JPMorgan Chase & Co.

11/01/2024 | Press release | Distributed by Public on 11/01/2024 08:02

Primary Offering Prospectus - Form 424B2

October 30, 2024RegistrationStatement Nos.333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlying supplement no. 1-Idated April 13,2023,
the prospectus andprospectus supplement, each datedApril 13, 2023, and theprospectus addendum dated June 3, 2024
JPMorganChase FinancialCompanyLLC
Structured Investments
$953,000
Review Notes Linked to theLeast Performing of the
S&P 500® Index, the Russell 2000® Index andthe
Nasdaq-100 Index®due November 1, 2029
Fully and UnconditionallyGuaranteedby JPMorgan Chase& Co.
•The notes aredesigned for investors who seek early exit prior to maturity at a premium if, on any Review Date, the
closing level of each of the S&P 500® Index, the Russell2000® Indexand the Nasdaq-100 Index®, which we refer to as
the Indices, is at or above itsCall Value.
•The earliest date on which an automatic call may be initiated is November 4, 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 notes areunsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
•Payments onthe notes are not linkedto a basket composed of the Indices. Payments on the notesare linkedto the
performance of each of the Indicesindividually, as describedbelow.
•Minimum denominations of $1,000 and integral multiples thereof
•The notes priced on October 30, 2024(the "Pricing Date") and areexpected to settle on or about November 4,2024.
The Strike Value of each Index has been determined by reference to the closing level of that Indexon October
28, 2024 andnot by reference to the closing level of that Index on the Pricing Date.
•CUSIP: 48135UX88
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 and"Selected Risk Considerations" beginning on page PS-5 of this pricing
supplement.
Neither the Securities and Exchange Commission (the "SEC") nor anystate securities commission has approved or disapproved
of the notes or passed upon the accuracyor the adequacy of this pricing supplement or theaccompanying product supplement,
underlyingsupplement, prospectus supplement, prospectusandprospectusaddendum. Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$2
$998
Total
$953,000
$1,906
$951,094
(1)See"Supplemental Use ofProceeds"in this pricingsupplementfor informationabout the components of the price to public ofthe
notes.
(2) J.P.Morgan Securities LLC, which werefer toasJPMS,actingas agentfor JPMorgan Financial,will payall of the selling
commissions of$2.00per $1,000 principal amount note it receives from us to other affiliated orunaffiliated dealers.See"Planof
Distribution (Conflicts of Interest)" in the accompanying product supplement.
The estimated value of the notes, when the terms of the notes were set,was $973.20 per $1,000 principal amount note.
See"The Estimated Value of the Notes" in thispricing supplement for additional information.
The notes arenot bank deposits, are not insured by theFederal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1 | StructuredInvestments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The S&P 500® Index(Bloombergticker:SPX), the
Russell 2000® Index (Bloomberg ticker:RTY) and the Nasdaq-100
Index®(Bloomberg ticker: NDX)
Call Premium Amount: TheCall Premium Amount withrespect
to each Review Date isset forth below:
•first Review Date:13.25% × $1,000
•second Review Date: 26.50% ×$1,000
•third Review Date:39.75% × $1,000
•fourth Review Date: 53.00% × $1,000
•final Review Date: 66.25%× $1,000
Call Value: With respect to each Index, 100.00% of its Strike
Value
Barrier Amount: With respect toeach Index, 70.00% of its Strike
Value, which is 4,076.464 for the S&P 500® Index, 1,570.8476for
the Russell 2000® Indexand 14,245.749 for the Nasdaq-100
Index®
Strike Date:Onor about October 28, 2024
Pricing Date:October 30, 2024
Original Issue Date (Settlement Date): On or about November
4, 2024
Review Dates*: November 4, 2025, October 28, 2026, October
28, 2027, October 30, 2028 and October 29, 2029(final Review
Date)
Call Settlement Dates*: November 7, 2025, November 2, 2026,
November 2, 2027, November 2, 2028 and the Maturity Date
Maturity Date*:November 1,2029
* Subject to postponement in the event of a market disruption
event and as described under "General Terms of Notes -
Postponement of a Determination Date -Notes Linked to
Multiple Underlyings" and "General Terms of Notes -
Postponement of a Payment Date" in the accompanying product
supplement
Automatic Call:
If the closing levelofeach Index on any Review Date is greater
than or equal to its Call Value, the notes will be automaticallycalled
for acash payment, for each $1,000principal amount note, equal
to (a) $1,000plus (b) the CallPremium Amount applicable to that
Review Date, payable on the applicable Call Settlement Date. No
further payments will be madeon the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
of each Index is greater than or equal to its Barrier Amount, you will
receive theprincipal amount of your notes at maturity.
If the notes have not been automatically called and the Final Value
of any Index is less than its Barrier Amount,your payment at
maturityper $1,000 principal amount note will be calculatedas
follows:
$1,000 + ($1,000 × Least Performing Index Return)
If the notes have not been automatically called and the Final Value
of any Index is less than its Barrier Amount, you will lose more than
30.00% of your principalamount at maturity and could lose all of
your principal amount at maturity.
Least Performing Index: The Index with theLeast Performing
Index Return
Least Performing Index Return: The lowest of the Index Returns
of the Indices
Index Return: With respect to each Index,
(Final Value - Strike Value)
Strike Value
Strike Value: With respect to each Index, theclosing level of that
Index onthe Strike Date, which was5,823.52 for the S&P 500®
Index, 2,244.068 for the Russell 2000®Indexand 20,351.07for the
Nasdaq-100 Index®.The Strike Value of each Index is not the
closing level of that Index on the Pricing Date.
Final Value: With respect toeach Index, the closing level of that
Index on the final Review Date
PS-2 | StructuredInvestments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
Supplemental Terms of the Notes
Any valuesof the Indices, and anyvalues derived 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 contrary in theindenture governing the notes, that amendment will become effective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically Called
PS-3 | StructuredInvestments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
Call Premium Amount
The table below illustrates the Call Premium Amount per $1,000 principal amount note foreach Review Date basedon the Call
Premium Amountsset forthunder "Key Terms-Call Premium Amount"above.
Review Date
Call Premium Amount
First
$132.50
Second
$265.00
Third
$397.50
Fourth
$530.00
Final
$662.50
Hypothetical Payout Examples
The followingexamples illustrate payments on the notes linked tothreehypothetical Indices, assuminga range of performances for the
hypothetical LeastPerformingIndex on the Review Dates. Each hypothetical payment set forth belowassumes that theclosing
levelof each Index that is not theLeast Performing Indexon each Review Date is greater than or equal to itsCall Value (and
therefore itsBarrier Amount).
In addition, the hypothetical paymentsset forth below assumethe following:
•a Strike Value for the LeastPerformingIndex of 100.00;
•a Call Value for the Least Performing Index of 100.00 (equal to 100.00% of itshypothetical Strike Value);
•a Barrier Amount for theLeast Performing Indexof 70.00 (equal to 70.00% of itshypothetical Strike Value); and
•the Call Premium Amountsset forth under "Key Terms-Call Premium Amount" above.
The hypothetical Strike Value of the Least Performing Indexof 100.00has been chosen for illustrative purposesonly and does not
represent the actual Strike Valueof any Index. The actualStrike Value of each Indexistheclosing level of thatIndexon the Strike
Date and is specified under "Key Terms - Strike Value" in this pricing supplement. For historical data regarding the actualclosing
levelsof each Index, please see the historical information set forthunder "TheIndices" in thispricing supplement.
Each hypothetical payment set forthbelow isfor illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of the notes. Thenumbers appearing in the following examples have been rounded for ease of analysis.
Example 1- Notes are automatically called on the first Review Date.
Date
ClosingLevel of Least
Performing Index
First Review Date
105.00
Notes are automatically called
Total Payment
$1,132.50 (13.25% return)
Because the closing level of each Indexon the first Review Date is greater than or equal to its Call Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,132.50 (or $1,000 plus the Call Premium Amount
applicableto the first Review Date), payable on theapplicable Call Settlement Date. No further payments will be made on the notes.
PS-4 | StructuredInvestments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
Example 2- Notes are automatically called on the finalReview Date.
Date
Closing Level of Least
Performing Index
First Review Date
90.00
Notes NOT automatically called
Second Review Date
75.00
Notes NOT automatically called
Third through Fourth
Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
180.00
Notes are automatically called
Total Payment
$1,662.50 (66.25% return)
Because the closing level of each Indexon the final Review Date is greater than or equal to its Call Value, the notes willbe
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,662.50 (or $1,000 plus the Call Premium Amount
applicableto thefinal Review Date), payable on the applicable Call Settlement Date, whichis the Maturity Date.
Example 3- Notes have NOT been automatically called andtheFinal Value of the Least Performing Index is greater than or
equal toits Barrier Amount.
Date
Closing Level of Least
Performing Index
First Review Date
80.00
Notes NOT automatically called
Second Review Date
75.00
Notes NOT automatically called
Third through Fourth
Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
70.00
Notes NOT automatically called; Final Value of Least Performing
Index is greater than or equal to Barrier Amount
Total Payment
$1,000.00 (0.00% return)
Because the noteshave not been automatically called and the Final Value of the Least PerformingIndex is greater than or equal toits
Barrier Amount, the payment at maturity, for each $1,000 principal amount note, willbe $1,000.00.
Example4 - Notes have NOT been automatically called andtheFinal Value of the Least Performing Index is lessthan its
Barrier Amount.
Date
Closing Level of Least
Performing Index
First Review Date
80.00
Notes NOT automatically called
Second Review Date
70.00
Notes NOT automatically called
Third through Fourth
Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
40.00
Notes NOT automatically called; Final Value of Least Performing
Index is lessthanBarrier Amount
Total Payment
$400.00 (-60.00% return)
Because the noteshave not been automatically called, the Final Valueof theLeast PerformingIndexisless than its Barrier Amount
and the Least Performing Index Return is -60.00%, the payment at maturity will be $400.00per $1,000 principal amount note,
calculatedasfollows:
$1,000 + [$1,000 × (-60.00%)]= $400.00
PS-5 | StructuredInvestments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
The hypothetical returnsand hypothetical payments on the notes shown above applyonlyif you hold the notes for their entire term
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would be associated with any sale in the
secondarymarket. If these fees and expenses were included, the hypothetical 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 and product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the NotesGenerally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. If thenotes have not been automatically called and the Final Value ofany
Index is lessthan itsBarrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the
Least Performing Index is less than its Strike Value. Accordingly, under these circumstances, you will lose more than 30.00% of
your principal amount at maturity and could loseall of your principal amount at maturity.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our andJPMorgan Chase & Co.'sability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined bythemarket for taking that credit
risk, is likely to adversely affect thevalue of the notes.If we and JPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to youunder the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan 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 havesufficient resources tomeet our obligations in
respect of the notesas they come due. If JPMorgan Chase& Co. does not make payments tous and we are unable tomake
payments on the notes, you may have toseek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TOANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation ofany Index, which may besignificant. You will not participate in any appreciation of any Index.
•YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX -
Payments onthenotes are not linkedto a basket composedof the Indices and are contingent upon the performance of each
individual Index. Poor performance by any of the Indicesover the term of thenotesmayresult in the notesnot being automatically
called on a Review Date, maynegativelyaffect your payment at maturity and will not be offset or mitigated by positive performance
by any other Index.
•YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
•THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE -
If the Final Valueof any Indexis less than its Barrier Amountand the notes have not been automaticallycalled, the benefit
provided by theBarrier Amount will terminate and you will be fully exposedto any depreciation of the Least Performing 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 asapproximately one 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 arecalled before maturity, you are not entitled to any fees andcommissions described
on the front cover of thispricing supplement.
PS-6 | StructuredInvestments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
•THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS BARRIER AMOUNTIS GREATER IF THE LEVEL
OF THAT INDEX IS VOLATILE.
•LACK OF LIQUIDITY -
The notes will not belisted onany securities exchange. Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes.You may notbe 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 economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading
activities of oursor our affiliates in connection with the notescould result in substantial 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 accompanying product
supplement.
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 -
The estimated 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 notes are
included in the original issue price of the notes. Thesecostsinclude theselling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesand the estimatedcost ofhedging
our obligations under the notes. See "TheEstimated Valueof the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"The Estimated Value of the Notes" in this pricingsupplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE-
The internal funding rate usedin the determination of the estimated value of the notesmaydiffer from the market-implied funding
rate for vanillafixed income instruments of a similar maturityissued by JPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, amongother things, our and our affiliates' view of thefunding valueof the notes as well as the higherissuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixedincome
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
internal funding rateand anypotential changes to that rate mayhave an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "TheEstimated 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 notes byJPMS in an amount that willdecline to zero over an initial predetermined period.
See"SecondaryMarket Prices of the Notes"in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimated value of your notesduring thisinitial period maybe lower than the value of the notesaspublished by
JPMS (and which may be shown on your customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket pricesof thenotes will likely be lower than the original issue price of the notes because, among other
things, secondarymarket prices take intoaccount our internal secondary market funding rates for structureddebt issuances and,
PS-7 | StructuredInvestments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
also, because secondary market prices may exclude selling commissions,projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the notes.As a result, the price, if any, at whichJPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissueprice. Any sale by you prior to
the Maturity Datecould result in a substantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, aside from the selling commissions, projected hedging profits, if any, estimated hedging
costs and the levelsof the Indices. Additionally, independent pricingvendors and/or thirdparty broker-dealers may publish a price
for the notes, which mayalsobe reflected on customer account statements. This price may be different (higher or lower)than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors -
Risks Relating to the Estimated Value and SecondaryMarket 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 theIndices
•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.
•AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE RUSSELL 2000®INDEX -
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies.Small capitalization companies are less likely to paydividends ontheir stocks, and the presence of a
dividend payment could be a factor that limits downwardstock price pressure under adverse market conditions.
•NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX®-
Some of the equity securities included in the Nasdaq-100 Index® have been issued by non-U.S. companies. Investmentsin
securities linked to the value of such non-U.S. equitysecurities involve risks associated with the home countries of theissuersof
those non-U.S. equity securities.
PS-8 | StructuredInvestments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
The Indices
The S&P 500® Index consistsof stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets.
For additional information about the S&P 500®Index, see "Equity Index Descriptions-The S&P U.S. Indices" in the accompanying
underlying supplement.
The Russell 2000® Indexconsistsof the middle 2,000companies included in the Russell 3000E™ Indexand, asa result of the index
calculation methodology, consistsof the smallest 2,000companies included in the Russell 3000® Index. The Russell2000® Index is
designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the
Russell 2000®Index, see "Equity Index Descriptions -The Russell Indices" in the accompanying underlying supplement.
TheNasdaq-100 Index®is a modifiedmarket capitalization-weighted index of 100 of the largest non-financial securities listed on The
Nasdaq StockMarket based on market capitalization. For additional information about theNasdaq-100 Index®, see "Equity Index
Descriptions -The Nasdaq-100 Index®" in the accompanying underlying supplement.
Historical Information
The following graphs set forththe historical performance of each Index based on the weekly historical closing levels fromJanuary4,
2019 through October 25,2024. The closinglevel of the S&P 500® Index on October 28, 2024 was 5,823.52. Theclosing level of the
Russell 2000® Indexon October 28, 2024 was2,244.068.The closinglevelof theNasdaq-100 Index® onOctober 28, 2024was
20,351.07.We obtained the closing levelsabove and below from the Bloomberg Professional®service ("Bloomberg"), without
independent verification.
The historical closing levels of each Index should not be taken asan indication of future performance, and no assurance can be given
as totheclosing level of any Indexon any Review Date. There can be noassurance that the performance of the Indiceswill result in
the return of any of your principal amount.
PS-9 | StructuredInvestments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in theaccompanyingproduct
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 income tax 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, asmore fully 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 as long-
termcapitalgain or loss if you holdyour notes for more thana 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 case the timing and character of any income or losson the
notes could bemateriallyandadversely affected. Inaddition, 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
number of related topics, including the 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 are linked; the degree, if any, to which income (including any mandated
accruals) realizedbynon-U.S. investors should besubject to withholding tax; and whether these instruments are or should be subject
PS-10 | Structured Investments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
to the "constructive ownership" regime, which very generally canoperate to recharacterizecertain long-termcapital gain as ordinary
income and impose a notional interest charge. While the notice requestscomments on appropriate transition rulesand effective dates,
any Treasury regulations or other guidancepromulgated after consideration of these issues could materially and adversely affect the
taxconsequencesof an investment in the notes, possibly with retroactiveeffect. You should consult your taxadviser regarding the
U.S. federal income tax consequences of an investment in the notes, including possiblealternative 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 toU.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 payU.S.-source dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinationsmade by us, our special taxcounsel 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. Youshould consult your tax
adviser regarding the potential application of Section 871(m) to the notes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement isequal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component withthe same maturityasthe notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes. The estimated value of the
notes does not represent a minimum price at which JPMS wouldbe willing to buy your notes in any secondary market (if any exists) at
any time. The internal funding rate used in the determination of the estimated value of thenotesmay differ from the market-implied
funding rate for vanilla fixed income instrumentsof a similar 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 the conventional fixed income
instruments of JPMorgan Chase & Co. This internalfunding rate is based on certain market inputs and assumptions, whichmay prove
to be incorrect, and is intended to approximatetheprevailing market replacement funding rate for thenotes. Theuse of an internal
funding rate and any potential changes tothat 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
Secondary Market Pricesof the Notes-TheEstimated Value of the Notes Is Derived by Reference to an InternalFunding Rate" in this
pricing supplement.
The value of the derivativeor derivatives underlying the economic terms of the notes is derived from internal pricingmodelsof our
affiliates. These models are dependent on inputssuch as the traded market prices of comparable derivative instrumentsand on
various other inputs, someof whicharemarket-observable, and which can includevolatility, dividend rates, interest rates and other
factors, as well as assumptions about futuremarket events and/or environments. Accordingly, the estimatedvalue of thenotesis
determined when the termsof the notes are set based on market conditions and other relevant factors and assumptions existingat that
time.
The estimated value of the notes doesnot represent future values of the notes 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 futuremay 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 notes fromyou in secondarymarket transactions.
The estimated value of the notes is lower than the original issue price of the notesbecause costs associated with selling, structuring
and hedging the notes are included in 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 estimated cost of hedging our obligationsunder the notes. Becausehedging our
obligations entails riskand may be influenced by market forces beyond our control, thishedging may result in a profit that ismore or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be
allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See
PS-11 | Structured Investments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
"Selected Risk Considerations -Risks Relating to the Estimated Value and Secondary Market Prices of the Notes-The Estimated
Value of the Notes Is LowerThan the Original Issue Price (Price to Public) of the Notes" in thispricing supplement.
Secondary Market Prices of the Notes
For information about factors that willimpact 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 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 inconnection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costscan includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances. This initial predetermined time period is intended to be the shorter of sixmonths and one-half of the
stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliatesexpect to earn a
profit inconnection withour 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 pricing supplement for an illustration of the risk-return
profile of the notes and"The Indices" in thispricing supplement for a description of the market exposure provided by the notes.
The originalissueprice of thenotes is equal to the estimated value of the notes plus theselling commissions paid toJPMS and other
affiliated or unaffiliated dealers, plus(minus) the projected profits (losses) that our affiliatesexpect to realize for assumingrisks inherent
in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial andJPMorgan 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 fromJPMorgan 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 noteswill be valid and binding obligations of JPMorgan Financial and the relatedguarantee will constitutea
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affectingcreditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing and the lackofbad 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.'sobligation under the related guarantee.
Thisopinion is given as of thedate 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 issubject to customary assumptions about the
trustee's authorization, execution and deliveryof the indenture and its authentication of the master 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. on February 24,
2023.
Additional Terms Specific to the Notes
You should read thispricing supplement together with the accompanying prospectus, as supplemented by the accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, 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 notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincludingpreliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, sample structures, 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 and the accompanying product supplement and in Annex A to the accompanying prospectusaddendum, as the
PS-12 | Structured Investments
Review Notes Linked to theLeastPerformingof the S&P 500®Index, the
Russell2000®Indexand theNasdaq-100 Index®
notes involve risksnot associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
You may access these documents on the SEC websiteat www.sec.gov as follows (or if such 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. 1-Idated April 13, 2023:
•Prospectus supplement and prospectus, 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.