JPMorgan Chase & Co.

10/31/2024 | Press release | Distributed by Public on 10/31/2024 11:11

Primary Offering Prospectus - Form 424B2

October 29, 2024RegistrationStatement Nos.333-270004 and 333-270004-01; Rule 424(b)(2)
Pricingsupplement to productsupplement no. 4-IdatedApril 13, 2023, underlyingsupplement no. 5-II datedMarch 5,2024,
the prospectus andprospectussupplement, eachdated April 13, 2023, and the prospectus addendum dated June 3, 2024
JPMorganChase FinancialCompany LLC
Structured Investments
$200,000
Review Notes Linked to the MerQube US Large-Cap
Vol Advantage Index due November 1, 2029
Fully and UnconditionallyGuaranteed by JPMorgan Chase& Co.
•The notes aredesigned for investors who seek early exit prior to maturityat a premium if, on any Review Date, the
closing level of theMerQubeUS Large-Cap Vol AdvantageIndex, which we refer to as the Index, is at or above the
applicableCall Value.
•The earliest date on which an automatic call may be initiated is October 30, 2025.
•Investors should be willing to forgo interest and dividend payments and bewilling to accept the risk of losingsome or all
of their principalamount at maturity.
•The Index is subject to a 6.0% per annum daily deduction. This daily deduction will offset any appreciation of
the futures contracts included in the Index, will heighten any depreciation of those futures contractsandwill
generally be a drag on the performance of the Index. The Index will trail the performance of an identical index
without a deduction. See "Selected Risk Considerations - Risks Relating to the Notes Generally-The Level
of the Index Will Include a 6.0% per Annum Daily Deduction" in this pricing supplement.
•The notes areunsecured and unsubordinated 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.
•Minimum denominations of $1,000 and integral multiples thereof
•The notes priced on October 29, 2024 and are expected tosettle on or about October 31, 2024.
•CUSIP: 48135U2A7
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 accompanyingprospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplement, "Risk Factors" beginning onpage US-4of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor anystate securitiescommission has approved or disapproved
of the notes or passed upon the accuracyor the adequacy of this pricing supplement or theaccompanyingproduct supplement,
underlyingsupplement, prospectus supplement, prospectusand prospectusaddendum. Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$50
$950
Total
$200,000
$10,000
$190,000
(1)See"Supplemental Use ofProceeds"in this pricing supplementfor information aboutthecomponents of the price to public ofthe
notes.
(2)J.P. MorganSecuritiesLLC, which we refer toasJPMS, acting as agentfor JPMorgan Financial,will pay allof theselling
commissions of $50.00 per$1,000 principalamountnote it receives from us toother affiliated orunaffiliated dealers.See "Planof
Distribution (Conflicts of Interest)" in theaccompanyingproduct supplement.
The estimated value of the notes, when the terms of the notes were set,was $884.40per $1,000 principal amount note.
See"The Estimated Value of the Notes" in this pricing supplement for additional information.
The notes arenot bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteed by,a bank.
PS-1 | Structured Investments
Review Notes Linked to theMerQube US Large-Cap VolAdvantageIndex
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:JPMorgan Chase & Co.
Index: The MerQube US Large-Cap Vol Advantage Index
(Bloomberg ticker: MQUSLVA). Thelevel of the Index reflects a
deduction of 6.0% per annum that accrues daily.
Call Premium Amount:TheCall Premium Amount with respect
to each Review Date iscalculated as follows:
$1,000 × Call Premium Rate × N / 252,
where N is equal to 253 + the number of Review Dates preceding
that Review Date.For example, for the first Review Date, N = 253
(equal to253 + 0), for the second Review Date, N = 254 (equal to
253 + 1) and for thefinal Review Date, N = 1,256 (equal to 253 +
1,003).
Call Premium Rate:14.75%
Call Value:The Call Value with respect toeach Review Date is
set forth below:
•first through 1,003rd Review Dates: 100.00% of the Initial
Value
•final Review Date: 60.00% of the Initial Value
Barrier Amount: 60.00% of the Initial Value, which is 2,368.62
Pricing Date:October 29, 2024
Original Issue Date (Settlement Date): On or about October 31,
2024
Review Dates:Each scheduled tradingdayfrom and including
October 30, 2025 to and includingOctober 29, 2029* (final
Review Date)
Call Settlement Date*: If the notes are automatically calledon
any Review Date, the third business day immediately following
that Review Date, provided that if that Review Date is the final
Review Date, the Call Settlement Date will be the Maturity Date
Maturity Date*: November 1,2029
* Subject to postponement in the event of a market disruption event
and as described under "Supplemental Terms of the Notes-
Postponement of a Determination Date - Notes Linked Solely to
an Index" in the accompanying underlying supplement and
"General Terms of Notes-Postponement of a Payment Date" in
the accompanying product supplement, assupplemented by
"Supplemental Terms of the Notes" in this pricing supplement
Automatic Call:
If the closing level of the Index on any Review Date is greater than
or equal to the applicableCallValue, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the Call Premium Amount applicable to
that Review Date, payable on the applicable Call Settlement Date.
No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called (and therefore the
Final Value is less than the Barrier Amount),your payment at
maturityper $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called (and therefore the
Final Value is less than the Barrier Amount), you will lose more
than 40.00% ofyour principal amount at maturity and could lose all
of your principal amount at maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value: The closing level of the Indexon the Pricing Date,
which was 3,947.70
Final Value: The closing levelof the Index on the final Review
Date
PS-2 | Structured Investments
Review Notes Linked to theMerQube US Large-Cap VolAdvantageIndex
The MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-CapVol Advantage Index (the "Index") was developed by MerQube(the "Index Sponsor" and "Index
Calculation Agent"),incoordination withJPMS, and is maintained by the Index Sponsor and iscalculated and published bythe Index
Calculation Agent. The Indexwas established on February11, 2022. An affiliate of ourscurrently has a 10% equityinterest in the
Index Sponsor, with a right toappoint an employee of JPMS, another of our affiliates, as a member of the board of directorsof the
Index Sponsor.
The Index attempts to provide a dynamic rules-based exposure to an unfunded rolling position in E-mini® S&P 500® futures (the
"Futures Contracts"), which reference the S&P 500® Index, while targeting a level of implied volatility, with a maximum exposure to the
Futures Contracts of 500% and a minimum exposureto theFutures Contractsof 0%. The Index is subject to a 6.0%per annum daily
deduction. The S&P 500®Index consists of stocksof 500 companies selected to provide a performance benchmark for the U.S. equity
markets. For more information about the Futures Contractsand the S&P 500®Index, see "Background on E-mini®S&P 500®Futures"
and "Background on the S&P 500® Index," respectively, in the accompanying underlying supplement.
On each weekly Index rebalance day, the exposure to theFutures Contracts is set equal to (a) the 35%implied volatilitytarget (the
"target volatility") divided by (b) the one-week implied volatility of the SPDR® S&P 500®ETF Trust (the "SPY Fund"), subject to a
maximum exposure of 500%. For example, if the implied volatility of the SPY Fund is equal to 17.5%, the exposure to the Futures
Contracts will equal 200% (or35% / 17.5%) and if the implied volatility of the SPY Fund is equal to 40%, the exposure tothe Futures
Contracts will equal 87.5% (or 35% / 40%). The Index's exposure to the Futures Contractswill be greater than 100% when theimplied
volatilityof the SPY Fund is below 35%, and the Index'sexposure to the Futures Contractswill be less than 100% when the implied
volatilityof the SPY Fund is above 35%. In general, the Index'starget volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility featurewere employed. No assurance can be provided that the volatilityof the
Index will bestable at any time.
The investment objective of the SPY Fund is toprovideinvestment results that, before expenses, correspond generally to the price and
yield performance of the S&P500®Index. For more informationabout the SPY Fund, see "Background on the SPDR® S&P 500® ETF
Trust" in the accompanying underlying supplement. The Index uses the impliedvolatilityof the SPY Fund asa proxy for the volatilityof
the Futures Contracts.
The 6.0% per annum daily deduction will offset any appreciation of the Futures Contracts, will heighten any depreciation ofthe Futures
Contracts and will generally be a drag on the performance of the Index. The Index will trailthe performance of anidentical index
without a deduction.
Holding the estimated value of the notes and market conditions constant, theCall PremiumRate, the Barrier Amount and the other
economic terms available on the notes are morefavorable to investors than the terms that would be available on a hypotheticalnote
issued by uslinked to an identical index without a daily deduction. However, there canbe no assurance that any improvement in the
terms of the notes derived from the dailydeduction willoffset the negative effect of the daily deduction on the performance of the
Index. The return on the notes may be lower than the return on a hypothetical note issued by us linked to an identicalindex withouta
daily deduction.
The daily deduction and thevolatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates'internalpricing models use to value the derivative or derivatives underlying the economicterms of the notes for purposes of
determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivatives underlying the economic terms of the notes.See "The Estimated Value of the Notes"
and "Selected Risk Considerations -Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with theuse of significant leverage. In addition, the Index may besignificantly
uninvested on any given day, and, in that case, will realize only aportion of any gains due to appreciation of theFutures
Contracts on that day. The index deduction is deducted daily at a rate of 6.0% per annum, even when the Index is not fully
invested.
No assurancecan be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successful or will outperform any alternative indexor strategy thatmight reference the Futures Contracts.
For additional information about the Index, see "TheMerQube Vol Advantage Index Series" in the accompanyingunderlying
supplement.
PS-3 | Structured Investments
Review Notes Linked to theMerQube US Large-Cap VolAdvantageIndex
Supplemental Terms of the Notes
The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended
(the "Commodity Exchange Act").The notes are offered pursuant to an exemption from regulation under the Commodity Exchange
Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or more payments indexed to the
value, level or rate of one or more commodities, asset out insection 2(f) of that statute. Accordingly, you are not afforded any
protection provided by the Commodity Exchange Act or anyregulation promulgated by the Commodity Futures Trading Commission.
Notwithstandinganything to the contrary set forth in the accompanying underlying supplement, the Review Dates (other than the final
Review Date) are not subject to postponement as describedunder "Supplemental Termsof the Notes -Postponement of a
Determination Date -NotesLinked Solely toan Index" in the accompanying underlyingsupplement. If a Review Date (other than the
final Review Date) is a Disrupted Day (asdefined in the accompanying product supplement), that Review Date will not bepostponed
and an automatic call will not be triggered on that Review Date. However, the final Review Date is subject to postponement as
described under "Supplemental Termsof the Notes -Postponement of a Determination Date-Notes Linked Solely to an Index" in
the accompanying underlyingsupplement.
Notwithstandinganything to the contrary set forth in the accompanying product supplement, solely for purposes of determining the
applicable Call Settlement Date if an automatic callis triggered, Good Friday isdeemednot to be a business day.
Any values of the Index, and any valuesderived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to the contraryin the indenture governing the notes, that amendment willbecomeeffective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payment upon an Automatic Call
Payment at MaturityIf the Notes Have Not Been Automatically Called
Thenotes will be automaticallycalled ontheapplicable Call Settlement Date and youwill
receive (a)$1,000 plus (b)the Call Premium Amount applicable to that ReviewDate.
No furtherpayments will bemade onthe notes.
ReviewDates
AutomaticCall
Theclosing level of the
Indexis greaterthan or
equal totheapplicable
Call Value.
Theclosing level of the
Indexis less than the
applicable Call Value.
Call
Value
Compare the closinglevel of the Indexto the applicable Call Value oneachReviewDateuntil anyearlier automatic call.
Thenotes will not be automaticallycalled. Proceedto the next ReviewDate, if any.
NoAutomaticCall
ReviewDates
Thenotes havenot
beed automatically
called. Proceed to the
payment at maturity.
Payment at Maturity
You will receive:
$1,000 + ($1,000 × IndexReturn)
Under thesecircumstances, youwill lose some or all of yourprincipal amount at maturity.
PS-4 | Structured Investments
Review Notes Linked to theMerQube US Large-Cap VolAdvantageIndex
Call Premium Amount
The Call Premium Amount with respect toeach Review Date is determined as follows: $1,000 × Call Premium Rate × N /252, where N
is equal to 253 + the number of Review Dates preceding thatReview Date. For example, for the first Review Date, N = 253 (equal to
253 + 0), for the second Review Date, N = 254 (equal to 253+ 1) and for the final Review Date, N = 1,256 (equal to 253 + 1,003).The
Call Premium Rateis14.75%. Based on the Call Premium Rate of 14.75%, the Call Premium Amount with respect to the first Review
Date is $148.0853 and the Call Premium Amount with respect to the final Review Dateis$735.1587.
Hypothetical Payout Examples
The followingexamples illustrate payments on the noteslinked to ahypothetical Index, assuming a range of performances for theIndex
on the Review Dates.
In addition, the hypothetical paymentsset forth below assume the following:
•an Initial Value of 100.00;
•the Call Values set forth under "Key Terms -Call Value" above;
•a Barrier Amountof 60.00 (equal to 60.00%of the hypotheticalInitial Value); and
•a Call Premium Rate of 14.75%.
The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only anddoesnot representthe actual Initial Value.
The actualInitial Value is theclosing levelof the Indexon the Pricing Date and isspecified under "Key Terms -Initial Value" in this
pricing supplement. For historical data regarding the actual closing levels of the Index, please see the historical information set forth
under "Hypothetical Back-Tested Data and Historical Information" in thispricing supplement.
Each hypothetical payment set forth below isfor illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of the notes. Thenumbers appearing in the following exampleshave been rounded for ease of analysis.
Example 1- Notes are automatically called on the first Review Date.
Date
ClosingLevel
First Review Date
130.00
Notes are automatically called
Total Payment
$1,148.0853 (14.80853% return)
Because the closing level of the Indexon the first Review Date isgreater than or equal tothe applicableCall Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,148.0853 (or $1,000 plus the Call Premium
Amount applicable to the first Review Date), payable on theapplicable Call Settlement Date. No further payments will be made onthe
notes.
Example 2- Notes are automatically called on the final Review Date.
Date
ClosingLevel
First Review Date
80.00
Notes NOT automaticallycalled
Second Review Date
75.00
Notes NOT automatically called
Third through 1,003rd
Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
90.00
Notes are automatically called
Total Payment
$1,735.1587 (73.51587% return)
Because the closing level of the Index on each of the first through 1,003rdReview Dates is lessthan the applicable Call Value, the notes
are not automaticallycalledinconnection with these Review Dates. However, becausethe closing level of the Index on the final
Review Date is greater than or equal to the applicable Call Value, even though the closing level of the Index is less than the Initial
Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,735.1587 (or $1,000 plus
the Call Premium Amount applicable to the finalReview Date), payable on the applicable Call Settlement Date, which is the Maturity
Date.
PS-5 | Structured Investments
Review Notes Linked to theMerQube US Large-Cap VolAdvantageIndex
Example 3- Notes have NOT been automatically called.
Date
Closing Level
First Review Date
80.00
Notes NOT automatically called
Second Review Date
85.00
Notes NOT automatically called
Third through 1,003rd
Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
40.00
Notes NOT automatically called (and therefore Final Value is less
than Barrier Amount)
Total Payment
$400.00 (-60.00% return)
Because the notes have not been automatically called (and therefore the Final Value is less than the Barrier Amount) and the Index
Return is-60.00%, the payment at maturity will be $400.00per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)]= $400.00
The hypothetical returnsand hypothetical payments on the notesshown above apply onlyif you hold the notes for their entire term
or until automatically called.These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the
secondarymarket. If these fees and expenses were included, thehypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notesinvolves significant risks. These risks are explained in more detail in the "Risk Factors"sections of the
accompanying prospectus supplement, product supplement and underlying supplementand in Annex A totheaccompanying
prospectusaddendum.
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 notes have not been automatically called (and therefore the FinalValue
is less than the Barrier Amount), you will lose 1% of the principalamount of your notes for every1% that the Final Value is less
than the Initial Value. Accordingly, under these circumstances, you willlose more than 40.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
•THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction. The level of the Index will trail the valueof an identicallyconstituted
synthetic portfolio that is not subject to any such deduction.
Theindex deduction will placea significant drag on the performance of the Index, potentially offsetting positive returns on the
Index's investment strategy, exacerbating negative returns of itsinvestment strategyand causing the level of the Index to decline
steadily if the return of itsinvestment strategy is relatively flat. The Index willnot appreciate unless the return of its investment
strategy issufficient to offset the negative effects of the index deduction, and then only to the extent that the return of itsinvestment
strategy isgreater than the index deduction. As a result of the indexdeduction, thelevel of the Index may decline even if the return
of its investmentstrategy is positive.
The daily deduction is one of the inputs our affiliates' internal pricing models use to value the derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimated value of thenotes set forth on the cover of this pricing
supplement. The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and SecondaryMarket Prices of
the Notes" in thispricing supplement.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our andJPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined bythe 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 maynot receive any amounts owed to youunder the notes and you could lose your entire investment.
PS-6 | Structured Investments
Review Notes Linked to theMerQube US Large-Cap VolAdvantageIndex
•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 fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments under loansmade by us to
JPMorgan Chase & Co.or under other intercompany agreements.As a result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co. and in a
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 toseek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rankpari passuwith allother unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of the Index, which maybe significant. You will not participate in any appreciation of the Index.
•THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE -
If the notes have not been automatically called (and therefore the Final Value isless than the Barrier Amount), the benefit provided
by the Barrier Amount will terminate and you will be fully exposed to any depreciation of the Index.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT-
If your notes are automatically called, the term of the notes may be reduced to asshort asapproximatelyone year. Thereis no
guarantee that you would be able to reinvest the proceeds from an investment in the notesat a comparable return for a similar
level of risk.Even in cases where the notes arecalledbefore maturity, you are not entitled to any fees and commissions described
on the front cover of thispricing supplement.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500®
INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING
THE INDEX.
•THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE LEVEL
OF THE INDEX IS VOLATILE.
•JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DOSO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigationof the meritsof investing in the notes, the Index and the futurescontractscomposing the Index.
•LACK OF LIQUIDITY -
The notes will not belistedonany securities exchange.Accordingly, the price at whichyou may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes.Youmay not be able to sell your notes.The notes
are not designed to be short-term trading instruments. Accordingly, you should beable and willing to hold your notes to maturity.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay avarietyof roles in connection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economicinterests 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 notescould result in substantial returns for us or our affiliateswhile the
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to appoint an employeeof JPMS, another
of our affiliates, as a member of the board of directors of the Index Sponsor. The Index Sponsor can implement policies, make
judgments or enact changes to the Indexmethodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
PS-7 | Structured Investments
Review Notes Linked to theMerQube US Large-Cap VolAdvantageIndex
affect the value of the notes. The Index Sponsor has noobligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates andour respectiveemployees are under no obligation toconsider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the roleof
an employee of JPMS asa member of the board of directors of theIndex Sponsor.
In addition, JPMS worked with the Index Sponsor indeveloping the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for whichJPMS was
responsible couldhave an impact, positive or negative, on the levelof the Index and the value of your notes. JPMS is underno
obligation to consider your interests as aninvestor in the notes in its role indeveloping the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
Risks Relating to theEstimated 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 -
Theestimated value of the notesis only an estimate determined by reference to several factors. The originalissuepriceof the
notes exceedsthe estimated value of the notes becausecosts associated with selling, structuring and hedging the notesare
included in the original issue price of the notes.These costsinclude the selling commissions, the projectedprofits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimatedcost of hedging
our obligations under the notes. See "The Estimated Valueof the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"TheEstimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TOAN INTERNAL FUNDING RATE -
The internal funding rate usedin the determinationof the estimated value of the notes maydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifferencemay
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 comparisonto those costs for theconventional 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 to approximate the prevailing market replacement funding rate for the notes. The use of an
internalfunding rate and any potential changes to that rate may have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Valueof 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 noteswill be partially paid back to you in
connection with any repurchases of your notes byJPMS in an amount that willdecline to zero over an initial predetermined period.
See"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 thisinitial period maybe lower than the value of the notes aspublished by
JPMS (and which may be shown onyour customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket pricesof thenotes willlikely be lower than the original issue price of the notes because, among other
things, secondary market prices take intoaccount our internal secondarymarket funding ratesfor 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 inthe original issue price of the notes.As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
theMaturity Datecould result in a substantialloss 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 eachother, asidefrom the selling commissions, projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendorsand/or third party broker-dealersmay publish a price for
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the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes- Secondarymarket prices of the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to theIndex
•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 takinganycorporate action that might affect
the level of the S&P 500® Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS-
No assurance can be given that the investment strategyon which the Index is based will be successful or that the Indexwill
outperformany alternative strategythat might be employed with respect to the Futures Contracts.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurance can be given that the Index willmaintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realizedvolatility of the Index may be
greater or less than the target volatility.On each weekly Index rebalance day, the Index'sexposure to the Futures Contracts is set
equal to (a) the 35% impliedvolatility target divided by (b) the one-week implied volatilityof the SPY Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.
However, there is no guarantee that the methodology used by the Index to determine the implied volatility of the SPY Fund will be
representative of the implied or realized volatility of the Futures Contracts. The performance of the SPY Fundmay not correlate
with the performance of the Futures Contracts, particularlyduring periodsof market volatility. In addition, the volatility of the
Futures Contracts on any day maychange quicklyand unexpectedly and realizedvolatilitymaydiffer significantly fromimplied
volatility. In general, over time, the realized volatilities of theSPY Fund and the Futures Contracts have tended to be lower than
their respective impliedvolatilities; however, at any time those realized volatilities mayexceed their respective implied volatilities,
particularly during periods of market volatility. Accordingly, the actual annualized realized volatilityof the Index may be greater
than or lessthan the target volatility, which mayadversely affect the level of the Index and the value of the notes.
•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE -
On a weeklyIndex rebalanceday, the Index will employ leverage to increase the exposureof the Index to the Futures Contracts if
the impliedvolatility of the SPY Fund isbelow 35%, subject to a maximum exposure of 500%. Under normal market conditions in
the past, the SPY Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leveragein the past, except during periods of elevatedvolatility. When leverage is employed, any movements in the prices of the
Futures Contracts will result in greater changesin the level of the Index than if leverage were not used. In particular, theuseof
leverage will magnify any negative performance of the Futures Contracts, which, in turn, would negatively affect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where asignificant increase in volatility is
accompanied by a significant decline in the value of the Futures Contracts, the level of the Index may declinesignificantly before
the following Index rebalance day when the Index's exposure to the Futures Contracts would be reduced.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalanceday, the Index's exposureto the Futures Contracts will be less than 100% when the implied volatility
of the SPY Fund is above 35%. If the Index'sexposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Futures Contracts on anysuch day. The 6.0% per annumdeduction
is deducted daily, even when the Index isnot fully invested.
•THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN
EXPIRING FUTURES CONTRACT INCLUDED IN THE INDEX-
As the Futures Contracts included in the Indexcome to expiration, they are replaced by Futures Contractsthat expirethree months
later. This is accomplished by synthetically selling the expiring Futures Contract andsynthetically purchasing the Futures Contract
that expires three months from that time. This process is referred to as "rolling."Excludingother considerations, if the market for
the Futures Contracts is in "contango," where the prices arehigher in thedistant deliverymonths than in thenearer delivery
months, the purchase of the later Futures Contract would take place at a price that is higher than theprice of the expiringFutures
Contract, thereby creating a negative "roll yield."In addition, excluding other considerations, if the market for the FuturesContracts
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is in "backwardation," where the prices are lower in the distant delivery months than in the nearer delivery months, the purchase of
the later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, therebycreating
a positive "roll yield."The presence of contango in the market for the Futures Contracts could adversely affect the levelof the
Index and, accordingly, any payment on the notes.
•THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT "TOTAL RETURNS"-
The Index is an excess return index that does not reflect total returns. The return frominvesting in futurescontractsderives from
three sources: (a) changes in the priceof the relevant futures contracts (which isknown as the "price return"); (b) anyprofit or loss
realized when rollingthe relevant futures contracts (which is known as the "roll return"); and (c) any interest earned on thecash
deposited as collateral for the purchase of the relevant futures contracts (which is known as the "collateral return").
The Index measures the returns accrued frominvesting in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated with an investment in the Futures Contracts).By contrast, a total return index, in addition to reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e., the
collateral return associated with aninvestment in the Futures Contracts). Investing in the notes will not generate the same return
as would be generated frominvesting in a total returnindex related to the Futures Contracts.
•CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES -
The Index generally providesexposure to a single futures contract on theS&P 500®Index that trades on the ChicagoMercantile
Exchange. Accordingly, the notes are less diversified than other funds, investment portfolios or indices investingin or tracking a
broader range of products and, therefore, could experience greater volatility. You should be aware that other indicesmay be more
diversified than the Indexin terms of both the number and varietyof futures contracts. You will not benefit, with respect to the
notes, from any of the advantages of a diversified investment and will bear the risks of a highlyconcentrated investment.
•THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY -
The Index tracks the returnsof futurescontracts. The price of a futures contract depends not only on the price of the underlying
asset referencedbythe futures contract, but also ona range of other factors, including but not limited to changing supplyand
demand relationships, interestrates, governmentaland regulatorypoliciesand the policies of theexchanges on which the futures
contracts trade. In addition, the futuresmarkets are subject to temporary distortions or other disruptions due tovarious factors,
including the lack of liquidity in the markets, the participation of speculators andgovernment regulation and intervention.These
factors and others can cause the pricesof futurescontracts to be volatile.
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES-
Futures marketslike the Chicago Mercantile Exchange, themarket for theFutures Contracts, are subject totemporarydistortions
or other disruptions due to various factors, including thelack of liquidity in themarkets, the participation of speculators, and
government regulation and intervention. In addition, futuresexchangeshave regulations that limit theamount of fluctuation in
some futures contract prices that mayoccur during a singleday. These limits are generally referred to as "daily price fluctuation
limits" andthe maximum or minimum price of a contract on any given day as a result of these limitsis referred to as a "limit price."
Once the limit pricehasbeen reached in aparticular contract, no trades may be madeat aprice beyond the limit, or trading may
be limited for aset period of time. Limit prices have the effect of precludingtradingin a particular contract or forcing the liquidation
of contractsat potentially disadvantageous times or prices. These circumstances could affect the level of the Index and therefore
could affect adversely the value of your notes.
•THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE-
The officialsettlement price and intraday trading prices of the Futures Contractsare calculated and published by the Chicago
Mercantile Exchange and are used tocalculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price and intraday trading prices and may delay or prevent the calculation
of the Index.
•CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY
ADVERSELY AFFECT THE VALUE OF THE NOTES-
Futures exchanges require market participants topost collateral in order to open and to keep open positions in futures contracts. If
an exchange changes the amount of collateral required to be postedto holdpositions in the Futures Contracts, market participants
mayadjust their positions, which mayaffect the prices of theFutures Contracts. As a result, the level of the Index may be affected,
whichmay adversely affect the value of the notes.
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•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Data and Historical Information"
in thispricing supplement is purely theoretical and does not represent the actual historicalperformance of the Index andhas not
been verified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed withthebenefit of hindsight.Alternative modellingtechniquesmight produce significantly different resultsandmay prove
to be more appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations andyou shouldcarefully consider these limitations before placing reliance on such
information.
•OTHER KEY RISKS:
oTHE INDEX WAS ESTABLISHED ONFEBRUARY 11, 2022AND MAY PERFORM IN UNANTICIPATED WAYS.
oHISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE
PERFORMANCE OF THE INDEX DURING THE TERM OF THE NOTES.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-listed
and other risks.
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Hypothetical Back-Tested Data and Historical Information
The following graph sets forththe hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January4, 2019 through February 4, 2022, and the historicalperformance of the Index based on the
weekly historical closing levels of the Index from February 11, 2022 through October 25, 2024. The Index was established on February
11, 2022, as represented by the vertical line in the followinggraph. All data to the left of that vertical line reflect hypothetical back-
tested performance of the Index. All data to the right of that vertical line reflect actual historicalperformance of the Index. The closing
level of the Index onOctober 29, 2024 was 3,947.70. We obtained the closing levels aboveand below from the Bloomberg
Professional®service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of theIndex set forth in the following graphare purely theoretical and do not
represent the actualhistoricalperformance of the Index.See "Selected Risk Considerations- Risks Relating to the Index -
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations"
above.
The hypothetical back-tested and historical closing levels ofthe Indexshould not be takenas an indication of future performance, and
no assurance can be given as to the closinglevel of the Index onany Review Date.There canbe no assurance that the performance
of the Index will result in the return of any of yourprincipalamount.
The hypothetical back-testedclosing levels of the Index have inherent limitations and have not beenverified by anindependent third
party. These hypotheticalback-testedclosing levels are determined by means of a retroactiveapplication of a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither anindicator nor a guarantee of future returns. No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closinglevels of theIndex that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal IncomeTax Consequences" in the accompanying product
supplement no. 4-I. The following discussion, when read incombination with that section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal incometax consequences of owning and disposing of notes.
Basedon current market conditions, in the opinion of our special tax counselit is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, asmorefully described in "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.Assuming this treatment is respected, the gain or losson your notes should be treated aslong-
termcapitalgain or loss if you holdyour notes for more than a year, whether or not you arean initial purchaser of notes at the issue
price. However, the IRS or acourt may not respect this treatment, in which casethetiming and character of any income or loss on the
notes could bemateriallyand adversely affected.In addition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of "prepaidforwardcontracts" and similar instruments. The notice focuses in particular on
whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
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number of related topics, includingthe character of income or loss with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments arelinked; the degree, if any, to which income (including any mandated
accruals) realized bynon-U.S. investorsshould be subject to withholding tax; and whether these instruments are or should besubject
to the "constructive ownership" regime, which very generally canoperate to recharacterize certain long-termcapital gain as ordinary
income and impose a notionalinterest charge. While the notice requestscomments onappropriate transition rules and effective dates,
any Treasury regulations or other guidancepromulgated after consideration of these issues could materially and adversely affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. You should consult your taxadviser regarding the
U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issuespresented
by thisnotice.
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 equivalentspaid or deemedpaid to Non-U.S. Holders with respect to certain
financial instrumentslinked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations. Additionally, a recent IRS notice excludes 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.-source dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinationsmade by us, our special tax counsel isof the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.Our determination is not binding on the
IRS, and the IRS may disagree with this determination. Section 871(m) is complex and itsapplication may depend on your particular
circumstances, including whether you enter intoother transactions with respect to an Underlying Security. You should consult your tax
adviser regarding the potential application of Section 871(m) to thenotes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement is equal to thesum of the values of thefollowing
hypothetical components: (1) a fixed-income debt component withthesame maturity asthe notes, valued using the internalfunding
rate described below, and (2) the derivative or derivatives underlying the 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 secondarymarket (if anyexists) at
any time. The internal funding rate used in the determination of the estimated value of thenotes maydiffer from the market-implied
fundingrate for vanilla fixed income instrumentsof asimilar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybe 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 comparisonto those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal fundingrate is based on certainmarket inputs and assumptions, whichmay prove
to be incorrect, and is intended to approximatetheprevailing market replacement fundingrate for thenotes. The use of an internal
fundingrate and any potential changes to that rate may have an adverse effect on the terms of the notes and anysecondary market
prices of the notes. For additional information, see "Selected Risk Considerations- Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes- The Estimated Value of the Notes Is Derived by Reference to anInternal FundingRate" in this
pricing supplement.
The value of the derivativeor derivativesunderlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates. These modelsare dependent on inputssuch as the traded market prices of comparable derivative instruments and on
various other inputs, someof whicharemarket-observable, and which can includevolatility, 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 set based on market conditions and other relevant factors and assumptions existing at that
time.
The estimated value of thenotes does not represent future values of thenotes and may differ from others' estimates. Different pricing
modelsand assumptionscould 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, thevalue of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, 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 the notes is lowerthan the original issue price of the notes because costs associated withselling, structuring
and hedging the notes are includedin the original issue price of the notes. These costsinclude the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimatedcost of hedging our obligationsunder thenotes. Because hedgingour
obligations entails riskand may be influenced by market forces beyond our control, thishedging may result in a profit that ismoreor
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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 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 SecondaryMarket Prices ofthe Notes - The Estimated
Value of the Notes Is LowerThan the Original Issue Price (Price to Public) of the Notes" inthispricing 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 Pricesof the Notes-Secondary market prices of the notes will be impactedbymany
economic and market factors"in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes willbe partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costscan include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimatedhedging costs andour internal secondarymarket 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 lengthof any such initial period reflects thestructure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimatedcosts 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 pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile andmarket exposure provided by the
notes. See "How the Notes Work"and "Hypothetical Payout Examples" in this pricingsupplementfor an illustration of the risk-return
profile of the notes and"TheMerQube US Large-Cap Vol Advantage Index" in thispricingsupplementfor a description of the market
exposure provided by the notes.
The originalissue price of thenotes is equal to the estimated value of the notes plus the selling commissions paidto JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliatesexpect to realize for assuming risks inherent
in hedging our obligations under thenotes, 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., when the
notesoffered by this pricing supplement have been issued by JPMorgan Financialpursuant 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 suchnotes(the "master note"), and such noteshave beendelivered against payment as
contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitutea
valid and binding obligationof 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
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressedabove or (ii) any provision of 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.
Thisopinion 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 deliveryof the indenture andits authentication of themaster note and thevalidity, binding nature
and enforceabilityof the indenture with respect to the trustee, allasstated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. onFebruary 24,
2023.
Additional Terms Specific to the Notes
You should read thispricing supplement together with the accompanying prospectus, as supplementedbythe accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricingsupplement, 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 materialsincluding preliminary or indicative pricing terms,
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correspondence,trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materials of
ours. You should carefully consider, among other things, the matters set forth in the "RiskFactors" sections of the accompanying
prospectus supplement, the accompanyingproduct supplement and the accompanyingunderlying supplementand in Annex A to the
accompanying prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisersbefore you invest in the notes.
You may access these documents on the SEC websiteat www.sec.gov as follows (or if such address has changed, by
reviewing our filings for the relevant date on the SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 5-II dated March5, 2024:
•Prospectus supplement and prospectus, 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 thispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.