JPMorgan Chase & Co.
10/29/2024 | Press release | Distributed by Public on 10/29/2024 13:33
Primary Offering Prospectus - Form 424B2
October25,2024 Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I datedApril 13, 2023, underlying supplement no. 5-II dated March 5, 2024,
the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum datedJune 3, 2024
JPMorganChase FinancialCompanyLLC
Structured Investments
$1,778,000
Auto Callable Yield Notes Linked to the MerQube US Tech+
Vol Advantage Indexdue October 30, 2029
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
•The notes are designed for investors who seek a higher interest rate than theyield on a conventional debt security with
the same maturity issuedby us. The notes will pay 6.45% per annum interest over the term of the notes, assuming no
automatic call, payable at a rate of 0.5375% per month.
•The notes will be automatically called if the closing level of the MerQube US Tech+ Vol Advantage Index, which we refer
to as theIndex, on anyReview Date (other than thefinal Review Date) is greater than or equal to the Initial Value.
•The earliest dateon which anautomatic call may be initiated isOctober 27, 2025.
•Investors should be willing to accept the risk of losing up to 85.00% of their principal and be willing to forgo dividend
payments, in exchange for Interest Payments.
•The Index is subject to a 6.0% per annum daily deduction, 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 IndexWill Include the Deduction of a Notional Financing Cost" in this
pricing supplement.
•The notes areunsecuredand unsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integral multiplesthereof
•The notes priced on October 25, 2024 and are expected to settle on or aboutOctober 30, 2024.
•CUSIP: 48135UZR4
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 the accompanying product supplement, "Risk Factors" beginning on page US-4 of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on pagePS-6 of this pricing supplement.
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 ofthis pricing supplement or the accompanying product supplement,
underlying supplement, prospectus supplement, prospectusandprospectusaddendum.Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds to Issuer
Per note
$1,000
$39
$961
Total
$1,778,000
$69,342
$1,708,658
(1)See "Supplemental Use of Proceeds" in this pricingsupplement for information about the components ofthe price to publicof the
notes.
(2)J.P. MorganSecurities LLC, which we refer toas JPMS, acting asagent for JPMorgan Financial, will pay all of the selling
commissions of $39.00 per $1,000principalamount note it receives from us to other affiliated orunaffiliated dealers. See "Planof
Distribution (Conflicts of Interest)" in the accompanying productsupplement.
The estimated value of the notes, when the terms of the noteswere set, was $907.90per $1,000 principal amount note.
See "The Estimated Value of the Notes" in this pricing supplement for additional information.
Thenotes 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
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase& Co.
Index: The MerQube US Tech+ Vol Advantage Index
(Bloomberg ticker: MQUSTVA). The levelof the Index reflects
a deductionof 6.0% per annum that accruesdaily, andthe
performance of the QQQ Fund issubject to a notional financing
cost that accrues daily.
InterestPayments:If thenotes have not been automatically
called, you will receive on each Interest Payment Datefor each
$1,000 principal amount note an Interest Payment equal to
$5.375 (equivalent toan Interest Rate of 6.45% per annum,
payable at a rate of 0.5375% per month).
InterestRate: 6.45% per annum, payable at a rate of 0.5375%
per month
Buffer Amount: 15.00%
Pricing Date: October 25, 2024
Original Issue Date (Settlement Date): On or about October
30, 2024
Review Dates*: October 27, 2025, January26, 2026, April 27,
2026, July27, 2026, October 26, 2026, January 25, 2027, April
26, 2027, July 26, 2027, October 25, 2027, January 25, 2028,
April 25, 2028, July 25, 2028,October 25, 2028, January 25,
2029, April 25, 2029, July 25,2029and October 25, 2029 (final
Review Date)
Interest Payment Dates*: November 29, 2024, December 31,
2024, January 30, 2025, February 28, 2025, March 28, 2025,
April 30, 2025, May 30, 2025, June 30, 2025, July 30, 2025,
August 28, 2025, September 30, 2025, October 30, 2025,
December 1, 2025, December 31, 2025, January 29, 2026,
March 2, 2026, March 30, 2026, April 30, 2026, May 29, 2026,
June 30, 2026, July 30, 2026, August 28, 2026, September 30,
2026, October 29, 2026, December 1, 2026, December 31,
2026, January 28, 2027, March 2, 2027, March 31, 2027, April
29, 2027, May 28, 2027, June 30, 2027, July 29, 2027, August
30, 2027, September 30, 2027, October 28, 2027, December 1,
2027, December 30, 2027, January 28, 2028, March 1, 2028,
March 30, 2028, April 28, 2028, May 31, 2028, June 29, 2028,
July 28, 2028, August 30, 2028, September 28, 2028, October
30, 2028, November 30, 2028, December 29, 2028, January30,
2029, March 1, 2029, March 29, 2029, April 30, 2029, May 31,
2029, June 28, 2029, July 30, 2029, August 30, 2029,
September 28, 2029 and the Maturity Date
Maturity Date*: October 30, 2029
Call Settlement Date*: If thenotes areautomatically called on
any Review Date (other than the final Review Date), the first
Interest Payment Date immediately following that Review Date
* Subject to postponement in theevent of amarket disruption event
and as described under "Supplemental Terms ofthe Notes-
Postponement of aDetermination Date - Notes Linked Solelyto
anIndex"in the accompanying underlying supplementand "General
Terms of Notes - Postponement of a Payment Date" in the
accompanyingproduct supplement
Automatic Call:
If theclosing level of the Index on any Review Date (other than
the final Review Date) isgreater than or equal tothe Initial
Value, the notes will be automatically called for acash payment,
for each $1,000 principal amount note, equal to (a) $1,000 plus
(b) the Interest Payment for the Interest Payment Date
occurring onthe applicable Call Settlement Date, payable on
that Call Settlement Date. No further payments willbe madeon
the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value isgreater than or equal to theInitial Value or less than
the Initial Value byup to the Buffer Amount, you will receive a
cash payment at maturity, for each $1,000 principal amount
note,equal to (a) $1,000 plus (b) theInterest Payment
applicableto the Maturity Date.
If the notes have not been automatically called and the Final
Value isless than the Initial Value by more thanthe Buffer
Amount, your payment at maturityper $1,000 principal amount
note, in addition to the Interest Payment applicable to the
Maturity Date, will be calculated as follows:
$1,000 + [$1,000 × (Index Return + Buffer Amount)]
If the notes have not been automatically called and the Final
Value isless than theInitial Value by more than the Buffer
Amount, you will lose some or most of your principalamount at
maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of theIndexon the Pricing Date,
which was11,450.63
Final Value: Theclosing level of the Index on the final Review
Date
PS-2| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
The MerQube US Tech+Vol Advantage Index
The MerQube US Tech+ Vol Advantage Index (the "Index") wasdeveloped by MerQube (the "Index Sponsor" and "Index Calculation
Agent"), incoordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the IndexCalculation
Agent. The Index was established on June22, 2021. An affiliateof ourscurrently has a 10% equityinterest in the Index Sponsor, 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 Index islinked (the "Underlying Asset")
has been an unfunded position in the QQQ Fund, calculated as the excess of the total return of the QQQ Fund over a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset wasan unfunded rollingposition 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 QQQTrustSM, 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 a levelof implied volatility, with
a maximum exposure to the Underlying Asset of 500% and a minimum exposure to the Underlying Asset of 0%. The Index is subject to
a 6.0% per annum dailydeduction, 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) the35% implied volatility target (the
"target volatility") divided by (b) the one-week implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. For
example, if the implied volatility of the QQQ Fund isequal to 17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%)and if the implied volatilityof the QQQ Fund isequal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index's exposureto the Underlying Asset will begreater 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 impliedvolatility of the QQQ Fund is above
35%. In general, the Index'starget volatility featureis expected to result in the volatility of the Index being more stable over time than if
no target volatility feature were employed. No assurance can be provided that thevolatilityof the Index will be stable atany time.The
Index usesthe implied volatility of the QQQ Fundas a proxy for therealized volatilityof the Underlying Asset.
The Index tracks the performanceof the QQQ Fund, with distributions, if any, notionally reinvested,lessthe daily deduction of a
notional financing cost. The notional financingcost is intended 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 collateralized by Treasurysecurities. The Index isan
"excess return" index and not a "total return" index because, as part of the calculation of the level of the Index, theperformance of the
QQQ Fund is reduced by the notional financingcost. The notional financing cost hasbeen deducted from the performance of the QQQ
Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notionalfinancing cost willoffset anyappreciation of 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, theInterest Rate,the Buffer Amount and the other economic
terms available on thenotes are more favorable to investorsthan the terms that would be available on a hypothetical note issued byus
linked to an identical index without a daily deduction. However, there can be no assurance that any improvement in the terms of the
notes derived from the daily deduction will offset the negative effect of the daily deduction on the performance of the Index. The return
on the notes may be lower than the return on a hypotheticalnoteissued byus linked to an identical index without a dailydeduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates'internal pricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimated value of the notes set forth on thecover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivativesunderlying the economic termsof the notes. See "The Estimated Value of the Notes"
and "Selected Risk Considerations-Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with theuseof significant leverage. The notional financing cost deducted daily will
be magnified by any leverage provided by the Index. In addition, the Index may be significantly uninvested on any given day,
and, in that case, will realize only a portion of any gainsdue to appreciation of the Underlying Asset on that day. The index
deduction isdeducted daily at a rateof 6.0% per annum, even when the Index is not fully invested.
PS-3| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
No assurancecan be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successfulor willoutperform 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 Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
Supplemental Terms of the Notes
Any valuesof the Index, and any values derived therefrom, includedin this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of thispricingsupplement and thecorrespondingterms of the notes. Notwithstanding
anything to the contraryin theindenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payments in Connection with Review Dates Preceding the Final Review Date
Payment at MaturityIf the Notes Have Not Been Automatically Called
Thenotes will beautomaticallycalled on the applicable Call Settlement Date and you will
receive (a)$1,000 plus (b) the Interest Payment fortheInterest Payment Dateoccurringon
that Call Settlement Date.
No further payments will be madeonthenotes.
Comparethe closinglevel of theIndexto the Initial Valueoneach ReviewDate until thefinal ReviewDate oranyearlier automatic
call.
ReviewDates Preceding the Final ReviewDate
Automatic Call
Theclosing level of the
Indexis greater thanor
equal to theInitial Value.
Theclosing level of the
Indexis less thanthe
Initial Value.
Initial
Value
Thenotes will not beautomaticallycalled. You will receive an Interest Payment on the
immediatelyfollowing Interest Payment Date.
Proceedto thenext ReviewDate.
No Automatic Call
Review DatesPrecedingthe
Final Review Date
Youwill receive (a)$1,000 plus (b) the
Interest Payment applicable to the
MaturityDate.
Thenotes are not
automaticallycalled.
Proceedto maturity
Final ReviewDatePayment at Maturity
TheFinal Value is greaterthanor equal tothe
Initial Valueorless thanthe Inital Value byup to
theBufferAmount.
Youwill receive, in additionto the
Interest Payment applicable to the
MaturityDate:
$1,000 + [$1,000× (IndexReturn +
Buffer Amount)]
Under thesecircumstances, you will
losesomeor most of yourprincipal
amountat maturity.
TheFinal Value is less thantheInital Valueby
more than the Buffer Amount.
PS-5| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
Total Interest Payments
The table below illustrates the totalInterest Payments per $1,000 principal amount note over the termof the notesbased on the Interest
Rate of 6.45% per annum, depending on how many Interest Payments aremadeprior to automatic callor maturity. If the notes have
not been automatically called, the total Interest Payments per $1,000 principal amount note over the term of the notes willbe equal to
the maximum amount shown in the table below.
Number of Interest
Payments
Total Interest Payments
60
$322.500
57
$306.375
54
$290.250
51
$274.125
48
$258.000
45
$241.875
42
$225.750
39
$209.625
36
$193.500
33
$177.375
30
$161.250
27
$145.125
24
$129.000
21
$112.875
18
$96.750
15
$80.625
12
$64.500
Hypothetical Payout Examples
The following examples illustratepayments on the notes linked to ahypothetical Index, assuming a range of performances for the
hypothetical Index on the Review Dates.The hypothetical payments set forth below assumethe following:
•an Initial Value of 100.00;
•a Buffer Amount of 15.00%; and
•an Interest Rate of 6.45% per annum.
Thehypothetical Initial Value of 100.00 hasbeen chosen for illustrativepurposes only and doesnot represent theactual Initial Value.
The actual Initial Valueis the closinglevel of the Indexon the Pricing Date and is specified under "Key Terms- InitialValue" in this
pricing supplement. For historical data regarding the actual closinglevels of the Index, please see the historicalinformation set forth
under "Hypothetical Back-Tested Data and Historical Information" in thispricing supplement.
Each hypothetical payment set forthbelow 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.
Example 1- Notes are automatically called on the first Review Date.
Date
Closing Level
First Review Date
105.00
Notes are automatically called
Total Payment
$1,064.50 (6.45% return)
Because the closing level of the Index on the first Review Date isgreater than or equal to the Initial Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,005.375 (or $1,000 plus the Interest Payment
applicableto the corresponding Interest Payment Date), payable on the applicable Call Settlement Date. When added tothe Interest
Payments received with respect tothe prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is
$1,064.50. No further payments will be made on the notes.
Example2 - Notes have NOT been automatically called and the Final Value is greater than or equal to the InitialValue or less
than theInitial Value by up to the Buffer Amount.
PS-6| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
Date
Closing Level
First Review Date
95.00
Notes NOT automaticallycalled
Second Review Date
90.00
Notes NOT automaticallycalled
Third through Sixteenth
Review Dates
Less than Initial Value
Notes NOT automatically called
Final Review Date
85.00
Final Value is less than the InitialValueby up to the Buffer Amount
Total Payment
$1,322.50(32.25% return)
Because the notes havenot been automaticallycalled and the Final Valueis greater thanor equal to the Initial Value or lessthan the
InitialValueby up to the Buffer Amount, the payment at maturity, for each $1,000 principal amount note, will be $1,005.375 (or $1,000
plus the Interest Payment applicable to the Maturity Date).When added to the Interest Payments received with respect to the prior
Interest PaymentDates, the total amount paid, for each $1,000 principal amount note, is $1,322.50.
Example 3- Notes have NOT been automatically called and the Final Value is less than theInitial Value bymore than the
Buffer Amount.
Date
Closing Level
First Review Date
80.00
Notes NOT automatically called
Second Review Date
70.00
Notes NOT automatically called
Third through Sixteenth
Review Dates
Less than Initial Value
Notes NOT automatically called
Final Review Date
40.00
Final Value is less than the Initial Value by more than the Buffer
Amount
Total Payment
$872.50 (-12.75% return)
Because the notes havenot been automaticallycalled, theFinal Value is lessthan the Initial Value by more than the Buffer Amount and
the Index Return is -60.00%, the payment at maturity will be $555.375per $1,000 principalamount note, calculated as follows:
$1,000 + [$1,000 × (-60.00% + 15.00%)] + $5.375= $555.375
When added tothe Interest Payments received with respect to theprior Interest Payment Dates, the total amount paid, for each $1,000
principal amount note, is $872.50.
The hypothetical returnsand hypothetical payments on the notesshown above applyonly if you hold thenotes for their entireterm
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would be associated with any sale in the
secondary market.If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notesinvolvessignificant risks.These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement,product supplement and underlying supplementand in Annex A to theaccompanying
prospectus addendum.
Risks Relating to the NotesGenerally
•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 is less than
the Initial Value bymorethan 15.00%, you will lose 1%of the principal amount of your notes for every1% that the FinalValue is
less than the Initial Value bymore than 15.00%. Accordingly, under thesecircumstances, you will loseup to 85.00% of your
principal amount at maturity.
•THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction.As a result, the level of the Index will trail the value of an identically
constitutedsynthetic portfolio that is not subject toanysuch deduction.
Thisdeduction will place a significant drag on the performance of the Index, potentially offsetting positive returns on the Index's
investment strategy, exacerbating negative returnsof its investment strategy and causing the levelof the Index to declinesteadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of itsinvestment strategyis
sufficient to offset the negative effectsof thisdeduction, andthen only to the extent that the returnof its investment strategy is
PS-7| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
greater than this deduction. As a result of thisdeduction, the level of the Indexmay decline even if the return of its investment
strategy isotherwise positive.
The daily deduction is one of the inputs our affiliates' internal pricingmodels use to 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 SecondaryMarket Prices of
the Notes" in thispricing supplement.
•THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST -
Since the Amendment Effective Date, theperformance of the Underlying Asset has been subject toa 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 equalto the daily SOFR rate plusa fixed spread.The actualcost of maintaining aposition in
the QQQ Fund at any time may beless thanthe notional financing cost.As a 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 andJPMorgan Chase & Co.'s ability to pay all amountsdue on the notes.Any actual or potential
change in ouror JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined by the market for taking that credit
risk, is likely to adversely affect thevalue of the notes.If weandJPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to you under the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a financesubsidiary of JPMorgan Chase & Co., we have no independent operations beyond theissuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capitalcontribution fromJPMorgan Chase &
Co., substantially allof our assets relate to obligations of JPMorgan Chase & Co. tomakepayments 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 key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expectedto have sufficient resources to meet our obligations in
respect of the notes as they come due. If JPMorgan Chase& Co. does not make payments to us and we are unable to make
payments on the notes, you may have to seek payment under the related guaranteeby JPMorgan 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 THE INTEREST PAYMENTS PAID OVER
THE TERM OF THE NOTES,
regardless of any appreciationof the Index, which may besignificant.You will not participate in any appreciationof the Index.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notesare automatically called, the termof the notes may be reduced to asshort as approximately one yearand you will not
receive any Interest Payments after the applicable Call Settlement Date. There is noguarantee that you would be able to reinvest
the proceedsfrom an investment in the notesat acomparable return and/or with a comparableinterest ratefor a similar level of
risk. Even in cases where the notes are called beforematurity, you are not entitled to any feesand commissions described on the
front cover of this pricing supplement.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY
RIGHTS WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES.
•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.
PS-8| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
•LACK OF LIQUIDITY -
The notes will not be listedon anysecurities 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 sell your notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should beable and willing to hold your notes to maturity.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliates play avariety of roles inconnection with the notes.In performing these duties, our and JPMorgan Chase &
Co.'seconomic interests are potentially adverse to your interests as an investor in thenotes.It ispossible that hedging or trading
activities of ours or ouraffiliates in connection with thenotescould 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 accompanyingproduct
supplement.
An affiliate of ours currentlyhas a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another
of our affiliates, as a member of the board of directors of the Index Sponsor. The Index 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 no obligation toconsider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates andour respective employees are under no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the roleof
an employee of JPMS as a member of the board of directorsof the Index Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for whichJPMS was
responsible could have an impact, positive or negative, on the levelof the Index and the value of your notes. JPMS is underno
obligation to consider your interests as aninvestor inthe notes in its role in developing the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
•THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of thenotes is only an estimate determined by reference to several factors.The original issue price of the
notes exceedsthe estimatedvalueof the notes because costs associated with selling, structuring and hedging the notes are
included in theoriginal issue price of 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 notes and the estimated cost of hedging
our obligations under the notes.See"The Estimated Valueof the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"The Estimated Value of the Notes"in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate usedin the determinationof the estimated value of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any difference may
be based on, among other things, our and our affiliates' view of the funding value of the notes as well as the higherissuance,
operational and ongoingliability management costs of the notes in comparisonto those costs for the conventional fixedincome
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 rateand anypotentialchanges to that ratemayhavean adverse effect on the termsof the notes and any
secondary market prices of the notes. See "TheEstimated Value of the Notes" in thispricing supplement.
PS-9| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the noteswill be partiallypaid back toyou in
connection with any repurchases of your notes byJPMS in an amount that will decline 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 may be lower than the value of the notesas published 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 willlikely be lower than the original issue price of the notes because, among other
things, secondary market prices take into account our internal secondarymarket funding ratesfor structured debt issuances and,
also, becausesecondarymarket prices may exclude sellingcommissions,projected hedging profits, if any, and estimated hedging
costs that are included inthe 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 secondarymarket 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 the selling commissions,projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendorsand/or third party broker-dealersmay publish a price for
the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors -
Risks Relating to the Estimated Value and SecondaryMarket 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
•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 methodological changes that could affect thelevel of the Index. The Index Sponsor has no obligation to
consider your interests incalculating or revising the Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
No assurancecan be given that the investment strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed with respect to the Underlying Asset.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY-
No assurancecan be given that the Index willmaintain an annualized realized volatility that approximates itstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realized volatility of the Index maybe
greater or less than the target volatility. On each weekly Index rebalance day, the Index's exposure to the Underlying Asset is set
equal to (a) the 35% implied volatility target dividedby(b) the one-weekimplied volatilityof the QQQ Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, thereis no guarantee that themethodology used by the Index to determine the implied volatility of the QQQ Fund
will be representative of the realized volatility of the QQQ Fund. The volatilityof the Underlying Asset on any daymay change
quickly and unexpectedly andrealizedvolatility may differ 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 volatilitymay exceed
its implied volatility, particularly duringperiods of market volatility. Accordingly, the actual annualized realized volatility of the Index
maybe greater than or less than the target volatility, which may adversely affect the level of the Index and thevalue of the notes.
•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE-
On a weeklyIndex rebalance day, the Index will employ leverage to increase the exposure of the Index to the UnderlyingAsset if
the impliedvolatility of the QQQ Fund is below 35%, subject to amaximum exposure of 500%. Under normal market conditionsin
the past, the QQQ Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
PS-10| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
leverage in the past, except during periods of elevatedvolatility. When leverage is employed, any movementsin the prices of the
Underlying Asset will result in greater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage willmagnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, insituations where a significant increase in volatility is
accompanied by a significant declinein the price of the Underlying Asset, the level of the Index may declinesignificantly before the
following Index rebalance day when the Index'sexposure to the Underlying Asset would be reduced. In addition, the notional
financing cost deducted daily will be magnified by any leverage provided by the Index.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED-
On a weeklyIndex rebalance day, the Index's exposureto the Underlying Asset will be less than 100% when the implied volatility
of the QQQ Fund is above 35%. If the Index's exposure to the Underlying Asset is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Index may be significantly uninvested on any given day, and will
realize only a portion of any gains due to appreciationof the Underlying Asset on anysuch day. The6.0% per annum deductionis
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 held by the QQQ Fund are issued by non-U.S. companies.Investments insecurities linked to the
value of such non-U.S. equitysecuritiesinvolve risks associated with the homecountries ofthe issuers of those non-U.S. equity
securities.The prices of securities issued by non-U.S. companies maybe affected by political, economic, financial and social
factors in the home countries of thoseissuers, or global regions, including changes in government, economicand fiscalpolicies
and currency exchange laws.
•THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
The QQQ Fund issubject to management risk, which is the risk that the investment strategies of the QQQ Fund's investment
adviser, theimplementation ofwhichissubject to a number of constraints, maynot produce the intended results.These
constraintscould adversely affect the market price of the shares of the QQQ Fund and, consequently, the value of the notes.
•THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE QQQ FUND'S UNDERLYING INDEX AS WELL AS
THE NET ASSET VALUE PER SHARE -
The QQQ Fund does not fullyreplicate its underlying index and may hold securities different fromthose included in its underlying
index.In addition, the performance of the QQQ Fund will reflect additional transaction costs and fees that are not includedin the
calculation of its underlying index.All of these factors may lead toa lack of correlation between the performance of the QQQ Fund
and its underlying index.In addition, corporate actions with respect to the equity securities underlying the QQQFund (such as
mergers and spin-offs) mayimpact the variance between the performances of the QQQ Fund and its underlying index.Finally,
because theshares of the QQQ Fund are traded on asecuritiesexchange and are subject to market supply and investor demand,
the market value of one share of the QQQ Fund maydiffer from the net asset value per share of the QQQ Fund.
During periodsof market volatility, securities underlying the QQQ Fund may be unavailable in thesecondarymarket, market
participants may be unable tocalculate accuratelythenet asset value per share of the QQQ Fund and the liquidity of the QQQ
Fund may be adversely affected.This kind of market volatility may also disrupt the abilityof market participants to create and
redeem shares of the QQQ Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market
participants are willing to buy andsell shares of the QQQ Fund. As a result, under these circumstances, themarket value of shares
of the QQQ Fund mayvary substantially from the net asset value per share of the QQQ Fund. For all of the foregoing reasons, the
performance of the QQQ Fund may not correlate with the performance of itsunderlying index as well asthe net asset value per
share of the QQQ Fund, which could materially and adversely affect the value of the notesin thesecondary 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 OF ITS FUTURE PERFORMANCE -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Data and Historical Information"
in thispricingsupplement is purely theoretical and doesnot represent the actual historical performance of the Indexandhas not
been verified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested modelthat has been
designed with thebenefit of hindsight. Alternative modellingtechniques might producesignificantly different resultsand may prove
to be more appropriate. Past performance, andespecially hypothetical back-tested performance, is not indicative of future results.
PS-11| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
Thistype of information has inherent limitations, and you should carefully consider theselimitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance can be provided that the QQQ Fund is an appropriatesubstitute for the Futures Contracts. 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 evaluatingthe 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-listed
and other risks.
PS-12| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forththe hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January 4, 2019 through June 18, 2021, and the historical performanceof the Indexbased on the
weekly historical closing levels of the Index fromJune 25, 2021 through October 25, 2024. The Index wasestablished on June 22,
2021, as representedby the vertical linein the followinggraph. All data to the left of that vertical linereflect hypothetical back-tested
performance of the Index. Alldata to the right of that vertical line reflect actual historical performance of the Index. The closing level of
the Index on October25, 2024 was11,450.63. Weobtained the closing levels above and below from the Bloomberg Professional®
service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performanceof the Index set forth in the following graphare purely theoretical and do not
represent the actual historical performance of the Index. See "Selected Risk Considerations- Risks Relating to the Index-
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations,
and the Historical and Hypothetical Back-Tested Performance of the Index Are Not Indications of Its Future Performance" above.
Thehypothetical back-tested and historical closing levels ofthe Indexshould not be taken as an indication of future performance, and
no assurance can be given asto the closing level of the Indexon any Review Date.There can be no assurance that the performance
of the Index will result in the return of any of yourprincipalamount in excess of $150.00 per $1,000 principal amount note, subject to
the credit risks of JPMorgan Financialand JPMorgan Chase & Co.
The hypothetical back-testedclosinglevels of the Indexhave inherent limitationsand havenot been verified by an independent third
party. These hypotheticalback-tested closing levels are determinedby means of a retroactive application of a back-tested model
designed withthe benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guaranteeof future returns.No
representation is made that an investment inthe notes will or is likely to achieve returns similar to thoseshown.Alternative modeling
techniquesor assumptions would produce different hypotheticalback-tested closinglevels of the Index that might prove to be more
appropriate and that might differ significantly from the hypothetical back-tested closing levelsof the Index set forth above.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal IncomeTax Consequences" in the accompanying product
supplement no. 4-I. Based onthe advice of Davis Polk & Wardwell LLP, our special tax counsel, and oncurrent market conditions, in
determining our reporting responsibilities we intend to treat the notesfor U.S. federal income tax purposes as unitseach comprising: (x)
a cash-settled Put Option written by you that is terminated if an automatic calloccurs and that, if not terminated, incircumstances
where the payment due at maturityisless than $1,000 (excluding accrued but unpaid interest), requires you to payus an amount equal
to that difference and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your potential obligation under the Put Option,
as more fully described in "Material U.S. Federal Income Tax Consequences- Tax Consequences to U.S. Holders- Notes Treated
as Units Each Comprising a Put Option and a Deposit" in the accompanying product supplement, andin particular in the subsection
thereof entitled "-Notes with a Term of More than One Year." By purchasing thenotes, you agree (in the absence of an
administrativedetermination or judicial ruling to the contrary) to follow this treatment and the allocation described in the following
PS-13| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
paragraph. However, there are other reasonable treatmentsthat the IRS or a court may adopt, in which case the timing and character
of any income or losson the notes could be materially and adversely affected. In addition,in 2007 Treasuryand the IRS releaseda
notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The
notice focuses on a number of issues, the most relevant of which for investors in the notesare the character of income orloss
(including whether the Put Premium might be currently included as ordinary income) and the degree, if any, to which income realized by
non-U.S. investors should be subject to withholding tax. While it is not clear whether the notes would be viewed assimilar to the typical
prepaid forward contract described in the notice, it is possible that anyTreasury regulationsor other guidance promulgatedafter
consideration of these issues could materially and adversely affect the tax consequencesof an investment in the notes, possibly with
retroactive effect.
In determining our reporting responsibilities, we intend to treat a portion of each Interest Payment equal to approximately4.97% per
annum times the amount of the Deposit times the number ofdays in the applicable perioddivided by 365 as interest on the Deposit (so
that the amount allocated as interest on the Deposit willvary from Interest Payment to Interest Payment depending onthe number of
days in theapplicable period) and the remainder of each Interest Payment as Put Premium.Assuming that the treatment of the notes
as units each comprising a Put Optionand a Deposit is respected, amounts treated as interest on the Deposit will be taxed asordinary
income, while the Put Premium will not be taken into account prior tosale or settlement, including a settlement following an automatic
call.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial instrumentslinked toU.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthescope of Section 871(m) instruments issuedprior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made byus, our special taxcounselisof 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 Section871(m) to the notes.
The discussionsabove andin the accompanying product supplement do not address the consequences to taxpayerssubject to special
tax accounting rules under Section 451(b) of the Code.You should consult your tax adviser regarding all aspectsof the U.S. federal
income taxconsequences of an investment in the notes, including possible alternative treatments and the issuespresented bythe 2007
notice. Purchasers who are not initial purchasers of notesat the issue price should also consult their tax advisers with respect tothe
taxconsequences of an investment in the notes, including possiblealternative treatments, as well as theallocation of the purchase
price of the notes between the Deposit and the Put Option.
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 the following
hypothetical components: (1) a fixed-incomedebt component with the same maturity asthe notes, valued usingthe internal funding
ratedescribed below, and (2) the derivative or derivatives underlyingthe economic terms of the notes.The estimated value of the
notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if anyexists) at
any time.The internal funding rate used inthe determination of the estimated valueof the notesmay differ from the market-implied
funding rate for vanilla fixed income instruments of asimilar maturityissued by JPMorgan Chase & Co. or itsaffiliates. Any difference
maybe based on, among other things, ourand our affiliates'view of the funding value of thenotes as well as the higherissuance,
operational and ongoingliability management costs of thenotes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximate theprevailing market replacement funding rate for the notes. The use of an internal
funding rate and anypotential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see "Selected Risk Considerations- Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes- The Estimated Value of the NotesIs Derived by Reference to an InternalFunding Rate" in this
pricing supplement.
The value of the derivativeor derivatives underlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates.These modelsare dependent on inputssuch as the traded market prices of comparable derivative instrumentsand on
various other inputs, some of which aremarket-observable, and whichcan includevolatility, dividend rates, interest rates and other
factors, as well as assumptions about futuremarket events and/or environments.Accordingly, the estimated value of thenotes is
PS-14| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
determined when the termsof the notes areset basedon market conditions and other relevant factors and assumptions existing at that
time.
Theestimated value of thenotesdoesnot represent future values of the notes and may differ from others' estimates. Different pricing
modelsandassumptionscould provide valuations forthe notes that are greater than or less than the estimated value of the notes.In
addition, market conditions and otherrelevant factors in the futuremay change, and any assumptionsmay prove to be incorrect.On
future dates, the value of the notes could changesignificantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfromyou in secondary market transactions.
The estimated value of thenotesis lower than the originalissue priceof the notesbecause costs associated withselling,structuring
and hedging the notes are included in the originalissue price of the notes. These costsinclude the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers,the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our
obligations entails riskandmay be influenced by market forces beyond our control, thishedging may result in a profit that is more or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedgingour obligations under the notes may be
allowed to other affiliated or 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 Secondary Market Prices of the Notes -The Estimated
Value of the NotesIs 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 any secondarymarket prices of the notes, see "Risk Factors - Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes-Secondary market prices of the notes will beimpactedby many
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in theoriginal issue price of the notes willbe partially paid back to you inconnection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initialpredetermined period.These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs andour internal secondary market funding rates
for structured debt issuances.This initial predeterminedtime period is intended to be the shorter of six months and one-half of the
stated term of the notes.Thelengthof anysuch initial period reflects thestructure of thenotes, whether our affiliatesexpect toearna
profit inconnection with our hedging activities, the estimated costs 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 pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes.See "How the Notes Work"and "Hypothetical Payout Examples" in this pricing supplement for an illustration of the risk-return
profile of thenotes and "TheMerQube US Tech+ Vol Advantage Index"in this pricingsupplementfor a description of the market
exposure provided by the notes.
The originalissue price of the notes is equal to the estimated value of the notes plus the selling commissions paidto JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize forassuming 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 specialproducts counsel to JPMorgan Financial and JPMorgan Chase & Co., whenthe
notes offeredby this pricing supplement have beenissued by JPMorganFinancialpursuant to the indenture, 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 global note that represents such notes (the "master note"), and suchnotes have beendelivered against payment as
contemplated herein, suchnotes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicablebankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing andthe lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (ii) any provision of the indenture that purportsto avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'sobligationunder the related guarantee.
Thisopinion is given as of the date hereof and is limited to the laws of the State of New York, the General CorporationLaw of the State
PS-15| Structured Investments
Auto Callable Yield Notes Linkedto the MerQube US Tech+Vol Advantage
Index
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinionis subject tocustomary assumptions about the
trustee's authorization, execution and deliveryof the indenture and its authentication of the master note and the validity, binding nature
and enforceability of the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filed asan exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the accompanying prospectus, assupplemented bythe accompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricingsupplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, sample structures, fact sheets, brochures or other educational materials of
ours. You shouldcarefullyconsider, among other things, the matters set forth in the "RiskFactors" sections of the accompanying
prospectussupplement, the accompanying product supplement and the accompanying underlyingsupplement and in Annex A to the
accompanying prospectus addendum, as the notesinvolve risks not associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documentson the SEC website at www.sec.gov asfollows (or if such addresshaschanged, by reviewingour
filings for the relevant dateon 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.