JPMorgan Chase & Co.
10/29/2024 | Press release | Distributed by Public on 10/29/2024 13:29
Primary Offering Prospectus - Form 424B2
October 25, 2024
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-Idated April 13,2023, underlyingsupplement no. 1-I dated April13, 2023,the prospectus and
prospectussupplement, eachdated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorgan Chase Financial CompanyLLC
Structured Investments
$3,015,000
Capped Dual Directional Buffered Equity Notes Linked
to the Least Performing of the Nasdaq-100 Index®, the
Russell 2000® Index and the S&P 500® Index due
November3,2025
Fully and Unconditionally Guaranteedby JPMorgan Chase & Co.
●The notes aredesigned for investors whoseek a capped, unleveraged exposure to any appreciation (witha Maximum
Upside Return of 9.40%), or a capped, unleveraged return equal to the absolutevalue of any depreciation (up to the Buffer
Amount of 20.00%), of the least performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500®Index,
which we refer to as the Indices, at maturity.
●Investors should be willing to forgo interest and dividend payments and be willing to lose up to 80.00% of their principal
amount at maturity.
●The notes areunsecured andunsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, thepayment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk
of JPMorgan Chase & Co., as guarantor of the notes.
●Payments on thenotes are not linkedto abasket 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 integralmultiplesthereof
●The notes priced on October 25, 2024 and are expected to settle on or about October 30, 2024.
●CUSIP: 48135UNW6
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of theaccompanying
prospectus supplement, Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-11 of
the accompanying product supplement and "Selected Risk Considerations"beginning on page PS-4of this pricing
supplement.
Neither the Securities and Exchange Commission (the "SEC")nor anystate securities commission has approved or disapproved of
the notes or passed upon the accuracy or theadequacyof this pricingsupplement 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
$2.50
$997.50
Total
$3,015,000
$7,537.50
$3,007,462.50
(1) See "Supplemental Use of Proceeds"in this pricingsupplementfor information about the components of the price to public ofthe notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent forJPMorgan Financial, will pay allof the selling commissions
of $2.50 per $1,000 principal amount noteit receivesfrom usto other affiliated orunaffiliated dealers.See "Planof Distribution (Conflicts of
Interest)" in the accompanyingproductsupplement.
The estimated value of the notes, when the terms of the notes were set, was $987.20 per $1,000 principal amount note. See
"The Estimated Value of the Notes" in this pricing supplement for additional information.
Thenotes are not bankdeposits, are not insured bythe Federal Deposit Insurance Corporation or anyother governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Capped Dual DirectionalBufferedEquity Notes Linked to the Least Performing oftheNasdaq-
100 Index®,the Russell 2000®Index and theS&P 500® Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The Nasdaq-100 Index®(Bloomberg ticker: NDX),
the Russell 2000® Index (Bloomberg ticker: RTY) and the S&P
500®Index (Bloomberg ticker: SPX) (each an "Index" and
collectively, the "Indices")
Maximum Upside Return: 9.40% (corresponding to a
maximum payment at maturity of $1,094.00per $1,000
principal amount note if the Least Performing Index Return is
positive)
Buffer Amount:20.00%
Pricing Date:October 25, 2024
Original Issue Date (Settlement Date):On or about October
30, 2024
Observation Date*:October 29, 2025
Maturity Date*:November 3,2025
* Subject to postponement in the event of a market disruption
event and as described under "GeneralTerms of Notes -
Postponement of a Determination Date - Notes Linked to
Multiple Underlyings" and "GeneralTerms of Notes -
Postponement of a Payment Date" in the accompanying
product supplement
Payment at Maturity:
If the Final Value of each Index is greater than itsInitial
Value, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Index Return), subject
to the Maximum Upside Return
If (i) the Final Value of one or more Indices is greater than its
Initial Valueand the Final Value of the other Index or Indices
is equal to its Initial Value or is less than its Initial Value by up
to the Buffer Amount or (ii) the Final Value of each Index is
equal toitsInitial Value or isless than itsInitial Value by up to
the Buffer Amount, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return of the Least
Performing Index)
Thispayout formularesults in an effective cap of 20.00% on
your return at maturity if the Least Performing Index Return is
negative. Under these limited circumstances, your maximum
payment at maturity is $1,200.00 per $1,000 principal amount
note.
If the Final Value of any Indexis less than its Initial Value by
more than the Buffer Amount, your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Least Performing Index Return + Buffer
Amount)]
If the Final Valueof any Index is less than its Initial Valueby
more than the Buffer Amount, you willlose some or most of
your principal amount at maturity.
Absolute Index Return: Withrespect to each Index, the
absolute valueof its Index Return. Forexample, if the Index
Return of an Index is-5%, its Absolute Index Return will equal
5%.
Least Performing Index: The Index with the Least
Performing Index Return
Least Performing Index Return: The lowest of 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, theclosing level of
that Index on the Pricing Date, which was20,352.02 for the
Nasdaq-100 Index®, 2,207.995 for the Russell 2000® Index
and 5,808.12 for the S&P 500® Index
Final Value: With respect to each Index, the closing level of
that Index on the Observation Date
PS-2| Structured Investments
Capped Dual DirectionalBufferedEquity Notes Linked to the Least Performing oftheNasdaq-
100 Index®,the Russell 2000®Index and theS&P 500® Index
Supplemental Terms of the Notes
Any value of any underlier, and any values derived therefrom, included in 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 the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or anyother party.
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total return and payment at maturityon the noteslinkedto threehypothetical
Indices. The "total return" as used in thispricing supplement is the number, expressed as a percentage, that resultsfrom comparing the
payment at maturity per $1,000 principalamount noteto $1,000. The hypothetical total returns and payments set forthbelow assume
the following:
●an Initial Value for the Least PerformingIndex of 100.00;
●a Maximum Upside Return of 9.40%; and
●a Buffer Amount of 20.00%.
The hypothetical InitialValue of the Least Performing Index of 100.00 hasbeen chosen for illustrative purposes only and doesnot
represent the actual Initial Value of any Index. The actual Initial Value of each Indexis theclosing level of that Index on the Pricing Date
and isspecified under "KeyTerms-Initial Value" in thispricing supplement. For historical data regardingthe actual closing levels of
each Index, please see the historical informationset forth under "The Indices" in thispricing supplement.
Each hypothetical total returnor hypothetical payment at maturity set forth below is for illustrative purposes only and maynot be the
actual total return or paymentat maturity applicableto a purchaser of the notes. The numbers appearing in the following table and
graphhave been rounded for ease of analysis.
Final Value of
the Least
Performing
Index
Least
Performing
Index Return
Absolute Index Return
of the Least Performing
Index
Total Return on the
Notes
Payment at Maturity
180.00
80.00%
N/A
9.40%
$1,094.00
165.00
65.00%
N/A
9.40%
$1,094.00
150.00
50.00%
N/A
9.40%
$1,094.00
140.00
40.00%
N/A
9.40%
$1,094.00
130.00
30.00%
N/A
9.40%
$1,094.00
120.00
20.00%
N/A
9.40%
$1,094.00
110.00
10.00%
N/A
9.40%
$1,094.00
109.40
9.40%
N/A
9.40%
$1,094.00
105.00
5.00%
N/A
5.00%
$1,050.00
101.00
1.00%
N/A
1.00%
$1,010.00
100.00
0.00%
0.00%
0.00%
$1,000.00
95.00
-5.00%
5.00%
5.00%
$1,050.00
90.00
-10.00%
10.00%
10.00%
$1,100.00
85.00
-15.00%
15.00%
15.00%
$1,150.00
80.00
-20.00%
20.00%
20.00%
$1,200.00
70.00
-30.00%
N/A
-10.00%
$900.00
60.00
-40.00%
N/A
-20.00%
$800.00
50.00
-50.00%
N/A
-30.00%
$700.00
40.00
-60.00%
N/A
-40.00%
$600.00
30.00
-70.00%
N/A
-50.00%
$500.00
20.00
-80.00%
N/A
-60.00%
$400.00
10.00
-90.00%
N/A
-70.00%
$300.00
0.00
-100.00%
N/A
-80.00%
$200.00
PS-3| Structured Investments
Capped Dual DirectionalBufferedEquity Notes Linked to the Least Performing oftheNasdaq-
100 Index®,the Russell 2000®Index and theS&P 500® Index
The following graph demonstratesthehypothetical payments at maturity on the notes for a range of Least Performing Index Returns (-
100% to 100%). There can beno assurance that the performance of the Least Performing Index will result in the return of anyof your
principal amount in excess of $200.00 per $1,000.00 principal amount note, subject to thecredit risks of JPMorgan Financial and
JPMorgan Chase & Co.
How the Notes Work
Index Appreciation Upside Scenario:
If the Final Value of each Index is greater than itsInitial Value, investors will receive at maturitythe$1,000 principal amount plus a
return equal tothe Least Performing Index Return subject to the Maximum Upside Return of 9.40%. An investor will realize the
maximum upside payment at maturityat aFinal Valueof the Least Performing Index of 109.40% or more of its Initial Value.
●If the closing level of the Least Performing Indexincreases 5.00%, investors will receive at maturitya return of 5.00%, or $1,050.00
per $1,000principal amount note.
●If the closing level of the Least Performing Indexincreases 19.40%, investors will receive at maturity a return equal to the
Maximum Upside Return of 9.40%, or $1,094.00 per $1,000 principal amount note, which is the maximum payment at maturity if
the Least Performing Index Return is positive.
Index Par or Index Depreciation Upside Scenario:
If (i) the Final Value of one or more Indices is greater than its Initial Value and the Final Value of the other Indexor Indices is equal to its
Initial Valueor is less than its Initial Value by up to the Buffer Amount of 20.00% or (ii) the Final Value of each Index is equal to its Initial
Value or is less than its InitialValue by up to the Buffer Amount of 20.00%, investors will receive at maturity the $1,000 principal amount
plus a return equal tothe Absolute Index Return of theLeast Performing Index.
●For example, if the closing level of the Least Performing Index declines 10.00%, investors will receiveat maturitya return of
10.00%, or $1,100.00 per $1,000 principal amount note.
Downside Scenario:
If the Final Value of any Indexis less than its Initial Valueby more than the Buffer Amount of 20.00%, investors will lose 1% of the
principal amount of their notes for every 1% that the Final Value of the Least Performing Indexisless than its Initial Value bymorethan
the Buffer Amount.
●For example, if theclosing level of the Least Performing Index declines 60.00%, investorswill lose40.00%of their principal amount
and receiveonly$600.00 per $1,000 principal amount note at maturity.
The hypothetical returnsand hypothetical payments on the notesshown above applyonly if you hold the notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated with anysale in the secondarymarket. If these fees
and expenses were included, the hypothetical returnsandhypothetical payments shown above wouldlikely be lower.
PS-4| Structured Investments
Capped Dual DirectionalBufferedEquity Notes Linked to the Least Performing oftheNasdaq-
100 Index®,the Russell 2000®Index and theS&P 500® Index
Selected Risk Considerations
An investment in the notes involvessignificant 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 NotesGenerally
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS-
The notes donot guarantee any return of principal. If the Final Value of any Index is lessthan its Initial Value by morethan
20.00%, you will lose 1% of the principalamount of your notes for every1% that the FinalValue of the Least PerformingIndex is
less than its Initial Valuebymore than 20.00%. Accordingly, under these circumstances, you will lose up to 80.00% of your
principal amount at maturity.
●YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM UPSIDE RETURN IF THE LEAST PERFORMING
INDEX RETURN IS POSITIVE,
regardless of the appreciation of any Index, which may besignificant.
●YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER AMOUNT IF THE LEAST PERFORMING INDEX
RETURN IS NEGATIVE -
Because the payment at maturity will not reflect the AbsoluteIndex Return of the Least Performing Index if itsFinal Value is less
than its Initial Value by more than the Buffer Amount, the Buffer Amount iseffectively a cap on your returnat maturityif the Least
Performing Index Return is negative. The maximum payment at maturityif the Least Performing Index Returnis negative is
$1,200.00per $1,000 principal amount note.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined by themarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not 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 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. Asa result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not 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 tomake
payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
●YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX -
Payments on the notes are not linkedto a basket composed of theIndices and are contingent upon the performance of each
individualIndex. Poor performance by any of the Indices over the termof the notesmay 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 listedon anysecurities exchange. Accordingly, theprice at which you may be able to tradeyour notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not
designed to beshort-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 avariety of roles inconnection with the notes. In performingthese duties, our and JPMorgan Chase &
Co.'s economicinterests are potentially adverse to your interests as aninvestor in the notes. It ispossible that hedging or trading
activities of ours or our affiliates inconnection with thenotes could result in substantial returns for us or our affiliates whilethe
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
PS-5| Structured Investments
Capped Dual DirectionalBufferedEquity Notes Linked to the Least Performing oftheNasdaq-
100 Index®,the Russell 2000®Index and theS&P 500® Index
Risks Relating tothe 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 estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in theoriginal issue price of the notes. Thesecosts 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 notesandthe estimated cost ofhedging
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 used in the determination of the estimated value of the notes maydiffer from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any difference may
be based on, among other things, our and our affiliates' view of the funding valueof 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
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay
prove to be incorrect, and is intended toapproximate the prevailing 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 termsof 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 generallyexpect that some of the costs included in theoriginal issue price of the notes will be partiallypaid back to you in
connection with any repurchases of your notesby JPMS in an amount that will decline to zero over an initial predetermined period.
See "SecondaryMarket Prices of the Notes" in this pricing supplementfor additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the value of the notes aspublished by
JPMS (and which may be shown on your customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondary market pricesof the notes willlikely be lower than the original issue price of the notes because, amongother
things, secondary market prices take intoaccount our internal secondary market funding rates for structureddebt issuances and,
also, becausesecondarymarket prices may exclude sellingcommissions, projected hedging profits, if any, and estimatedhedging
costs that are included inthe original issue price of the notes. As a result, the price, if any, at which JPMS will be willingtobuy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue 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, aside from theselling commissions, projected hedgingprofits, if any, estimated hedging
costs and the levels of the Indices. Additionally, independentpricing vendors and/or thirdparty broker-dealers may publish a price
for the notes, which mayalso be reflected on customer account statements. This pricemay be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing topurchaseyour notes in the secondarymarket. See "RiskFactors -
Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes - Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in theaccompanying product supplement.
Risks Relating to the Indices
●JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the level of the S&P 500® Index.
●AN INVESTMENT IN THE NOTES IS SUBJECT TO 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. Smallcapitalization companies are less likely to paydividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock pricepressure under adverse marketconditions.
●NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX®-
The non-U.S. equitysecurities included in the Nasdaq-100 Index®have been issued bynon-U.S. companies. Investmentsin
securitieslinked to the value of such non-U.S. equitysecurities involve risks associated with thehome countries and/or the
securitiesmarkets in thehome countries of theissuers of those non-U.S. equitysecurities.Also, with respect to equity securities
that are not listed in the U.S., there is generally less publiclyavailable information about companies insome of thesejurisdictions
than there isabout U.S. companies that are subject to the reporting requirements of the SEC.
PS-6| Structured Investments
Capped Dual DirectionalBufferedEquity Notes Linked to the Least Performing oftheNasdaq-
100 Index®,the Russell 2000®Index and theS&P 500® Index
The Indices
The Nasdaq-100Index®isa modified market capitalization-weighted index of 100 of the largest non-financial securities listed on The
Nasdaq StockMarket based on market capitalization. For additionalinformation about theNasdaq-100 Index®, see "Equity Index
Descriptions - The Nasdaq-100 Index®" inthe accompanying underlying supplement.
The Russell 2000® Indexconsists of the middle 2,000 companies included in the Russell 3000ETM Index and, as a result of theindex
calculation methodology, consistsof the smallest 2,000 companies included in the Russell 3000®Index. The Russell 2000®Index is
designed to track the performance of the small capitalizationsegment of the U.S.equity market. For additional information about the
Russell 2000®Index, see "Equity Index Descriptions -TheRussell Indices" in theaccompanying underlyingsupplement.
The S&P 500®Index consistsof stocks of 500 companiesselected to provide aperformance 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.
Historical Information
The following graphs set forththe historical performance of each Index based onthe weekly historical closing levels from January4,
2019 through October 25, 2024. The closing level of the Nasdaq-100 Index®on October 25, 2024 was 20,352.02. The closing level of
the Russell 2000® Indexon October 25, 2024 was 2,207.995. Theclosing level of the S&P 500® Index on October 25, 2024 was
5,808.12. We obtained theclosing levels above and below from the Bloomberg Professional®service ("Bloomberg"), without
independent verification.
The historical closing levels of each Indexshouldnot be taken asan indicationof futureperformance, 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 the return of any of your principal amount in excess of $200.00 per $1,000.00principal amount note, subject to thecredit risks of
JPMorgan Financial andJPMorgan Chase & Co.
Historical Performance of the Nasdaq-100 Index®
Source: Bloomberg
PS-7| Structured Investments
Capped Dual DirectionalBufferedEquity Notes Linked to the Least Performing oftheNasdaq-
100 Index®,the Russell 2000®Index and theS&P 500® Index
Historical Performance of the Russell 2000® Index
Source: Bloomberg
Historical Performance of the S&P 500®Index
Source: Bloomberg
PS-8| Structured Investments
Capped Dual DirectionalBufferedEquity Notes Linked to the Least Performing oftheNasdaq-
100 Index®,the Russell 2000®Index and theS&P 500® Index
Tax Treatment
In determining our reporting responsibilities, we intend to treat the notes for U.S. federal incometax purposes as "open transactions"
that are not debt instruments,as described in the section entitled "Material U.S. Federal Income Tax Consequences - Tax
Consequences to U.S. Holders-Notes Treated as Open Transactions That Are Not Debt Instruments" in the accompanying product
supplement no. 4-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable
treatment, but that there are other reasonable treatments that the IRS or acourt may adopt, in whichcase the timing and character of
any income or loss on thenotes could be materiallyand adversely affected.
No statutory, judicial or administrative authority directlyaddresses the characterization of the notes (or similar instruments) for U.S.
federal income tax purposes, and no rulingisbeing requested from the IRS with respect to their proper characterization andtreatment.
Assuming that "open transaction" treatment is respected, the gain or loss on your notes should be treatedas long-term capital gain or
loss if you hold your notes formore than a year, whether or not you are an initial purchaser of the notes at the issue price. However, the
IRS or acourt may not respect the treatment of the notes as"open transactions," in which case the timing and character of any income
or losson the notes couldbe materially and adverselyaffected. For instance, the notes could be treated as contingent payment debt
instruments, in which case the gain on your notes wouldbe treated asordinary income andyou would be required to accrue original
issue discount on your notes in each taxable year at the "comparable yield," asdetermined by us, although we will not make any
payment with respect to the notes until maturity.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid
forwardcontracts" and similar instruments. The notice focuses inparticular on whether to require investors in these instruments to
accrue income over the term of their investment. It alsoasksfor comments on a number of related topics, including thecharacter of
income or loss with respect tothese instruments; the relevance of factors such as the nature of the underlying property towhich the
instrumentsarelinked; the degree, if any, to which income (including any mandated accruals) realized bynon-U.S. investors should be
subject to withholding tax; and whether these instruments are or should be subject to the "constructive ownership" regime, which very
generally can operate to recharacterize certain long-term capitalgain as ordinary income and impose anotional interest charge. While
the notice requests comments on appropriatetransition rulesand effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issuescouldmaterially and adversely affect the tax consequences of an investment in the
notes, possibly with retroactive effect. You should review carefully the sectionentitled "Material U.S. Federal Income Tax
Consequences" in theaccompanying product supplement and consult your taxadviser regarding the U.S. federalincome tax
consequencesof an investment in the notes, including possible alternative treatments and the issuespresented by this notice.
Section871(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 to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions tothis
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 fromthe scopeof Section 871(m) instruments issued prior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special tax counsel is of the
opinion that Section871(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 maydisagree with this determination. Section 871(m) iscomplex and its application may depend on your 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 Section871(m) to the notes.
The Estimated Value of the Notes
The estimated value of thenotes set forth on the cover of this pricing supplement isequal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturityas the notes, valuedusing the internal funding
rate described 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 any exists) at any
time. The internal funding rate used in the determination of the estimatedvalue of the notes maydiffer 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 higher issuance, operational
and ongoing liabilitymanagement costs of the notesin comparison tothosecosts for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputsandassumptions, which mayprove to beincorrect,
and is intended to approximate theprevailing market replacement funding rate for the notes. The use of an internal funding rate and
any potential changes to that rate mayhave an adverse effect on theterms 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 Prices of
the Notes - The Estimated Value of the Notes Is Derived by Reference toan Internal Funding Rate" in thispricing supplement.
PS-9| Structured Investments
Capped Dual DirectionalBufferedEquity Notes Linked to the Least Performing oftheNasdaq-
100 Index®,the Russell 2000®Index and theS&P 500® Index
The value of the derivativeor derivatives underlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates. These modelsare dependent on inputs such asthe traded market prices of comparable derivative instruments and onvarious
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 are setbased on market conditions and other relevant factors and assumptionsexisting at that time.
The estimated value of thenotes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsandassumptionscould 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 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 secondarymarket transactions.
The estimated value of thenotes is lower than the original issue price of the notes becausecosts associated with selling, structuring
and hedging the notes are included in the originalissue price of the notes. These costsinclude the sellingcommissions 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 hedging our obligations under the notesmay be
allowed to other affiliatedor unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See
"Selected Risk Considerations -Risks Relating to the Estimated Value and 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 secondarymarket prices ofthe notes, see "Risk Factors-Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes- Secondary market prices of the notes will be impacted bymany
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 be partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initialpredetermined period. These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances. Thisinitial predetermined time periodis intended to be theshorter of six monthsand one-half of the
stated term of the notes. The length of any such initial period reflects thestructure of the notes, whether our affiliatesexpect to earn a
profit inconnection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "Selected Risk Considerations - Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes - The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricingsupplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See "Hypothetical Payout Profile" and "How the Notes Work" in this pricing supplement for an illustration of the risk-return profile
of the notes and "The Indices"in this pricingsupplement for a description of themarket exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paidtoJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.
PS-10| StructuredInvestments
Capped Dual DirectionalBufferedEquity Notes Linked to the Least Performing oftheNasdaq-
100 Index®,the Russell 2000®Index and theS&P 500® Index
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 offeredby this pricing supplement have beenissued by JPMorgan Financialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and such notes have been delivered against payment as
contemplated herein, suchnotes will be valid and binding obligations of JPMorgan Financial and the related guarantee will 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 and the lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'sobligationunder the related guarantee.
Thisopinion is given as of thedate hereof and is limited to the laws of the State of New York, the General CorporationLaw of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject tocustomary assumptions about the
trustee's authorization, execution and deliveryof the indenture and its authentication of the master note and thevalidity, 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, as supplementedby the 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 pricing supplement, 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 materialsincludingpreliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materials of
ours. Youshould carefully consider, among other things, the matters set forth in the "Risk Factors" sections of theaccompanying
prospectussupplement and the accompanying product supplement and in Annex A to the accompanying prospectusaddendum, as the
notes involve risksnot associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
You may access these documents on the SEC websiteat www.sec.gov as follows(or if such addresshas changed, by
reviewing our filings for the relevantdate on the SEC website):
●Product supplement no. 4-I dated April 13, 2023:
●Underlying supplement no. 1-Idated April 13, 2023:
●Prospectus supplement and prospectus, each dated April 13, 2023:
●Prospectus addendum datedJune 3, 2024:
Our Central Index Key, orCIK, on the SEC websiteis 1665650,and JPMorgan Chase & Co.'s CIK is19617. Asusedin this pricing
supplement, "we," "us" and "our" refer toJPMorgan Financial.