JPMorgan Chase & Co.
11/01/2024 | Press release | Distributed by Public on 11/01/2024 13:09
Primary Offering Prospectus - Form 424B2
October 30, 2024 Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I dated April 13, 2023, the prospectus and prospectus supplement, each dated April 13, 2023 and the
prospectus addendum dated June 3, 2024
JPMorgan Chase Financial Company LLC
Structured Investments
$296,000
Review Notes Linked to the Class A Common Stock
of Liberty Energy Inc. due November 4, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
•The notes are designed for investors who seek early exit prior to maturity at a premium if, on any Review Date, the
closing price of one share of the Reference Stock is at or above the applicable Call Value.
•The earliest date on which an automatic callmay be initiated is November 6, 2025.
•Investors should be willing to forgo interest and dividend payments and be willing to accept the risk of losing some or all
of their principal amount at maturity.
•The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integral multiples thereof
•The notes priced on October 30, 2024 and are expected to settle on or about November 4, 2024.
•CUSIP: 48135UR93
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 accompanying prospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplementand "Selected Risk Considerations" beginning onpage PS-4 of this pricing
supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved
of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement,
prospectus supplement, prospectus andprospectus addendum. Any representation to the contrary is a criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$21
$979
Total
$296,000
$6,216
$289,784
(1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to publicof the
notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling
commissionsof $20.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. JPMS, acting as
agent for JPMorgan Financial, will also pay all of the structuring fee of $1.00 per $1,000 principal amount note it receives from us to
other affiliated or unaffiliated dealers. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.
The estimated value of the notes, when the terms of the notes were set, was $930.50 per $1,000 principal amount note.
See "The Estimated Value of the Notes" in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency
and are not obligations of, or guaranteed by, a bank.
PS-1 | Structured Investments
Review Notes Linked to the Class A Common Stock of Liberty Energy Inc.
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Reference Stock:The Class A common stock of Liberty Energy
Inc., par value $0.01 per share (Bloomberg ticker: LBRT). We
refer to Liberty EnergyInc. as "Liberty Energy."
Call Premium Amount: The Call Premium Amount with respect
to each Review Date is set forth below:
•first Review Date:16.50% × $1,000
•second Review Date:33.00% × $1,000
•final Review Date: 49.50% × $1,000
Call Value: The Call Value with respect to each Review Date is
set forth below:
•first Review Date: 100.00% of the Initial Value
•second Review Date: 95.00% of the Initial Value
•final Review Date: 90.00% of the Initial Value
Barrier Amount: 65.00% of the Initial Value, which is $11.102
Pricing Date: October 30, 2024
Original Issue Date (Settlement Date): On or about November
4, 2024
Review Dates*: November 6, 2025, October 30, 2026 and
November 1, 2027 (final Review Date)
Call Settlement Dates*: November 12, 2025, November 4, 2026
and the Maturity Date
Maturity Date*:November 4, 2027
* 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 a
Single Underlying- Notes Linked to a Single Underlying (Other
Than a Commodity Index)" and "General Terms of Notes -
Postponement of a Payment Date" in the accompanying product
supplement
Automatic Call:
If the closing price of one share of the Reference Stock on any
Review Date is greater than or equal to the applicable Call Value,
the notes will be automatically 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 will be made
on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
is greater than or equal to the Barrier 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 × Stock Return)
If the notes have not been automatically called and the Final Value
is less than the Barrier Amount, you will lose more than 35.00% of
your principal amount at maturity and could lose all of your principal
amount at maturity.
Stock Return:
(Final Value - Initial Value)
Initial Value
Initial Value: The closing price of one share of the Reference
Stock on the Pricing Date, which was $17.08
Final Value: The closing price of one share of the Reference Stock
on the final Review Date
Stock Adjustment Factor:The Stock Adjustment Factor is
referenced in determining the closing price of one share of the
Reference Stock and is set equal to 1.0 on the Pricing Date. The
Stock Adjustment Factor is subject to adjustment upon the
occurrence of certain corporate events affecting the Reference
Stock. See "The Underlyings - ReferenceStocks - Anti-Dilution
Adjustments" and "The Underlyings -Reference Stocks -
Reorganization Events" in the accompanying product supplement
for further information.
PS-2 | Structured Investments
Review Notes Linked to the Class A Common Stock of Liberty Energy Inc.
Supplemental Terms of the Notes
Any values of the Reference Stock, and any values derived therefrom, included in this pricing supplement may be corrected, in the
event of manifest error or inconsistency, by amendment of this pricing supplement 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 any other party.
How the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically Called
The notes will be automatically called on the applicable Call Settlement Date and you will
receive (a) $1,000 plus(b) the Call Premium Amount applicable to that ReviewDate.
No further payments will be made on the notes.
Compare the closing price of one share of the Reference Stock to the applicable Call Value on each ReviewDate unless previously
automaticallycalled.
ReviewDates
Automatic Call
The closing price of one
share of the Reference
Stockisgreater than or
equal to the applicable
Call Value.
The closing price of one
share of the Reference
Stockisless than the
applicable Call Value.
Call
Value
The notes will notbe automaticallycalled.Proceed to the next ReviewDate, ifany.
No Automatic Call
ReviewDates
You will receive the principal amount
of your notes.
The notes have not
been automatically
called. Proceed to the
payment atmaturity.
Final ReviewDatePayment at Maturity
The Final Value is greater than or equal to the
Barrier Amount.
You will receive:
$1,000 + ($1,000 × Stock Return)
Under these circumstances, you will
lose some or all ofyour principal
amount at maturity.
The Final Value is less than the Barrier Amount.
PS-3 | Structured Investments
Review Notes Linked to the Class A Common Stock of Liberty Energy Inc.
Call Premium Amount
The table below illustrates the Call Premium Amount per $1,000 principal amount note for each Review Date based on the Call
Premium Amounts set forth under "Key Terms -Call Premium Amount" above.
Review Date
Call Premium Amount
First
$165.00
Second
$330.00
Final
$495.00
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked to a hypothetical Reference Stock, assuming a range of performances
for the hypothetical Reference Stock on the Review Dates.
In addition, the hypothetical payments set forth below assume the following:
•an Initial Value of $100.00;
•the Call Values set forth under "Key Terms -Call Value" above;
•a Barrier Amount of $65.00 (equal to 65.00% of the hypothetical Initial Value); and
•the Call Premium Amounts set forth under "Key Terms -Call Premium Amount" above.
The hypothetical Initial Value of $100.00 has been chosen for illustrative purposes only anddoes not represent the actual Initial Value.
The actual Initial Value istheclosing price of one share of the Reference Stock on the Pricing Date andis specified under "Key Terms
-Initial Value" in this pricing supplement. For historical data regarding the actual closing prices of one share of the Reference Stock,
please see the historical information set forth under "The Reference Stock" in this pricing supplement.
Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1 - Notes are automatically called on the first Review Date.
Date
Closing Price
First Review Date
$130.00
Notes are automatically called
Total Payment
$1,165.00 (16.50% return)
Because the closing price of one share of the Reference Stock on the first Review Date is greater than or equal to the applicable Call
Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,165.00 (or $1,000 plus
the Call Premium Amount applicable to the first Review Date), payable on the applicable Call Settlement Date. No further payments
will be made on the notes.
Example 2 - Notes are automatically called on the final Review Date.
Date
Closing Price
First Review Date
$90.00
Notes NOT automatically called
Second Review Date
$75.00
Notes NOT automatically called
Final Review Date
$90.00
Notes are automatically called
Total Payment
$1,495.00 (49.50% return)
Because the closing price of one share of the Reference Stock on each of the first and second Review Dates is less than the applicable
Call Value, the notes are not automatically called in connection with these Review Dates. However, because the closing price of one
share of the Reference Stock on the final Review Date is greater than or equal to the applicable Call Value, even though the closing
price of one share of the Reference Stock is less than the Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, of $1,495.00 (or $1,000 plus the Call Premium Amount applicable to the final Review Date),
payable on the applicable Call Settlement Date, which is the Maturity Date.
PS-4 | Structured Investments
Review Notes Linked to the Class A Common Stock of Liberty Energy Inc.
Example 3 - Notes have NOT been automatically called and the Final Value is greater than or equal to the Barrier Amount.
Date
Closing Price
First Review Date
$90.00
Notes NOT automatically called
Second Review Date
$85.00
Notes NOT automatically called
Final Review Date
$70.00
Notes NOT automatically called; Final Value is greater than or
equal to Barrier Amount
Total Payment
$1,000.00 (0.00% return)
Because the notes have not been automatically called and the Final Value is greater than or equal to the Barrier Amount, the payment
at maturity, for each $1,000 principal amount note, will be $1,000.00.
Example 4 - Notes have NOT been automatically called and the Final Value is less than the Barrier Amount.
Date
Closing Price
First Review Date
$80.00
Notes NOT automatically called
Second Review Date
$70.00
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 notes have not been automatically called, the Final Value is less than theBarrier Amount and the Stock Return is
-60.00%, the payment at maturity will be $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term
or until automatically called.These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the
secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks are explained in more detail in the"Risk Factors" sections of the
accompanying prospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENTIN THE NOTES MAY RESULT IN A LOSS -
The notes do not guarantee any return of principal. If the notes have not been automatically called and the Final Value is less 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 35.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amounts due 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 and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capitalcontribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made 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 key operating subsidiary of JPMorgan Chase & Co. and in a
PS-5 | Structured Investments
Review Notes Linked to the Class A Common Stock of Liberty Energy Inc.
bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in
respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make
payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rank pari 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 of the Reference Stock, which may be significant. You will not participate in any appreciation of the
Reference Stock.
•THE BENEFIT PROVIDED BY THE BARRIER AMOUNTMAY TERMINATE ON THE FINAL REVIEW DATE -
If the Final Valueis less than the Barrier Amount and the notes have not been automatically called, the benefit provided by the
Barrier Amount will terminate and you will be fully exposed to any depreciation of the Reference Stock.
•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 as short as approximately one year. There is no
guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable returnfor a similar
levelof risk.Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions described
on the front cover of this pricing supplement.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE
REFERENCE STOCK.
•THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE REFERENCE STOCK FALLING BELOW THE BARRIER
AMOUNT IS GREATER IF THE PRICE OFONE SHARE OF THE REFERENCE STOCK IS VOLATILE.
•LACK OF LIQUIDITY -
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which JPMS is willing to buy the notes.You may not be able to sell your notes.The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliates play a variety of roles inconnection 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 ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "Risk Factors - Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
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 notes is only an estimate determined by reference to several factors. The original issue price of the
notes exceeds the estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costs include the selling commissions, the structuring fee, 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 obligations under the notes. See "The Estimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS'ESTIMATES -
See "The Estimated Value of the Notes"in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE-
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase &Co. or its affiliates. Any difference may
PS-6 | Structured Investments
Review Notes Linked to the Class A Common Stock of Liberty Energy Inc.
be based on, among other things, our and our affiliates' view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income
instruments of JPMorgan Chase & Co. This internal funding rate is basedon certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
secondary market prices of the notes. See "The Estimated Value of the Notes" in this pricing supplement.
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generally expect that some of the costs included in the original issue price of the notes will bepartially 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.
See "Secondary Market Prices of the Notes"in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published 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 (a) exclude the structuring fee and (b) 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
which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the original
issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which
may either offset or magnify each other, aside from the selling commissions, structuring fee, projected hedging profits, if any,
estimated hedging costs and the price of one share of theReference Stock. Additionally, independent pricing vendors and/or third
party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This price
may be different (higher or lower) than theprice of the notes, if any, at which JPMS may be willing to purchase your notes in the
secondary market. See "Risk Factors - Risks Relating to the Estimated Value and Secondary Market Prices of the Notes -
Secondary market prices of the notes will beimpacted by many economic and market factors"in the accompanying product
supplement.
Risks Relating to the Reference Stock
•NO AFFILIATION WITH THE REFERENCE STOCK ISSUER -
We have not independently verified any of the information about the Reference Stock issuer contained in this pricing supplement.
You should undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference
Stock issuer's public disclosure of information, whether contained in SEC filings or otherwise.
•THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY -
The calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. The calculation
agent may make adjustments in response to events that are not described in the accompanying product supplement to account for
any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a
holder of the notes in making these determinations.
PS-7 | Structured Investments
Review Notes Linked to the Class A Common Stock of Liberty Energy Inc.
The Reference Stock
All information contained herein on the Reference Stock and on Liberty Energy is derived from publicly available sources, without
independent verification. According to its publicly available filings with the SEC,Liberty Energy is an integrated energy services and
technology company that provides hydraulic services and related technologies to onshore oil and natural gas exploration and
production companies in North America.The Class A common stock of Liberty Energy, par value $0.01 per share (Bloomberg ticker:
LBRT), is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on
the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Liberty Energy in the accompanying product
supplement. Information provided to or filed with the SEC by Liberty Energy pursuant to the Exchange Act can be located by reference
to the SEC file number 001-38081, and can be accessed through www.sec.gov. We do not make any representation that these publicly
available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance of the Reference Stock based on the weekly historical closing prices of one
share of the Reference Stock from January 4, 2019 through October 18, 2024.The closing price of one share of the Reference Stock
on October 30, 2024 was $17.08. We obtained the closing prices above and below from the Bloomberg Professional® service
("Bloomberg"), without independent verification. The closing prices above and below may have been adjusted by Bloomberg for
corporate actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference Stock should not be taken as an indication of future performance, and no
assurance can be given as to the closing price of one share of the Reference Stock on any Review Date. There can be no assurance
that the performance of the Reference Stock will result in the return of any of your principal amount.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. The following discussion, when read in combination 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.
Based on current market conditions, in theopinion of our special tax counsel it is reasonable to treat the notes as "open transactions"
that are not debt instruments for U.S. federal income tax purposes, as more fully described in "Material U.S. Federal Income Tax
Consequences-Tax Consequences to U.S. Holders -Notes Treatedas Open Transactions That Are Not Debt Instruments" in the
accompanying product supplement. Assuming this treatment is respected, the gainor loss on your notes should be treated as long-
term capital gain or loss if you hold your 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 may not respect this treatment, in which case the timing and character of any income or loss on the
notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses inparticular on
whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments ona
number of related topics, including the character of incomeor loss with respect to these instruments; the relevance of factors such as
the nature of theunderlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
PS-8 | Structured Investments
Review Notes Linked to the Class A Common Stock of Liberty Energy Inc.
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the "constructive ownership" regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary
income and impose a notional interest charge. While the notice requests comments onappropriate transition rules and effective dates,
any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the
tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented
by this notice.
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 deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-basedindices that meet requirements set forth in the applicable
Treasury regulations. Additionally, a recent IRS notice excludes from thescope of Section 871(m) instruments issued prior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income tax purposes (each an "Underlying Security"). Based on certain determinations made by us, our special tax counsel is of the
opinion that Section 871(m) should 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 its application may depend onyour particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should consult your tax
adviser regarding the potential application of Section 871(m) to the notes.
TheEstimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
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 secondary market (if any exists) at
any time. The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied
funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference
may be based on, among other things, our and our affiliates' view of the funding value of the notes 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
instruments of JPMorgan Chase & Co. This internal funding rate is basedon certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see "Selected Risk Considerations - Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes -The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate" in this
pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on
various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is
determined when the terms of the notes areset basedonmarket conditions and other relevant factors and assumptions existing at that
time.
The estimated value of the notes does not represent future values of the notes and may differ from others' estimates. Different pricing
models and assumptions 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 future may change, and any assumptions may prove to be incorrect. On
future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
which JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring
and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions and the
structuring feepaid 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 obligations under the
notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our
obligations under thenotes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain
PS-9 | Structured Investments
Review Notes Linked to the Class A Common Stock of Liberty Energy Inc.
any remaininghedging profits.See "Selected Risk Considerations - Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes - The Estimated Valueof the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes"in this
pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices of the notes, see "Risk Factors - Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes - Secondary market prices of the notes will be impacted by many
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 will bepartially 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 costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates
for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the
stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a
profit in connection with our hedging activities, the estimated costs 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 Limited Time Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that reflect the risk-return profile and market 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 Reference Stock"in this pricing supplement for a description of the market exposure provided by the
notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions and the structuring fee
paid to JPMS 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 obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $20.00 per $1,000 principal amount note it
receives from us to other affiliated or unaffiliated dealers. JPMS, acting as agent for JPMorgan Financial, will also pay all of the
structuring feeof $1.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See "Plan of
Distribution (Conflicts of Interest)" in the accompanying product supplement.
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 been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and such notes have been delivered against payment as
contemplated herein, such notes will be valid and binding obligations of JPMorgan Financialand the related guarantee will constitute a
validand 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, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusions expressed above or (ii) any provisionof the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'s obligation under the relatedguarantee.
This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the
trustee's authorization, execution and delivery of the indenture and its authentication of the master note and the validity, binding nature
and enforceability of the indenture with respect to the trustee, all as statedin 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.
PS-10 | Structured Investments
Review Notes Linked to the Class A Common Stock of Liberty Energy Inc.
Additional Terms Specific to the Notes
You should read this pricing supplement together with theaccompanying 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. This pricing supplement, together
with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as
well as any other written materials including preliminary 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 "Risk Factors" sections of the accompanying prospectus supplement and the accompanying
product supplement 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 advisers before you invest in the
notes.
You may access these documents on the SEC website at 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 April13, 2023:
•Prospectus supplement andprospectus, each dated April 13, 2023:
•Prospectus addendum dated June 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in this pricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.