JPMorgan Chase & Co.
10/31/2024 | Press release | Distributed by Public on 10/31/2024 14:37
Primary Offering Prospectus - Form 424B2
The information in this preliminary pricing supplement is notcomplete and maybe changed. This preliminary pricing supplement is not
an offer to sell nordoes itseek an offer tobuy these securities in any jurisdiction where the offer or sale is not permitted.
Subjectto completion datedOctober 31,2024
November,2024Registration Statement Nos.333-270004and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplementno. 4-Idated April13, 2023, underlyingsupplement no.5-IIdatedMarch 5,2024,
the prospectus andprospectus supplement, eachdatedApril 13, 2023,andtheprospectusaddendumdatedJune 3,2024
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest NotesLinked to the
MerQube US Tech+ Vol Advantage Indexdue November 27,
2029
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
•Thenotes are designed for investors whoseek a Contingent Interest Payment with respect to each Review Date for
which theclosing level of theMerQube US Tech+ Vol Advantage Index, which we refer to as the Index,is greater than or
equal to 80.00% of the Initial Value, which we refer to as the Interest Barrier.
•If theclosing level of theIndex is greater than or equal to the Interest Barrier on any Review Date, investors will receive,
in addition to the Contingent Interest Payment with respect to that Review Date, any previouslyunpaid Contingent
Interest Payments for prior Review Dates.
•Thenotes will be automatically calledif the closing levelof the Index on any Review Date (other thanthe first through
eleventh and finalReview Dates) is greater than or equal totheInitial Value.
•The earliest dateon which an automatic call may be initiated isNovember 21, 2025.
•Investors shouldbe willing to accept the riskof losing up to 70.00% of their principal and the risk that no Contingent
Interest Payment may bemade with respect tosome or allReview Dates.
•Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
ContingentInterest Payments.
•The Index is subject to a 6.0% per annum daily deduction,and the performance of the Invesco QQQ TrustSM,
Series 1 (the "QQQ Fund") is subject toa notional financing cost. These deductions will offset any appreciation
of the components of the Index, will heighten any depreciation of those components and will generally be a drag
on the performance of the Index. The Index will trail the performance of an identical indexwithout such
deductions. See "Selected Risk Considerations -Risks Relating to the Notes Generally- The Level of the
Index Will Include a 6.0% per Annum Daily Deduction" and "Selected Risk Considerations- Risks Relating to
the Notes Generally-The Level of the Index Will Include the Deduction of a Notional Financing Cost" in this
pricing supplement.
•The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which
we refer to as JPMorgan Financial, thepayment 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 riskofJPMorgan Chase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integralmultiplesthereof
•Thenotes are expected to price on or aboutNovember 21, 2024and are expected to settle on or aboutNovember 26,
2024.
•CUSIP: 48135VCT3
Investing in the notes involves a number of risks. See "Risk Factors"beginning on page S-2 of the accompanying
prospectus supplement,Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplement, "Risk Factors" beginning on page US-4 of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on pagePS-8of 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 uponthe accuracyor the adequacy ofthis pricing supplementor theaccompanying product supplement,
underlyingsupplement, prospectus supplement, prospectus and prospectusaddendum.Any representation to the contrary is a
criminal offense.
Price to Public (1)
Feesand Commissions(2)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1)See "Supplemental Use of Proceeds" in this pricingsupplement for information about the components of theprice to publicofthe
notes.
(2)J.P.Morgan Securities LLC, which we refertoas JPMS, acting as agent for JPMorganFinancial,will pay allof the selling
commissionsit receives fromusto otheraffiliatedor unaffiliated dealers.Innoevent willtheseselling commissions exceed $40.00 per
$1,000 principalamountnote.See "Plan ofDistribution (Conflicts ofInterest)" in theaccompanying product supplement.
If the notes priced today, the estimated value of the notes would be approximately$912.90per $1,000 principal amount
note. The estimated value of the notes, when the termsof the notes are set, will be provided in the pricing supplement
and will not be less than $900.00per $1,000principal amount note.See "The Estimated Value of the Notes" in this
pricing supplement for additional information.
Thenotes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
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 Tech+ Vol Advantage Index
(Bloombergticker: MQUSTVA). Thelevel of the Indexreflects
a deductionof 6.0% per annum that accruesdaily, andthe
performance of the QQQ Fund issubject to a notional financing
cost that accrues daily.
Contingent Interest Payments:If the notes have not been
automaticallycalled and theclosing level of the Index on any
Review Date is greater than or equal to the Interest Barrier, you
will receiveon the applicableInterest Payment Date for each
$1,000 principal amount notea Contingent Interest Payment
equal to at least $7.0833 (equivalent to a Contingent Interest
Rate of at least 8.50% per annum, payable at a rate of at least
0.70833%per month) (tobe provided in the pricing
supplement), plus anypreviouslyunpaid Contingent Interest
Payments for any prior Review Dates.
If the Contingent Interest Payment isnot paid onany Interest
Payment Date, that unpaid Contingent Interest Payment will be
paidon a later Interest Payment Dateif the closing level of the
Index on the Review Date related to that later Interest Payment
Date is greater than or equal to the Interest Barrier. You will not
receiveany unpaid Contingent Interest Payments if the closing
level of the Index on each subsequent Review Date isless than
the Interest Barrier.
Contingent Interest Rate: Atleast8.50% per annum, payable
at a rate ofat least 0.70833% per month(to be provided in the
pricingsupplement)
Interest Barrier:80.00% of the Initial Value
Buffer Threshold:70.00% of the Initial Value
Buffer Amount:30.00%
Pricing Date: On or aboutNovember 21, 2024
Original Issue Date (Settlement Date): On or about November
26, 2024
ReviewDates*:December 23, 2024, January 21, 2025,
February 21, 2025, March 21, 2025, April 21, 2025, May 21,
2025, June 23, 2025, July 21, 2025, August 21, 2025,
September 22, 2025, October 21, 2025, November 21, 2025,
December 22, 2025, January21, 2026, February 23, 2026,
March 23, 2026, April 21, 2026, May 21, 2026, June 22, 2026,
July 21, 2026, August 21, 2026, September 21, 2026, October
21, 2026, November 23, 2026, December 21, 2026, January 21,
2027, February22, 2027, March 22, 2027, April21, 2027, May
21, 2027, June 21, 2027, July 21, 2027, August 23, 2027,
September 21, 2027, October 21, 2027, November 22, 2027,
December 21, 2027, January21, 2028, February 22, 2028,
March 21, 2028, April 21, 2028, May 22, 2028, June 21, 2028,
July 21, 2028, August 21, 2028, September 21, 2028, October
23, 2028, November 21, 2028, December 21, 2028, January 22,
2029, February21, 2029, March 21, 2029, April23, 2029, May
21, 2029, June 21, 2029, July 23, 2029, August 21, 2029,
September 21, 2029, October 22, 2029 and November 21, 2029
(final Review Date)
Interest Payment Dates*:December 27, 2024, January 24,
2025, February26, 2025, March 26, 2025, April24, 2025, May
27, 2025, June 26, 2025, July 24, 2025, August 26, 2025,
September 25, 2025, October 24, 2025, November 26, 2025,
December 26, 2025, January26, 2026, February 26, 2026,
March 26, 2026, April 24, 2026, May 27, 2026, June 25, 2026,
July 24, 2026, August 26, 2026, September 24, 2026, October
26, 2026, November 27, 2026, December 24, 2026, January 26,
2027, February25, 2027, March 25, 2027, April26, 2027, May
26, 2027, June 24, 2027, July 26, 2027, August 26, 2027,
September 24, 2027, October 26, 2027, November 26, 2027,
December 27, 2027, January26, 2028, February 25, 2028,
March 24, 2028, April 26, 2028, May 25, 2028, June 26, 2028,
July 26, 2028, August 24, 2028, September 26, 2028, October
26, 2028, November 27, 2028, December 27, 2028, January 25,
2029, February26, 2029, March 26, 2029, April26, 2029, May
24, 2029, June 26, 2029, July 26, 2029, August 24, 2029,
September 26, 2029, October 25, 2029 and theMaturity Date
Maturity Date*:November 27, 2029
Call Settlement Date*:If thenotes are automatically called on
any Review Date (other than the first through eleventhandfinal
Review Dates), the first Interest Payment Date immediately
following that Review Date
Automatic Call:
If theclosing level of the Index on anyReview Date (other than
the first through eleventh and finalReview Dates) is greater
than or equal to the Initial Value, the notes will be automatically
called for acash payment, for each $1,000 principal amount
note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment applicable tothat Review Date plus (c) anypreviously
unpaid Contingent Interest Paymentsfor any prior Review
Dates, payable on the applicable Call Settlement Date.No
further payments will bemade on the notes.
Payment at Maturity:
If thenotes have not beenautomatically called and the Final
Valueisgreater than or equal to the Buffer Threshold, you will
receivea cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000plus (b) the Contingent
Interest Payment, if any,applicable to the final Review Date
plus(c) if the Contingent Interest Payment applicable to thefinal
Review Date is payable,any previously unpaid Contingent
Interest Payments for any prior Review Dates.
If thenotes have not beenautomatically called and the Final
Valueisless than theBuffer Threshold, your payment at
maturityper $1,000 principal amount notewill be calculatedas
follows:
$1,000 + [$1,000 ×(Index Return + Buffer Amount)]
If thenotes have not beenautomatically called and the Final
Valueisless than the Buffer Threshold, you will lose some or
most of your principalamount at maturity.
Index Return:(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Indexon the Pricing Date
Final Value:The closing level of the Indexon the final Review
Date
* 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- Postponementof a
Payment Date" in the accompanying product supplement
PS-2| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
The MerQube US Tech+Vol Advantage Index
The MerQube US Tech+ VolAdvantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "Index Calculation
Agent"),in coordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the IndexCalculation
Agent.TheIndex was established on June 22, 2021.An affiliateof ourscurrently has a 10% equityinterest intheIndexSponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of the board of directors of the Index Sponsor.
Since February 9,2024 (the "Amendment Effective Date"), the underlying asset to which the Indexis linked (the "Underlying Asset")
hasbeen anunfunded position in the QQQ Fund, calculated as the excess of the total return of the QQQ Fundover a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset wasan unfunded rolling position in E-Mini Nasdaq-100futures (the
"Futures Contracts").
The investment objective of the QQQ Fund is toseek to track the investment results, before fees and expenses, of the Nasdaq-100
Index®. For more information about the QQQ Fund and the Nasdaq-100 Index®, see "Background on the Invesco QQQ TrustSM, Series
1" and"Background on the Nasdaq-100Index®," respectively, in the accompanying underlying supplement.
TheIndex attempts to provide a dynamic rules-based exposure to the Underlying Asset, while targeting alevel of implied volatility, with
a maximum exposure to the Underlying Asset of 500% anda minimum exposure to the Underlying Asset of 0%. The Index is subject to
a 6.0% per annumdaily deduction, and the performance of the Underlying Asset is subject to a notional financingcost deducted daily.
On each weekly Index rebalance day, the exposure to the Underlying Asset isset equal to (a) the35%implied volatility target (the
"target volatility") divided by(b) the one-week implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. For
example, if the implied volatility of the QQQ Fundisequal to 17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatilityof the QQQ Fundisequal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index's exposureto the Underlying Asset will begreater than 100% when the implied volatility of the QQQ Fund is below
35%, and the Index's exposure to the Underlying Asset will be less than 100% when the implied volatility of the QQQ Fund is above
35%. In general, the Index'starget volatility feature is expected to result in the volatilityof the Index beingmorestableover time than if
no target volatilityfeature were employed. No assurance can be provided that the volatilityof theIndex will be stable atany time. The
Index usesthe implied volatility of the QQQ Fund asa proxy for the realized volatilityof the Underlying Asset.
The Index tracks the performanceof the QQQ Fund, with distributions, if any, notionally reinvested,lessthe daily deduction of a
notionalfinancing cost. The notional financingcost is intended toapproximate the cost of maintaining a position in the QQQ Fund
using borrowed funds at a rate of interest equal to SOFR plusa spread of 0.50% per annum. SOFR, the Secured Overnight Financing
Rate, is intended to be a broad measure of the cost of borrowing cash overnight collateralizedby Treasury securities. The Indexisan
"excess return" index and not a "total return" index because, as part of the calculation of the level of the Index, the performance of the
QQQ Fund is reduced bythe notional financingcost. The notional financing cost hasbeen deducted from the performance of the QQQ
Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notional financing cost willoffset any appreciationof the Underlying Asset, will heighten
anydepreciation of the Underlying Asset and will generally be a drag on the performance of the Index. The Index will trail the
performance of an identicalindex without suchdeductions.
Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Buffer
Threshold, the Buffer Amount and the other economic terms available on the notesaremore favorable to investors than the termsthat
would be available on a hypotheticalnote issued by us linked to an identical index without a dailydeduction.However, there canbe no
assurance that any improvement in the terms of the notesderived from the daily deduction will offset the negative effect of thedaily
deduction on the performance of theIndex.The return on the notes may be lower thanthe returnon a hypotheticalnote issued by us
linked to an identicalindex without a daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates' 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 pricingsupplement. The daily deduction will effectively
reduce the value of the derivative or derivativesunderlyingthe economic termsof the notes. See "The Estimated Value of the Notes"
and "Selected Risk Considerations -Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with theuse of significant leverage. The notional financing cost deducted daily will
be magnified by any leverage provided by the Index. In addition, the Index may be significantly uninvested on any given day,
and, inthat case, will realize only a portion of any gainsdue to appreciation of the Underlying Asset on that day.The index
deduction isdeducted daily at a rate of 6.0% per annum, even when the Index is not fully invested.
PS-3| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
No assurance can 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 index or strategy thatmight reference the Underlying Asset.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanyingunderlying
supplement.
PS-4| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Supplemental Terms of the Notes
Any values of the Index, and any valuesderivedtherefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of thispricingsupplement and the correspondingterms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or any other party.
How the Notes Work
Payments in Connection with the First through EleventhReview Dates
Payments in Connectionwith Review Dates (Other than theFirst through Eleventh and Final Review Dates)
The closing level of theIndexis greater thanor equal
tothe Interest Barrier.
The closing level of theIndexis less thanthe Interest
Barrier.
First through Eleventh ReviewDates
Compare theclosing level of the Indexto theInterest Barrieron each ReviewDate.
You will receive (a)a Contingent Interest Payment onthe
applicable Interest Payment Dateplus(b)anypreviouslyunpaid
Contingent Interest Payments for anypriorReviewDates.
Proceed to the next ReviewDate.
No Contingent Interest Payment will be madewith respect to
the applicable ReviewDate.
Proceed to the next ReviewDate.
The notes will beautomaticallycalled on the applicable Call Settlement Dateandyou will
receive (a)$1,000 plus (b)the Contingent Interest Payment applicable to that ReviewDate
plus(c)anypreviouslyunpaid Contingent Interest Payments for anypriorReview Dates.
No further payments will be madeonthenotes.
ReviewDates (Other than the Firstthrough Eleventh and Final ReviewDates)
AutomaticCall
The closinglevel of the
Indexis greater thanor
equal totheInitial Value.
The closinglevel of the
Indexis less thanthe
Initial Value.
Initial
Value You will receive (a)a Contingent
Interest Payment ontheapplicable
Interest Payment Dateplus(b) any
previouslyunpaid Contingent Interest
Payments foranypriorReview
Dates.
Proceed to the next ReviewDate.
The closing level of the
Indexis greater thanor
equal to theInterest
Barrier.
No
Automatic
Call No Contingent Interest Payment will
bemadewith respect to the
applicableReviewDate.
Proceed to the next ReviewDate.
The closing level of the Index
is lessthan the Interest
Barrier.
Compare the closinglevel of the Indexto theInitial ValueandtheInterest Barrieron eachReviewDateuntil the final Review
Dateoranyearlier automatic call.
PS-5| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The tablebelow illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the termof the
notes basedona hypothetical Contingent Interest Rate of 8.50% per annum, dependingon how many Contingent Interest Payments
are madeprior toautomatic callor maturity. The actual Contingent Interest Rate will be provided in the pricing supplement and willbe
at least8.50% per annum (payable at a rateof at least 0.70833% per month).
Number of Contingent
Interest Payments
Total Contingent Interest
Payments
60
$425.0000
59
$417.9167
58
$410.8333
57
$403.7500
56
$396.6667
55
$389.5833
54
$382.5000
53
$375.4167
52
$368.3333
51
$361.2500
50
$354.1667
49
$347.0833
48
$340.0000
47
$332.9167
46
$325.8333
45
$318.7500
44
$311.6667
43
$304.5833
42
$297.5000
41
$290.4167
40
$283.3333
39
$276.2500
38
$269.1667
Review Dates Precedingthe
Final Review Date
Youwill receive (a)$1,000 plus (b)the
Contingent Interest Payment, if any,
applicable tothefinal ReviewDate
plus (c)if the Contingent Interest
Payment applicable tothefinal Review
Dateis payable, anypreviouslyunpaid
Contingent Interest Payments forany
prior ReviewDates.
The notes are not
automaticallycalled.
Proceed to maturity
Final ReviewDatePaymentat Maturity
The Final Value is greater thanor equal tothe
Buffer Threshold.
Youwill receive:
$1,000+ [$1,000 × (IndexReturn +
Buffer Amount)]
Under thesecircumstances, you will
losesome ormostof your principal
amount at maturity.
The Final Value is lessthanthe Buffer
Threshold.
PS-6| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
37
$262.0833
36
$255.0000
35
$247.9167
34
$240.8333
33
$233.7500
32
$226.6667
31
$219.5833
30
$212.5000
29
$205.4167
28
$198.3333
27
$191.2500
26
$184.1667
25
$177.0833
24
$170.0000
23
$162.9167
22
$155.8333
21
$148.7500
20
$141.6667
19
$134.5833
18
$127.5000
17
$120.4167
16
$113.3333
15
$106.2500
14
$99.1667
13
$92.0833
12
$85.0000
11
$77.9167
10
$70.8333
9
$63.7500
8
$56.6667
7
$49.5833
6
$42.5000
5
$35.4167
4
$28.3333
3
$21.2500
2
$14.1667
1
$7.0833
0
$0.0000
PS-7| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Hypothetical PayoutExamples
The following examples illustrate payments on thenotes linked to ahypothetical Index, assuming a rangeof performances for the
hypotheticalIndex on the Review Dates.The hypothetical payments set forth below assumethe following:
•an Initial Value of 100.00;
•an Interest Barrier of 80.00 (equal to 80.00%of the hypotheticalInitial Value);
•a Buffer Threshold of 70.00 (equalto 70.00% of thehypothetical Initial Value);
•a Buffer Amount of 30.00%;and
•a Contingent Interest Rate of 8.50% per annum.
Thehypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and maynot represent a likely actual Initial
Value.The actual Initial Value will be the closinglevelof theIndex on the Pricing Date and will be provided in the pricingsupplement.
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 this pricingsupplement.
Each hypothetical payment set forth below isfor illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes.Thenumbers appearing in the following exampleshave been rounded for ease of analysis.
Example1- Notes are automatically called on the twelfth Review Date.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
105.00
$7.0833
Second Review Date
110.00
$7.0833
Third through Eleventh
Review Dates
Greater than Initial Value
$7.0833
Twelfth Review Date
115.00
$1,007.0833
TotalPayment
$1,085.00(8.50% return)
Because the closing level of the Index on the twelfth Review Dateis greater than or equal to theInitial Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,007.0833 (or $1,000 plusthe Contingent Interest
Payment applicable to the twelfthReview Date), payableon the applicable Call Settlement Date.The notes are not automatically
callable before thetwelfth Review Date, even thoughthe closing level of the Index on eachofthe first through eleventh Review Dates is
greater thanthe Initial Value. Whenadded to the Contingent Interest Payments received with respect to the prior Review Dates, the
totalamount paid, for each $1,000principal amount note, is$1,085.00. No further payments will be made on the notes.
Example 2- Notes have NOT been automatically calledandthe Final Valueisgreater than or equal to the Buffer Threshold
andtheInterest Barrier.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
95.00
$7.0833
Second Review Date
85.00
$7.0833
Third through Fifty-Ninth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
90.00
$1,410.8333
Total Payment
$1,425.00(42.50% return)
Because the notes have not been automaticallycalled and the Final Valueis greater thanor equalto the Buffer Thresholdand the
Interest Barrier, the payment at maturity, for each $1,000 principal amount note, will be $1,410.8333 (or $1,000 plus the Contingent
Interest Payment applicable to the final Review Dateplus the unpaid Contingent Interest Paymentsfor any prior Review Dates).When
added to the Contingent Interest Paymentsreceived with respect to the prior Review Dates, the total amount paid, for each $1,000
principal amount note, is$1,425.00.
PS-8| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Example 3- Notes have NOT been automatically calledandthe Final Value is less than theInterest Barrier but is greater than
or equal to the Buffer Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
95.00
$7.0833
Second Review Date
80.00
$7.0833
Third through Fifty-Ninth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
75.00
$1,000.00
Total Payment
$1,014.1667 (1.41667% return)
Because the notes have not been automaticallycalled and the Final Value is lessthantheInterest Barrier but is greater than or equal to
theBuffer Threshold, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00. When added to the Contingent
Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is
$1,014.1667.
Example 4- Notes have NOT been automatically called and theFinal Value is less than the Buffer Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
40.00
$0
Second Review Date
45.00
$0
Third through Fifty-Ninth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
40.00
$700.00
TotalPayment
$700.00 (-30.00% return)
Because thenotes have not been automaticallycalled, the Final Value is lessthan the Buffer Threshold and theIndex Return is -
60.00%, the payment at maturity will be $700.00 per $1,000 principal amount note, calculated asfollows:
$1,000 + [$1,000 × (-60.00% + 30.00%)]= $700.00
The hypothetical returnsand hypothetical payments on thenotesshown above apply only if you hold the notes for their entire term
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would beassociated 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 underlyingsupplementand in Annex A tothe accompanying
prospectusaddendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
Thenotes do not guarantee any return of principal. If thenotes have not beenautomatically calledand the Final Value isless than
theBuffer Threshold, you will lose1%of the principalamount of your notes for every1% that the Final Valueis less than the Initial
Valuebymore than 30.00%.Accordingly, under these circumstances, you will lose up to 70.00%of your principal amountat
maturity.
•THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL -
If thenotes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date (and we
will payyou any previously unpaid Contingent Interest Paymentsfor anyprior Review Dates) onlyif the closinglevelof the Index
on that Review Date is greater thanor equalto the Interest Barrier. If the closing levelof the Index on that Review Date is less
than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not receive any
unpaid Contingent Interest Paymentsif the closing level of the Index on each subsequent Review Date is less than the Interest
Barrier. Accordingly, if the closing levelof the Index on each Review Date is less than the Interest Barrier, you willnot receive any
interest payments over the term of the notes.
PS-9| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
•THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction.As a result, the level of the Index will trail the value of an identically
constituted synthetic portfolio that is not subject to anysuch deduction.
Thisdeduction will place a significant drag on the performance of the Index, potentially offsetting positive returnson the Index's
investment strategy, exacerbating negative returnsof its investment strategyandcausing the levelof the Index to declinesteadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of itsinvestment strategyis
sufficient to offset the negative effectsof thisdeduction, andthen only to the extent that the returnof its investment strategy is
greater thanthis deduction. As a result of thisdeduction, the level of the Indexmay decline even if the return of itsinvestment
strategyisotherwise positive.
The daily deduction is one of the inputs our affiliates' internalpricingmodels use to valuethe derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimatedvalue of the notes set forth on the cover of this pricing
supplement.The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes" in this pricing supplement.
•THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST -
Since the Amendment Effective Date, theperformance of the Underlying Asset has been subject toa notional financing cost
deducted daily.The notional financingcost is intended to approximate the cost of maintaining a position in the QQQ Fund using
borrowedfunds at a rate of interest equal to the daily SOFR rateplusa fixed spread.Theactual cost of maintaining aposition in
the QQQ Fund at any time may be less than the notional financing cost.Asa result of this deduction, the level of the Index will trail
the value of an identically constituted synthetic portfolio that is not subject to any such deduction.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes.Any actual or potential
change in ouror JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined bythe market for taking thatcredit
risk, is likely to adversely affect thevalue of the notes.If we and JPMorgan Chase & Co.were todefault on our payment
obligations, you maynot receive any amounts owed to you under the notes and you could loseyour entire investment.
•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 thecollection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loansmade by us to
JPMorgan Chase & Co. or under other intercompanyagreements.Asa result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources tomeet our obligations in
respect of the notesas 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 byJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciationof the Index, which maybesignificant.You will not participate in any appreciation of the Index.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notesare automatically called, the termof the notes may be reduced to asshort asapproximatelyone yearand you will not
receiveany Contingent Interest Payments after the applicable Call Settlement Date.There is no guarantee that you would be able
to reinvest the proceeds froman investment in the notes at a comparable return and/or with a comparable interest rate fora similar
level of risk.Even in cases where the notesarecalled before maturity, you are not entitled to any fees andcommissions described
on the front cover of thispricing supplement.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELDBY THE QQQ FUND OR HAVE ANY
RIGHTS WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES.
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Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
•THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE BUFFER
THRESHOLD 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 DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the meritsof investing in the notes, the Index and the componentsof the Index.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange. Accordingly, the price at whichyou may be able to trade your notes is
likelyto depend on the price, if any, at whichJPMS is willing to buy the notes. You may notbe able to sellyour notes. Thenotes
are not designed to be short-term trading instruments. Accordingly, you should beable and willing to hold your notes to maturity.
•THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT -
You should consider your potential investment in the notesbased on the minimums for theestimated value of the notes and the
Contingent Interest Rate.
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.'seconomic interests are potentially adverse toyour interests as an investor in the notes.Itispossible that hedging or trading
activities of ours or our affiliates in connection withthenotescould result insubstantial returns for us or our affiliates while the
value of the notes declines.Please refer to"RiskFactors-Risks Relating to Conflicts of Interest" in the accompanyingproduct
supplement.
An affiliate of ours currently hasa 10% equity interest in the Index Sponsor, witha right to appoint an employeeof JPMS, another
of our affiliates, asa member of theboard of directors of theIndex 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
affect the value of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates and our respectiveemployees areunder no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the role of
an employee of JPMS asa member of the board of directorsof the Index Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policiesgoverning the composition and
calculation of the Index. Although judgments, policiesand determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for whichJPMS was
responsible could have an impact, positive or negative, on the levelof the Index and the value of your notes. JPMS is underno
obligation to consider your interests as an investor in the notes inits 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 WILLBE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES -
Theestimated valueof the notes is only an estimate determined by reference toseveral factors.The originalissueprice of the
noteswill exceedthe estimated valueof the notesbecause costs associated withselling, structuring and hedging the notes are
included in the original issue price of the notes.Thesecosts includetheselling commissions,the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesandthe estimated cost of hedging
our obligations under the notes.See"The Estimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"The Estimated Value of the Notes" in this pricing supplement.
PS-11| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determinationof the estimated value of the notesmaydiffer from themarket-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 thefunding value of the notes as well as thehigherissuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internalfunding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes.The use of an
internal funding rateand any potentialchanges tothatratemay have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See"The Estimated Valueof the Notes" in thispricing 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 the original issue price of the noteswill be partiallypaid back toyou in
connection with any repurchases of your notesbyJPMS in an amount that will decline to zero over an initial predetermined period.
See"SecondaryMarket Prices of the Notes" in this pricingsupplement for additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the valueof the notesaspublished 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 prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take into account our internalsecondary market funding ratesfor structured debt issuances and,
also, because secondarymarket prices may exclude selling commissions,projected hedging profits, if any, and estimatedhedging
costs that are included intheoriginal issue price of the notes. As a result, the price, if any, at whichJPMS 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
the Maturity 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 duringtheir term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom theselling commissions,projected hedging profits, if any, estimatedhedging
costs and thelevel of the Index. Additionally, independent pricing vendorsand/or third party broker-dealersmay publish a price for
the notes, whichmay also be reflectedoncustomer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes- Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to theIndex
•THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS
NO OBLIGATION TO CONSIDER YOUR INTERESTS -
The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute the componentsof
the Index or make other methodologicalchanges that could affect the level of the Index. The Index Sponsor has no obligationto
consider your interests incalculating or revising the Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
No assurance can be given that the investment strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed with respect to the Underlying Asset.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY-
No assurance can be given that the Index will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realized volatility of the Index maybe
greater or less than the target volatility. On each weekly Index rebalance day, the Index's exposure to the Underlying Asset isset
equal to (a) the 35% impliedvolatility target dividedby(b) the one-weekimplied volatilityof the QQQ Fund, subject to a maximum
exposure of 500%. The Indexuses the implied volatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, there isno guarantee that themethodology used by the Index to determine the implied volatilityof the QQQ Fund
PS-12| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
will be representative of the realized volatility of the QQQ Fund. The volatilityof the Underlying Asset on any day may change
quickly and unexpectedly and realizedvolatility maydiffer significantlyfromimpliedvolatility. In general, over time, the realized
volatilityof the QQQ Fundhas tended to be lower than its implied volatility; however, at any time that realized volatility may exceed
its implied volatility, particularly duringperiodsof market volatility. Accordingly, the actual annualized realized volatility of the Index
maybe greater than or less than the target volatility, whichmayadversely affect thelevel 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 UnderlyingAsset if
the implied volatility of the QQQ Fund is below 35%, subject to amaximum exposure of 500%. Under normal market conditionsin
the past, the QQQ Fund has tended to exhibit animplied volatility below 35%.Accordingly, the Index has generally employed
leveragein the past, except during periodsof elevatedvolatility. Whenleverage is employed, any movementsin the prices of the
Underlying Asset will result ingreater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage will magnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where a significant increase in volatility is
accompanied by asignificant declinein the price of the Underlying Asset, the level of the Index may declinesignificantly beforethe
following Index rebalance day when the Index'sexposure tothe Underlying Asset would be reduced. In addition, the notional
financing cost deducted daily will be magnified by any leverage provided by the Index.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalanceday, the Index's exposureto the Underlying Asset will be less than 100% when the implied volatility
of the QQQ Fund is above 35%. If the Index's exposure to the Underlying Asset is less than 100%, the Index will not be fully
invested, and any uninvested portion 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 Underlying Asset on anysuchday. The 6.0% per annumdeductionis
deducted daily, even when the Index is not fullyinvested.
•AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Someof the equity securitiesheld by the QQQ Fund are issued by non-U.S. companies. Investments insecurities linked to the
value of such non-U.S. equitysecurities involve risks associated with the home countries ofthe issuersof those non-U.S. equity
securities.The prices of securities issued by non-U.S. companies maybe affectedbypolitical, economic, financial and social
factors in the homecountriesof thoseissuers, or global regions, includingchanges in government, economicand fiscalpolicies
and currency exchange laws.
•THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
The QQQ Fund issubject to management risk, which is the risk that the investment strategies of the QQQ Fund's investment
adviser, the implementation ofwhich issubject to a number of constraints, maynot produce the intended results. These
constraintscould adverselyaffect the market price of theshares of the QQQ Fund and, consequently, the value of the notes.
•THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE QQQ FUND'S UNDERLYING INDEX AS WELL AS
THE NET ASSET VALUE PER SHARE -
The QQQ Fund does not fullyreplicate its underlying index and may hold securities different fromthose included in its underlying
index. In addition, the performance of the QQQ Fund will reflect additional transactioncosts and fees that are not included in the
calculation of its underlying index. All of these factorsmay lead toa lack of correlation between the performance of the QQQ Fund
and its underlying index. In addition, corporateactions with respect to the equity securitiesunderlying the QQQ Fund (such as
mergers and spin-offs) mayimpact the variance between the performances of the QQQ Fund and its underlying index. Finally,
because the shares of the QQQ Fund are traded on asecuritiesexchange and are subject to market supply and investor demand,
the market value of one shareof the QQQ Fund may differ from the net asset value per share of the QQQ Fund.
During periodsof market volatility, securities underlying the QQQ Fund may be unavailable in the secondarymarket, market
participants may be unable to calculate accuratelythenet asset value per shareof the QQQ Fund and the liquidity of the QQQ
Fund may be adversely affected. This kind of market volatility mayalso disrupt the abilityof market participants to create and
redeem shares of the QQQ Fund. Further, market volatilitymayadversely affect,sometimes materially, the prices at which market
participants are willing to buyand sell shares of the QQQ Fund. As a result, under these circumstances, themarket value of
shares of the QQQ Fund mayvarysubstantially from the net asset value per share of the QQQ Fund. For all of the foregoing
reasons, the performanceof the QQQ Fund maynot correlate with the performance of its underlying index as well asthe net asset
value per share of the QQQ Fund, which could materially and adversely affect thevalue ofthe notes in the secondarymarket
and/or reduce any payment on the notes.
PS-13| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS, AND THE HISTORICAL AND HYPOTHETICAL BACK-TESTED
PERFORMANCE OF THE INDEX ARE NOT INDICATIONS OF ITS FUTURE PERFORMANCE -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in this pricingsupplement is purely theoretical and doesnot represent the actual historicalperformance of the Indexandhas not
beenverified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations.
Hypotheticalback-tested performance is derived by means of the retroactive application of a back-tested modelthat has been
designed withthebenefit of hindsight. Alternative modellingtechniquesmight produce significantly different resultsandmay prove
to bemore appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations, and you should carefully consider these limitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance canbe provided that the QQQ Fund is an appropriatesubstitutefor the FuturesContracts. This replacement may
adversely affect the performance of theIndex and thevalue of the notes, as the QQQ Fund, subject to a notional financing cost,
mayperform worse, perhaps significantly worse, thanthe Futures Contracts.The Index lacks any operating history with the QQQ
Fund as the Underlying Asset prior to the Amendment Effective Date and may perform in unanticipated ways. Investors in the
notes should bear thisdifference in mind when evaluatingthe historical and hypothetical back-tested performanceshown in this
pricingsupplement.
•OTHER KEY RISK:
oTHE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS.
Pleaserefer tothe "Risk Factors" section of the accompanying underlying supplement for more details regarding the above-
listed and other risks.
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Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January4, 2019 through June 18, 2021, and the historical performance of the Index based on the
weekly historical closing levels of the Index from June 25, 2021 throughOctober 25, 2024. The Index was established on June 22,
2021, as represented by the vertical linein the followinggraph. All data to the left of that vertical linereflect hypothetical back-tested
performance of the Index. Alldata to the right of that vertical line reflect actual historical performance of the Index.The closing level of
the Index on October 29, 2024 was 11,619.32.Weobtained the closing levels above and below from the BloombergProfessional®
service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of the Index set forth in the followinggraph are 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,
and the Historical and Hypothetical Back-Tested Performance of the Index Are Not Indications of Its Future Performance" above.
Thehypothetical back-tested andhistorical closing levels ofthe Indexshould not be takenas an indication of future performance, and
no assurance can be given as to the closing level of the IndexonthePricing Date or any Review Date.There can be no assurance
that the performance of the Index will result in the return of any of your principal amount inexcess of $300.00 per $1,000 principal
amount note, subject tothecredit risksof JPMorgan Financial and JPMorgan Chase & Co., or the payment of any interest.
The hypothetical back-tested closing levels of the Indexhave inherent limitationsand have not beenverified by an independent third
party. These hypothetical back-tested closing levels are determinedby means of a retroactive application of a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither anindicator nor a guaranteeof future returns.No
representation is made that an investment in the noteswill or is likely to achieve returns similar to those shown.Alternative modeling
techniquesor assumptions would produce different hypotheticalback-tested closing levelsof theIndex that might prove to be more
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
PS-15| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanyingproduct
supplement no. 4-I. In determining our reporting responsibilities weintend to treat (i) the notes for U.S. federal income taxpurposes as
prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences-TaxConsequences to U.S. Holders-Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement. Based on the
adviceof Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment, but that thereare other
reasonable treatments that the IRS or acourt may adopt, inwhichcase the timing and character of anyincome or loss on the notes
could be materially affected.In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal
income taxtreatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require
investors in theseinstrumentsto accrue income over the term of their investment. It alsoasks for commentson a number of related
topics, includingthe character of income or loss with respect to these instruments and the relevance of factors such as the nature of the
underlying property to which the instruments are linked. While thenotice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. The discussions aboveandin the accompanying
product supplement do not address the consequences to taxpayerssubject tospecial tax accounting rules under Section451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal income taxconsequencesof an investment in the notes, including
possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders - Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least
if anapplicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent, intend to)
withhold on any Contingent Interest Payment paid to a Non-U.S. Holder generallyat a rate of 30% or at a reduced ratespecified by an
applicableincome tax treatyunder an "other income" or similar provision. We willnot be required to payany additional amounts with
respect to amounts withheld.In order toclaiman exemption from, or a reduction in, the 30% withholdingtax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and iseligible for suchan exemptionor
reduction under an applicable tax treaty. If you area Non-U.S. Holder, you should consultyour tax adviser regardingthe tax treatment
of thenotes, includingthepossibility of obtaining a refund of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unlessan income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations.Additionally, a recent IRS notice excludes fromthescopeof Section 871(m) instruments issuedprior 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 determinations made by us, we expect that Section 871(m) will
not apply tothenotes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, andthe IRS may disagree with
thisdetermination. Section871(m) is complex and its application may depend on your particular circumstances, including whether you
enter intoother transactions with respect to an Underlying Security. If necessary, further information regarding the potential application
of Section 871(m) will be provided in the pricing supplement for the notes. Youshould consult your taxadviser regarding the potential
application of Section 871(m) to thenotes.
In theevent of any withholding on the notes, we will not be required topayany additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
Theestimated value of the notes set forth on the cover of this pricing supplementisequal to thesum of the values of thefollowing
hypothetical components: (1) a fixed-income debt component withthe same maturityasthe notes, valuedusingthe internal funding
ratedescribed below, and (2) the derivative or derivatives underlyingtheeconomic terms of the notes.The estimated value of the
notes does not represent a minimum price at which JPMS would bewilling to buy your notes in any secondarymarket (if anyexists) at
any time.The internal funding rate used in the determination of the estimated valueof thenotes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof a similar maturityissued by JPMorganChase & Co. or its affiliates. Any difference
maybebased on, among other things, ourand our affiliates'view of the funding value of the notes as well as the higherissuance,
operational and ongoingliability management costs of the notesin comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to beincorrect, and is intended to approximatetheprevailing market replacement funding rate for the notes. The use of an internal
funding rate and anypotential changes to that ratemay 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
PS-16| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Secondary Market Pricesof the Notes - The Estimated Valueof the NotesIsDerived byReference toan Internal Funding Rate" in this
pricingsupplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates.These modelsare dependent on inputssuch as the traded market prices of comparable derivative instruments and on
variousother inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments.Accordingly, theestimated value of thenotes is
determined when the termsof the notes are set based on market conditions and other relevant factors and assumptions existing at that
time.
Theestimated valueof the notesdoesnot represent futurevalues of thenotes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations forthe notes that are greater than or less than the estimated value of the notes.In
addition, market conditions and otherrelevant factors in the futuremay change, and any assumptionsmay prove to be incorrect.On
futuredates, the value of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
which JPMS would be willingto buy notesfromyou in secondarymarket transactions.
The estimated value of the notes will belower than the original issue priceof the notes because costs associated withselling,
structuring and hedging the notes are included in the originalissue price of the notes. These costs includethe selling commissions
paidto JPMS and other affiliated or unaffiliated dealers,theprojected profits, if any, that our affiliatesexpect to realizefor assuming
risks inherent in hedging our obligations under thenotes and the estimated cost of hedgingour obligations under the notes. Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that
ismoreor less than expected,or it may result in a loss. A portionof the profits, if any, realized in hedging our obligations under the
notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits.See "Selected Risk Considerations- Risks Relating to the Estimated Value and SecondaryMarket Prices of theNotes -The
Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes - Secondary market prices of the notes will be impacted bymany
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 costs caninclude selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structureddebt issuances.This initial predeterminedtime period is intended to be the shorter of sixmonths and one-half of the
stated term of thenotes.Thelengthof any such initial period reflects thestructure of thenotes, 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 and market exposure provided by the
notes. See "How the Notes Work"and "Hypothetical Payout Examples" in this pricingsupplement for an illustration of the risk-return
profile of the notes and "TheMerQube US Tech+ Vol Advantage Index" in thispricingsupplementfor a description of the market
exposure provided by the notes.
The originalissue price of the notes is equal to the estimated value of the notes plus the selling commissions paid toJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize forassuming risks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the timeat which we accept such offer by notifying the applicable
agent. We reservethe right to change the terms of, or reject anyoffer to purchase, the notes prior to their issuance. In the event of any
changes to the terms of the notes, we will notifyyou and you will be asked to accept such changes in connection withyour purchase.
You may also choose to reject such changes, in which case we may reject your offer to purchase.
PS-17| Structured Investments
Auto CallableContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
You should read thispricing supplement together with theaccompanying prospectus, as supplementedbytheaccompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanyingunderlying
supplement.This pricingsupplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materials of
ours. Youshould carefullyconsider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying
prospectussupplement, the accompanying product supplement and the accompanying underlyingsupplement and in Annex A to the
accompanying prospectus addendum, as the notesinvolve risks not associated with conventional debt securities. We urge you to
consult your investment,legal, tax, accounting and other advisersbefore you invest in the notes.
You may access these documentson the SEC website at www.sec.govasfollows (or if such addresshaschanged, by reviewingour
filingsfor the relevant dateon the SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 5-II dated March 5, 2024:
•Prospectus supplementandprospectus, each dated April 13, 2023:
•Prospectus addendum datedJune 3, 2024:
Our CentralIndex 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.