JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 07:37
Primary Offering Prospectus - Form 424B2
October 28,2024 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, underlying supplement no. 5-II dated March5,2024,
the prospectus and prospectus supplement, eachdated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorganChase FinancialCompanyLLC
Structured Investments
$2,221,000
Auto Callable Buffered EquityNotesLinked to the
MerQube US Tech+ Vol Advantage Indexdue
November 1, 2029
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
•The notes aredesigned for investors who seek early exit prior to maturity at apremium if, on any Review Date (other
than the final Review Date), the closing levelof the MerQube US Tech+ Vol Advantage Index, which we refer to as the
Index, is at or above theCall Value.
•The earliest date on which an automatic call may be initiated isNovember 4, 2025.
•The notes arealso designed for investors whoseek anunleveraged exposure toany appreciationof the Index at
maturity,if the notes have not been automatically called.
•Investors should be willing to forgo interest and dividend payments and be willing to lose up to 85.00%of their principal
amount at maturity.
•The Index is subject to a 6.0% per annum daily deduction, and the performance of the Invesco QQQ TrustSM,
Series 1 (the"QQQ Fund") is subject to a notional financing cost. These deductions will offset any appreciation
of the components of the Index, will heighten any depreciation of those components and will generally be a drag
on the performance of the Index. The Index will trail the performance of an identical 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 ofJPMorgan 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 JPMorganChase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integral multiples thereof
•The notes priced on October 28, 2024 and are expected tosettle on or aboutOctober 31, 2024.
•CUSIP: 48135UYV6
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of the accompanying
prospectus supplement, Annex A to the accompanyingprospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplement, "Risk Factors" beginning on page US-4of the accompanying underlying
supplementand "Selected Risk Considerations" beginning on page PS-6 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor anystate securitiescommission has approved or disapproved
of the notes or passed upon the accuracy or the adequacy of this pricing supplement or theaccompanying product supplement,
underlying supplement, prospectus supplement, prospectusand prospectusaddendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$39
$961
Total
$2,221,000
$86,619
$2,134,381
(1)See "Supplemental Use of Proceeds" in this pricingsupplementfor information about the components of the price to public of the
notes.
(2) J.P. Morgan SecuritiesLLC, which we refer to as JPMS, acting asagentforJPMorgan Financial,will payallof theselling
commissions of$39.00per$1,000 principalamountnote itreceives from us toother affiliated orunaffiliated dealers.See "Plan of
Distribution (Conflictsof Interest)"in the accompanying productsupplement.
The estimated value of the notes, when the terms of thenotes were set,was $903.70per $1,000 principal amount note.
See "The Estimated Value of the Notes" in this pricing supplement for additional information.
The notes arenot bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Auto CallableBuffered Equity Notes Linked tothe MerQube US Tech+ Vol
Advantage Index
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Tech+ Vol Advantage Index
(Bloomberg ticker: MQUSTVA). The levelof the Indexreflects
a deduction of 6.0% per annum that accrues daily, and the
performance of the QQQ Fund is subject to a notional
financing cost that accrues daily.
Call Premium Amount:TheCall Premium Amount with
respect to each Review Date is set forth below:
•first Review Date: 25.15% × $1,000
•second Review Date: 50.30% × $1,000
•third Review Date: 75.45% × $1,000
•fourth Review Date: 100.60% × $1,000
Call Value:100.00% of the Initial Value
Buffer Amount: 15.00%
Pricing Date:October 28, 2024
Original Issue Date (Settlement Date): On or about October
31, 2024
Review Dates*:November 4, 2025, October 28, 2026,
October 28, 2027, October 30, 2028and October 29, 2029
(final Review Date)
Call Settlement Dates*:November 7, 2025, November 2,
2026, November 2, 2027 andNovember 2, 2028
Maturity Date*:November 1,2029
* Subjectto postponement in theevent of a market disruption
event and asdescribed under"Supplemental Termsofthe Notes
- Postponement of aDetermination Date -Notes Linked Solely
to an Index" in theaccompanying underlying supplementand
"General Terms ofNotes-Postponement ofaPaymentDate" in
the accompanying product supplement
Automatic Call:
If the closing level of the Index on any Review Date (other than the
final Review Date)is greater than or equal to the CallValue, the
notes will beautomatically called for a cash payment, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the Call Premium
Amount applicable to that Review Date, payable on the applicable
Call Settlement Date. No further payments willbe made onthe
notes.
If the notes are automatically called, you will not benefit fromthe
feature that provides you with a return at maturity equal to the Index
Return if the Final Value isgreater than the Initial Value.Because
thisfeature does not apply to the payment upon an automatic call, the
payment upon an automatic call may be significantly less than the
payment at maturity for thesame level of appreciation in the Index.
Payment at Maturity:
If thenotes have not been automatically called and theFinal Valueis
greater than theInitial Value, your payment at maturity per $1,000
principal amount notewill be calculated as follows:
$1,000 + ($1,000× Index Return)
If thenotes have not been automatically called and theFinal Valueis
equal to theInitial Value or is lessthan theInitial Value by up to the
Buffer Amount, you will receive the principal amount of your notes at
maturity.
If thenotes have not been automatically called and the Final Valueis
less than the Initial Valueby more than the Buffer Amount, your
payment at maturity per $1,000 principal amount note willbe
calculatedas follows:
$1,000 + [$1,000 × (Index Return + Buffer Amount)]
If the notes have not been automatically called and the Final Value is
less than the Initial Valueby more than the Buffer Amount, you will
lose someor most of your principal amount at maturity.
Index Return:
(Final Value-Initial Value)
Initial Value
Initial Value: The closinglevel of the Indexon the Pricing Date,
which was 11,439.48
Final Value: The closing levelof the Index on the final Review Date
PS-2| Structured Investments
Auto CallableBuffered Equity Notes Linked tothe MerQube US Tech+ Vol
Advantage Index
The MerQube US Tech+Vol Advantage Index
The MerQube US Tech+ VolAdvantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "IndexCalculation
Agent"), incoordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the Index Calculation
Agent. The Index was established on June22, 2021. An affiliate of ourscurrently has a10% equityinterest in the IndexSponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of the board of directors of the Index Sponsor.
Since February 9,2024 (the "Amendment Effective Date"), the underlying asset to which the Index islinked (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 rollingposition in E-Mini Nasdaq-100futures (the
"Futures Contracts").
The investment objective of the QQQ Fund is toseek to track the investment results, before fees and expenses, of the Nasdaq-100
Index®. For more information about the QQQ Fund and the Nasdaq-100 Index®, see "Background on the Invesco QQQTrustSM, Series
1" and "Background on the Nasdaq-100 Index®," respectively, in the accompanying underlying supplement.
TheIndex 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 annumdaily deduction, and the performance of the Underlying Asset is subject to a notional financing cost deducted daily.
On each weekly Index rebalance day, theexposure to the Underlying Asset isset equal to (a) the 35% implied volatility target (the
"target volatility") divided by (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 is equal to17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatilityof the QQQ Fundisequal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index's exposure to the Underlying Asset will be greater 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 featureisexpected to result in the volatilityof the Index beingmorestable over time than if
no target volatilityfeature were employed. No assurance can be provided that thevolatilityof the Index will be stable atany time.The
Index usesthe implied volatility of the QQQ Fund as a proxyfor therealized volatilityof theUnderlying Asset.
The Index tracks the performance of the QQQ Fund, with distributions, if any, notionally reinvested,lessthe daily deduction of a
notional financing cost. The notional financingcost is intended toapproximate the cost of maintaining a position in the QQQ Fund
using borrowed funds at a rate of interest equal to SOFR plus aspread 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 the calculation of the level of the Index, the performance of the
QQQ Fund is reduced bythe notional financingcost. The notional financing cost has been deducted from the performance of the QQQ
Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notional financing cost will offset any appreciationof 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 an identicalindex without suchdeductions.
Holding the estimated value of the notes and market conditions constant, the Call PremiumAmounts, the Buffer Amount and the other
economic terms available on the notesare morefavorable to investors than the terms that would be available on a hypotheticalnote
issued by us linkedto an identicalindex without a daily deduction.However, there canbe no assurance that any improvement in the
terms of the notes derived from the dailydeduction willoffset the negative effect of the daily deduction on the performanceof the
Index. The return on the notes may be lower than the return on ahypothetical note issued by us linked to an identical index 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 affectthe economic terms of the notes.Additionally, the daily deduction and volatility of the Index are two of the inputs our
affiliates'internal pricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimatedvalue of the notes set forth on the cover of this pricingsupplement. The daily deduction will effectively
reduce the value of the derivative or derivatives underlyingthe economic termsof the notes.See "The Estimated Value of the Notes"
and "Selected Risk Considerations-Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with theuse of significant leverage.The notional financing cost deducted daily will
be magnified by any leverage provided by the Index.Inaddition, the Index may be significantly uninvested on any given day,
and, in that case, will realize only a portion of any gains due to appreciation of the Underlying 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
Auto CallableBuffered Equity Notes Linked tothe MerQube US Tech+ Vol
Advantage Index
No assurancecan be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successful or will outperform any alternative indexor strategy thatmight reference theUnderlying Asset.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanying underlying
supplement.
PS-4| Structured Investments
Auto CallableBuffered Equity Notes Linked tothe MerQube US Tech+ Vol
Advantage Index
Supplemental Terms of the Notes
Any valuesof the Index, and any valuesderivedtherefrom, included in this pricing supplement may be corrected, in theevent of
manifest error or inconsistency, byamendment of this pricingsupplement and the correspondingterms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or anyother party.
How the NotesWork
Payment upon an Automatic Call
Payment at MaturityIf the Notes Have Not Been Automatically Called
Thenotes will be automaticallycalled on the applicableCall Settlement Date, and youwill
receive (a)$1,000 plus (b)the Call PremiumAmount applicable to that Review Date.
No furtherpayments will bemadeonthe notes.
Compare the closinglevel of the Indexto the Call Value oneach ReviewDate until thefinal ReviewDateoranyearlier automatic call.
ReviewDatesPreceding the Final ReviewDate
AutomaticCall
Theclosinglevel of the
Indexis greaterthanor
equal to theCall Value.
Theclosinglevel of the
Indexis lessthanthe
Call Value.
Call
Value
The notes will not be automaticallycalled.Proceedto thefinal ReviewDate.
No Automatic Call
Review DatesPreceding
the
Final Review Date
You will receive:
$1,000 + ($1,000 × IndexReturn)
Thenotes have not
been automatically
called. Proceed to the
payment at maturity.
Final ReviewDatePayment at Maturity
TheFinal Valueis greater than the Initial Value.
You will receive:
$1,000 + [$1,000 × (IndexReturn+
Buffer Amount)]
Under these circumstances, you will
lose some or most of your principal
amount at maturity.
The Final Valueis equal to theInitial Value or is less
thantheInitial Valuebyup to the Buffer Amount.
TheFinal Valueis lessthantheInitial Valuebymore
than theBuffer Amount.
Youwill receive the principal amount of
your notes.
PS-5| Structured Investments
Auto CallableBuffered Equity Notes Linked totheMerQube US Tech+ Vol
AdvantageIndex
Call Premium Amount
The table below illustrates the Call Premium Amount per $1,000 principal amount note foreach Review Date (other than the final
Review Date) based on the Call Premium Amountsset forthunder "Key Terms-Call Premium Amount" above.
Review Date
Call Premium Amount
First
$251.50
Second
$503.00
Third
$754.50
Fourth
$1,006.00
Payment at MaturityIf the Notes Have Not Been Automatically Called
The following table illustrates the hypothetical total return and paymentat maturity on the noteslinked to a hypothetical Indexif the
notes have not been automaticallycalled. The"total return"as used in this pricing supplementisthe number, expressed as a
percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. Thehypothetical total
returnsand paymentsset forth below assume the following:
•the notes have not been automaticallycalled;
•an Initial Value of 100.00;and
•a Buffer Amount of 15.00%.
ThehypotheticalInitial Value of 100.00 has been chosen for illustrative purposes only anddoesnot represent the actual Initial Value.
The actualInitial Valueis the closinglevel of the Indexon the Pricing Dateand is specified under "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 total returnor hypotheticalpayment at maturity set forth below is for illustrative purposes only and may not be the
actual total return or paymentat maturity applicable to a purchaser of the notes. The numbers appearing in the followingtablehave
been rounded for ease of analysis.
Final Value
Index Return
Total Returnon the Notes
Payment at Maturity
165.00
65.00%
65.00%
$1,650.00
150.00
50.00%
50.00%
$1,500.00
140.00
40.00%
40.00%
$1,400.00
130.00
30.00%
30.00%
$1,300.00
120.00
20.00%
20.00%
$1,200.00
110.00
10.00%
10.00%
$1,100.00
105.00
5.00%
5.00%
$1,050.00
101.00
1.00%
1.00%
$1,010.00
100.00
0.00%
0.00%
$1,000.00
95.00
-5.00%
0.00%
$1,000.00
90.00
-10.00%
0.00%
$1,000.00
85.00
-15.00%
0.00%
$1,000.00
80.00
-20.00%
-5.00%
$950.00
70.00
-30.00%
-15.00%
$850.00
60.00
-40.00%
-25.00%
$750.00
50.00
-50.00%
-35.00%
$650.00
40.00
-60.00%
-45.00%
$550.00
30.00
-70.00%
-55.00%
$450.00
20.00
-80.00%
-65.00%
$350.00
10.00
-90.00%
-75.00%
$250.00
0.00
-100.00%
-85.00%
$150.00
PS-6| Structured Investments
Auto CallableBuffered Equity Notes Linked totheMerQube US Tech+ Vol
AdvantageIndex
Note Payout Scenarios
Upside Scenario If Automatic Call:
If theclosing level of the Indexon any Review Date (other than thefinal Review Date)is greater than or equal to the Call Value, the
notes will beautomatically called and investors will receive on the applicableCall Settlement Date the $1,000 principal amount plus the
Call Premium Amount applicable to that Review Date. No further payments will be made on the notes.
•If the closing level of the Index increases 10.00% as ofthe first Review Date, the notes willbe automatically calledand investors
will receive a return equal to25.15%, or $1,251.50 per $1,000 principal amount note.
•If thenotes have not been previously automatically called and the closing level of the Index increases120.00% asof the fourth
Review Date, the notes will be automatically called and investors will receive a return equal to 100.60%, or $2,006.00 per$1,000
principal amount note.
Upside ScenarioIf No Automatic Call:
If thenotes have not been automatically called and theFinal Valueis greater than the Initial Value, investors will receive at maturity the
$1,000 principal amountplus a return equal to the Index Return.
•If the notes have not been automatically called and the closing level of the Indexincreases 5.00%, investors will receive at maturity
a return equal to 5.00%, or $1,050.00 per $1,000 principal amount note.
Par Scenario:
If the notes have not been automatically called andthe Final Valueisequal to theInitial Value or is less than the Initial Value by up to
the Buffer Amount of 15.00%, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If thenotes have not been automatically called and the Final Valueis less than the Initial Valueby more than theBuffer Amount of
15.00%, investors will lose 1% of the principal amount of their notes for every1% that the Final Value is less than theInitial Value by
more than the Buffer Amount.
•For example, if the notes have not been automatically calledand the closinglevel of the Index declines 60.00%, investorswill lose
45.00% of their principalamount and receive only $550.00 per $1,000 principal amount note at maturity, calculated as follows:
$1,000 + [$1,000 × (-60.00% + 15.00%)] = $550.00
The hypothetical returns and hypothetical payments on the notesshown above applyonly if you hold the notes for their entire term
or until automatically called.These hypotheticals do not reflect the fees or expenses that would beassociated with any sale in the
secondarymarket. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notesinvolves significant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement,product supplement and underlyingsupplement 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. Ifthe notes have not been automatically called and the Final Value isless than
the Initial Valueby more than 15.00%, you will lose 1%of the principal amount of your notes for every 1% that the FinalValueis
less than the Initial Value by more than 15.00%. Accordingly, under these circumstances, you will lose up to 85.00% of your
principal amount at maturity.
•THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction. As a result, the level of the Index will trail the value of an identically
constitutedsynthetic portfolio that is not subject to anysuch deduction.
Thisdeduction will place a significant drag on the performance of the Index, potentially offsetting positive returnson the Index's
investment strategy, exacerbating negative returnsof its investment strategy and causing the levelof the Index to decline steadily 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
Auto CallableBuffered Equity Notes Linked totheMerQube US Tech+ Vol
AdvantageIndex
greater than this deduction. As a result of this deduction, the level of the Indexmay decline even if the returnof 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 the notes set forth on the cover of this pricing
supplement. The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and SecondaryMarket 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 financingcost
deducted daily. The notional financingcost is intended to approximate the cost of maintaining a position in the QQQ Fund using
borrowedfunds at a rate of interest equal to the daily SOFR rateplus a fixed spread.Theactualcost of maintaining aposition in
the QQQ Fund at any time may be less than thenotional financing cost. As a result of thisdeduction, 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 bythe market for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were todefault on our payment
obligations, you may not receive any amounts owed to youunder the notes and you could loseyour entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments under loansmade by us to
JPMorgan Chase & Co. or under other intercompany agreements.As a result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co. and in a
bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to havesufficient resources to meet our obligations in
respect of the notesas they come due. If JPMorgan Chase & Co. does not make payments tous 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 rank pari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE
APPLICABLE CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless ofany appreciation of the Index, which may besignificant. In addition, if the notes are automaticallycalled, you will not
benefit from thefeature that provides you with a return at maturityequal to the Index Return if the Final Value is greater than the
Initial Value.Because thisfeature doesnot apply to the payment upon anautomaticcall, the payment upon anautomatic call may
be significantly less than the payment at maturity for the same levelof appreciation in theIndex.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notes are automaticallycalled, the term of the notes may be reduced to asshort asapproximately one year. Thereis no
guarantee that you would be able to reinvest the proceeds from an investment in the notesat a comparable return for asimilar
level of risk. Even in cases where the notes arecalledbefore maturity, you are not entitled to any fees andcommissions described
on the front cover of this pricing 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.
PS-8| Structured Investments
Auto CallableBuffered Equity Notes Linked totheMerQube US Tech+ Vol
AdvantageIndex
•JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the meritsof investing in the notes, the Index and the componentsof the Index.
•LACK OF LIQUIDITY -
The notes will not belisted 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 sell your notes.The notes
are not designed to be short-term trading instruments. Accordingly, you should beable and willing to hold your notes to maturity.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay avarietyof roles in connection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economic interests are potentially adverse toyour interests as an investor in the notes. It is possible that hedging or trading
activities of ours or our affiliates in connection with thenotescould 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 accompanyingproduct
supplement.
An affiliate of ourscurrentlyhas a10% equity interest in the Index Sponsor, witha right to appoint an employee of JPMS, another
of our affiliates, asa member of theboard of directors of the Index Sponsor.The Index Sponsor can implement policies, make
judgments or enact changes to the Indexmethodology that could negatively affect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculationor 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 orrevising
the Index, and we, JPMS, our other affiliates andour respective employees areunder no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the roleof
an employee of JPMS as a member of the board of directorsof theIndex Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for 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 aninvestor in the notes in its 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 notes is only an estimate determined by reference to several factors. The original issue price of the
notes exceedsthe estimated value of the notes becausecosts associated with selling, structuring and hedging the notesare
included in the original issue price of the notes.Thesecostsinclude 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 ofhedging
our obligationsunder 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 "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 usedin the determination of the estimated value of the notesmay differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissued byJPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, among other things, our and our affiliates'view of thefunding value of the notes as well as thehigherissuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes.The use of an
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internal funding rateand any potentialchanges 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.
•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 be partially paid back toyou in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See "Secondary Market Prices of the Notes" in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimated value of your notes during thisinitial period maybe lower than the value of the notesas 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 secondarymarket prices of thenotes will likely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take intoaccount our internalsecondarymarket funding rates for structureddebt issuances and,
also, because secondary market pricesmay exclude sellingcommissions, projected hedging profits, if any, and estimatedhedging
costs that are included in the original issue price of the notes.As a result, the price, if any, at which JPMS will be willingto buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Any sale by you prior to
the Maturity Datecould result in a substantialloss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BEIMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, aside from the selling commissions, projected hedgingprofits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealersmay publish a price for
the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondarymarket.See"Risk Factors-
Risks Relating to the Estimated Value and Secondary Market Pricesof the Notes- Secondary market prices of 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 Index Sponsor 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 revisingthe Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
No assurance can be given that the investment strategyonwhichthe Index is based will be successful or that the Index will
outperformany alternative strategythat might be employed with respect to theUnderlying Asset.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY-
No assurance can be given that the Index willmaintain an annualized realized volatility that approximates itstarget volatility of
35%. The Index's target volatilityis a level of implied volatility and therefore the actual realizedvolatility of the Index maybe
greater or less than the target volatility.On each weekly Index rebalance day, the Index's exposure to the Underlying Asset is set
equal to (a) the 35% implied volatility 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 the methodology used by the Index to determine theimplied volatilityof the QQQ Fund
will be representative of the realized volatility of the QQQ Fund. The volatilityof the Underlying Asset on any daymay change
quickly and unexpectedly andrealizedvolatility maydiffer significantlyfromimplied volatility. In general, over time, the realized
volatilityof the QQQ Fund has tended to be lower than its implied volatility; however, at any time that realized volatility may exceed
its implied volatility, particularly duringperiods of market volatility. Accordingly, the actual annualized realized volatility of the Index
maybe greater than or less than the target volatility, which mayadversely affect thelevel of the Index and the value of the notes.
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•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 exposureof theIndex to the Underlying Asset if
the impliedvolatility of the QQQ Fund is below 35%, subject to amaximum exposure of 500%. Under normal market conditionsin
the past, the QQQ Fund has tended to exhibit an implied volatilitybelow 35%. Accordingly, the Index has generally employed
leverage in the past, except during periods ofelevatedvolatility. 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 willmagnify 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 weeklybasis, in situations where a significant increase in volatility is
accompanied by asignificant decline in theprice of the Underlying Asset, the level of the Index may decline significantly before the
following Index rebalance day when the Index's exposure to the Underlying Asset would bereduced. In addition, the notional
financing cost deducted daily will be magnified by any leverage provided by the Index.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex 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%. If the 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 Indexmay be significantly uninvested on any given day, and will
realize only aportion of any gainsdue to appreciation of the Underlying Asset on anysuch day. The 6.0% per annumdeductionis
deducted daily, even when the Index is not fullyinvested.
•AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Some of the equity securities held by the QQQ Fund areissued by non-U.S. companies.Investments insecurities linked to the
value of such non-U.S. equitysecuritiesinvolve risks associated with the home countries ofthe issuersof those non-U.S. equity
securities. The prices of securities issued by non-U.S. companies may be affectedby political, economic, financial and social
factors in the home countries of those issuers, or global regions, including changes in government, economicand fiscalpolicies
and currency exchange laws.
•THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
The QQQ Fundissubject to management risk, which is the risk that the investment strategies of the QQQ Fund's investment
adviser, the implementation ofwhichissubject to a number of constraints, may not produce the intended results.These
constraintscould adversely affect themarket price of theshares of the QQQ Fund and, consequently, thevalue 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 Funddoes not fully replicate itsunderlying index and may hold securities different from those included in itsunderlying
index.In addition, the performance of the QQQ Fund will reflect additional transactioncosts and fees that are not included in the
calculation of its underlying index.All of these factors may lead toa lack of correlation between the performance of theQQQ Fund
and its underlying index.In addition, corporate actions with respect to the equity securities underlying the QQQ Fund (such as
mergers and spin-offs) mayimpact the variance between the performances of the QQQ Fundandits underlying index.Finally,
because the shares of theQQQ Fund are traded on a securitiesexchange and are subject to market supply and investor demand,
the market value of one shareof theQQQ Fund may differ from the net asset valueper share of the QQQ Fund.
During periodsof market volatility, securitiesunderlying the QQQ Fund may be unavailable in thesecondarymarket, market
participants may be unabletocalculate accurately the net asset value per shareof the QQQ Fund and the liquidity of the QQQ
Fund may beadversely affected.This kind of market volatility mayalso disrupt the abilityof market participants to create and
redeem shares of theQQQ 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 value of shares
of the QQQ Fund may vary substantially from the net asset value per share of theQQQ Fund. For all of the foregoing reasons, the
performance of theQQQ Fund may not correlate with the performance of its underlying index as well asthe net asset value per
share of theQQQ Fund, which could materiallyand adversely affect thevalue of the notesin thesecondary market and/or reduce
any payment on thenotes.
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•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 ARENOT INDICATIONS OF ITS FUTURE PERFORMANCE -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in thispricingsupplement is purely theoretical and does not represent the actual historicalperformance of the Index and has not
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 modelling techniques might produce significantly different resultsand may prove
to be more appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations,and you shouldcarefully consider these limitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance canbe provided that the QQQ Fund is an appropriatesubstitutefor the FuturesContracts. This replacement may
adversely affect the performance of the Index and the value of thenotes, as the QQQ Fund, subject to a notional financing cost,
mayperform worse, perhaps significantly worse, than the Futures Contracts. The Indexlacks any operating history with the QQQ
Fund as the Underlying Asset prior to theAmendment Effective Date and may perform in unanticipated ways. Investors in the
notes should bear thisdifference in mind when evaluatingthe 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 the above-listed
and other risks.
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Hypothetical Back-Tested Data and Historical Information
The following graph sets forththe hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January4, 2019 through June 18, 2021, and the historical performance of the Index based on the
weekly historical closing levels of the Index from June 25, 2021 throughOctober 25, 2024.The Index was established on June 22,
2021, as represented by the vertical line in the followinggraph. All data to the left of that vertical linereflect hypothetical back-tested
performance of the Index. All data to the right of that vertical line reflect actual historical performance of the Index. The closing level of
the Index on October28,2024 was11,439.48.Weobtainedthe closing levels above and below from the Bloomberg Professional®
service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of theIndex set forth in the followinggraph are 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.
The hypothetical back-tested and historical closing levels of the Indexshould not be taken as an indication of future performance, and
no assurance can be given asto theclosinglevel of the Index onany Review Date. There canbe no assurance that the performance
of the Index will result in the return of any of yourprincipal amount inexcess of $150.00 per $1,000 principal amount note, subject to
the credit risks of JPMorgan Financialand JPMorgan Chase & Co.
The hypothetical back-testedclosinglevels of the Index have inherent limitations and havenot beenverified by an independent third
party. These hypotheticalback-tested closing levelsare determined bymeans of a retroactiveapplication of a back-tested model
designed with the benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guaranteeof future returns. No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling
techniques or assumptions would produce different hypothetical back-tested closinglevels of theIndex that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-testedclosing levels of the Index set forth above.
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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 incometax consequences of owning and disposing of notes.
Basedon current market conditions, in the opinion of our special tax counselit is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, asmorefully described in "Material U.S. Federal Income Tax
Consequences- Tax Consequences to U.S. Holders-Notes Treated as Open Transactions That Are Not Debt Instruments" in the
accompanying product supplement. Assuming this treatment is respected, subject tothe possible application of the "constructive
ownership" rules, the gainor loss on your notesshould be treated as long-term capital gain or loss if you hold your notes for more than
a year, whether or not you arean initial purchaser of notes at the issue price. The notes could be treated as "constructive ownership
transactions" within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would
otherwise be long-term capital gainand that wasin excessof the "net underlying long-termcapital gain" (as defined in Section 1260)
would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a
constant yield over your holding period for the notes. Our special taxcounsel has not expressed an opinion with respect to whether the
constructive ownership rules apply to the notes. Accordingly, U.S. Holdersshouldconsult their tax advisers regarding the potential
application of the constructive ownership rules.
The IRS or a court may not respect the treatment of the notes described above, in which case the timing and character of anyincome
or losson your notes could be materially and adverselyaffected. 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 accrueincome over the term of their investment. It also
asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;the
relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which
income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these
instrumentsare or should be subject to the constructiveownership regime described above. While the notice requests comments on
appropriate 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 aninvestment in the notes, possibly with retroactive effect.You
shouldconsult your tax adviser regardingthe U.S. federal income tax consequences of an investment in the notes, including the
potential application of the constructive ownership rules, possible alternative treatments and the issues presentedby 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 equivalentspaid or deemedpaid to Non-U.S. Holders with respect to certain
financial instrumentslinked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
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 dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinationsmade by us, our special taxcounselisof the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.Our determination is not binding on the
IRS, and the IRS may disagree with this determination.Section 871(m) is complex and itsapplication may depend on your particular
circumstances, including whether you enter intoother transactions with respect to an Underlying Security. Youshouldconsult your tax
adviser regarding the potential application of Section 871(m) to the notes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplementis equal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component withthesame maturityas the notes, valued usingthe internal funding
ratedescribed below, and (2) the derivative or derivatives underlying theeconomic terms of the notes.The estimated value of the
notesdoes not represent a minimum price at which JPMS wouldbe willing to buy your notes in any secondarymarket (if anyexists) at
any time.The internal funding rate used in the determination of theestimated valueof the notes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof a similar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybe based on, among other things, ourand our affiliates'view of the funding value of the notes as well as the higherissuance,
operational and ongoingliability management costs of the notes in comparisonto those costsfor theconventional 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 approximatetheprevailing 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 anysecondary market
prices of the notes. For additional information, see"Selected Risk Considerations- Risks Relating to the Estimated Value and
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Secondary Market Prices of the Notes- The Estimated Value of the NotesIsDerived byReference to anInternal Funding Rate" in this
pricing supplement.
The value of thederivative or derivatives underlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates.These models are dependent on inputssuch as the traded market prices of comparable derivative instrumentsand on
various other inputs, some of which aremarket-observable, and which can includevolatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments.Accordingly, theestimatedvalue of thenotes is
determined when the termsof the notes are set basedon market conditions and other relevant factors and assumptions existing at that
time.
Theestimated value of the notesdoes not represent future values of the notes andmay differ from others' estimates. Different pricing
modelsandassumptionscould provide valuations forthe 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, the value of the notescouldchange 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
whichJPMS would be willing to buy notesfromyou in secondarymarket transactions.
The estimated value of the notes is lowerthan the original issue price of the notes because costs associatedwith selling, structuring
and hedging the notes are includedin the originalissueprice of the notes.These costsinclude the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimatedcost of hedging our obligationsunder thenotes.Becausehedging our
obligations entails risk and may beinfluenced by market forces beyond our control, this hedging may result in a profit that ismoreor
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedgingour obligations under thenotesmay be
allowed to other affiliatedor unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.See
"Selected Risk Considerations - Risks Relating to the Estimated Value and SecondaryMarket Prices ofthe Notes - The Estimated
Value of the Notes Is Lower Than 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 any secondary market pricesof 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 impactedby 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 be partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period.These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances.This initial predetermined time period is intended to be the shorter of sixmonths and one-half of the
stated term of the notes.The lengthof any such initial period reflects the structure of the notes, whether our affiliatesexpect toearn a
profit inconnection withour hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as
determined by our affiliates.See "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes- The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Thanthe 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 "Note Payout Scenarios" in this pricing supplement for an illustration of the risk-return profile of
the notes and"TheMerQube US Tech+ Vol Advantage Index"in this pricing supplementfor a description of the market exposure
provided by the notes.
The originalissue price of the notes is equal to the estimated value of the notesplus the selling commissions paid toJPMS and other
affiliated or unaffiliated dealers, plus(minus) the projected profits (losses) that our affiliatesexpect to realize for assuming risks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
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Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as specialproducts counsel to JPMorgan Financial andJPMorgan Chase & Co., when the
notesoffered by this pricing supplement have been issued by JPMorgan Financialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents suchnotes(the "master note"), and such notes have beendelivered against payment as
contemplated herein, such noteswill be valid and 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 dealingand the lack ofbad faith),provided that such counsel
expresses no opinionas to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (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 ofJPMorgan Chase & Co.'sobligationunder the related guarantee.
Thisopinion is given as of the date hereof and is limited to the laws of the State of New York, the General CorporationLaw of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject tocustomary assumptions about the
trustee's authorization, execution and deliveryof the indenture and its authentication of themaster note and thevalidity, binding nature
and enforceabilityof the indenturewith 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. on February 24,
2023.
Additional Terms Specific to the Notes
You should readthispricing supplement together with theaccompanyingprospectus, as supplementedby theaccompanying
prospectus supplement relating to our SeriesA 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 written materials includingpreliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, sample structures, fact sheets, brochures orother educational materialsof
ours.You should carefully consider, among other things, the matters set forth in the "RiskFactors" sectionsof the accompanying
prospectus supplement, the accompanying product supplement and the accompanying underlying supplementand in Annex A to the
accompanying prospectus addendum, as the notesinvolve risks not associated with conventional debt securities.We urge you to
consult your investment,legal, tax, accounting and other advisers before you invest in the notes.
You may access these documentson the SEC website at www.sec.gov asfollows (or if such addresshas changed, by reviewingour
filings for the relevant dateonthe SEC website):
•Product supplement no. 4-Idated April 13, 2023:
•Underlying supplement no. 5-II datedMarch 5, 2024:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectus addendum dated June 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in thispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.