of theUnderlying Asset on any such day. The 6.0% per annum deduction is
deducted daily, even when the Index is not fullyinvested.
•AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Some of the equity securities heldby the QQQ Fund are issued by non-U.S. companies. Investments insecurities linked to the
value of such non-U.S. equitysecurities involve risks associated with the home countries ofthe issuersof those non-U.S. equity
securities. The prices of securities issued by non-U.S. companies maybe affectedbypolitical, economic, financial and social
factors in the home countriesof those issuers, or global regions, includingchanges in government, economic and fiscalpolicies
and currency exchangelaws.
•THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
The QQQ Fund issubject to management risk, which is the risk that the investment strategies of the QQQ Fund's investment
adviser, the implementation ofwhich issubject to a number of constraints, maynot produce the intended results. These
constraintscould adverselyaffect themarket price of theshares of the QQQ Fund and, consequently, the value of the notes.
•THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE QQQ FUND'S UNDERLYING INDEX AS WELL AS
THE NET ASSET VALUE PER SHARE -
The QQQ Fund does not fullyreplicate its underlying index and may hold securities different fromthose included in its underlying
index. In addition, theperformance of the QQQ Fund will reflect additional transaction costs and fees that are not included in the
calculation of its underlying index. All of these factorsmay lead to a lack of correlation between the performance of the QQQ Fund
and its underlyingindex. In addition, corporate actions with respect to the equity securitiesunderlying the QQQ Fund (such as
mergers and spin-offs) mayimpact the variance between the performances of the QQQ Fund andits underlying index. Finally,
because theshares of the QQQ Fund are traded on a securities exchange and are subject to market supply and investor demand,
the market value of one shareof the QQQ Fund maydiffer from the net asset valueper share of the QQQ Fund.
During periodsof market volatility, securities underlying the QQQ Fund may be unavailable in thesecondary market, market
participants may be unable tocalculate accurately the net asset value per share of the QQQ Fund and the liquidity of theQQQ
Fund may be adversely affected. This kind of market volatility mayalso disrupt the abilityof market participants to create and
redeem shares of the QQQ Fund. Further, market volatilitymayadversely affect, sometimes materially, thepricesat which market
participants are willing to buyand sell shares of the QQQ Fund. As a result, under these circumstances, themarket value of
shares of the QQQ Fund mayvarysubstantially from the net asset value per share of the QQQ Fund. For all of the foregoing
reasons, the performance of the QQQ Fund may not correlate with the performance of its underlying index as well as thenet asset
value per share of the QQQ Fund, which couldmaterially and adversely affect the value ofthe notes in the secondary market
and/or reduce any payment on the notes.
•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS, AND THE HISTORICAL AND HYPOTHETICAL BACK-TESTED
PERFORMANCE OF THE INDEX ARE NOT INDICATIONS OFITS FUTURE PERFORMANCE -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in thispricing supplement is purely theoretical and does not represent the actual historical performance of the Indexand has not
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Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
been verified by an independent third party. Hypothetical back-tested performance measures have inherent limitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed with thebenefit of hindsight. Alternative modellingtechniquesmight producesignificantly different resultsand may prove
to be more appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations, andyou shouldcarefully consider these limitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance can be provided that the QQQ Fund is an appropriatesubstitutefor the FuturesContracts. This replacement may
adversely affect the performance of the Index and the value of the notes, as the QQQ Fund, subject to a notional financing cost,
mayperform worse, perhaps significantly worse, than the Futures Contracts. The Index lacks any operating history with the QQQ
Fund as the Underlying Asset prior to the Amendment Effective Date and may perform in unanticipated ways. Investors in the
notes should bear thisdifference in mind when evaluating the historical and hypothetical back-tested performanceshown in this
pricing supplement.
•OTHER KEY RISK:
oTHE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-listedand
other risks.
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Hypothetical Back-Tested Data and Historical Information
The following graph sets forththe hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January 4, 2019 through June 18, 2021, and the historical performanceof the Indexbased on the
weekly historicalclosing levels of the Index from June 25, 2021 throughOctober 25, 2024. The Index wasestablished onJune 22,
2021, as representedby the vertical linein the followinggraph. All data to the left of that vertical linereflect hypotheticalback-tested
performance of the Index. Alldata to the right of that vertical line reflect actual historical performance of the Index.The closing level of
the Index onOctober 28, 2024 was11,439.48. Weobtained the closing levels above and below from the BloombergProfessional®
service ("Bloomberg"), without independent verification.
The data for the hypothetical back-tested performance of the Index set forth in the following graphare 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,
and the Historical and Hypothetical Back-Tested Performance of the IndexAre Not Indications of Its Future Performance" above.
Thehypothetical back-tested and historical closing levels ofthe Indexshould not be takenas an indication of future performance, and
no assurance can be given asto theclosinglevel of theIndexon any Review Date.There can be no assurance that the performance
of the Index will result in the return of any of yourprincipalamountin excess of $300.00 per $1,000 principal amount note, subject to
the credit risks of JPMorgan Financialand JPMorgan Chase & Co., or the payment of anyinterest.
The hypothetical back-testedclosing levels of the Index have inherent limitationsand have not beenverified by an independent third
party. These hypothetical back-tested closing levelsare determinedbymeans of a retroactive application of a back-tested model
designed withthe benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guaranteeof future returns.No
representation is made that an investment in thenotes will or is likely to achieve returns similar to those shown.Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closing levels of the Index that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closinglevels of the Index set forth above.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. In determiningour reporting responsibilities we intend to treat (i) the notes for U.S. federal income taxpurposes as
prepaid forward contracts withassociated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income TaxConsequences-TaxConsequences to U.S. Holders- Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement. Based on the
advice of Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment,but that there are other
reasonable treatments that the IRS or a court may adopt, in which case the timing andcharacter of anyincome or loss on thenotes
could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal
income taxtreatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require
investors in these instrumentsto accrue income over the term of their investment. It also asks for comments ona number of related
topics, including the character of income or loss with respect to these instruments and the relevance of factors such as thenature of the
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underlying property to which the instruments are linked. While thenotice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of theseissues could materiallyaffect the
taxconsequences of an investment in the notes, possibly with retroactive effect. The discussions aboveand in the accompanying
product supplement do not address the consequences to taxpayerssubject tospecial tax accounting rules under Section 451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal income tax consequencesof an investment in the notes, including
possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders-Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least
if an applicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent,intend to)
withhold on any Contingent Interest Payment paid to a Non-U.S. Holder generallyat a rate of 30% or at a reduced rate specified by an
applicableincome tax treatyunder an "other income" or similar provision. We willnot be required to payany additional amounts with
respect to amounts withheld. In order toclaiman exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the
notes must complywith certification requirements to establish that it is not a U.S. personand iseligible for such an exemptionor
reduction under an applicabletax treaty. If you area Non-U.S. Holder, you shouldconsultyour tax adviser regarding the tax treatment
of thenotes, including thepossibility of obtaining a refund of any withholding tax and thecertification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalentspaid or deemedpaid to Non-U.S. Holders with respect to certain
financial instrumentslinked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations.Additionally, a recent IRS notice excludes from thescope of Section 871(m) instruments issued prior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could payU.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special 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 its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. Youshould consult your tax
adviser regarding the potential application of Section 871(m) to thenotes.
In the event of any withholding on the notes, we will not be required to payany additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
Theestimated value of the notes set forth on the cover of this pricing supplementisequal to the sum of the values of thefollowing
hypothetical components: (1) a fixed-income debt component withthe same maturity asthe notes, valued using the internal funding
ratedescribed below, and (2) the derivative or derivatives underlyingtheeconomic terms of the notes.The estimated value of the
notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if any exists) at
any time.The internal funding rate used inthe determination of the estimated valueof 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
maybebased on, among other things, ourand our affiliates'view of the funding value of the notes as well as the higherissuance,
operational and ongoing liability management costs of thenotesin comparison to those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximatethe prevailing market replacement fundingrate for the notes. The use of an internal
funding rate and anypotentialchanges to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additionalinformation, see"Selected Risk Considerations- Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes - The Estimated Value of the NotesIs Derived byReference 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 pricing modelsof our
affiliates.These models are dependent on inputssuch as the traded market prices of comparable derivative instrumentsand 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 future market 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 thenotes does not represent future values of the notes and may differ from others'estimates. Different pricing
modelsandassumptionscould provide valuations forthe notes that are greater than or less thanthe estimated value of the notes.In
addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect.On
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future dates, thevalue of the notes couldchange significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfromyou in secondary market transactions.
The estimated value of thenotesis lower than the originalissue price of the notes because costs associated withselling, structuring
and hedging the notes are includedin the original issue price of the notes. These costs include the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and theestimatedcost of hedging our obligations under the notes. Because hedging our
obligations entails riskand may be influenced by market forces beyond our control, this hedging may result in a profit that ismore or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under thenotes may be
allowed to other affiliatedor unaffiliated dealers, and weor one or more of our affiliates will retain any remaining hedging profits.See
"Selected Risk Considerations - Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes- The Estimated
Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes"in thispricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact anysecondarymarket 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 beimpactedbymany
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in the original issue priceof the notes will be partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period.These costs caninclude selling 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 length of anysuch initial period reflects thestructure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as
determined by our affiliates.See "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes - The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Thanthe Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricing supplement.
Supplemental Use of Proceeds
Thenotes are offered to meet investor demand for products that reflect the risk-returnprofile and market exposure provided by the
notes. See "How the Notes Work"and "Hypothetical Payout Examples" in this pricingsupplement for an illustration of the risk-return
profile of thenotes and "The MerQube US Tech+ Vol Advantage Index"in this pricingsupplement for a description of themarket
exposure provided by the notes.
The original issueprice of the notes is equal tothe estimated value of the notes plus the selling commissions paidtoJPMS 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 obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., whenthe
notes offered by this pricing supplement have beenissued by JPMorgan Financialpursuant to theindenture, the trustee and/or paying
agent has made, in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating
to the master globalnote that represents such notes (the "master note"), and such notes have been delivered against payment as
contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitutea
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicablebankruptcy,
insolvency and similar laws affectingcreditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing and the lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusions expressedaboveor (ii) any provision of the indenture that purportsto avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'s obligation under the related guarantee.
Thisopinion is given as of thedate hereof and is limited tothe laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject tocustomary assumptions about the
trustee's authorization, execution and deliveryof the indenture andits authentication of the master note and the validity, binding nature
and enforceabilityof the indenture with respect to the trustee, allas stated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. onFebruary 24,
2023.
PS-17| Structured Investments
Auto Callable ContingentInterest Notes Linkedto the MerQube US Tech+
Vol Advantage Index
Additional Terms Specific to the Notes
You should read thispricing supplement together with the accompanying prospectus, as supplemented by the accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement.This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all
other prior or contemporaneous oral statements as well as any other writtenmaterialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. You should carefullyconsider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying
prospectus supplement, the accompanying product supplement and the accompanying underlying supplement and in Annex A to the
accompanying prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to
consult your investment,legal, tax, accounting and other advisersbefore youinvest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by
reviewing our filings for the relevant date on the SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 5-II dated March 5, 2024:
•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.