JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 13:55
Primary Offering Prospectus - Form 424B2
October 28, 2024RegistrationStatement Nos.333-270004and 333-270004-01; Rule 424(b)(2)
Pricing supplement to productsupplement no. 4-IdatedApril 13, 2023, underlyingsupplement no. 5-IIdated March5, 2024, the prospectus and
prospectus supplement, eachdated April 13, 2023, and the prospectus addendum dated June3, 2024
JPMorganChase Financial Company LLC
Structured Investments
$1,635,000
Review Notes Linked to theMerQube US Tech+ Vol
Advantage IndexdueNovember 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, the
closing level of the MerQubeUS Tech+ Vol Advantage Index, which we refer to as the Index,is at or abovethe Call
Value.
•The earliest date on which an automatic call may be initiated is November4, 2025.
•Investors should bewilling to forgo interest anddividend 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, willheighten any depreciation of those components andwill 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 Level of the
Index Will Include a 6.0% per Annum Daily Deduction" and "Selected Risk Considerations- Risks Relating to
the Notes Generally -The Level of the Index Will Include the Deduction of a Notional Financing Cost" in this
pricing supplement.
•The notes areunsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
•Minimum denominations of $1,000 and integral multiples thereof
•The notes priced on October 28, 2024 and are expected tosettleon or about October 31, 2024.
•CUSIP: 48135UF88
Investing in thenotes involves a number of risks. See "Risk Factors"beginning on page S-2 of the accompanying
prospectus supplement,Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplement, "Risk Factors" beginning on page US-4of the accompanying underlying
supplement and "Selected Risk Considerations" beginning on pagePS-7 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved
of the notes or passed upon the accuracyor the adequacy of this pricing supplement or the accompanying product supplement,
underlyingsupplement, 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
$41.50
$958.50
Total
$1,635,000
$67,852.50
$1,567,147.50
(1)See"Supplemental Use ofProceeds"in this pricing supplementfor information about thecomponents of the price to public ofthe
notes.
(2)J.P. MorganSecuritiesLLC, which we refer toas JPMS, acting as agentfor JPMorgan Financial, will payall oftheselling
commissions of $41.50 per$1,000principalamountnote it receivesfrom us toother affiliated or unaffiliated dealers.See "Plan of
Distribution (Conflicts of Interest)" in the accompanyingproductsupplement.
The estimated value of the notes, when the terms of the notes were set,was $905.30per $1,000 principal amount note.
See"The Estimated Value of the Notes" in thispricing supplementfor 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
Review Notes Linkedto the MerQube US Tech+ VolAdvantageIndex
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned financesubsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Tech+ Vol Advantage Index (Bloomberg
ticker: MQUSTVA). The levelof theIndex reflects a deduction of
6.0% per annum that accrues daily, and the performance of the
QQQ Fund is subject toa notional financing cost that accrues
daily.
Call Premium Amount: TheCall Premium Amount with respect
to each Review Date isset forth below:
• first Review Date:
17.50000% × $1,000
• second Review Date:
18.95833% × $1,000
• third Review Date:
20.41667% × $1,000
• fourth Review Date:
21.87500% × $1,000
• fifth Review Date:
23.33333% × $1,000
• sixth Review Date:
24.79167% × $1,000
• seventh Review Date:
26.25000% × $1,000
• eighth Review Date:
27.70833% × $1,000
• ninth Review Date:
29.16667% × $1,000
• tenth Review Date:
30.62500% × $1,000
• eleventh Review Date:
32.08333% × $1,000
• twelfth Review Date:
33.54167% × $1,000
• thirteenth Review Date:
35.00000% × $1,000
• fourteenth Review Date:
36.45833% × $1,000
• fifteenth Review Date:
37.91667% × $1,000
• sixteenth Review Date:
39.37500% × $1,000
• seventeenth Review Date:
40.83333% × $1,000
• eighteenth Review Date:
42.29167% × $1,000
• nineteenth Review Date:
43.75000% × $1,000
• twentieth Review Date:
45.20833% × $1,000
• twenty-first Review Date:
46.66667% × $1,000
• twenty-second Review Date:
48.12500% × $1,000
• twenty-third Review Date:
49.58333% × $1,000
• twenty-fourth Review Date:
51.04167% ×$1,000
• twenty-fifth Review Date:
52.50000% × $1,000
• twenty-sixth Review Date:
53.95833% × $1,000
• twenty-seventh Review Date:
55.41667% × $1,000
• twenty-eighth Review Date:
56.87500% × $1,000
• twenty-ninth Review Date:
58.33333% × $1,000
• thirtieth Review Date:
59.79167% × $1,000
• thirty-first Review Date:
61.25000% × $1,000
• thirty-second Review Date:
62.70833% × $1,000
• thirty-third Review Date:
64.16667% × $1,000
• thirty-fourth Review Date:
65.62500% × $1,000
• thirty-fifth Review Date:
67.08333% × $1,000
• thirty-sixth Review Date:
68.54167% × $1,000
• thirty-seventh Review Date:
70.00000% × $1,000
• thirty-eighth Review Date:
71.45833% × $1,000
• thirty-ninth Review Date:
72.91667% × $1,000
• fortieth Review Date:
74.37500% × $1,000
• forty-first Review Date:
75.83333% × $1,000
• forty-second Review Date:
77.29167% × $1,000
• forty-third Review Date:
78.75000% × $1,000
• forty-fourth Review Date:
80.20833% × $1,000
• forty-fifth Review Date:
81.66667% × $1,000
• forty-sixth Review Date:
83.12500% × $1,000
• forty-seventh Review Date:
84.58333% × $1,000
• forty-eighth Review Date:
86.04167% × $1,000
• final Review Date:
87.50000% × $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, November 28, 2025,
December 29, 2025, January28, 2026, March 2, 2026, March 30,
2026, April 28, 2026, May 28, 2026, June 29, 2026, July 28, 2026,
August 28, 2026, September 28, 2026, October 28, 2026,
November 30, 2026, December 28, 2026, January 28, 2027, March
1, 2027, March 29, 2027, April 28, 2027, May 28, 2027, June 28,
2027, July28, 2027, August 30, 2027, September 28, 2027,
October 28, 2027, November 29, 2027, December 28, 2027,
January28, 2028, February 28, 2028, March 28, 2028, April 28,
2028, May 30, 2028, June 28, 2028, July28, 2028, August 28,
2028, September 28, 2028, October 30, 2028, November 28, 2028,
December 28, 2028, January29, 2029, February 28, 2029, March
28, 2029, April 30, 2029, May29, 2029, June 28, 2029, July 30,
2029, August 28, 2029, September 28, 2029 and October 29, 2029
(final Review Date)
Call Settlement Dates*: November 7, 2025, December 3, 2025,
January2, 2026, February 2, 2026, March 5, 2026, April 2, 2026,
May1, 2026, June 2, 2026, July 2, 2026, July 31, 2026, September
2, 2026, October 1, 2026, November 2, 2026, December 3, 2026,
December 31, 2026, February2, 2027, March 4, 2027, April1,
2027, May 3, 2027, June 3, 2027, July 1, 2027, August 2, 2027,
September 2, 2027, October 1, 2027, November 2, 2027,
December 2, 2027, December 31, 2027, February 2, 2028,March
2, 2028, March 31, 2028, May3, 2028, June 2, 2028, July3, 2028,
August 2, 2028, August 31, 2028, October 3, 2028, November 2,
2028, December 1, 2028, January 3, 2029, February 1, 2029,
March 5, 2029, April 3, 2029, May3, 2029, June 1, 2029, July 3,
2029, August 2, 2029, August 31, 2029, October 3, 2029 and the
Maturity Date
Maturity Date*:November 1,2029
Automatic Call:
If the closing level ofthe Index on any Review Date is greater than
or equal to the Call Value, the notes will beautomatically called for
a cash payment, for each $1,000 principal amount note, equal to
(a) $1,000 plus (b) the Call Premium Amount applicable to that
Review Date, payable on the applicable Call Settlement Date. No
further payments will bemade on 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, you will
receive the principal amount of your notes at maturity.
If the notes have not been automatically called and the Final Value
is less than the Initial Value by more than the Buffer Amount, your
payment at maturity per $1,000 principal amount note will be
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 the Indexon thePricing Date,
which was 11,439.48
Final Value: Theclosing levelof theIndex on the final Review
Date
* Subject to postponement in the event of a market disruption event
and as describedunder "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 Linkedto the MerQube US Tech+ VolAdvantageIndex
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 withJPMS, 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 a10% equityinterest intheIndex Sponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of the boardof directors of the Index Sponsor.
Since February 9, 2024 (the "Amendment Effective Date"), the underlying asset to which the 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 Fund over a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset wasan unfunded rolling position 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 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%. TheIndex is subject to
a 6.0% per annum daily deduction, and the performance of the Underlying Asset is subject to a notional financingcost deducted daily.
On each weekly Index rebalance day, the exposure tothe 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 isequal to 17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatilityof the QQQ Fund isequal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index's exposureto the Underlying Asset will be greater than 100% when the implied volatility of the QQQ Fund isbelow
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'starget volatility feature is expected to result in the volatilityof the Index being morestable over time than if
no target volatilityfeature were employed. No assurance can be provided that thevolatilityof theIndex will be stable at any time. The
Index uses theimplied volatility of the QQQ Fund asa proxyfor therealized volatilityof the Underlying Asset.
The Index tracks the performanceof the QQQ Fund, with distributions, if any, notionally reinvested,lessthe daily deduction of a
notional 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 collateralized by Treasurysecurities. The Index isan
"excess return" index and not a "total return" index because, as part of thecalculation of the level of the Index, the performance of the
QQQ Fund is reducedbythe notional 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 anyappreciation of the Underlying Asset, will heighten
any depreciation of the Underlying Asset and will generally be a drag on the performance of the Index. The Index will trail the
performance of an identicalindex without suchdeductions.
Holding the estimated value of the notes and market conditions constant, the Call PremiumAmounts, the Buffer Amount and theother
economic terms available on the notes are more favorable to investors thanthe terms that would be available on a hypotheticalnote
issued by uslinked to an identical index 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 performance of the
Index. The return on the notes may be lower than the return on ahypothetical note issued by us linked to an identical index withouta
daily deduction.
The daily deduction and the volatilityof 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 for purposes of
determining the estimated value of the notes set forth on the cover of this pricingsupplement. The daily deduction will effectively
reduce the value of the derivative or derivatives underlying the economic termsof the notes. See "The Estimated Value of the Notes"
and "Selected Risk Considerations -Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with the useof significant leverage. The notional financing cost deducted daily will
be magnified by any leverage provided by the Index.In addition, the Index may be significantly uninvested on any given day,
and, in that case, will realize only a portion of any gainsdue to appreciation of the Underlying Asset on that day. The index
deduction isdeducted daily at a rate of 6.0% per annum, even when the Index is not fully invested.
PS-3| Structured Investments
Review Notes Linkedto the MerQube US Tech+ VolAdvantageIndex
No assurancecan be given that the investment strategyused to construct the Index will achieve its intended results or that
the Index will be successfulor will outperform any alternative index or strategy thatmight reference the Underlying Asset.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanying underlying
supplement.
PS-4| Structured Investments
Review Notes Linkedto the MerQube US Tech+ VolAdvantageIndex
Supplemental Terms of the Notes
Any valuesof the Index, and any values derivedtherefrom, 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 thecontraryin the indenture governing the notes, that amendment willbecomeeffective 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
The notes will be automaticallycalled on theapplicableCall SettlementDate andyou will
receive (a)$1,000 plus (b)the Call PremiumAmount applicable to that ReviewDate.
No further payments will be madeonthe notes.
ReviewDates
AutomaticCall
Theclosing level of the
Indexis greater thanor
equal totheCall Value.
Theclosing level of the
Indexis lessthan the
Call Value.
Call
Value
Comparetheclosing level of theIndexto theCall Valueon each ReviewDate until anyearlier automatic call.
Thenotes will not beautomaticallycalled. Proceed to the next ReviewDate, if any.
No AutomaticCall
ReviewDates
You will receive theprincipal amount
of your notes.
Thenotes have not
been automatically
called. Proceed to the
payment at maturity.
Final ReviewDatePayment atMaturity
The Final Valueis less thantheInitial Valuebyup
to the Buffer Amount.
You will receive:
$1,000 + [$1,000 × (IndexReturn +
Buffer Amount)]
Underthesecircumstances, youwill
losesome or most of yourprincipal
amount at maturity.
TheFinal Value is less thantheInitial Value by
more than theBuffer Amount.
PS-5| Structured Investments
Review Notes Linkedto the MerQube US Tech+ VolAdvantageIndex
Call Premium Amount
The table below illustrates the Call Premium Amountper $1,000 principal amount noteforeach Review Date basedon the Call
Premium Amounts set forthunder "Key Terms-Call Premium Amount"above.
Review Date
Call Premium Amount
First
$175.0000
Second
$189.5833
Third
$204.1667
Fourth
$218.7500
Fifth
$233.3333
Sixth
$247.9167
Seventh
$262.5000
Eighth
$277.0833
Ninth
$291.6667
Tenth
$306.2500
Eleventh
$320.8333
Twelfth
$335.4167
Thirteenth
$350.0000
Fourteenth
$364.5833
Fifteenth
$379.1667
Sixteenth
$393.7500
Seventeenth
$408.3333
Eighteenth
$422.9167
Nineteenth
$437.5000
Twentieth
$452.0833
Twenty-First
$466.6667
Twenty-Second
$481.2500
Twenty-Third
$495.8333
Twenty-Fourth
$510.4167
Twenty-Fifth
$525.0000
Twenty-Sixth
$539.5833
Twenty-Seventh
$554.1667
Twenty-Eighth
$568.7500
Twenty-Ninth
$583.3333
Thirtieth
$597.9167
Thirty-First
$612.5000
Thirty-Second
$627.0833
Thirty-Third
$641.6667
Thirty-Fourth
$656.2500
Thirty-Fifth
$670.8333
Thirty-Sixth
$685.4167
Thirty-Seventh
$700.0000
Thirty-Eighth
$714.5833
Thirty-Ninth
$729.1667
Fortieth
$743.7500
Forty-First
$758.3333
Forty-Second
$772.9167
Forty-Third
$787.5000
Forty-Fourth
$802.0833
Forty-Fifth
$816.6667
Forty-Sixth
$831.2500
Forty-Seventh
$845.8333
Forty-Eighth
$860.4167
Final
$875.0000
PS-6| Structured Investments
Review Notes Linkedto the MerQube US Tech+ VolAdvantageIndex
Hypothetical Payout Examples
The followingexamples illustratepayments on the notes linked to a hypothetical Index, assuming a range of performancesfor theIndex
on the Review Dates.
In addition, the hypothetical paymentsset forth below assume the following:
•an Initial Value of 100.00;
•a Call Value of 100.00 (equal to 100.00% of the hypothetical Initial Value);
•a Buffer Amount of 15.00%; and
•the Call Premium Amountsset forth under "KeyTerms-Call Premium Amount" above.
The hypothetical Initial Value of 100.00 hasbeen chosen for illustrative purposes only anddoesnot representtheactual Initial Value.
The actual Initial Valueis theclosing levelof the Indexon thePricing Date andis specifiedunder "Key Terms -Initial Value" in this
pricing supplement. For historical data regarding the actual closinglevels of the Index, please see the historical information set forth
under "Hypothetical Back-Tested Data and Historical Information" in thispricing supplement.
Each hypothetical payment set forthbelow isfor illustrative purposesonly and may not be the actual payment applicable to apurchaser
of the notes. Thenumbers appearing in the following exampleshave been rounded for ease of analysis.
Example 1- Notes are automatically called on the first Review Date.
Date
ClosingLevel
First Review Date
110.00
Notes are automatically called
Total Payment
$1,175.00(17.50% return)
Because the closing level of the Indexon the first Review Date isgreater than or equal to the Call Value, the notes willbeautomatically
called for acash payment, for each $1,000principal amount note, of $1,175.00 (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 automatically called
Second Review Date
75.00
Notes NOT automatically called
Third through Forty-Eighth
Review Dates
Lessthan Call Value
Notes NOT automatically called
Final Review Date
220.00
Notes are automaticallycalled
Total Payment
$1,875.00 (87.50% return)
Because the closing level of the Indexon the final Review Date is greater thanor equal tothe Call Value, the notes willbeautomatically
called for acash payment, for each $1,000 principal amount note, of $1,875.00 (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-7| Structured Investments
Review Notes Linkedto the MerQube US Tech+ VolAdvantageIndex
Example 3- Notes have NOT been automatically called andtheFinal 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 Forty-Eighth
Review Dates
Less than Call Value
Notes NOT automatically called
Final Review 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 is lessthan the Initial Valuebyup to the BufferAmount, the
payment at maturity, for each$1,000 principal amount note, will be $1,000.00.
Example4 - Notes have NOT been automaticallycalled and theFinal 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 Forty-Eighth
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
$550.00 (-45.00% return)
Because the noteshave not been automatically called, the Final Value is less than theInitial Value by more than the Buffer Amount and
the Index Return is-60.00%, the payment at maturity will be$550.00 per $1,000 principalamount note, calculatedasfollows:
$1,000 + [$1,000 × (-60.00%+ 15.00%)]= $550.00
The hypothetical returnsand hypothetical payments on the notes shown above apply onlyif you hold the notes for their entire term
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would be associated with any sale in the
secondarymarket. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybelower.
Selected Risk Considerations
An investment in the notes involvessignificant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement, product supplement and underlyingsupplementand in Annex A tothe accompanying
prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. If the notes have not been automatically called and the Final Value is less than
the Initial Value bymorethan 15.00%, you will lose 1%of the principalamount of your notes for every1% that the FinalValueis
less than the Initial Value bymore than15.00%. 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 anidentically
constituted synthetic portfolio that is not subject to anysuch deduction.
This deduction will place a significant drag on the performance of the Index, potentially offsetting positive returns on 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-8| Structured Investments
Review Notes Linkedto the MerQube US Tech+ VolAdvantageIndex
sufficient to offset the negative effectsof thisdeduction, and then only to the extent that the return of its investment strategy is
greater than this deduction. As a result of this deduction, the level of the Index may decline even if the return of its investment
strategyisotherwise 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 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 beensubject to a notional financing cost
deducted daily.The notional financingcost is intended to approximate the cost of maintaining a position in the QQQ Fund using
borrowedfunds at arate of interest equal to the daily SOFR rate plusa fixed spread.Theactual cost of maintaining aposition in
the QQQ Fund at any time may be less than thenotional 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 thevalue of the notes. If we and JPMorgan Chase & Co. were todefault on our payment
obligations, you maynot receive any amounts owed to youunder the notes and you could lose your entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capitalcontribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. tomake payments under loans made by us to
JPMorgan Chase & Co.or under other intercompany agreements. 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 tomeet our obligations in
respect of the notesas they come due. If JPMorgan Chase & Co. does not make payments tous and we areunable to make
payments on the notes, you may have to seek payment under the related guaranteebyJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see theaccompanying 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 automaticallycalled, the term of the notes may be reduced to asshort asapproximatelyone 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 notesarecalled before 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 merits of investing in the notes, the Index and thecomponents of the Index.
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•LACK OF LIQUIDITY -
The notes willnot be listed onany securities exchange.Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes.Youmay notbe able to sellyour notes.The notes
are notdesignedto be short-term trading instruments. Accordingly, you should be able 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.'seconomic interests are potentially adverse to your interests as aninvestor in thenotes.It ispossible that hedging or trading
activities of oursor our affiliates in connection with thenotes could result in substantial returns for us or our affiliates while the
value of the notes declines.Please refer to"Risk Factors-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, asa member of the board of directors of the Index Sponsor. The Index Sponsor can implement policies, make
judgments or enact changes to the Index methodology 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 respective employees areunder no obligation to consider your interestsas an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the roleof
an employee of JPMS asa member of the board of directorsof theIndex Sponsor.
In addition, JPMS worked withthe Index Sponsor indeveloping the guidelines and policiesgoverning the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index weremade by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for which JPMS was
responsible could have an impact,positive or negative, on the levelof the Index and the value of your notes. JPMS is underno
obligation to consider your interests as an investor in the notes in its role indeveloping 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 originalissueprice 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. Thesecosts include theselling commissions, the projectedprofits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesand the estimated cost of hedging
our obligations under the notes. See "The Estimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"The Estimated Value of the Notes"in this pricingsupplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal fundingrate used in the determination of the estimated value of the notes maydiffer from themarket-impliedfunding
rate for vanilla fixed income instruments of a similar maturityissued by JPMorgan Chase & Co. or its affiliates. Anydifference may
be based on, amongother things, our and our affiliates' view of thefundingvalue of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay
prove to be incorrect, and is intended to approximate the prevailing market replacementfunding 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 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 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 notesbyJPMS in an amount that willdecline to zero over an initial predetermined period.
See"SecondaryMarket Prices of the Notes" in this pricingsupplement for additional information relating to this initial period.
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Accordingly, the estimated value of your notesduring thisinitial period maybe lower than the value of the notes aspublished 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 willlikely be lower than theoriginal issue price of the notes because, among other
things, secondarymarket prices take into account 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 estimatedhedging
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. Any sale by you prior to
the Maturity Datecould result in a substantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondary market 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 oncustomer 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 theaccompanying 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 thelevelof the Index. The Index Sponsor has no obligation to
consider your interests in calculating or revising the Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
No assurance can be given that the investment strategyon which the Index is based will be successful or that the Index will
outperformany alternative strategy that might be employed with respect to the Underlying Asset.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY-
No assurance can be given that the Index will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realized volatility 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 amaximum
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 themethodology 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 day may change
quickly and unexpectedly and realizedvolatility maydiffer significantlyfrom impliedvolatility. 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 volatilitymay exceed
its implied volatility, particularly duringperiodsof market volatility. Accordingly, the actual annualizedrealized volatility of the Index
maybe greater than or less than the target volatility, whichmayadversely affect thelevelof theIndex and the value of the notes.
•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE -
On a weeklyIndex rebalance day, the Index will employ leverage to increase the exposureof the Index to the Underlying Asset if
the implied volatility of the QQQ Fund is below 35%, subject to amaximum exposure of 500%. Under normal market conditions in
the past, the QQQ Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leveragein the past, except during periodsof elevatedvolatility. When leverage is employed, any movementsin the prices of the
Underlying Asset will result ingreater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage will magnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance of
the Index. Because the Index's leverage is adjusted onlyona weeklybasis, in situations where asignificant increase in volatility is
accompanied by asignificant decline in the price of the Underlying Asset, the level of the Indexmay decline significantly before the
following Index rebalance day when the Index'sexposure to the Underlying Asset would be reduced. In addition, the notional
financing cost deducted dailywill be magnified by any leverage provided by the Index.
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•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 a portion of any gainsdue to appreciation of the Underlying Asset on anysuchday. The 6.0% per annum deduction is
deducted daily, even when the Index is not fullyinvested.
•AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Some of the equity securitiesheld by the QQQ Fund are issued by non-U.S. companies.Investments in securities 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 may be affected bypolitical, economic, financial and social
factors in the home countries of those issuers, or global regions, includingchanges in government, economicand fiscal policies
and currency exchange laws.
•THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
The QQQ Fund issubject to management risk, which is the risk that the investment strategies of the QQQ Fund's investment
adviser, the implementation ofwhich is subject to a number of constraints, maynot produce the intended results.These
constraints could adverselyaffect themarket price of the shares of the QQQ Fund and, consequently, the value of the notes.
•THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE QQQ FUND'S UNDERLYING INDEX AS WELL AS
THE NET ASSET VALUE PER SHARE -
The QQQ Fund does not fully replicate its underlying index and may hold securities different fromthose included in its underlying
index. In addition, theperformance of the QQQ Fund will reflect additional transaction costs and fees that are not included in the
calculation of its underlying index. All of these factors may lead toa lack of correlation between the performance of the QQQ Fund
and its underlyingindex. In addition, corporateactions with respect to the equity securities underlying the QQQ Fund (such as
mergers and spin-offs) may impact thevariance between the performances of the QQQ Fund and its underlying index. Finally,
because the shares of the QQQ Fund are tradedon 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 unabletocalculate accuratelythe net asset value per shareof the QQQ Fund and the liquidity of the QQQ
Fund may be adversely affected. This kind of market volatility mayalso disrupt the abilityof market participants to create and
redeem shares of the QQQ Fund.Further, market volatility mayadversely affect, sometimes materially, thepricesat which market
participants are willing to buy and sell shares of the QQQ Fund.As a result, under these circumstances, themarket value of
shares of the QQQ Fund mayvarysubstantially from the net asset value per share of the QQQ Fund. For all of the foregoing
reasons, the performance of the QQQ Fund maynot correlate with the performance of its underlying index as well asthenet asset
value per share of the QQQ Fund, which could materially and adversely affect the value ofthe notes inthe secondarymarket
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 INDICATIONS OFITS 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 anindependent 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 withthebenefit of hindsight. Alternativemodellingtechniquesmight produce significantly different resultsand may prove
to be more appropriate. Past performance, andespecially hypothetical back-tested performance, is notindicative of future results.
Thistype of information has inherent limitations, and you should carefully consider these limitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance canbe provided that the QQQ Fund is an appropriate substitutefor the FuturesContracts. This replacement may
adversely affect the performance of the Index and thevalue of thenotes, as the QQQ Fund, subject to a notional financing cost,
mayperform worse, perhaps significantly worse, than the Futures Contracts. The Indexlacks anyoperating history with the QQQ
Fund as the Underlying Asset prior to the Amendment Effective Date and may perform in unanticipated ways. Investors in the
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notes should bear thisdifference in mind when evaluating the historical and hypothetical back-tested performance shown in this
pricing supplement.
•OTHER KEY RISK:
oTHE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding theabove-listed and
other risks.
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Hypothetical Back-Tested Data and Historical Information
The following graph sets forth thehypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January4, 2019 through June 18, 2021, and thehistorical performance of the Indexbased on the
weekly historical closing levels of the IndexfromJune 25, 2021 through October 18, 2024.The Index was established on June 22,
2021, as represented by the vertical linein 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 onOctober28, 2024was 11,439.48. Weobtained the closing levels above and below from the Bloomberg Professional®
service ("Bloomberg"), without independent verification.
The data for the hypothetical back-tested performance of theIndex 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 the Index-
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and AreSubject to Inherent Limitations,
and the Historical and Hypothetical Back-Tested Performance of the Index Are Not Indications of Its Future Performance" above.
Thehypothetical back-tested and historicalclosing levels ofthe Indexshould not be takenas an indication of future performance, and
no assurance can be given asto the closing level of the Index onany Review Date.There canbe no assurance that the performance
of the Index will result in the return of any of 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-testedclosing levels of the Index have inherent limitations and havenot been verified by anindependent third
party. Thesehypotheticalback-tested closing levels are determined by means of a retroactive application of a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither anindicator nor a guarantee of 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 closinglevels of the Index that might prove to be more
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. The following discussion, when read in combination withthat section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Basedoncurrent market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, as morefully described in "Material U.S. FederalIncome Tax
Consequences- Tax Consequences to U.S. Holders -Notes Treated as Open Transactions That Are Not Debt Instruments" in the
accompanying product supplement. Assuming this treatment is respected, the gainor loss on your notes should be treated aslong-
termcapitalgain 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. However, the IRS or acourt maynot respect this treatment, in which case the timing and character of any income or losson the
notes could be materiallyand adversely affected. Inaddition, 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.Thenotice focuses in particular on
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whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, includingthe character of income or loss with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments arelinked; the degree, if any, to which income (including anymandated
accruals) realizedby non-U.S. investors should besubject to withholding tax; and whether these instruments are or should besubject
to the "constructiveownership" regime, which very generallycan operate to recharacterizecertain long-term capital gain as ordinary
income andimpose a notionalinterest charge. While the notice requestscomments onappropriate transition rules and effective dates,
any Treasury regulations or other guidancepromulgated after consideration of these issues could materially and adversely affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the
U.S. federal incometax 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 to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations.Additionally, a recent IRS notice excludes from thescopeof Section 871(m) instruments issued prior toJanuary
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 taxcounsel isof the
opinion that Section 871(m) should not apply to the notes withregard 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 intoothertransactions with respect to an Underlying Security. You shouldconsult your tax
adviser regarding the potential application of Section 871(m) to thenotes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement isequal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component with thesame maturityas the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the
notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if anyexists) at
any time. The internal funding rate used in thedetermination of the estimated value of the notes may differ from the market-implied
fundingrate for vanilla fixed income instrumentsof a similar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybe based on, among other things, our and our affiliates'view of thefunding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internalfunding rate is based on certain market inputs and assumptions, whichmay prove
to be incorrect, and is intended to approximate theprevailing market replacement fundingrate for the notes. The use of an internal
fundingrate and any potential changes to that ratemay have an adverse effect on the terms of the notes and anysecondary market
prices of the notes. For additional information, see "Selected Risk Considerations - Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes -The Estimated Value of the NotesIs Derived byReference to anInternal FundingRate" in this
pricing supplement.
The value of the derivative or derivativesunderlying 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 instruments and on
various other inputs, someof which are market-observable, and which can includevolatility, dividend rates, interest rates and other
factors, as well as assumptions about futuremarket events and/or environments. Accordingly, theestimated value of thenotes is
determined when the termsof the notes areset based on market conditions and other relevant factors and assumptions existing at that
time.
The estimated value of the notes does not represent future values of the notes and may differ from others' estimates. Different pricing
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 future may change, and any assumptionsmay prove to be incorrect. On
future dates, thevalue of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfrom you in secondarymarket transactions.
The estimated value of the notes is lower than the original issue price of the notes becausecosts associated withselling, structuring
and hedging the notes are included in the original issue price of the notes. These costsinclude the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedgingour
obligations entails riskand may be influencedby market forces beyond our control, this hedging may result in a profit that ismore or
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less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be
allowed to other affiliatedor unaffiliated dealers, and 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 of the Notes- The Estimated
Value of the Notes Is LowerThan the Original Issue Price (Price to Public) of the Notes" in thispricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices of the notes, see"Risk Factors - Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes-Secondary market prices of the notes will be impactedbymany
economic and market factors"in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes willbe partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costscan includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket fundingrates
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 the notes, whether our affiliates expect toearn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred, as
determined byour 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
Thenotes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See "How the Notes Work"and "Hypothetical Payout Examples" in this pricing supplement for an illustration of therisk-return
profile of the notes and "TheMerQube US Tech+ Vol Advantage Index"in this pricing supplement for a description of the market
exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions 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 the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offered by this pricing supplement have beenissued by JPMorgan Financial pursuant to theindenture, the trustee and/or paying
agent has made, in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating
to the master globalnote that represents such notes(the "master note"), and such notes have beendelivered against payment as
contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guaranteewill constitutea
valid and binding obligationof JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing andthe 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 of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law 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 tocustomary 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 theaccompanying prospectus, as supplemented by the accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricingsupplement, together with the documents listed below, contains the terms of the notes and supersedes all
other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, sample structures, fact sheets, brochures or other educational materialsof
ours. You should carefully consider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying
PS-16| Structured Investments
Review Notes Linkedto the MerQube US Tech+ VolAdvantageIndex
prospectus supplement, the accompanying product supplement and the accompanying underlying supplement and in Annex A to the
accompanying prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisersbefore you invest in the notes.
You may access these documents on the SEC websiteat www.sec.gov as follows (or if such address has changed, by
reviewing our filings for the relevant date on the SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 5-II dated March 5, 2024:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectus addendum datedJune 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase& Co.'s CIK is 19617. As used inthispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.