JPMorgan Chase & Co.
11/01/2024 | Press release | Distributed by Public on 11/01/2024 13:11
Primary Offering Prospectus - Form 424B2
October 30, 2024 Registration Statement Nos. 333-270004and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 3-I dated April 13, 2023, underlying supplement no. 1-I datedApril 13, 2023,
the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024
JPMorgan Chase Financial Company LLC
Structured Investments
$370,000
Notes Linked to the Least Performing of the S&P 500® Index,
the Dow Jones Industrial Average®and the Russell 2000®
Indexdue November 2, 2029
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
•The notes are designed for investors who seek exposure to any appreciation of the least performing of the S&P 500®
Index, the Dow Jones Industrial Average® and the Russell 2000® Index, which we refer to as the Indices, over the term of
the notes.
•Investors should be willing to forgo interest and dividend payments, while seeking full repayment of principalat maturity.
•The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed byJPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorganFinancial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
•Payments on the notes are not linked to a basket composed of the Indices.Payments on the notes are linked to the
performance of each of the Indices individually, as described below.
•Minimum denominations of $1,000 and integral multiples thereof
•The notes priced on October 30, 2024 and are expected to settle on or about November 4, 2024.
•CUSIP: 48135UBU3
Investing in the notes involves a number of risks.See "Risk Factors" beginning on pageS-2 of the accompanying
prospectus supplement, Annex A to the accompanying prospectus addendum, "Risk Factors"beginning on page PS-12
of the accompanying product supplement and "Selected Risk Considerations" beginning on page PS-3 of this pricing
supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved
of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement,
underlying supplement, prospectus supplement, prospectus and prospectus addendum.Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$23.50
$976.50
Total
$370,000
$8,695
$361,305
(1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the
notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling
commissions of $23.50 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers.See "Plan of
Distribution (Conflicts of Interest)"in the accompanying product supplement.
The estimated value of the notes, when the terms of the notes were set, was $939.80 per $1,000 principal amount note.
See "The Estimated Value of the Notes"in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency
and are not obligations of, or guaranteed by, a bank.
PS-1 | Structured Investments
Notes Linked to the Least Performing of the S&P 500® Index, the Dow
Jones Industrial Average® and the Russell 2000®Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices:The S&P 500® Index (Bloomberg ticker: SPX), the
Dow Jones Industrial Average® (Bloomberg ticker: INDU) and
the Russell 2000® Index (Bloomberg ticker: RTY)
Participation Rate:100.00%
Pricing Date: October 30, 2024
Original Issue Date (Settlement Date): On or about November
4, 2024
Observation Date*: October 30, 2029
Maturity Date*: November 2, 2029
* Subject to postponement in the event of a market disruption event
and as described under "General Terms of Notes - Postponement
of a Determination Date -Notes Linked to Multiple Underlyings"
and "General Terms of Notes- Postponement of a Payment Date"
in the accompanying product supplement
Payment at Maturity:
At maturity, you will receive a cash payment, for each $1,000
principal amount note, of $1,000 plus the Additional Amount,
which may be zero.
You are entitled to repayment of principal in full at maturity,
subject to the credit risks of JPMorgan Financialand JPMorgan
Chase & Co.
Additional Amount:
The Additional Amount payable at maturity per $1,000 principal
amount note will equal:
$1,000 × Least Performing Index Return × Participation Rate,
provided that the Additional Amount will not be less than zero.
Least Performing Index: TheIndexwith the Least Performing
Index Return
Least Performing Index Return: The lowestof the Index
Returns of the Indices
Index Return:
With respect to each Index,
(Final Value - Initial Value)
Initial Value
Initial Value:With respect to each Index, the closing level of
that Index on the Pricing Date, which was 5,813.67 for the S&P
500® Index, 42,141.54 for the Dow Jones Industrial Average®
and 2,233.036 for the Russell 2000®Index
Final Value:With respect to each Index, the closing level of
that Index on the Observation Date
PS-2 | Structured Investments
Notes Linked to the Least Performing of the S&P 500® Index, the Dow
Jones Industrial Average® and the Russell 2000®Index
Supplemental Terms of the Notes
Any values of the Indices, and any values derived therefrom, included in this pricing supplement may becorrected, in the event of
manifest error or inconsistency, by amendment of this pricing supplement and the 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 any other party.
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical payment at maturity on the notes linked to threehypothetical Indices. The
hypothetical payments set forth below assume the following:
•an Initial Value for the Least Performing Index of 100.00; and
•a Participation Rate of 100.00%.
The hypotheticalInitial Value of the Least Performing Index of 100.00 has been chosen for illustrative purposes only and does not
represent the actual Initial Value of any Index. The actual Initial Value of each Index is the closing level of that Index on the Pricing
Date and is specified under "Key Terms -Initial Value" in this pricing supplement. For historical data regarding the actual closing
levels of each Index, please see the historical information set forth under "The Indices" in this pricing supplement.
Each hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the actual payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of
analysis.
Final Value of the
Least Performing
Index
Least Performing Index
Return
Additional Amount
Payment at Maturity
165.00
65.00%
$650.00
$1,650.00
150.00
50.00%
$500.00
$1,500.00
140.00
40.00%
$400.00
$1,400.00
130.00
30.00%
$300.00
$1,300.00
120.00
20.00%
$200.00
$1,200.00
110.00
10.00%
$100.00
$1,100.00
105.00
5.00%
$50.00
$1,050.00
101.00
1.00%
$10.00
$1,010.00
100.00
0.00%
$0.00
$1,000.00
95.00
-5.00%
$0.00
$1,000.00
90.00
-10.00%
$0.00
$1,000.00
80.00
-20.00%
$0.00
$1,000.00
70.00
-30.00%
$0.00
$1,000.00
60.00
-40.00%
$0.00
$1,000.00
50.00
-50.00%
$0.00
$1,000.00
40.00
-60.00%
$0.00
$1,000.00
30.00
-70.00%
$0.00
$1,000.00
20.00
-80.00%
$0.00
$1,000.00
10.00
-90.00%
$0.00
$1,000.00
0.00
-100.00%
$0.00
$1,000.00
PS-3 | Structured Investments
Notes Linked to the Least Performing of the S&P 500® Index, the Dow
Jones Industrial Average® and the Russell 2000®Index
The following graph demonstrates the hypothetical payments at maturity on the notes for a range of Least Performing Index Returns.
There can be no assurance that the performance of the Least Performing Index will result in a payment at maturity in excess of
$1,000.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financialand JPMorgan Chase & Co.
How the Notes Work
Upside Scenario:
If the Final Value of each Index is greater than its Initial Value, investors will receive at maturity the $1,000 principal amount plus the
Additional Amount, which is equal to $1,000 times the Least Performing Index Return times the Participation Rate of 100.00%.
•If the closing level of the Least Performing Index increases 10.00%, investors will receive at maturity a return equal to 10.00%, or
$1,100.00 per $1,000 principal amount note.
Par Scenario:
If the Final Value of any Index is less than or equal to its Initial Value, the Additional Amount willbe zero and investors will receive at
maturity the principal amount of their notes.
The hypothetical returns andhypothetical payments on the notes shown above applyonly if you hold the notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would beassociated with any sale in the secondary market. If these fees
and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks are explained in more detail in the "Risk Factors"sections of the
accompanying prospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
•THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY -
If the Final Value of any Index is less than or equal to its Initial Value, you will receive only the principal amount of your notes at
maturity, and you will not be compensated for any loss in value due to inflation and other factors relating to the value of money over
time.
•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 our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined by the market for taking that credit
risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
PS-4 | Structured Investments
Notes Linked to the Least Performing of the S&P 500® Index, the Dow
Jones Industrial Average® and the Russell 2000®Index
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capitalcontribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make 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 key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to 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 guarantee by JPMorgan Chase & Co., and that
guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•YOU ARE EXPOSED TO THE RISK OF DECLINE IN THELEVEL OF EACH INDEX-
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each
individual Index. Poor performance by any of the Indices over the term of the notes may negatively affect your payment at maturity
and will not be offset or mitigated by positive performance byany other Index.
•YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
•LACK OF LIQUIDITY -
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which JPMS is willing to buy thenotes. You may not be able to sell your notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliates play a variety of roles inconnection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading
activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "Risk Factors - Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
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 price of the
notes exceeds the estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in theoriginal issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging
our obligations under the notes. See "The Estimated Value of the Notes"in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See "The Estimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan 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 higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income
PS-5 | Structured Investments
Notes Linked to the Least Performing of the S&P 500® Index, the Dow
Jones Industrial Average® and the Russell 2000®Index
instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
secondary market prices of the notes. See"The Estimated Value of 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 generally expect that some of the costs included in the original issue price of the notes will bepartially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See "Secondary Market Prices of the Notes" in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by
JPMS (and which may be shown on your customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILLLIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES-
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other
things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and,
also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale 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 secondary market price of the notes during their term will be impacted by a number of economic and market factors, which
may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging
costs and thelevels of the Indices. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price
for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See "Risk Factors -
Risks Relating to theEstimated Value and Secondary Market Prices of the Notes - Secondary market prices of the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to the Indices
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX AND THE
DOW JONES INDUSTRIAL AVERAGE®,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the level of the S&P 500® Index or the Dow Jones Industrial Average®.
•AN INVESTMENT IN THE NOTES IS SUBJECTTO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE RUSSELL 2000® INDEX -
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a
dividend payment could be afactor that limits downward stock price pressure under adverse market conditions.
PS-6 | Structured Investments
Notes Linked to the Least Performing of the S&P 500® Index, the Dow
Jones Industrial Average® and the Russell 2000®Index
The Indices
The S&P 500®Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets.
For additional information about the S&P 500®Index, see"Equity Index Descriptions - The S&P U.S. Indices" in the accompanying
underlying supplement.
The Dow Jones Industrial Average® consists of 30 common stocks chosen as representative of the broad market of U.S. industry. For
additional information about the Dow Jones Industrial Average®, see "Equity Index Descriptions - The Dow Jones Industrial Average®"
in the accompanying underlying supplement.
The Russell 2000® Index consists of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index
calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is
designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the
Russell 2000®Index, see "Equity Index Descriptions -The Russell Indices" in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance of each Index based on the weekly historical closing levels from January 4,
2019 through October 25, 2024.The closing level of the S&P 500® Index on October 30, 2024was5,813.67.The closing level of the
Dow Jones Industrial Average®on October 30, 2024was 42,141.54.The closing level of the Russell 2000® Index on October 30, 2024
was 2,233.036.We obtained the closing levels above and below from the Bloomberg Professional®service ("Bloomberg"), without
independent verification.
The historical closing levels of each Index should not be taken as an indication of future performance, and no assurance can be given
as to the closing level of any Index on the Observation Date.There can be no assurance that the performance of the Indices will result
in a payment at maturity in excess of your principal amount, subject to the credit risks of JPMorgan Financialand JPMorgan Chase &
Co.
PS-7 | Structured Investments
Notes Linked to the Least Performing of the S&P 500® Index, the Dow
Jones Industrial Average® and the Russell 2000®Index
Treatment as Contingent Payment Debt Instruments
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences," and inparticular the subsection
thereof entitled "-Tax Consequences to U.S. Holders -Notes with a Term of More than One Year -Notes Treated as Contingent
Payment Debt Instruments," in the accompanying product supplement no. 3-I. Unlike a traditional debt instrument that provides for
periodic payments of interest at a single fixed rate, with respect to whicha cash-method investor generally recognizes income only
upon receipt of stated interest, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated for
U.S. federal income tax purposes as "contingent payment debt instruments." As discussed in that subsection, you generally will be
required to accrue original issue discount ("OID") on your notes in each taxable yearat the "comparable yield," as determined by us,
although we will not make any payment with respect to the notes until maturity. Upon sale or exchange (including at maturity), you will
recognize taxable income or loss equal to the difference between the amount received from the sale or exchange and your adjusted
basis in the note, which generally will equal the cost thereof, increased by the amount of OID you have accrued in respect of the note.
You generally must treat any income as interest income and any loss as ordinary loss to the extent of previous interest inclusions, and
the balance as capital loss. The deductibility of capital losses is subject to limitations. The discussions herein and in the accompanying
product supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the
Code. Purchasers who are not initial purchasers of notes at their issue price should consult their tax advisers with respect to the tax
consequences of an investment in notes, including the treatment of the difference, if any, between the basis in their notes and the
notes' adjusted issue price.
PS-8 | Structured Investments
Notes Linked to the Least Performing of the S&P 500® Index, the Dow
Jones Industrial Average® and the Russell 2000®Index
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 equivalents paid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations. Additionally, a recent IRS notice excludes 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 pay U.S.-source dividends for U.S. federal
income tax purposes (each an "Underlying Security"). Based on certain determinations made by us, our special tax counsel is of 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 onyour particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security.You should consult your tax
adviser regarding the potential application of Section 871(m) to the notes.
The discussions in the preceding paragraphs, when read in combination with the section entitled "Material U.S. Federal Income Tax
Consequences" (and in particular the subsection thereof entitled "- Tax Consequences to U.S. Holders - Notes with a Term of More
than One Year -Notes Treated as Contingent Payment Debt Instruments") in the accompanying product supplement, constitute the
full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of
notes.
Comparable Yield and Projected Payment Schedule
We have determined that the "comparable yield" is an annual rate of 4.91%, compounded semiannually. Based on our determination of
the comparable yield, the "projected payment schedule" per $1,000 principalamount note consists of a single payment at maturity,
equal to $1,274.29. Assuming a semiannual accrual period, the following table sets out the amount of OID that will accrue with respect
to a note during each calendar period, based upon our determination of the comparable yield and projected payment schedule.
Calendar Period
Accrued OID During Calendar
Period (Per $1,000 Principal
Amount Note)
Total Accrued OID from Original Issue
Date (Per $1,000 Principal Amount
Note) as of End of Calendar Period
November 4, 2024 through December 31, 2024…......
$7.64
$7.64
January 1, 2025 through December 31, 2025…………......
$50.08
$57.72
January 1, 2026 through December 31, 2026…………......
$52.57
$110.29
January 1, 2027 through December 31, 2027………..........
$55.19
$165.48
January 1, 2028 through December 31, 2028…………..…
$57.92
$223.40
January 1, 2029 through November 2, 2029………………
$50.89
$274.29
The comparable yield and projected payment schedule are determined solely to calculate the amount on which you will be
taxed with respect to the notes in each year and are neither a prediction nor a guarantee of what the actual yield will be. The
amount you actually receive at maturity or earlier sale or exchange of your notes will affect your income for that year, as
described above under "Treatment as Contingent Payment Debt Instruments."
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying theeconomic 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 any exists) at
any time.The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied
funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan 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 higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventionalfixed income
instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
PS-9 | Structured Investments
Notes Linked to the Least Performing of the S&P 500® Index, the Dow
Jones Industrial Average® and the Russell 2000®Index
prices of the notes. For additional information, see "Selected Risk Considerations - Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes - The Estimated Value of the Notes Is Derived by Reference to an Internal 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 inputs such as the traded market prices of comparable derivative instruments and on
various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments.Accordingly, the estimated value of the notes is
determined when the terms of the notes areset basedonmarket conditions and other relevant factors and assumptions existing at that
time.
The estimated value of the notes does not represent future values of the notes and may differ from others' estimates. Different pricing
models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes.In
addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect.On
future dates, the value of the notes could change significantly 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
which JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring
and hedging the notes are included in 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 the estimated cost of hedging our obligations under the notes.Because hedging our
obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be
allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.See
"Selected Risk Considerations-Risks Relating to the Estimated Value and 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"in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices of the notes, see "Risk Factors -Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes - Secondary market prices of the notes will be impacted by 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 will bepartially paid back to you in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period.These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates
for structured debt issuances.This initial predetermined time period is intended to be the shorter of six months and one-half of the
stated term of the notes.The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a
profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as
determined by our affiliates.See "Selected Risk Considerations - Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes -The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes.See "Hypothetical Payout Profile" and "How the Notes Work"in this pricing supplement for an illustration of the risk-return profile
of the notes and "The Indices"in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus theselling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes, plus 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 been issued by JPMorgan Financial pursuant 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 such notes have been delivered against payment as
contemplated herein, such notes will be valid and binding obligations of JPMorgan Financialand the related guarantee will constitute a
validand binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
PS-10 | Structured Investments
Notes Linked to the Least Performing of the S&P 500® Index, the Dow
Jones Industrial Average® and the Russell 2000®Index
applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusions expressed above or (ii) any provisionof the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'s obligation under the related guarantee.
This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the
trustee's authorization, execution and delivery of the indenture and its authentication of the master note and the validity, binding nature
and enforceability of the indenture with respect to the trustee, all as statedin the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
Additional Terms Specific to the Notes
You should read this pricing 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,theaccompanying 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 written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of
ours.You should carefully consider, amongother things, the matters set forth in the "Risk Factors" sections of the accompanying
prospectus supplement and the accompanying product 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 advisers before you invest 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. 3-I dated April 13, 2023:
•Underlying supplement no. 1-I dated April 13, 2023:
•Prospectus supplement andprospectus, each dated April 13, 2023:
•Prospectus addendum dated June 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617.As used in this pricing
supplement, "we,""us"and "our" refer to JPMorgan Financial.