JPMorgan Chase & Co.

10/30/2024 | Press release | Distributed by Public on 10/30/2024 14:50

Primary Offering Prospectus - Form 424B2

October 28, 2024RegistrationStatement Nos.333-270004 and 333-270004-01; Rule 424(b)(2)
Pricingsupplement to productsupplement no. 4-IdatedApril 13, 2023, underlyingsupplement no. 5-IIdated March5, 2024, the prospectus and
prospectussupplement, eachdatedApril 13, 2023,and the prospectus addendum dated June 3, 2024
JPMorganChase FinancialCompany LLC
Structured Investments
$1,249,000
Review NotesLinked to the MerQube US Tech+ Vol
Advantage Index due November 1, 2029
Fully and UnconditionallyGuaranteed by JPMorgan Chase& Co.
•The notes aredesigned for investors who seek early exit prior to maturityat a premium if, on any Review Date, theclosing
level of the MerQube US Tech+ Vol Advantage Index, which we refer to as the Index,isat or above the Call Value.
•The earliest date on which an automatic call may be initiated is October30, 2025.
•Investors should be willing to forgo interest and dividend payments and bewilling to lose up to 70.00% of their principal
amount at maturity.
•The Index is subject to a 6.0% per annumdaily 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 theperformance of an identical index without such deductions. See
"Selected Risk Considerations-Risks Relating to the Notes Generally -The Levelof the Index Will Include a 6.0%
per Annum Daily Deduction" and "Selected Risk Considerations -Risks Relating to the Notes Generally -The
Level of theIndex Will Include the Deduction of a Notional Financing Cost" in this pricing supplement.
•The notes areunsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any payment
on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and thecredit risk of
JPMorgan Chase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integral multiples thereof
•The notes priced on October 28, 2024 and are expectedtosettle on or about October 31, 2024.
•CUSIP: 48135UDE7
Investingin 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-4 of the accompanying underlying supplement and
"Selected Risk Considerations" beginning on pagePS-6of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securitiescommission has approved or disapproved ofthe
notes or passedupon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, underlying
supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to thecontraryis a criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds to Issuer
Per note
$1,000
$40.2002
$959.7998
Total
$1,249,000
$50,210
$1,198,790
(1)See "Supplemental Use ofProceeds"in thispricingsupplementforinformation about the components of the price to public ofthenotes.
(2)J.P. Morgan SecuritiesLLC, which we refer toas JPMS, acting as agent forJPMorgan Financial, will payall of the selling commissions it
receivesfrom us to otheraffiliated orunaffiliated dealers. These selling commissionswill vary and will be up to$42.50 per $1,000 principal
amount note.See"Plan of Distribution (Conflicts ofInterest)" inthe accompanyingproductsupplement.
The estimated value of the notes, when the terms of the notes were set,was $901.70per $1,000 principal amount note.See
"TheEstimated Value of theNotes" in thispricing supplement for additional information.
The notes arenot bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagencyand
are notobligations of, or guaranteed by, a bank.
PS-1 | Structured Investments
Review Notes Linked to theMerQube US Tech+ VolAdvantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly ownedfinance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Tech+ Vol Advantage Index (Bloomberg
ticker: MQUSTVA). The level of the Index reflects a deduction of
6.0% per annum that accrues daily, and the performance of the
QQQ Fund issubject toa notional financingcost that accrues
daily.
Call Premium Amount: The Call Premium Amount with respect
to each Review Date isset forth below:
•first Review Date:17.00% × $1,000
•second Review Date: 34.00% × $1,000
•third Review Date:51.00% × $1,000
•fourthReview Date:68.00% × $1,000
•final Review Date: 85.00% × $1,000
Call Value: 100.00% of the Initial Value
Buffer Amount: 30.00%
Pricing Date:October 28, 2024
Original Issue Date (Settlement Date): On or about October 31,
2024
Review Dates*: October 30, 2025, October 28, 2026, October 28,
2027, October 30, 2028 and October 29, 2029 (final Review Date)
Call Settlement Dates*: November 3, 2025, November 2, 2026,
November 2, 2027, November 2, 2028and the Maturity Date
Maturity Date*:November 1,2029
Automatic Call:
If the closing level of the Index on any Review Date is greater than
or equal to theCall Value, 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 will be madeon the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
is less than the Initial Value by up to the Buffer Amount, youwill
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 Initial Value by more than the Buffer Amount, your
payment at maturity per $1,000 principal amount note willbe
calculatedasfollows:
$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 Value by more than the Buffer Amount, you
will lose some or most of your principal amount at maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value: The closing level of theIndexon the Pricing Date,
which was 11,439.48
Final Value: The closing levelof theIndexon the final Review
Date
* Subject to postponement in the event of a market disruption event
and as described under "Supplemental Terms of the Notes-
Postponement of a Determination Date - Notes Linked Solely to
an Index" in the accompanying underlying supplement and
"General Terms of Notes-Postponement of a Payment Date" in
the accompanying product supplement
PS-2 | Structured Investments
Review Notes Linked to theMerQube US Tech+ VolAdvantage Index
The MerQube US Tech+Vol Advantage Index
The MerQube US Tech+ Vol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "IndexCalculation
Agent"), incoordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the Index Calculation
Agent. The Index was established on June 22, 2021. An affiliate of ourscurrently has a 10% equityinterest intheIndexSponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of the boardof directors of the Index Sponsor.
Since February 9, 2024 (the "Amendment Effective Date"), the underlying asset to which theIndex islinked (the "Underlying Asset")
has been an unfunded position in the QQQ Fund, calculated as the excess of the total return of the QQQ Fund over a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset wasan unfunded rolling position in E-Mini Nasdaq-100 futures (the
"Futures Contracts").
The investment objective of the QQQ Fund is to seek to track the investment results, before fees and expenses, of the Nasdaq-100
Index®. For more information about the QQQFund and the Nasdaq-100 Index®, see "Background on the Invesco QQQ TrustSM, Series
1" and "Background on the Nasdaq-100Index®," respectively, in the accompanying underlying supplement.
The Index attempts to provide a dynamic rules-based exposure to the Underlying Asset, while targeting alevelof implied volatility, with
a maximum exposure to the Underlying Asset of 500% and a minimum exposure to the Underlying Asset of 0%. The Index is subject to
a 6.0% per annumdaily deduction, and theperformance of the Underlying Asset is subject to a notional financing cost deducted daily.
On each weekly Index rebalance day, the exposure 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 theimplied volatility of the QQQ Fund isequal to17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatilityof the QQQ Fundisequal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index's exposureto 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 willbe less than 100% when the implied volatility of the QQQ Fund is above
35%. In general, the Index'starget volatility featureisexpected to result in the volatilityof the Index being morestable over time than if
no target volatilityfeature were employed. No assurance can be provided that the volatilityof the Index will be stable at any time.The
Index usesthe implied volatility of the QQQ Fund as a proxyfor the realizedvolatilityof theUnderlying Asset.
The Index tracks the performanceof the QQQ Fund, with distributions, if any, notionally reinvested,lessthedaily deduction of a
notional financingcost. The notional financing cost 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 collateralized by 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 notionalfinancing 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 trail the
performance of an identicalindex without suchdeductions.
Holding the estimated value of the notes and market conditions constant, the Call Premium Amounts, theBuffer 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 uslinked to an identical index without a daily deduction. However, therecan be no assurance that any improvement in the
terms of the notes derived from the dailydeduction will offset the negative effect of the daily deduction on the performance of the
Index. The return on the notes may be lower than the return on a hypothetical note issued by us linked to an identicalindex withouta
daily deduction.
The daily deductionand the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatilityof the Index are two of the inputs our
affiliates'internal pricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimated value 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 "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 gainsdue to appreciation of the Underlying Asset on that day. The index
deduction isdeducted dailyat a rateof 6.0% per annum, even when the Index is not fullyinvested.
PS-3 | Structured Investments
Review Notes Linked to theMerQube US Tech+ VolAdvantage 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 the Underlying Asset.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanyingunderlying
supplement.
PS-4 | Structured Investments
Review Notes Linked to theMerQube US Tech+ VolAdvantage Index
Supplemental Terms of the Notes
Any valuesof the Index, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to the contraryin the indenture governing the notes, that amendment willbecome effective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payment upon an Automatic Call
Payment at MaturityIf the Notes Have Not Been Automatically Called
Thenotes will be automaticallycalled on the applicable Call Settlement Date and youwill
receive(a) $1,000 plus (b) theCall PremiumAmount applicableto that ReviewDate.
No furtherpayments will be madeonthenotes.
ReviewDates
AutomaticCall
The closing level of the
Indexis greater thanor
equal totheCall Value.
Theclosing level of the
Indexis less thanthe
Call Value.
Call
Value
Compare the closinglevel of the Indexto theCall Value oneach ReviewDate until anyearlier automatic call.
Thenotes will not be automaticallycalled. Proceed to the next ReviewDate, if any.
No Automatic Call
ReviewDates
You will receive theprincipal amount
of your notes.
Thenotes have not
been automatically
called. Proceed to the
payment at maturity.
Final ReviewDatePayment at Maturity
TheFinal Value is less thanthe Initial Value byup
to the Buffer Amount.
You will receive:
$1,000 + [$1,000 × (IndexReturn+
Buffer Amount)]
Under thesecircumstances, you will
lose some or most of yourprincipal
amount at maturity.
TheFinal Value is less thantheInitial Value by
more than the Buffer Amount.
PS-5 | Structured Investments
Review Notes Linked to theMerQube US Tech+ VolAdvantage Index
Call Premium Amount
The table below illustrates the Call Premium Amountper $1,000 principal amount note foreach Review Date basedon the Call
Premium Amountsset forthunder "Key Terms-Call Premium Amount"above.
Review Date
Call Premium Amount
First
$170.00
Second
$340.00
Third
$510.00
Fourth
$680.00
Final
$850.00
Hypothetical Payout Examples
The followingexamples illustrate payments on the noteslinked to ahypothetical Index, assuming a range of performances for the
hypothetical Indexon the Review Dates.
In addition, the hypothetical paymentsset forth below assume the following:
•an Initial Value of 100.00;
•a Call Value of 100.00 (equal to 100.00%of the hypothetical Initial Value);
•a Buffer Amount of 30.00%; and
•the Call Premium Amountsset forth under "KeyTerms -Call Premium Amount" above.
The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only anddoesnot representthe actual Initial Value.
The actualInitial Value is theclosing levelof the Indexon the Pricing Date and is specified under "Key Terms-Initial Value" inthis
pricing supplement. For historical data regarding the actual closinglevels of the Index, please see the historicalinformation set forth
under "Hypothetical Back-Tested Data and Historical Information" in this pricing supplement.
Each hypothetical payment set forth below isfor illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of the notes. Thenumbers appearing in the following exampleshave been rounded forease of analysis.
Example 1- Notes are automatically called on the first Review Date.
Date
ClosingLevel
First Review Date
110.00
Notes are automatically called
Total Payment
$1,170.00(17.00% return)
Because the closing level of the Indexon the first Review Date isgreater than or equal tothe Call Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, of $1,170.00 (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
ClosingLevel
First Review Date
90.00
Notes NOT automaticallycalled
Second Review Date
75.00
Notes NOT automatically called
Third through Fourth
Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
280.00
Notes are automatically called
Total Payment
$1,850.00 (85.00% return)
Because the closing level of the Indexon the final Review Date is greater than or equalto the Call Value, the notes willbeautomatically
called for a cash payment, for each $1,000 principal amount note, of $1,850.00 (or $1,000plus the Call Premium Amount applicable to
the final Review Date), payable on theapplicable Call Settlement Date, which is the Maturity Date.
PS-6 | Structured Investments
Review Notes Linked to theMerQube US Tech+ VolAdvantage Index
Example 3- Notes have NOT been automatically called and theFinal Value is less than theInitial Value by up to the Buffer
Amount.
Date
ClosingLevel
First Review Date
90.00
Notes NOT automatically called
Second Review Date
85.00
Notes NOT automatically called
Third through Fourth
Review Dates
Less than Call Value
Notes NOT automatically called
FinalReview Date
90.00
Notes NOT automatically called; Final Value isless than theInitial
Value byup to the Buffer Amount
Total Payment
$1,000.00 (0.00% return)
Because the noteshave not been automatically called and the Final Value isless thantheInitial Value by up tothe Buffer Amount, the
payment at maturity, for each$1,000 principal amount note, will be $1,000.00.
Example4 - Notes have NOT been automatically called and the Final Value is less than theInitial Value by more than the
Buffer Amount.
Date
ClosingLevel
First Review Date
80.00
Notes NOT automatically called
Second Review Date
70.00
Notes NOT automatically called
Third through Fourth
Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
40.00
Notes NOT automatically called; Final Value is less than the Initial
Value bymore than the Buffer Amount
Total Payment
$700.00 (-30.00% return)
Because the noteshave not been automatically called, the Final Value is lessthanthe Initial Value bymore than the Buffer Amount and
the Index Return is -60.00%, the payment at maturity willbe $700.00 per $1,000 principal amount note, calculated asfollows:
$1,000 + [$1,000 × (-60.00% + 30.00%)]= $700.00
The hypothetical returnsand hypothetical payments on the notesshown above apply onlyif 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
secondarymarket. If these fees and expenses were included, thehypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notesinvolves significant risks. These risks are explained in more detail in the "Risk Factors"sectionsof the
accompanyingprospectus supplement, product supplement and underlyingsupplement and in Annex A tothe accompanying
prospectus addendum.
Risks Relating to the NotesGenerally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. If the notes have not been automatically called andthe Final Value is less than
theInitial Valuebymore than 30.00%, you will lose 1%of theprincipal amount of your notes for every 1% that the FinalValueis
less than the Initial Valueby more than 30.00%. Accordingly, under these circumstances, you will lose up to 70.00% 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
constituted synthetic portfolio that is not subjectto anysuch deduction.
This deduction willplace 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 declinesteadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of itsinvestment strategyis
PS-7 | Structured Investments
Review Notes Linked to theMerQube US Tech+ VolAdvantage Index
sufficient to offset the negative effectsof thisdeduction, and then only to the extent that thereturn of its investment strategy is
greater than this deduction. As a result of this deduction, the level of the Indexmay decline even if the return of itsinvestment
strategy is otherwisepositive.
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 estimated value of thenotes set forth on the cover of this pricing
supplement. The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes" in 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 rate plusa fixed spread.Theactualcost of maintaining a position in
the QQQ Fund at any time may be less than the notional financing cost.Asa 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 andJPMorgan 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, asdetermined bythe 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 maynot receive any amounts owed to you under the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a 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 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 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 tomake
payments on the notes, you may have toseek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rankpari passuwith allother unsecured and unsubordinated obligations of JPMorgan Chase & Co.For more
information, see the accompanying prospectus addendum.
•THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of the Index, which maybe significant. You will not participate in any appreciation of the Index.
•THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT-
If your notes are automatically called, the term of the notes may be reduced to asshort asapproximately one year. Thereis no
guarantee that you would be able to reinvest the proceeds from an investment in the notesat a comparable return for a similar
level of risk.Even in cases where the notes arecalledbefore maturity, you are not entitled to any fees and commissions described
on the front cover of thispricing supplement.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY
RIGHTS WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES.
•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 investigationof the meritsof investing in the notes, theIndex and the componentsofthe Index.
PS-8 | Structured Investments
Review Notes Linked to theMerQube US Tech+ VolAdvantage Index
•LACK OF LIQUIDITY -
The notes will not belistedonany securities exchange.Accordingly, the price at whichyou may be able to trade your notesis
likelyto depend on the price, if any, at which JPMS is willing to buy the notes.You may notbe able to sellyour notes.The notes
are not designed to be short-term trading instruments. Accordingly, you should beable and willing to hold your notes to maturity.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliates play a varietyof roles in connection with the notes.In performing these duties, our and JPMorgan Chase &
Co.'s economic interests are potentially adversetoyour interests as aninvestor in the notes.It ispossible that hedging or trading
activities of oursor our affiliates in connection with the notescould result in substantial returns for us or our affiliates whilethe
value of the notes declines.Please refer to"RiskFactors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
An affiliate of ourscurrently has a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another
of our affiliates, as a member of the board of directors of the Index Sponsor. The Index Sponsor can implement policies, make
judgments or enact changes to the Indexmethodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the value of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates andour respectiveemployees areunder no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the role of
an employee of JPMS asa member of the board of directors of 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, policiesanddeterminations 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 couldhave an impact, positive or negative, on the levelof the Index and the value of your notes. JPMS is under no
obligation to consider your interests as aninvestor in the notes inits role in developing the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
Risks Relating to theEstimated Value and Secondary Market Prices of the Notes
•THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
Theestimated value of the notesis only an estimate determined by reference to several factors. The originalissuepriceof the
notes exceedsthe estimated value of the notes becausecosts associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. Thesecostsinclude theselling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimatedcost ofhedging
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"TheEstimated Value of the Notes" in this pricingsupplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TOAN INTERNAL FUNDING RATE -
The internal funding rate usedin the determination of the estimated value of the notes maydiffer from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, among other things, our and our affiliates' view of thefunding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for theconventional 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
internalfunding rate and any potential changes to that ratemay havean adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Valueof 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 generallyexpect that some of the costs included in the original issue price of the noteswill be partially paid back to you in
connection with any repurchases of your notes byJPMS in an amount that willdecline 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.
PS-9 | Structured Investments
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Accordingly, the estimated value of your notes during thisinitial period maybe lower than the value of the notes aspublished by
JPMS (and which may be shown onyour customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket pricesof thenotes will likely be lower than the original issue price of the notes because, among other
things, secondarymarket prices take intoaccount our internal secondarymarket funding rates for structured debt issuances and,
also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included in theoriginal issue price of the notes.As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all,is likely to be lower than the originalissue price. Anysale by you prior to
theMaturity Datecould result in a substantialloss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom the selling commissions, projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendorsand/or third party broker-dealers may 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 which JPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes- Secondarymarket prices of the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to theIndex
•THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS
NO OBLIGATION TO CONSIDER YOUR INTERESTS-
The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute thecomponentsof
theIndex or make other methodologicalchanges that could affect thelevelof the Index.The Index Sponsor has no obligation to
consider your interests incalculating or revising the Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
No assurance can be given that the investment strategyon which the Index is based will be successful or that the Index will
outperformany alternative strategythat might be employed withrespect to the Underlying Asset.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY-
No assurance can be given that the Index willmaintain an annualized realized volatility that approximatesits target volatility of
35%. The Index's target volatilityisa 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'sexposure to the Underlying Asset isset
equal to (a) the 35% implied volatility target dividedby (b) the one-weekimplied volatilityof the QQQ Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, there is no 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 may differ significantlyfromimplied volatility. In general, over time, the realized
volatilityof the QQQ Fundhas tended to be lower than its implied volatility; however, at any time that realizedvolatility may exceed
its implied volatility, particularly during periods of market volatility. Accordingly, the actual annualizedrealized volatility of the Index
maybe greater than or less than the target volatility, whichmayadversely affect thelevel of the Index and the value of the notes.
•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE-
On a weeklyIndex rebalanceday, the Index will employ leverage to increase the exposureof the Index to the 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
leveragein the past, except during periodsof elevatedvolatility. When leverage is employed, any movements in the prices of the
Underlying Asset will result ingreater changes in the level of the Index than if leverage were not used. In particular, theuse of
leverage will magnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where asignificant increase in volatility is
accompanied by a significant decline in the price of the Underlying Asset, the level of the Index may decline significantly beforethe
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following Index rebalance daywhen the Index's exposure to the Underlying Asset would be reduced. In addition, the notional
financing cost deducted dailywill be magnified by any leverage provided by the Index.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED-
On a weeklyIndex rebalanceday, the Index's exposureto the Underlying Asset will beless than 100% when theimplied 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 a portion of any gainsdue to appreciation of the Underlying Asset on anysuch day. The 6.0% per annum deductionis
deducted daily, even when the Index is not fullyinvested.
•AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Some of the equity securities held by the QQQ Fund are issued by non-U.S. companies. Investments insecurities linked to the
value of such non-U.S. equitysecurities involve risks associated with the home countries ofthe issuersof those non-U.S. equity
securities. The prices of securities issued by non-U.S. companies maybe affected bypolitical, economic, financial and social
factors in the home countriesof thoseissuers, or global regions, includingchanges in government, economicand fiscalpolicies
and currency exchange laws.
•THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
TheQQQ Fundis subject to management risk, which is the risk that the investment strategies of the QQQ Fund's investment
adviser, the implementation ofwhich is subject 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, the value of thenotes.
•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 -
TheQQQ Funddoes not fullyreplicate itsunderlying index and may hold securities different from those included in its underlying
index. In addition, the performance of the QQQ Fund will reflect additional transaction costs and fees that are not included in the
calculation of itsunderlying index. All of these factors may lead toa lack of correlation between the performance of theQQQ Fund
and itsunderlyingindex. In addition, corporateactions with respect to the equity securitiesunderlying the QQQ Fund (such as
mergers and spin-offs) mayimpact thevariance between the performances of the QQQ Fund and itsunderlying index. Finally,
because the shares of the QQQ Fund are traded on a securitiesexchange and are subject to market supply and investor demand,
the market value of one shareof the QQQ Fund maydiffer from the net asset value per share of the QQQ Fund.
During periodsof market volatility, securities underlying the QQQ Fund may be unavailable in the secondary market, market
participants may be unable tocalculate accurately the net asset value per shareof theQQQ Fund and the liquidity of the QQQ
Fundmay beadversely affected. This kind of market volatility mayalso disrupt the abilityof market participants to create and
redeem shares of the QQQ Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market
participants are willing to buyand sell shares of theQQQ Fund. As a result, under these circumstances, the market value of shares
of the QQQ Fund mayvary substantially from the net asset valueper share of theQQQ Fund. For all of the foregoing reasons, the
performance of theQQQ Fund may not correlate with the performance of itsunderlyingindex as well asthe net asset value per
share of the QQQ Fund, which could materiallyand adversely affect the value of the notesin the secondary market and/or reduce
any payment on the notes.
•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 INDICATIONSOF ITS FUTURE PERFORMANCE-
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Data and Historical Information"
in thispricing supplement is purely theoretical and does not represent the actual historicalperformance of the Index and hasnot
been verified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested modelthat has been
designed withthebenefit of hindsight. Alternative modellingtechniques 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,andyou should carefully consider these limitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance canbe provided that the QQQ Fund is an appropriatesubstitutefor the FuturesContracts. This replacement may
adversely affect the performance of the Index and the valueof thenotes, as the QQQ Fund, subject to a notional financing cost,
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mayperform worse, perhaps significantly worse, than the Futures Contracts.The Index lacks any operating history with the QQQ
Fund as the Underlying Assetprior to theAmendment Effective Date and may perform in unanticipated ways. Investors in the
notes should bear thisdifference in mind when evaluatingthe historicaland 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-listedand
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 fromJune 25, 2021 through October 25, 2024.The Index was established on June 22,
2021, as representedby thevertical line in the followinggraph. All data to the left of that vertical line reflect hypotheticalback-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 October 28, 2024 was 11,439.48. Weobtained the closing levels above and below from the BloombergProfessional®
service ("Bloomberg"), without independent verification.
The data for the hypotheticalback-tested performance of the Index set forth in the following graph 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 ofthe Indexshould not be takenas an indication of future performance, and
no assurance can be given as to the closinglevel of the Index onany Review Date.There canbe no assurance that theperformance
of the Index will result in the return of any of yourprincipalamount in excess of $300.00 per $1,000 principal amount note, subject to
the credit risks of JPMorgan Financialand JPMorgan Chase & Co.
The hypothetical back-testedclosing levels of the Index have inherent limitations and have not beenverified by anindependent third
party. These hypotheticalback-testedclosing levels are determined by means of a retroactiveapplication of a back-tested model
designed withthebenefit 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
techniquesor assumptions would produce different hypothetical back-tested closing levels of the Index that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closing levelsof the Index set forth above.
Tax Treatment
Youshould 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 incombination 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, the gain or losson your notes should be treated aslong-
termcapitalgain or loss if you holdyour notes for more than a year, whether or not you arean initial purchaser of notes at the issue
price. However, the IRS or acourt may not respect this treatment, in which casethetiming and character of any income or losson the
notes could bemateriallyand adversely affected. Inaddition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of "prepaidforwardcontracts" and similar instruments. The notice focuses in particular on
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whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, includingthe character of income or loss with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized bynon-U.S. investorsshould be subject to withholding tax; and whether these instruments are or should be subject
to the "constructiveownership" regime, which very generally canoperate to recharacterizecertain long-term capital gain as ordinary
income and impose a notionalinterest charge. While the notice requestscomments 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
taxconsequences of an investment in the notes, possibly with retroactiveeffect. You should consult your taxadviser regardingthe
U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issuespresented
by thisnotice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalentspaid or deemedpaid to Non-U.S. Holders with respect to certain
financial instrumentslinked toU.S. equities or indices that include U.S. equities. Section871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations. Additionally, a recent IRS notice excludes from the 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 pay U.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinationsmade by us, our special taxcounsel isof the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.Our determination is not binding on the
IRS, and the IRS may disagree with this determination. Section 871(m) is complex and itsapplication may depend on your particular
circumstances, including whether you enter intoother transactions with respect to an Underlying Security. Youshouldconsult your tax
adviser regarding the potential application of Section871(m) to the notes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement is equal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturityas the notes, valued using the internalfunding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated valueof the
notes does 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 the estimated value of the notes may differ from the market-implied
fundingrate for vanilla fixed income instrumentsof asimilar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybe based on, among other things, our and our affiliates' view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for 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. Theuse of an internal
fundingrate and any potential changes to that ratemay 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 Pricesof the Notes- The Estimated Value of the Notes Is Derived by Reference to anInternal FundingRate" in this
pricing supplement.
The value of the derivativeor derivativesunderlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates. These modelsare dependent on inputssuch as the traded market prices of comparable derivative instruments and on
various other inputs, someof whicharemarket-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about futuremarket events and/or environments. Accordingly, the estimated value of thenotes is
determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at that
time.
The estimated value of the notes doesnot represent future values of the notes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the futuremay change, and any assumptions may prove to be incorrect. On
future dates, thevalue of the notes could change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
which JPMS would be willing to buy notesfromyou in secondary market transactions.
The estimated value of the notes is lowerthan the originalissue price of the notesbecause costs associated withselling, structuring
and hedging the notes are includedinthe original issue price of the notes. These costsinclude the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligations under thenotes. Because hedging our
obligations entails riskand may beinfluenced by market forces beyond our control, thishedging may result in a profit that ismore or
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lessthan expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be
allowed to other affiliatedor unaffiliated dealers, and we or one or more of our affiliates will retain any remaininghedging profits. See
"Selected Risk Considerations -Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes-The Estimated
Value of the Notes Is LowerThan the Original Issue Price (Price to Public) of the Notes" inthispricing 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 Pricesof the Notes-Secondary market prices of the notes will beimpacted bymany
economic and market factors"in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes willbe partially paid back toyou inconnection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costscan include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimatedhedging costs and our internalsecondarymarket 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 lengthof any such initial period reflects the structure of thenotes, whether our affiliatesexpect to earn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes- The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile andmarket exposure provided by the
notes. See "How the Notes Work"and "Hypothetical Payout Examples" in this pricingsupplementfor an illustration of the risk-return
profile of the notes and"TheMerQube US Tech+ Vol Advantage Index"in this pricingsupplement for a description of themarket
exposure provided by the notes.
The originalissueprice of the notes is equal to the estimated value of the notes plus the selling commissions paid toJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliatesexpect to realize for assuming risks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notesoffered by this pricing supplement have been issued by JPMorgan Financialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents suchnotes(the "master note"), and such noteshave beendelivered against payment as
contemplated herein, such noteswill be valid and binding obligations of JPMorgan Financial and the relatedguarantee will constitutea
valid and binding obligationof JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicablebankruptcy,
insolvencyand similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing and the lack ofbad faith),provided that such counsel
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressedabove or (ii) any provision of the indenture that purports to avoid the effect offraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'s obligation under 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 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 deliveryof the indenture andits authentication of the master note and the validity, binding nature
and enforceabilityof the indenture with respect to the trustee, allasstated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
Additional Terms Specific to the Notes
You should read thispricing supplement together with the accompanying prospectus, as supplementedbythe accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part,the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement.This pricing supplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materials of
ours. You should carefully consider, among other things, the matters set forth in the "RiskFactors" sections of the accompanying
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prospectus supplement, the accompanying product supplement and the accompanying underlyingsupplement and in Annex A to the
accompanying prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisersbefore you invest in the notes.
You may access these documentson the SEC website at www.sec.gov asfollows (or if such address has changed, by reviewingour
filings for the relevant dateon the SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 5-II dated March5, 2024:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectusaddendum datedJune 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in thispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.