JPMorgan Chase & Co.

10/30/2024 | Press release | Distributed by Public on 10/30/2024 14:48

Primary Offering Prospectus - Form 424B2

October 28, 2024RegistrationStatement Nos.333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlyingsupplement no. 5-II datedMarch5,2024,
the prospectus and prospectus supplement, eachdated April 13, 2023, andthe prospectus addendumdated June 3,2024
JPMorgan Chase Financial Company LLC
Structured Investments
$25,000
Review NotesLinked to the MerQube US Tech+ Vol
Advantage IndexdueNovember 1, 2029
Fullyand UnconditionallyGuaranteed by 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 theMerQubeUS Tech+ Vol Advantage Index, which werefer to as the Index, is at or above the Call
Value.
•The earliest dateon which an automatic call may be initiated is October 29, 2025.
•Investors should be willing to forgo interest anddividend payments and be willing to accept the risk of losing some or all
of their principal amount at maturity.
•The Index is subject to a 6.0% per annum dailydeduction, and the performance of theInvesco QQQ TrustSM,
Series 1 (the"QQQ Fund") is subject to a notional financing cost. These deductions will offset any appreciation
of the components of the Index, willheighten any depreciation of those components and will generally be a drag
on the performance of the Index. The Indexwill trail the performance of an identical index without 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 areunsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integralmultiples thereof
•The notes priced on October 28, 2024and are expected tosettle on or aboutOctober 31, 2024.
•CUSIP: 48135UCX6
Investing in thenotes involves a number of risks. See "Risk Factors" beginning on page S-2 of the accompanying
prospectus supplement,Annex A to the accompanyingprospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplement, "Risk Factors" beginning on page US-4of the accompanying underlying
supplement and "Selected Risk Considerations" beginning on pagePS-6 of this pricing supplement.
Neither the Securities and Exchange Commission (the"SEC") nor any state securitiescommission has approved or disapproved
of the notes or passed upon the accuracyor the adequacy of this pricing supplementor theaccompanying product supplement,
underlyingsupplement, prospectus supplement, prospectusand prospectus addendum. Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$40
$960
Total
$25,000
$1,000
$24,000
(1)See"Supplemental Use ofProceeds"in thispricingsupplementforinformation about the components of the price to public of the
notes.
(2)J.P. MorganSecurities LLC, which we refer toasJPMS, actingas agentforJPMorgan Financial,will payall oftheselling
commissions of$40.00per$1,000 principalamountnote it receivesfrom us toother affiliated or unaffiliated dealers.See "Plan of
Distribution (Conflictsof Interest)" in the accompanying product supplement.
The estimated value of the notes, when the terms of thenotes were set,was $900.30per $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 the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol AdvantageIndex
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned financesubsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Tech+ Vol Advantage Index (Bloomberg
ticker: MQUSTVA). The level of the Index reflects a deduction of
6.0% per annum that accruesdaily, and the performance of the
QQQ Fund issubject toa notional financingcost that accrues
daily.
Call Premium Amount: The Call Premium Amount with respect
to each Review Date isset forth below:
•first Review Date:24.80% × $1,000
•second Review Date: 49.60% × $1,000
•third Review Date:74.40% × $1,000
•fourth Review Date:99.20% × $1,000
•finalReview Date: 124.00% × $1,000
Call Value: 100.00% of the Initial Value
Barrier Amount: 50.00% of the Initial Value, whichis 5,719.74
Pricing Date:October 28, 2024
Original Issue Date (Settlement Date): On or about October 31,
2024
Review Dates*: October 29, 2025, October 28, 2026, October 28,
2027, October 30, 2028 and October 29, 2029 (final Review Date)
Call Settlement Dates*:November 3, 2025, November 2, 2026,
November 2, 2027, November 2, 2028and the Maturity Date
Maturity Date*:November 1,2029
Automatic Call:
If the closing level ofthe Index on any Review Date is greater than
or equal to the Call Value, the notes will beautomatically called for
a cash payment, for each $1,000 principal amount note, equal to
(a) $1,000plus (b) the Call Premium Amount applicable to that
Review Date, payable on the applicable Call Settlement Date. No
further payments willbemade on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
is greater than or equal to theBarrier Amount, you will receive the
principal amount of your notes at maturity.
If the notes have not been automatically called and the Final Value
is less than the Barrier Amount,your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and the Final Value
is less than the Barrier Amount, you will lose more than 50.00% of
your principal amount at maturity and could lose all of your principal
amount at maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value: The closing level of the Indexon the Pricing Date,
which was 11,439.48
Final Value: Theclosing levelof theIndex on the final Review
Date
* Subject to postponement in the event of a market disruption event
and as described under "SupplementalTerms of the Notes -
Postponement of a Determination Date - Notes Linked Solely to
an Index" in the accompanying underlyingsupplement and
"General Terms of Notes-Postponement of a Payment Date" in
the accompanying product supplement
PS-2| Structured Investments
Review Notes Linked to the MerQube US Tech+ VolAdvantage Index
The MerQube US Tech+Vol Advantage Index
The MerQubeUS Tech+ Vol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "IndexCalculation
Agent"), incoordination 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 ours currently has a10% equityinterest in the IndexSponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of the boardof directors of the Index Sponsor.
Since February 9, 2024 (the "Amendment Effective Date"), the underlying asset to which the Indexislinked (the "Underlying Asset")
has been an unfunded 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 was an unfunded rolling position in E-Mini Nasdaq-100futures (the
"Futures Contracts").
The investment objective of the QQQ Fund is to seek 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-100 Index®," respectively, in the accompanying underlying supplement.
The Index attempts to provide a dynamic rules-based exposure to the Underlying Asset, while targeting alevelof implied volatility, with
a maximum exposure to the Underlying Asset of 500% and a minimum exposure to the Underlying Asset of 0%. The Index is subject to
a 6.0% per annum daily deduction, and theperformance 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") dividedby (b) the one-week implied volatility of the QQQ Fund, subject toa maximum exposure of 500%. For
example, if the implied volatility of the QQQ Fund isequal to17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatilityof the QQQ Fund isequal 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's target volatility feature isexpected to result in the volatilityof the Index being morestableover time than if
no target volatilityfeature were employed. No assurance can be provided that thevolatilityof theIndex will be stable atany time.The
Index uses the implied volatility of the QQQ Fund as a proxy for therealized volatilityof the Underlying Asset.
The Index tracks the performanceof the QQQ Fund, with distributions, if any, notionally reinvested,lessthe daily deduction of a
notional financingcost. The notional financing cost is intended to approximate 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 Treasurysecurities. The Index isan
"excess return" index and not a "total return" index because, as part of thecalculation of the level of the Index, the performance of the
QQQ Fund is reducedbythe notional financing cost. The notional financing cost has beendeducted from the performance of the QQQ
Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notional financing cost will offset any appreciation of the Underlying Asset,will heighten
any depreciation of the Underlying Asset and will generally be a drag on the performance of the Index. The Index will trailthe
performance of anidentical index without such deductions.
Holding the estimated value of the notes and market conditions constant, the Call PremiumAmounts, the Barrier Amountand the other
economic terms available on the notesare morefavorable to investors thanthe terms that would be available on a hypotheticalnote
issued by uslinkedto an identicalindex without a daily deduction. However, there can be no assurance that any improvement in the
terms of the notes derived from the daily deduction willoffset the negative effect of the daily deduction on the performance of the
Index. The return on the notes may be lower than the return on a hypothetical noteissued 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 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 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 the use 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, in that case, will realize only a portion of any gainsdue to appreciation of theUnderlying Asseton 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
Review Notes Linked to the MerQube US Tech+ VolAdvantage Index
No assurancecan be given that the investment strategyused 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 accompanying underlying
supplement.
PS-4| Structured Investments
Review Notes Linked to the MerQube US Tech+ VolAdvantage Index
Supplemental Terms of the Notes
Any valuesof the Index, and any valuesderived therefrom, included in this pricing supplement may be corrected, in theevent of
manifest error or inconsistency, by amendment of thispricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to the contrary in the indenture 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 MaturityIf the Notes Have Not Been Automatically Called
Thenotes will be automaticallycalled onthe applicable Call Settlement Date and youwill
receive (a)$1,000 plus (b)the Call Premium Amount applicable to that ReviewDate.
No further payments will be madeonthenotes.
ReviewDates
AutomaticCall
Theclosing level of the
Indexis greater than or
equal tothe Call Value.
Theclosing level of the
Indexis lessthanthe
Call Value.
Call
Value
Comparethe closinglevel of theIndexto the Call Value oneachReviewDate until anyearlierautomatic call.
Thenotes will not beautomaticallycalled. Proceed to the next ReviewDate, if any.
No AutomaticCall
ReviewDates
You will receive the principal amount
of yournotes.
Thenotes have not
been automatically
called. Proceedto the
payment at maturity.
Final ReviewDatePayment at Maturity
TheFinal Value is greater than or equal tothe
BarrierAmount.
You will receive:
$1,000 + ($1,000 × IndexReturn)
Under thesecircumstances, you will
lose some or all of your principal
amount at maturity.
TheFinal Value is less thantheBarrier Amount.
PS-5| Structured Investments
Review Notes Linked to the MerQube US Tech+ VolAdvantage Index
Call Premium Amount
The table below illustrates the Call Premium Amountper $1,000 principal amount noteforeach Review Date basedon the Call
Premium Amountsset forthunder "Key Terms-Call Premium Amount"above.
Review Date
Call Premium Amount
First
$248.00
Second
$496.00
Third
$744.00
Fourth
$992.00
Final
$1,240.00
Hypothetical Payout Examples
The followingexamples illustrate payments on the notes linked to a hypothetical Index, assuming a range of performances for theIndex
on the Review Dates.
In addition, the hypothetical paymentsset forth below assume the following:
•an Initial Value of 100.00;
•a Call Value of 100.00 (equal to 100.00%of the hypothetical Initial Value);
•a Barrier Amountof 50.00 (equal to 50.00%of the hypothetical Initial Value); and
•the Call Premium Amountsset forth under "KeyTerms -Call Premium Amount" above.
The hypotheticalInitial Value of 100.00 has been chosen for illustrative purposes only anddoesnot representtheactualInitial Value.
The actual Initial Valueis the closinglevel of the Indexon the Pricing Date and is specifiedunder "Key Terms -Initial Value" in this
pricing supplement. For historical data regarding the actualclosing levels of the Index, please see the historical information set forth
under "Hypothetical Back-Tested Dataand Historical Information" in thispricing supplement.
Each hypothetical payment set forth below is for illustrative purposes only and maynot be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following exampleshave been rounded for ease of analysis.
Example 1- Notes are automatically called on the first Review Date.
Date
ClosingLevel
First Review Date
110.00
Notes are automaticallycalled
Total Payment
$1,248.00 (24.80% return)
Because the closing level of the Indexon the first Review Date is greater than or equal tothe Call Value, the notes will be automatically
called for acash payment, for each $1,000principal amount note, of $1,248.00 (or $1,000 plus the Call Premium Amount applicable to
the first Review Date), payable on theapplicable Call Settlement Date. No further payments will be made on the notes.
Example 2- Notes are automatically called on thefinalReview Date.
Date
ClosingLevel
First Review Date
90.00
Notes NOT automaticallycalled
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
280.00
Notes are automaticallycalled
Total Payment
$2,240.00(124.00% return)
Because the closing level of the Index on the final Review Date is greater thanor equaltothe Call Value, the notes will be automatically
called for acash payment, for each $1,000principal amount note, of $2,240.00 (or $1,000plus the Call Premium Amount applicable to
the final Review Date), payable on theapplicable Call Settlement Date, which is the Maturity Date.
PS-6| Structured Investments
Review Notes Linked to the MerQube US Tech+ VolAdvantage Index
Example 3- Notes have NOT been automatically called andtheFinal Value is greater than or equal tothe Barrier Amount.
Date
ClosingLevel
First Review Date
90.00
Notes NOT automatically called
Second Review Date
85.00
Notes NOT automatically called
Third through Fourth
Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
75.00
Notes NOT automatically called; Final Value is greater than or
equal toBarrier Amount
Total Payment
$1,000.00 (0.00% return)
Because the noteshave not been automatically called and the Final Value is greater than or equal tothe Barrier Amount, the payment
at maturity, for each$1,000 principal amount note, will be$1,000.00.
Example4 - Notes have NOT been automaticallycalled and the Final Value is less than the Barrier Amount.
Date
ClosingLevel
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 is less than Barrier
Amount
Total Payment
$400.00 (-60.00% return)
Because the noteshave not been automatically called, the Final Value is lessthantheBarrier Amountand theIndex Return is -60.00%,
the payment at maturity will be $400.00 per $1,000 principalamount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returnsand hypothetical payments on the notesshown above applyonly if 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, thehypothetical returns and hypothetical payments shown above would
likelybelower.
Selected Risk Considerations
An investment in the notesinvolves significant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement,product supplement and underlying supplement and in Annex A tothe accompanying
prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. If the notes have not been automatically called and the Final Value isless than
the Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial
Value. Accordingly, under these circumstances, you will lose more than 50.00% of your principal amount at maturity and could
lose all of your principal amountat maturity.
•THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUMDAILY 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
constitutedsynthetic portfolio that is not subject to anysuch deduction.
This deduction will place a significant drag onthe performance of the Index, potentially offsetting positive returns on the Index's
investment strategy, exacerbating negative returns of its investment strategy and causing 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, and then only to the extent that the return of its investment strategy is
PS-7| Structured Investments
Review Notes Linked to the MerQube US Tech+ VolAdvantage Index
greater than this deduction. As a result of this deduction, the level of the Indexmay decline even if the return of itsinvestment
strategy isotherwise positive.
The daily deduction is one of the inputs our affiliates' internal pricingmodels use to value the derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimatedvalue of thenotes set forth on the cover of this pricing
supplement.The daily deduction will effectively reduce the value of the derivative orderivatives 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 thispricing supplement.
•THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST-
Since the Amendment Effective Date, the performance of the Underlying Asset has been subject to a notional financing cost
deducted daily.The notional financing cost is intended to approximate the cost of maintaining aposition in the QQQ Fund using
borrowedfunds at a rate of interest equal to the daily SOFR rate plusa fixed spread.The actualcost 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 our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined by the market for taking that credit
risk, is likely to adversely affect the value of the notes. If we andJPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to you under the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a financesubsidiary of JPMorgan Chase & Co., we have no independent operations beyond 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. tomake payments under loans made by us to
JPMorgan Chase & Co. or under other intercompany agreements. Asa result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under thenotes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcy or resolution of JPMorgan Chase & Co. we are not expectedto have sufficient resources to meet 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 guaranteebyJPMorgan 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 ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of theIndex, which maybe significant. You will not participate in any appreciation of the Index.
•THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE -
If the Final Value isless than the Barrier Amount and the notes havenot been automatically called, the benefit provided by the
Barrier Amount will terminateand you willbe fully exposed to any depreciation of the Index.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT-
If your notesare automaticallycalled, the term of the notes may be reduced to asshort as approximatelyone 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 incases where the notesarecalled before maturity, you are not entitled to any fees andcommissions described
on the front cover of thispricing supplement.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY
RIGHTS WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES.
•THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE LEVEL
OF THE INDEX IS VOLATILE.
•JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
PS-8| Structured Investments
Review Notes Linked to the MerQube US Tech+ VolAdvantage Index
Any research, opinions or recommendations could affect the market value of thenotes. 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 be listed onany securities exchange.Accordingly, the price at whichyou may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes.You may notbe able to sellyour 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 a varietyof roles in connection with the notes.In performing these duties, our and JPMorgan Chase &
Co.'seconomicinterests are potentially adverse toyour interests as an investor in the notes.Itispossible that hedging or trading
activities of ours or our affiliates in connection with thenotes could 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.
An affiliate of ourscurrentlyhas a 10% equity interestin the Index Sponsor, witha right to appoint an employeeof JPMS, another
of our affiliates, asa member of the board of directors of the Index Sponsor. The Index Sponsor can implement policies, make
judgments or enact changes to the Indexmethodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
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 respective employees are under no obligation to consider your interestsas 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 indeveloping 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 which JPMS 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 in developing the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
•THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of the notesis only anestimatedetermined by reference to several factors. The originalissue price of the
notes exceeds theestimated value of the notes becausecosts associated withselling, structuring and hedging the notesare
included in the original issue priceof the notes. These costs include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesand the estimated cost of hedging
our obligations under the notes. See "The Estimated Valueof the Notes"in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"TheEstimated Value of the Notes"in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate usedin the determinationof the estimated value of the notes maydiffer from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifference may
be based on, amongother things, our and our affiliates' view of thefunding 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
instrumentsof JPMorgan Chase & Co.This internal funding 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
internalfunding rate and anypotential changes tothat rate may havean adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Value of the Notes" in thispricing supplement.
PS-9| Structured Investments
Review Notes Linked to the MerQube US Tech+ VolAdvantage Index
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in theoriginal issue price of the notes will be partiallypaid back to you in
connection with any repurchases of your notesbyJPMS in an amount that willdecline 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 estimated value of your notesduring thisinitial period may be 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 secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other
things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and,
also, because secondary market prices may exclude sellingcommissions, projected hedging profits, if any, and estimated hedging
costs that are included in theoriginal issue price of the notes.As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
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 each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendorsand/or third party broker-dealers may publisha price for
the notes, which may also be reflectedoncustomer 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 Secondary Market 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 the Index
•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 IndexSponsor can add, delete or substitute the componentsof
the Index or make other methodological changes that could affect the level of the Index. The Index Sponsor has no obligation to
consider your interests in calculating 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 begiven that theinvestment strategyon which the Index is based will be successfulor that the Index will
outperformany alternative strategy that might be employed with respect to the Underlying Asset.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY-
No assurance can begiven that theIndex will maintain an annualized realized volatility that approximates itstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realized volatility of the Index may be
greater or less than the target volatility. On each weekly Index rebalance day, the Index's exposure to the Underlying Asset is set
equal to (a) the 35% impliedvolatility target dividedby (b) the one-weekimplied volatilityof the QQQ Fund, subject to amaximum
exposure of 500%. The Index uses the impliedvolatility 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
will be representative of the realizedvolatility of the QQQ Fund. The volatilityof the Underlying Asset on any daymay change
quickly and unexpectedly and realizedvolatility maydiffer significantlyfromimplied volatility. 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 during periodsof market volatility. Accordingly, the actual annualizedrealized volatility of the Index
maybe greater than or less than the target volatility, which mayadversely affect thelevel of theIndex and the value of the notes.
•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE-
On a weeklyIndex rebalance day, the Index will employleverage to increase the exposure of the Index to the Underlying Asset if
the impliedvolatility of the QQQ Fund is below 35%, subject to amaximum exposure of 500%. Under normal market conditions in
the past, the QQQ Fund has tended to exhibit animplied volatility below 35%. Accordingly, the Index has generally employed
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leverage in the past, except during periods of elevated volatility. When leverage is employed, any movementsin the prices of the
Underlying Asset will result in greater 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 only ona weekly basis, in situations where a significant increase in volatility is
accompanied by a significant decline in the price of the Underlying Asset, the level of the Index may decline significantly beforethe
following Index rebalance daywhen the Index'sexposure to the Underlying Asset would be reduced. In addition, the notional
financing cost deducted dailywill bemagnified by any leverage provided by the Index.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED-
On a weeklyIndex rebalance day, the Index's exposureto the Underlying Asset will be less than 100% when the implied volatility
of the QQQ Fund is above 35%. Ifthe Index's exposure to the Underlying Asset is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Index may besignificantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Underlying Asset on any such day. The 6.0% per annumdeduction is
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 -
Some of the equity securities held 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 homecountries ofthe issuersof those non-U.S. equity
securities. The prices of securities issued by non-U.S. companies maybe affected bypolitical, economic, financial and social
factors in the home countriesof those issuers, or global regions, including changes in government, economicand fiscal policies
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 themarket 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, theperformance of the QQQ Fund will reflect additional transaction costs and fees that are not included in the
calculation of its underlying index. All of these factorsmay lead to a lack of correlation between the performance of the QQQ Fund
and its underlyingindex. In addition, corporateactions with respect to the equity securitiesunderlying the QQQ Fund (such as
mergers and spin-offs) may impact thevariance between the performances of the QQQ Fund and its underlying index.Finally,
because the shares of the QQQ Fund are traded on asecurities exchange and are subject to market supply and investor demand,
the market value of one shareof the QQQ Fund maydiffer 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 secondary market, market
participants may be unable tocalculate accurately the net asset value per shareof the QQQ Fund and the liquidity of theQQQ
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 volatility may adversely 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 valueof shares
of the QQQ Fund mayvary substantially from the net asset valueper share of the QQQ Fund. For all of the foregoing reasons, the
performance of the QQQ Fund may not correlate with the performance of itsunderlyingindex as well asthe net asset value per
share of the QQQ Fund, which couldmaterially and adversely affect the value of the notesin thesecondary market and/or reduce
any payment on thenotes.
•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 thispricing supplement is purely theoretical and does not represent the actual historicalperformance of the Index and hasnot
been verified by an independent third party. Hypothetical back-tested performance measures have inherent limitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed with the benefit of hindsight. Alternative modellingtechniquesmight producesignificantly different resultsandmay prove
to be more appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
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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 can be provided that the QQQ Fund is an appropriate substitutefor the Futures Contracts. This replacement may
adversely affect the performance of the Index and the valueof thenotes, 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 evaluating the historical and hypothetical back-tested performance shown in this
pricing supplement.
•OTHER KEY RISK:
oTHE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding theabove-listed
and other risks.
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Hypothetical Back-Tested Data and Historical Information
The following graph sets forththe hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January4, 2019 through June 18, 2021, and thehistorical performance of the Indexbased on the
weekly historical closing levels of the Index fromJune 25, 2021 through October 25, 2024.The Index was established on June 22,
2021, as represented by the vertical line in the following graph. 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 onOctober 28, 2024 was11,439.48. Weobtained the closing levels above and below from the BloombergProfessional®
service ("Bloomberg"), without independent verification.
The data for the hypothetical back-tested performance of the Index set forth in the following graphare purely theoretical and do not
represent the actual historicalperformance of the Index.See "Selected Risk Considerations - Risks Relating to theIndex-
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 and historical closing levels ofthe Indexshould not be taken as an indication of future performance, and
no assurance can be given as to theclosing level of the Index onany Review Date.There canbe no assurance that the performance
of the Index will result in the return of any of yourprincipalamount.
The hypothetical back-testedclosing levels of the Index have inherent limitations and have not been verified by an independent third
party. Thesehypothetical back-testedclosing levelsare determined bymeans of a retroactiveapplication of a back-tested model
designed withthe benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guarantee of future returns. No
representation is made that an investment in the notes will or is likely to achievereturns similar to thoseshown. Alternative modeling
techniquesor assumptions would produce different hypotheticalback-tested closinglevels of the Index that might prove to bemore
appropriate and that might differ significantly from the hypotheticalback-tested closing levels of the Index set forth above.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanyingproduct
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.
Basedoncurrent market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, as morefully described in "Material U.S. FederalIncome 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 gainor losson your notes should be treated as long-
termcapitalgain or loss if youholdyour notes for more than a year, whether or not you are an initial purchaser of notes at the issue
price. However, the IRS or a court maynot respect this treatment, in which casethe timing and character of any income or losson the
notes could be materiallyand adversely affected.In addition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal incometax treatment of "prepaid forwardcontracts" and similar instruments. The notice focuses in particular on
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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, includingthe character of income or loss with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments arelinked; the degree, if any, to which income (including any mandated
accruals) realizedby non-U.S. investorsshould besubject to withholding tax; and whether these instruments are or should be subject
to the "constructiveownership" regime, which very generally can operate to recharacterizecertain long-termcapital gain as ordinary
income and impose a notionalinterest charge. While the notice requestscomments on appropriate transition rulesandeffectivedates,
any Treasury regulations or other guidancepromulgated after consideration of these issues could materially and adversely affect the
taxconsequences of an investment in the notes, possibly with retroactiveeffect. You should consult your taxadviser regarding the
U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issuespresented
by thisnotice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemedpaid to Non-U.S. Holders with respect to certain
financial instrumentslinked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations.Additionally, a recent IRS notice excludes fromthe scope of Section 871(m) instruments issued prior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could payU.S.-source dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made 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 onthe
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 into other transactions with respect to an Underlying Security. You shouldconsult your tax
adviser regarding the potential application of Section871(m) to thenotes.
The Estimated Value of the Notes
The estimated value of thenotes set forth on the cover of this pricing supplement isequal to the sum of thevalues of thefollowing
hypothetical components: (1) a fixed-incomedebt component withthe same maturity asthe notes, valued using the internalfunding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the
notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if anyexists) at
any time. The internal funding rate used inthe determination of the estimated value of thenotes may differ from the market-implied
fundingrate for vanilla fixed income instruments of asimilar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybe based on, among other things, our and our affiliates'view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in 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 approximatethe prevailing market replacement funding rate for thenotes. The use of an internal
fundingrate and any potentialchanges 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
Secondary Market Pricesof the Notes - The Estimated Value of the NotesIs Derived by Reference to anInternal FundingRate" in this
pricing supplement.
The value of the derivative or derivativesunderlying 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
various other inputs, someof whichare market-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of thenotes is
determined when the termsof the notes are set basedon market conditions and other relevant factors and assumptions existing at that
time.
The estimated value of thenotes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsandassumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the futuremay change, and any assumptions may prove to be incorrect. On
future dates, thevalue of thenotes couldchangesignificantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
which JPMS would be willingto buy notesfromyou in secondary market transactions.
The estimated value of thenotes is lowerthan the original issue price of the notesbecause costs associated withselling, structuring
and hedging the notes are includedinthe 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. Becausehedgingour
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obligations entails riskand may be influenced by market forces beyond our control, this hedging 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 affiliatedor unaffiliated dealers, and weor one or more of our affiliates will retain any remaininghedging profits. See
"Selected Risk Considerations- Risks Relating to the Estimated Value and SecondaryMarket 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 will impact anysecondarymarket prices of the notes, see "Risk Factors - Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes- Secondary market prices of the notes will beimpactedbymany
economic and market factors"in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue priceof the notes will be partially paid back to you in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costscan includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs andour 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. Thelengthof any such initial period reflects the structure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notes and 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 LimitedTime Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile andmarket exposure provided by the
notes. See "How the Notes Work"and "Hypothetical Payout Examples" in this pricingsupplementfor an illustration of therisk-return
profile of thenotes and "TheMerQube US Tech+ Vol Advantage Index" in this pricingsupplement for a description of themarket
exposure provided by the notes.
The original issueprice of the notes is equal to the estimated value of the notes plus the selling commissions paidtoJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offered by this pricing supplement have beenissued by JPMorganFinancialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes(the "master note"), and such notes have beendelivered against payment as
contemplated herein, such noteswill be validand binding obligations of JPMorgan Financial and the related guarantee will constitutea
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing and the lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusions expressedaboveor (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'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 opinionissubject to customary assumptions about the
trustee's authorization, execution and delivery of the indenture andits authentication of the master note and the validity, binding nature
and enforceabilityof the indenture with respect to the trustee, allas stated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. onFebruary 24,
2023.
Additional Terms Specific to the Notes
You should read thispricing supplement together with theaccompanying prospectus, as supplemented bythe 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 pricing supplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other writtenmaterialsincluding preliminary or indicative pricing terms,
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correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. You should carefullyconsider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying
prospectus supplement, the accompanying product supplement and the accompanying underlyingsupplement and in Annex A to the
accompanying prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to
consult your investment,legal, tax, accounting and other advisersbefore youinvest in the notes.
You may access these documents on the SEC websiteat www.sec.gov as follows (or if such address has changed, by
reviewing our filings for the relevant date on the SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 5-II dated March 5, 2024:
•Prospectus supplement andprospectus, each dated April 13, 2023:
•Prospectus addendum datedJune 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in thispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.