JPMorgan Chase & Co.
JPMorgan Chase & Co.
13/08/2024 | Press release | Distributed by Public on 14/08/2024 02:55
Primary Offering Prospectus - Form 424B2
August 9, 2024
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlying supplement no. 1-I dated April 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
$1,135,000
Digital Barrier Notes Linked to the Least Performing of
the NASDAQ-100 Index
®
, the Russell 2000
®
Index
and the S&P 500
®
Index due September 12, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek a fixed return of 9.50% at maturity if the Final Value 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, is greater
than or equal to 60.00% of its Initial Value, which we refer to as a Barrier Amount.
●Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal
amount at 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 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 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 describedbelow.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes priced on August 9, 2024 and are expected to settle on or about August 14, 2024.
●CUSIP: 48135TBU6
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 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. Anyrepresentation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$7.25
$992.75
Total
$1,135,000
$8,228.75
$1,126,771.25
(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 $7.25 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 thenotes were set, was $998.10 per $1,000 principal amount note. See
"The Estimated Value of the Notes" in this pricing supplement for additional information.
The notesare notbankdeposits, are not insuredby the Federal DepositInsuranceCorporationor anyothergovernmental agency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index
®
, the Russell
2000
®
Index and the S&P 500
®
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 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")
Contingent Digital Return: 9.50%
Barrier Amount:With respect to each Index, 60.00% of its
Initial Value, which is 11,107.86 for the NASDAQ-100
Index
®
, 1,248.5496 for the Russell 2000
®
Index and
3,206.496 for the S&P 500
®
Index
Pricing Date: August 9, 2024
Original Issue Date (Settlement Date): On or about August
14, 2024
Observation Date*: September 9, 2025
Maturity Date*: September 12, 2025
* 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:
If the Final Value of each Index is greater than or equal to
its Barrier Amount, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + ($1,000 × Contingent Digital Return)
If the Final Value of any Index is lessthan its Barrier
Amount, your payment at maturity per $1,000 principal
amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Index Return)
If the Final Value of any Index is lessthan its Barrier
Amount, you will lose more than 40.00% of your principal
amount at maturity and could lose all of your principal
amount at maturity.
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, the closing level
of that Index on the Pricing Date, which was 18,513.10 for
the NASDAQ-100Index
®
, 2,080.916 for the Russell 2000
®
Index and 5,344.16 for theS&P 500
®
Index
Final Value: Withrespect to each Index, the closinglevel of
that Index on the Observation Date
PS-2| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index
®
, the Russell
2000
®
Index and the S&P 500
®
Index
Supplemental Terms ofthe Notes
Any value of any underlier,andany values derived therefrom,included inthis pricing supplement may be corrected, in the event of
manifest error orinconsistency,by amendmentof this pricing supplement and the corresponding termsof the notes. Notwithstanding
anythingto the contrary in theindenture governing the notes, that amendment will become effective without consent of the holdersof
the notes or anyotherparty.
Hypothetical Payout Profile
The following table andgraph illustrate the hypothetical total return and payment at maturity on the notes linked to threehypothetical
Indices. The "total return"as used in thispricing supplement is the number, expressed as apercentage, that results fromcomparing the
payment at maturity per $1,000principal amount note to $1,000. The hypothetical total returns and payments set forthbelow assume
the following:
●an Initial Value for theLeast Performing Indexof 100.00;
●a ContingentDigital Return of9.50%; and
●a Barrier Amount for the Least Performing Index of 60.00 (equal to 60.00% ofits hypothetical Initial Value).
The hypothetical InitialValue of the Least Performing Indexof100.00 has been chosen for illustrative purposes only and does not
represent the actual Initial Value of any Index. The actual Initial Value of eachIndex is the closing level of that Index on the PricingDate
and isspecified under "Key Terms -Initial Value"in this pricing supplement. For historicaldata regarding the actual closing levels of
each Index, please see the historical information set forth under "The Indices" in this pricing supplement.
Each hypotheticaltotal return or hypothetical payment at maturity set forth below is for illustrativepurposes only and may not be the
actualtotal return or payment at maturity applicable toa purchaserof the notes. The numbers appearing in the following table and
graph have been rounded for ease ofanalysis.
FinalValue of the
Least Performing
Index
Least Performing
Index Return
Total Return on the Notes
Payment at Maturity
180.00
80.00%
9.50%
$1,095.00
165.00
65.00%
9.50%
$1,095.00
150.00
50.00%
9.50%
$1,095.00
140.00
40.00%
9.50%
$1,095.00
130.00
30.00%
9.50%
$1,095.00
120.00
20.00%
9.50%
$1,095.00
110.00
10.00%
9.50%
$1,095.00
109.50
9.50%
9.50%
$1,095.00
105.00
5.00%
9.50%
$1,095.00
101.00
1.00%
9.50%
$1,095.00
100.00
0.00%
9.50%
$1,095.00
95.00
-5.00%
9.50%
$1,095.00
90.00
-10.00%
9.50%
$1,095.00
80.00
-20.00%
9.50%
$1,095.00
70.00
-30.00%
9.50%
$1,095.00
60.00
-40.00%
9.50%
$1,095.00
59.99
-40.01%
-40.01%
$599.90
50.00
-50.00%
-50.00%
$500.00
40.00
-60.00%
-60.00%
$400.00
30.00
-70.00%
-70.00%
$300.00
20.00
-80.00%
-80.00%
$200.00
10.00
-90.00%
-90.00%
$100.00
0.00
-100.00%
-100.00%
$0.00
PS-3| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index
®
, the Russell
2000
®
Index and the S&P 500
®
Index
The following graph demonstratesthe hypothetical payments at maturity on the notesfora sub-set of Least Performing Index Returns
detailed in the table above (-80% to 60%). Therecan be noassurance that theperformanceof the Least Performing Index will result in
the return of anyof your principal amount.
How the Notes Work
Upside Scenario:
If the FinalValue of each Indexis greater thanor equal to its BarrierAmount of 60.00% of its InitialValue,investors will receive at
maturity the$1,000 principal amount plusa fixed return equal tothe Contingent Digital Return of 9.50%, which reflectsthe maximum
returnat maturity.
●If the closing level of the Least Performing Index increases 5.00%, investorswill receiveat maturity a 9.50% return,or $1,095.00
per $1,000 principalamountnote.
●If the closing level of the Least Performing Index increases 50.00%, investors will receive at maturity a 9.50% return, or $1,095.00
per $1,000 principalamountnote.
●If the closing level of the Least Performing Index decreases 10.00%, investors willreceive at maturity a9.50% return, or $1,095.00
per $1,000 principalamountnote.
DownsideScenario:
If the FinalValue of any Index is less thanits BarrierAmount of 60.00% of its Initial Value, investorswill lose 1% of the principal amount
of their notesforevery 1% that the Final Value of the Least Performing Index is less than its Initial Value.
●For example, if the closing level of the Least Performing Index declines 60.00%, investors will lose60.00% of their principal amount
and receive only $400.00 per $1,000 principal amount note at maturity.
The hypothetical returns and hypothetical payments on the notesshown above apply only if you holdthe notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated with any sale in thesecondary market. If these fees
and expenses were included, the hypothetical returnsandhypothetical payments shown above would likelybe 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 supplementand product supplement and in Annex A to the accompanying prospectus addendum.
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS-
The notes do not guarantee any return ofprincipal. If theFinal Value of any Index islessthan its Barrier Amount, youwill lose 1%
of the principal amount ofyour notes for every 1% that the Final Value of the Least Performing Indexis less than its Initial Value.
Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount at maturity and could lose all of
your principal amount at maturity.
●YOUR MAXIMUM GAIN ON THE NOTES ISLIMITED TO THECONTINGENT DIGITALRETURN,
regardless of any appreciation ofany Index, which may besignificant.
PS-4| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index
®
, the Russell
2000
®
Index and the S&P 500
®
Index
●YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE-
If the FinalValue of any Index is less thanits BarrierAmount, you will not be entitled to receive the Contingent Digital Return at
maturity. Under these circumstances,you will lose more than 40.00% of your principal amount at maturity and could lose all of your
principalamount at maturity.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our and JPMorgan Chase & Co.'s abilityto payall amounts due on the notes. Any actual or potential
changein our orJPMorgan Chase & Co.'s creditworthinessor creditspreads,as determinedby the market for taking that credit
risk, is likelyto adversely affect the value of the notes. If we and JPMorgan Chase & Co. wereto 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 HASLIMITED 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 capital contribution fromJPMorgan Chase &
Co., substantially all of ourassets relateto obligations ofJPMorgan Chase & Co. to make payments under loans made by us to
JPMorgan Chase & Co.or under other intercompany agreements. Asa result, we aredependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. Weare not a key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcy or resolution ofJPMorgan Chase & Co. we arenot expectedto have sufficient resources to meet ourobligations in
respectof the notes as theycome due. If JPMorgan Chase& Co. does not make payments to us and we are unable to make
payments onthe notes, you may have to seek payment under therelated guarantee by JPMorgan Chase & Co., and that
guarantee will rank pari passu with all other unsecuredandunsubordinatedobligations ofJPMorgan Chase &Co. For more
information, see the accompanying prospectus addendum.
●POTENTIAL CONFLICTS-
We and our affiliates play a variety ofroles in connection with thenotes. In performing theseduties, our and JPMorgan Chase &
Co.'s economic interests are potentially adverse to your interests as aninvestor in thenotes. It is possiblethathedging or trading
activities of oursor our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the
value of thenotes declines. Please referto "Risk Factors - Risks Relating to Conflictsof Interest" inthe accompanying product
supplement.
●JPMORGANCHASE & 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 takingany corporate action that might affect
the level of the S&P 500
®
Index.
●AN INVESTMENT IN THE NOTES ISSUBJECT TORISKS ASSOCIATEDWITH 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 largercompanies. 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 price pressure under adverse marketconditions.
●NON-U.S. SECURITIESRISK WITH RESPECT TO THENASDAQ-100 INDEX
®
-
The non-U.S. equity securities included in the NASDAQ-100 Index
®
have been issued by non-U.S. companies. Investments in
securities linked to thevalue of such non-U.S. equity securities involverisks associated with thehome countries and/or the
securities markets in the home countries of the issuers of those non-U.S. equity securities.Also, with respectto equity securities
that are not listed in theU.S., there isgenerally less publicly available information about companies in someof these jurisdictions
than there is about U.S. companies that are subject to thereporting requirements ofthe SEC.
●YOU ARE EXPOSED TO THE RISK OFDECLINEIN THE LEVEL OF EACHINDEX-
Payments on the notesare notlinked to a basket composed of theIndices and are contingent upon the performance of each
individual Index. Poor performance by any of the Indices over the term of the notes may negativelyaffect your paymentat maturity
and will not be offsetor mitigated by positive performanceby any other Index.
●YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
●THE BENEFIT PROVIDED BY THEBARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE -
If the FinalValue of any Index is less thanits BarrierAmount, the benefit provided by the Barrier Amount will terminate and you will
be fully exposed to anydepreciation of the Least Performing Index.
●THE NOTESDO NOT PAY INTEREST.
●YOU WILL NOT RECEIVEDIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
●THE RISK OF THE CLOSING LEVEL OFAN INDEX FALLING BELOW ITSBARRIER AMOUNT IS GREATER IF THE LEVEL
OF THAT INDEX IS VOLATILE.
●LACK OF LIQUIDITY-
The notes will not be listedon any securities exchange. Accordingly, thepriceat which you may be able to trade yournotesis likely
to depend on the price,if any, at which JPMS is willing to buythe notes. You may notbe able to sell your notes.Thenotes are not
designed to be short-term trading instruments. Accordingly, you should be able and willing to hold yournotes to maturity.
PS-5| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index
®
, the Russell
2000
®
Index and the S&P 500
®
Index
●THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimatedvalue of thenotes is only an estimate determined by reference to several factors.Theoriginal issue price of the
notes exceeds the estimated value ofthe notes because costs associated with selling, structuring and hedgingthe notes are
included in the original issue priceof the notes. These costs include the selling commissions, the projected profits, if any, that our
affiliatesexpect to realize for assuming risksinherent inhedging our obligations under the notes and the estimated cost of hedging
our obligations under the notes. See "The Estimated Value of the Notes" in thispricing supplement.
●THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THENOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See "The Estimated Value of theNotes" in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TOAN INTERNAL FUNDING RATE -
The internalfunding rate used in the determination of the estimated value of the notes may differ from the market-implied funding
rate for vanilla fixed income instrumentsof a similar maturity issuedby 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 aswellas the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income
instruments of JPMorganChase & Co. This internal funding rate isbased on certain market inputs and assumptions, which may
prove to be incorrect, and isintended to approximate the prevailing market replacement funding rateforthe notes. The use of an
internalfunding rate and any potential changes to that rate may have an adverse effect on the terms ofthe notes and any
secondary market prices of the notes. See "The EstimatedValue of the Notes" in this pricing supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (ANDWHICH MAY BEREFLECTED ONCUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR ALIMITED TIME
PERIOD -
We generally expect thatsome of thecosts includedin the original issue priceof the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zeroover an initial predetermined period.
See "Secondary Market Prices of theNotes" in thispricing supplement for additional information relating to this initial period.
Accordingly, the estimated valueof your notes during this initial period may be lower than the value of the notes aspublished by
JPMS(and which may be shownon your customer accountstatements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUEPRICE 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 takeinto account our internal secondary market funding rates for structured debt issuances and,
also, because secondary market prices may exclude selling commissions, projected hedgingprofits, ifany, 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 secondary market transactions, if atall, islikely to be lower than the original issue price.Anysalebyyou prior to
the MaturityDate could resultin asubstantialloss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondary market priceof the notes duringtheir term will be impacted by a number of economic and marketfactors, which
may either offset or magnifyeach other, aside from the selling commissions, projected hedgingprofits, if any, estimated hedging
costs and the levels ofthe Indices. Additionally,independent pricing vendors and/orthird party broker-dealers may publish a price
for the notes, which may alsobe reflectedon customer account statements. Thisprice maybe different (higher or lower) than the
price of the notes, if any, at which JPMSmay be willing to purchase your notes in the secondary market. See "Risk Factors -
Risks Relating to the Estimated Value and Secondary Market Pricesof theNotes - Secondary market prices of the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
The Indices
The NASDAQ-100 Index
®
is a modified marketcapitalization-weighted index of 100 of the largestnon-financial securities listed onThe
NASDAQ Stock Market based on market capitalization. For additional informationabout the NASDAQ-100 Index
®
, see"Equity Index
Descriptions - The NASDAQ-100Index
®
" in the accompanying underlying supplement.
The Russell 2000
®
Index consists ofthe middle 2,000companies included in theRussell 3000E
TM
Index and, as a result of the index
calculation methodology, consists of the smallest2,000 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. Foradditionalinformation about the
Russell 2000
®
Index, see "Equity Index Descriptions -The Russell Indices" in theaccompanying underlying supplement.
The S&P 500
®
Indexconsists of stocksof 500 companies selected to provide a performance benchmarkforthe U.S. equity markets.
For additional information about the S&P500
®
Index, see "Equity Index Descriptions -The S&PU.S. Indices" in the accompanying
underlying supplement.
Historical Information
The following graphs set forth the historical performance of each Indexbased on theweekly historical closing levels fromJanuary 4,
2019 through August 9, 2024. The closing level of the NASDAQ-100 Index
®
on August9, 2024 was 18,513.10. The closing level of the
Russell 2000
®
Index on August 9, 2024 was 2,080.916. The closing level of the S&P 500
®
IndexonAugust 9, 2024 was 5,344.16. We
obtained the closing levels above and below from the Bloomberg Professional
®
service ("Bloomberg"), without independent verification.
The historical closing levels of each Index shouldnot be taken as an indication of future performance, and no assurancecanbe given
as to the closinglevel of any Index on the Observation Date. Therecanbe no assurance that the performance of the Indices will result
in the return of any of your principal amount.
PS-6| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index
®
, the Russell
2000
®
Index and the S&P 500
®
Index
Historical Performance of theNASDAQ-100 Index
®
Source:Bloomberg
Historical Performance of theRussell 2000
®
Index
Source:Bloomberg
PS-7| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index
®
, the Russell
2000
®
Index and the S&P 500
®
Index
Historical Performance of the S&P 500
®
Index
Source:Bloomberg
Tax Treatment
You should review carefully thesection entitled "Material U.S.Federal Income TaxConsequences" in the accompanying product
supplement no. 4-I. The following discussion, when read in combinationwiththatsection, constitutes the full opinion of our special tax
counsel,Davis Polk & Wardwell LLP, regarding the material U.S.federal income tax consequences of owning and disposing of notes.
Based on current marketconditions, inthe opinion of ourspecial tax counsel it is reasonable to treat thenotes as"open transactions"
that are not debtinstruments for U.S. federal income tax purposes, as more fully describedin "Material U.S. Federal Income Tax
Consequences -Tax Consequences to U.S. Holders -Notes Treated as Open Transactions ThatAre Not DebtInstruments" in the
accompanying product supplement. Assuming thistreatment is respected, the gain or loss on your notes should be treated as long-term
capital gain or lossif you hold your notes for more than ayear, whether or not you are an initial purchaser of notes at the issue price.
However, theIRSor acourt may not respect this treatment, in which case the timing and character of anyincome or loss on the notes
could be materially and adversely affected. In addition, in 2007 Treasury and theIRSreleaseda notice requesting comments on the
U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses inparticular on whether to
requireinvestors in these instruments to accrue income over the term oftheir investment. It alsoasks for commentson a number of
related topics, includingthe character of income or loss with respect to these instruments; the relevance of factors suchas the natureof
the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors shouldbe subject to withholding tax; andwhether theseinstruments are or should be subject to the
"constructive ownership" regime,which very generally can operate to recharacterize certain long-term capital gain as ordinary income
and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any
Treasury regulations or other guidance promulgated after considerationof these issues could materially and adversely affect the tax
consequences of an investment in the notes, possiblywith retroactive effect. You should consult your taxadviser regarding theU.S.
federal income tax consequences of an investment in the notes, including possible alternative treatments and theissues presented by
this notice.
Section 871(m) of the Code and Treasury regulations promulgatedthereunder ("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
financialinstruments linked to U.S. equities or indicesthatinclude U.S. equities. Section871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-basedindices that meet requirements set forth in the applicable
Treasury regulations. Additionally,a recent IRS notice excludes fromthe scope 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.-sourcedividends for U.S. federal
incometax 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 notapply to the notes with regard to Non-U.S. Holders. Ourdetermination isnot binding on the IRS,
and the IRSmay disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enterinto other transactions with respect to an Underlying Security. You should consult yourtax
adviserregarding the potential application of Section 871(m) to the notes.
PS-8| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index
®
, the Russell
2000
®
Index and the S&P 500
®
Index
The Estimated Value of the Notes
The estimatedvalue of thenotes set forth on the cover of this pricing supplement is equal to thesum of the values of the following
hypothetical components: (1) a fixed-incomedebt component with thesame maturity as thenotes,valued using the internalfunding
rate described below, and (2) the derivative orderivatives underlying the economic terms of the notes. Theestimated value of the notes
does not representa minimum price atwhich JPMS would be willing to buy your notesin any secondary market (if anyexists) at any
time. The internal funding rate used in thedetermination of the estimated value of the notes may differ from the market-implied funding
rate for vanilla fixed income instrumentsof a similar maturity issuedby JPMorgan Chase & Co. or its affiliates. Anydifference may be
based on, amongother things, our and ouraffiliates'view of the funding value of the notesas well as the higher issuance, operational
and ongoing liability management costsof the notes in comparison to thosecosts forthe conventional fixed income instruments of
JPMorgan Chase & Co.This internal funding rate is based oncertain marketinputs and assumptions,which may prove to be incorrect,
and isintended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and
any potentialchanges to that rate mayhave an adverse effect on the terms ofthe notes and any secondary market prices of the notes.
For additional information, see "Selected Risk Considerations - The Estimated Value of theNotes Is Derived by Reference to an
Internal FundingRate" in this pricing supplement.
The value of thederivativeor derivatives underlying the economic terms of thenotes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market pricesof comparablederivativeinstrumentsand onvarious
other inputs, some of which aremarket-observable, and which can include volatility, dividend rates, interestrates and other factors, as
wellas assumptions about future market eventsand/or environments. Accordingly, the estimatedvalueof the notes is determined when
the terms ofthe notes are set based on market conditionsand otherrelevant factors and assumptions existing at that time.
The estimatedvalue of thenotes does not represent future values of thenotes and may differ fromothers' estimates.Different pricing
modelsandassumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditionsand other relevant factors in thefuture may change, andany assumptions may prove to be incorrect. On
futuredates, 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 andother relevant factors, which may impact theprice, if any, at
which JPMS would be willing to buy notes from you insecondary market transactions.
The estimatedvalue of thenotes is lower thanthe 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 theselling commissions paid to JPMS
and other affiliatedor unaffiliated dealers, the projected profits, if any, thatour affiliates expect to realize for assuming risks inherent in
hedging ourobligations under the notes and the estimated cost of hedging our obligationsunder the notes. Because hedging our
obligations entailsrisk and may be influenced by market forces beyond ourcontrol, this hedging may result in a profit thatis more or
less than expected, or it may result ina loss. A portion ofthe profits, if any, realized in hedging ourobligations 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 -The Estimated Valueof the Notes Is Lower Than the Original Issue Price (Price to Public) of the
Notes" in thispricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impactany 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 thenotes will be impacted by many
economic and market factors"in the accompanying product supplement. In addition, wegenerally expect that some of the costs
included in the original issue priceof the notes will be partiallypaid back to you inconnection with anyrepurchases of your notes by
JPMSin anamount that will declineto zero over an initial predetermined period. These costs can include selling commissions,
projected hedging profits, if any, and, in somecircumstances, estimated hedging costsand our internal secondary market funding rates
for structured debt issuances. This initial predetermined time period isintended 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 structureof thenotes, whether ouraffiliatesexpect to earn a
profit in connection with our hedging activities, the estimated costs of hedging the notesandwhen these costs are incurred, as
determined by our affiliates. See"SelectedRisk Considerations - The Valueof the Notes as Published by JPMS (and Which May Be
Reflected onCustomer Account Statements) May Be Higher Than the Then-Current Estimated Value of theNotes for a LimitedTime
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 marketexposure provided by the
notes. See "Hypothetical Payout Profile" and "How the Notes Work"in this pricing supplement for anillustration of the risk-return profile
of the notesand"The Indices" in this pricing supplement for adescription of themarket exposureprovided by the notes.
The original issueprice of the notes is equal to the estimated value of the notes plus theselling commissions paidto JPMSand other
affiliatedor unaffiliated dealers, plus (minus) the projectedprofits(losses) that our affiliates expect to realize for assuming risksinherent
in hedging ourobligations under the notes, plus the estimated cost of hedging our obligationsunder thenotes.
PS-9| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index
®
, the Russell
2000
®
Index and the S&P 500
®
Index
Validity of the Notes and the Guarantee
In the opinion of DavisPolk &Wardwell LLP,as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offered by this pricing supplement have been issued byJPMorgan Financial pursuant tothe indenture, thetrustee and/orpaying
agent has made, in accordance with the instructions from JPMorgan Financial, the appropriateentries 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 noteswill be valid and binding obligationsof JPMorgan Financialand therelated guarantee will constitute a
valid and binding obligation ofJPMorgan Chase & Co., enforceable in accordancewiththeir terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, 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 aboveor (ii) any provision of the indenture that purports toavoid the effectof fraudulent conveyance, fraudulent
transfer orsimilarprovision of applicable law bylimiting the amount of JPMorgan Chase & Co.'s obligation under the related guarantee.
This opinion isgiven as of the date hereofandis limited to the laws of theState ofNew York, theGeneral Corporation Law of the State
of Delaware andthe Delaware Limited Liability CompanyAct.In addition, thisopinion is subject to customaryassumptions about the
trustee's authorization, execution and delivery of theindenture and its authentication of themaster note and thevalidity, binding nature
and enforceabilityof the indenturewith respect to the trustee,all as stated in the letter of such counseldated 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 readthis pricingsupplement together with the accompanying prospectus, as supplementedby the accompanying
prospectus supplementrelating to our Series A medium-term notesof which thesenotes areapart, the accompanying prospectus
addendum and the more detailed information contained inthe accompanying product supplementandthe accompanying underlying
supplement. This pricing supplement, together with thedocuments listed below, containsthe termsof the notesandsupersedes all
other prior or contemporaneous oral statements as well asany other written materialsincluding preliminary or indicativepricing terms,
correspondence, trade ideas, structures forimplementation, sample structures, fact sheets, brochures or other educational materials of
ours. You should carefully consider, among other things, the matters set forthin the "Risk Factors" sections of theaccompanying
prospectus supplementand the accompanying productsupplement and in Annex A to the accompanying prospectus addendum, as the
notes involverisks notassociated with conventional debt securities. We urgeyou to consult yourinvestment, legal, tax, accountingand
other advisers before you invest inthe notes.
You mayaccess thesedocuments onthe SEC website at www.sec.gov as follows (or if suchaddress has changed, by reviewing
our filings for the relevant date on the SEC website):
●Product supplement no. 4-I dated April 13, 2023:
●Underlying supplement no.1-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, andJPMorgan Chase & Co.'s CIK is 19617. As usedin this pricing
supplement, "we," "us"and"our" refer to JPMorgan Financial.