JPMorgan Chase & Co.
10/31/2024 | Press release | Distributed by Public on 10/31/2024 12:35
Primary Offering Prospectus - Form 424B2
October 29, 2024
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-Idated April 13, 2023, underlyingsupplement no. 5-II dated March5, 2024, the prospectus and
prospectussupplement, eachdated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorgan Chase Financial CompanyLLC
Structured Investments
$227,000
Auto CallableContingent Interest Notes Linked to the MerQube
US Large-Cap Vol Advantage Index due November 1, 2029
Fully and Unconditionally Guaranteedby JPMorgan Chase & Co.
●The notes aredesigned for investors whoseek a Contingent Interest Payment with respect to each Review Date for which
the closing levelof the MerQube US Large-Cap Vol Advantage Index, which we refer to as the Index, is greater than or
equal to60.00% of the Initial Value, which we refer to as the Interest Barrier.
●The notes will be automatically calledif the closing levelof the Index on any Review Date (other than the first and final
Review Dates) isgreater than or equal to the Initial Value.
●The earliest dateon which anautomatic call may be initiated is April29, 2025.
●Investors should be willing to accept the risk of losing some or allof their principal and the risk that no Contingent Interest
Payment may bemade with respect to some or all Review Dates.
●Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
●The Index is subject to a 6.0% per annum dailydeduction. This daily deduction will offset any appreciation of the
futures contracts included in the Index, will heighten any depreciation of those futures contractsand will generally
be a drag on the performance of the Index. The Indexwill trail the performance of an identical index without a
deduction. See "Selected Risk Considerations - Risks Relating to the Notes Generally- The Level of theIndex
Will Include a 6.0% per Annum Daily Deduction" in this pricing supplement.
●The notes areunsecured andunsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, thepayment 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 the credit risk
of JPMorgan Chase & Co., as guarantor of the notes.
●Minimum denominations of $1,000 and integralmultiplesthereof
●The notes priced on October 29, 2024 and are expected to settle on or about October 31, 2024.
●CUSIP:48135UVD9
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2of the accompanying
prospectus supplement, Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-11 of
the accompanyingproduct supplement,"RiskFactors" beginning on page US-4 of the accompanying underlying
supplement and "Selected Risk Considerations" beginning on page PS-6 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved of
the notes or passed upon the accuracy or theadequacyof this pricingsupplement or the accompanying product supplement,
underlying supplement, prospectus supplement,prospectus and prospectus addendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds to Issuer
Per note
$1,000
$50
$950
Total
$227,000
$11,350
$215,650
(1) See "Supplemental Use of Proceeds"in this pricingsupplementfor information about the components of the price to public ofthe notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent forJPMorgan Financial, will pay allof the selling commissions
of $50.00 per$1,000 principal amount note it receives fromus toother affiliatedor unaffiliateddealers.See "Planof Distribution(Conflicts
of Interest)" in the accompanying productsupplement.
The estimated value of the notes, when the terms of the notes were set, was $887.90 per $1,000 principal amount note. See
"The Estimated Value of the Notes" in this pricing supplement for additional information.
Thenotes arenot bankdeposits, are not insured by theFederalDeposit Insurance Corporation or anyother governmental agency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:JPMorgan Chase & Co.
Index:The MerQube US Large-Cap Vol Advantage Index
(Bloomberg ticker: MQUSLVA). Thelevelof the Index reflects
a deductionof 6.0% per annum that accruesdaily.
Contingent Interest Payments:
If the notes have not been automatically called and the
closing level of the Index on any Review Date is greater than
or equal to the Interest Barrier, you will receive on the
applicableInterest Payment Date for each $1,000 principal
amount note a Contingent Interest Payment equal to $25.00
(equivalent to a Contingent Interest Rate of 10.00% per
annum, payableat a rateof 2.50% per quarter).
If the closing level of the Index on any Review Date is less
than the Interest Barrier, no Contingent Interest Payment will
be made with respect to that Review Date.
Contingent Interest Rate:10.00% per annum, payable at a
rate of 2.50% per quarter
Interest Barrier:60.00% of the Initial Value, which is
2,368.62
Trigger Value: 50.00% of the Initial Value, which is 1,973.85
Pricing Date:October 29, 2024
Original Issue Date (Settlement Date):On or about October
31, 2024
Review Dates*:January 29, 2025, April29, 2025, July29,
2025, October 29, 2025, January 29, 2026, April 29, 2026,
July 29, 2026, October 29, 2026, January 29, 2027, April 29,
2027, July29, 2027, October 29, 2027, January 31, 2028,
May1, 2028, July 31, 2028, October 30, 2028, January29,
2029, April 30, 2029, July 30,2029 and October 29, 2029
(final Review Date)
Interest Payment Dates*:February 3, 2025, May 2, 2025,
August 1, 2025, November 3, 2025, February 3, 2026, May4,
2026, August 3, 2026, November 3, 2026, February 3, 2027,
May4, 2027, August 3, 2027, November 3, 2027, February3,
2028, May 4, 2028, August 3, 2028, November 2, 2028,
February 1, 2029, May 3, 2029, August 2, 2029 and the
Maturity Date
Maturity Date*:November 1,2029
Call Settlement Date*:If thenotes are automatically called
on any Review Date (other than the first and final Review
Dates), the first Interest Payment Date immediately following
that Review Date
* Subject to postponement in theevent of a market disruption event
and as described under "Supplemental Terms ofthe Notes-
Postponement of a Determination Date -Notes LinkedSolely toan
Index" in theaccompanying underlyingsupplement and "General
Terms of Notes-Postponement of a Payment Date" inthe
accompanying product supplement
Automatic Call:
If the closing level of the Index on any Review Date (other
than the first and final Review Dates) isgreater than or equal
to the Initial Value, the notes will be automaticallycalled for a
cash payment,for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Contingent Interest Payment
applicableto that Review Date, payable on the applicable Call
Settlement Date. No further payments willbe made onthe
notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value isgreater than or equalto the Trigger Value, you will
receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000plus(b) the Contingent
Interest Payment, if any, applicable to the final Review Date.
If the notes have not been automatically called and the Final
Value isless than the Trigger Value, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and the Final
Value isless than the Trigger Value, you will lose more than
50.00% of your principalamount at maturity and could lose all
of your principal amount at maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Index on the Pricing
Date, which was 3,947.70
Final Value:Theclosing level of theIndex on the final Review
Date
PS-2| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "Index
Calculation Agent"),in coordination withJPMS, and is maintained by the Index Sponsor and is calculated and published by the Index
Calculation Agent. The Index was establishedon February 11, 2022. An affiliate of ourscurrently has a10%equityinterest in the
Index Sponsor, witha 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 attempts to providea dynamic rules-based exposure to an unfunded rolling position in E-mini® S&P 500® futures (the
"FuturesContracts"), which reference the S&P 500® Index, whiletargeting a level of implied volatility, with a maximum exposure to the
Futures Contracts of 500% and a minimum exposureto theFutures Contracts of 0%.The Index is subject to a6.0%per annum daily
deduction. The S&P 500®Index consists of stocksof 500 companies selected to provide a performance benchmark for the U.S. equity
markets. For more information about the Futures Contracts and the S&P 500®Index, see "Background on E-mini® S&P 500® Futures"
and "Background on the S&P 500®Index," respectively, in the accompanying underlyingsupplement.
On each weekly Index rebalance day, the exposure to theFutures Contracts is set equal to (a) the 35%implied volatilitytarget (the
"target volatility") divided by (b) the one-week implied volatility of the SPDR® S&P 500®ETF Trust (the "SPY Fund"), subject to a
maximum exposure of 500%. For example, if the implied volatilityof the SPY Fund is equal to 17.5%, the exposure to the Futures
Contracts will equal 200% (or35% / 17.5%) and if theimplied volatility of the SPY Fund is equal to 40%, the exposure tothe Futures
Contracts will equal 87.5% (or 35% / 40%).The Index's exposure to the Futures Contractswill be greater than 100% when the implied
volatilityof the SPY Fund is below 35%, and the Index's exposure to the Futures Contracts will be less than 100% when the implied
volatilityof the SPY Fund is above 35%. In general, the Index's target volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility featurewere employed. No assurance can beprovided that the volatilityof the
Index will bestable at any time.
The investment objective of the SPY Fund is to provideinvestment results that, before expenses, correspond generally to the price and
yield performance of the S&P500®Index. For more informationabout the SPY Fund, see"Background on the SPDR® S&P 500® ETF
Trust" in the accompanying underlying supplement. The Index uses the impliedvolatilityof the SPY Fund asa proxyfor the volatility of
the Futures Contracts.
The 6.0% per annum daily deduction will offset any appreciation of the Futures Contracts, will heighten any depreciation ofthe Futures
Contracts and will generally be a drag onthe performance of the Index. The Index willtrail the performance of an identical index
without a deduction.
Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Trigger
Value and the other economicterms available on the notes are more favorable to investorsthan the terms that would be available on a
hypothetical note issued byus linkedto an identical index without a daily deduction. However, there can be no assurancethat any
improvement inthe terms of the notes derived fromthe dailydeduction will offset the negative effect of the daily deduction on the
performance of the Index. The return on the notes maybe lower than the return on a hypothetical note issued by us linked to an
identical index without a daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables
that 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 derivativesunderlying 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. In addition, the Index may be significantly
uninvested on any given day, and, in that case, will realize only a portion of any gains due to appreciation of the Futures
Contracts on that day. The index deduction is deducted daily at a rate of 6.0% per annum, even when the Index is not fully
invested.
No assurancecan be given that the investment strategy used 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 FuturesContracts.
For additional information about theIndex, see "The MerQube Vol Advantage Index Series" in the accompanying underlying
supplement.
PS-3| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
Supplemental Terms of the Notes
The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended
(the "Commodity Exchange Act"). The notes are offered pursuant to anexemptionfrom regulation under the Commodity Exchange
Act, commonlyknown as the hybrid instrument exemption, that is available tosecurities that have one or more paymentsindexed to the
value, level or rate of one or more commodities, asset out in section 2(f) of that statute. Accordingly, you are not afforded any
protection provided by the Commodity Exchange Act or any regulation promulgated by theCommodity Futures Trading Commission.
Any value of any underlier, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, by amendment of this pricingsupplement and thecorresponding terms of the notes. Notwithstanding
anything to the contraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or any other party.
How the Notes Work
Payment in Connection with the First Review Date
First Review Date
Comparethe closing level of the Index to the Interest Barrieron the Review Date.
The closing level of the Index is greater thanor equal
to the Interest Barrier.
You will receive a Contingent Interest Payment on the
applicable Interest Payment Date.
Proceed to the next Review Date.
The closing level of the Index is less than the Interest
Barrier.
No Contingent Interest Payment will be made with respect to
theapplicable Review Date.
Proceed to the next Review Date.
Payments in Connection with Review Dates (Other than the First and Final Review Dates)
Review Dates(Other than the First andFinal Review Dates)
Initial
Value
Compare the closing level of the Indexto the Initial Value and the Interest Barrier on each Review Date until the final
Review Date or any earlier automatic call.
The closing level of
theIndex is
greater than or
equal to the Initial
Value.
Automatic Call
The notes will be automatically called on the applicable Call Settlement Date, and you
will receive (a) $1,000plus (b) the Contingent Interest Payment applicable to that
Review Date.
No further payments will be madeon the notes.
The closing level of
theIndex isless
thanthe Initial
Value.
No
Automatic
Call
The closing level of the
Index is greater than
or equal to the Interest
Barrier.
You will receive a Contingent Interest
Payment on the applicable Interest
Payment Date.
Proceed to the next Review Date.
The closing level of the
Index is less thanthe
Interest Barrier.
No Contingent Interest Payment will be
made with respect to the applicable
Review Date.
Proceed to the next Review Date.
PS-4| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Review Dates
Preceding the Final
Review Date
Final Review Date
Paymentat Maturity
The notes arenot
automatically called.
The Final Value is greater thanor equal to
the Trigger Value.
You will receive (a) $1,000plus (b)the
Contingent Interest Payment, if any,
applicable to the final Review Date.
Proceed to maturity
The Final Value is less thanthe Trigger
Value.
You will receive:
$1,000 + ($1,000 × Index Return)
Under these circumstances, you will
lose some orall of your principal
amount at maturity.
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the termof the
notes based on the Contingent Interest Rate of 10.00% per annum, depending on how many Contingent Interest Payments are made
prior to automatic callor maturity.
Number of Contingent
Interest Payments
Total Contingent Interest
Payments
20
$500.00
19
$475.00
18
$450.00
17
$425.00
16
$400.00
15
$375.00
14
$350.00
13
$325.00
12
$300.00
11
$275.00
10
$250.00
9
$225.00
8
$200.00
7
$175.00
6
$150.00
5
$125.00
4
$100.00
3
$75.00
2
$50.00
1
$25.00
0
$0.00
PS-5| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
Hypothetical Payout Examples
The following examplesillustrate payments on the notes linked to ahypothetical Index, assuming a range of performances for the
hypotheticalIndex on the Review Dates. The hypothetical paymentsset forth below assume the following:
●an Initial Value of 100.00;
●an Interest Barrier of 60.00 (equal to 60.00% of the hypothetical Initial Value);
●a Trigger Valueof 50.00 (equal to 50.00% of the hypothetical Initial Value); and
●a Contingent Interest Rate of 10.00% per annum (payable at a rate of 2.50% per quarter).
The hypothetical Initial Value of 100.00 hasbeen chosen for illustrativepurposes only and doesnot represent theactual Initial Value.
The actual Initial Value is the closing level of the Indexon the Pricing Date and is specified under "Key Terms- Initial Value" in this
pricing supplement. For historical data regarding the actualclosing levels of the Index, pleaseseethe historical information set forth
under "Hypothetical Back-Tested Data and Historical Information" in thispricing supplement.
Each hypothetical payment set forthbelow is for illustrative purposesonly and maynot be the actual payment applicable to a purchaser
of the notes. The numbers appearing inthe following examples have been rounded for ease of analysis.
Example 1- Notes are automaticallycalled on the second Review Date.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
105.00
$25.00
Second Review Date
110.00
$1,025.00
Total Payment
$1,050.00 (5.00% return)
Because the closing level of the Index on the second Review Date is greater than or equal to the Initial Value, the notes will be
automaticallycalled for a cash payment, for each $1,000 principal amount note, of $1,025.00 (or $1,000 plus the Contingent Interest
Payment applicable to the second Review Date), payable on the applicable Call Settlement Date. The notes arenot automatically
callable before the second Review Date, even though theclosing level of the Index on thefirst Review Date is greater than the Initial
Value. When added to the Contingent Interest Payment received with respect to the prior Review Date, the total amount paid, for each
$1,000 principal amount note, is $1,050.00. No further payments willbe made onthe notes.
Example 2- Notes have NOT been automatically called and the Final Value is greater than or equal to the
Trigger Value and the Interest Barrier.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
95.00
$25.00
Second Review Date
85.00
$25.00
Third through Nineteenth
Review Dates
Less than Interest
Barrier
$0
Final Review Date
90.00
$1,025.00
Total Payment
$1,075.00 (7.50% return)
Because the notes have not been automaticallycalled and the Final Value is greater than or equal to the Trigger Value and the Interest
Barrier, the payment at maturity, for each $1,000 principal amount note, will be $1,025.00 (or $1,000plusthe Contingent Interest
Payment applicable to the final Review Date). When added to the Contingent Interest Payments received with respect to the prior
Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,075.00.
PS-6| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
Example 3- Notes have NOT been automatically called and the Final Value is less than the Interest Barrier but is
greater than or equal to the Trigger Value.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
70.00
$25.00
Second Review Date
65.00
$25.00
Third through Nineteenth
Review Dates
Less than Interest
Barrier
$0
Final Review Date
50.00
$1,000.00
Total Payment
$1,050.00 (5.00% return)
Because the notes have not been automaticallycalled and the Final Value is lessthan the Interest Barrier but is greater than or equal
to the Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00. Whenadded to the Contingent
Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is
$1,050.00.
Example 4- Notes have NOT been automatically called and the Final Value is less than the Trigger Value.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
40.00
$0
Second Review Date
45.00
$0
Third through Nineteenth
Review Dates
Less than Interest
Barrier
$0
Final Review Date
40.00
$400.00
Total Payment
$400.00 (-60.00% return)
Because the notes have not been automaticallycalled, the Final Value is less than the Trigger Value and the Index Return is -60.00%,
the payment at maturity will be $400.00 per $1,000 principalamount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returnsand hypothetical payments on the notesshown above applyonly if you hold the notes for their entire term
or until automatically called. These hypotheticalsdo not reflect thefees or expenses that would be associated withanysale inthe
secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybe lower.
Selected Risk Considerations
An investment in the notes involvessignificant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement, product supplement and underlying supplement and in Annex A tothe accompanying
prospectusaddendum.
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 and the Final Value isless than
the Trigger Value, you willlose 1% of the principal amount of your notes for every1% that the Final Value isless than the Initial
Value. Accordingly, under these circumstances, you will lose more than50.00%of your principal amount at maturity and couldlose
all of your principal amount at maturity.
●THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL-
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only if
theclosing levelof the Index on that Review Date isgreater than or equal to the Interest Barrier. If the closing level of the Index on
that Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Accordingly, if the closing level of the Indexon each Review Date is lessthan the Interest Barrier, you will not receive anyinterest
payments over the termof the notes.
PS-7| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
●THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
TheIndex is subject to a 6.0% per annum daily deduction. The level of the Index will trail the valueof an identicallyconstituted
synthetic portfolio that is not subject to any such deduction.
The index deduction will placea significant drag on the performance of the Index, potentially offsetting positive returns on the
Index's investment strategy, exacerbating negative returns of itsinvestment strategyandcausing the level of the Index to decline
steadily if the return of itsinvestment strategyis relatively flat. The Index willnot appreciate unless the return of its investment
strategy issufficient to offset the negative effects of the index deduction, and then only to the extent that the return of its
investment strategy is greater than the index deduction. As a result of the index deduction, the level of the Index may decline even
if the return of its investment strategy is positive.
The daily deduction is one of the inputs our affiliates' internal pricingmodels use to valuethe derivative or derivatives underlying
the economic terms of the notes for purposes 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 economicterms of
the notes. See "The Estimated Value of the Notes" and "-Risks Relating to the Estimated Value and SecondaryMarket Prices of
the Notes" in thispricing supplement.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined by themarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a financesubsidiary of JPMorgan Chase & Co., we have no independent operations beyond theissuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capitalcontribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to
JPMorgan Chase & Co. or under other intercompany agreements. Asa 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
bankruptcyor 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 to seek payment under the related guarantee byJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
●THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciation of the Index, which maybe significant. You will not participate in any appreciation of the Index.
●THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE-
If the Final Value isless than the Trigger Value and the notes have not been automatically called, thebenefit provided by the
Trigger Value will terminateand you will befully exposed to any depreciation of the Index.
●THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notesare automatically called, the termof the notes may be reduced to asshort as approximately sixmonths and you will
not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you wouldbe
able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a
similar levelof risk. Even in cases where the notes are called before maturity, youare not entitled to any feesand commissions
described on the front cover of this pricing supplement.
●YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500®
INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING
THE INDEX.
●THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE
IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE.
●JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the meritsof investing in the notes, the Index and the futures contractscomposing the Index.
●LACK OF LIQUIDITY-
The notes will not be listedon anysecurities exchange. Accordingly, the price at which you maybe able to trade your notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notesare not
designed to beshort-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
●POTENTIAL CONFLICTS-
We and our affiliates play avariety of roles inconnection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economicinterests are potentially adverse to your interests as aninvestor in the notes. It ispossible that hedging or trading
activities of ours or our affiliates inconnection with thenotescould result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
PS-8| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
An affiliate of ours currentlyhas 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 performanceof 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 valueof the notes. The Index Sponsor has no obligation to consider yourinterests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates andour respectiveemployees are under no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the roleof
an employee of JPMS as a member of the board of directorsof the Index Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimatelycontrols JPMS. The policies and judgments for which JPMS was
responsible could have an impact,positive or negative, on the levelof the Index and the value of your notes. JPMS is underno
obligation to consider your interests as aninvestor in the notes in its role in developing the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
●THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of thenotes is only an estimate determined by reference to several factors. The original issue price of the
notes exceedsthe estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in theoriginal issue price of the notes. Thesecosts include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesandthe estimated cost of hedging
our obligations under the notes. See "The Estimated Valueof the Notes" in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See "The Estimated Value of the Notes" in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate usedin the determination of the estimated value of the notes maydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any differencemay
be based on, among other things, our and our affiliates' view of the funding valueof the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to 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 toapproximate the prevailing market replacement funding rate for the notes.The use of an
internal fundingrate and anypotential changes tothat ratemay have an adverse effect on the termsof the notes and any
secondary market prices of the notes. See "The Estimated Value of the Notes" in this pricing supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the notes will be partiallypaid back toyou in
connection with any repurchases of your notesby JPMS in an amount that will decline to zero over an initial predetermined period.
See "SecondaryMarket Prices of the Notes" in this pricing supplement for additional informationrelating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be 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 secondary market pricesof the notes willlikely be lower than the original issue price of the notes because, among other
things, secondary market prices take intoaccount our internal secondary market funding rates for structureddebt issuances and,
also, becausesecondarymarket prices may exclude sellingcommissions, projected hedging profits, if any, and estimatedhedging
costs that are included inthe original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale byyou prior to
the Maturity Date could 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 each other, aside from theselling commissions, projected hedgingprofits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publish apricefor
the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than theprice
of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondary market. See "Risk Factors -Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes- Secondary market prices of the notes will be
impacted by many economic and market factors" in theaccompanying product supplement.
Risks Relating to the Index
●JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the level of the S&P 500® Index.
PS-9| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
●THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS -
No assurancecan be given that theinvestment strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed with respect to the Futures Contracts.
●THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurancecan be given that theIndex will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityis a 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 Futures Contracts is set
equal to (a) the 35% implied volatility target divided by (b) the one-weekimplied volatilityof the SPY Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.
However, there is no guarantee that the methodology used by the Index to determine theimplied volatility of the SPY Fund will be
representative of the implied or realized volatility of the Futures Contracts. The performance ofthe SPY Fund may not correlate
with the performance of the Futures Contracts, particularlyduring periods of market volatility. In addition, the volatilityof the
Futures Contracts on any daymaychange quicklyand unexpectedly and realized volatility maydiffer significantly fromimplied
volatility. Ingeneral, over time, the realized volatilities of the SPY Fundand the Futures Contracts have tended to be lower than
their respective impliedvolatilities; however, at any time those realized volatilities may exceed their respective implied volatilities,
particularly during periodsof market volatility. Accordingly, the actual annualized realizedvolatilityof the Index may be greater
than or lessthan the target volatility, which mayadversely affect the level 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 rebalance day, the Index will employ leverage to increase the exposure of the Index to the Futures Contracts if
the impliedvolatility of the SPY Fund isbelow 35%, subject to amaximum exposure of 500%. Under normal market conditionsin
the past, the SPY Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leverage in the past, except during periods of elevatedvolatility. When leverage is employed, any movementsin the prices ofthe
Futures Contracts will result in greater changesin the level of the Index than if leverage were not used. In particular, theuse of
leverage willmagnify any negative performance of the Futures Contracts, which, in turn, would negatively affect 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 declinein thevalue of the Futures Contracts, thelevel of the Index may decline significantlybefore
the following Index rebalance day when the Index'sexposure to the Futures Contracts would be reduced.
●THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalance day, the Index's exposureto the Futures Contracts will be less than 100% when the implied volatility
of the SPY Fund is above 35%. If the Index'sexposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Index may be significantly uninvested on any given day, and will
realize only a portion of any gains due to appreciationof the Futures Contracts on any such day. The 6.0% per annum deduction
is deducted daily, even when the Indexisnot fully invested.
●THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN
EXPIRING FUTURES CONTRACT INCLUDED IN THE INDEX -
As theFutures Contracts included in the Index come to expiration, they are replacedby Futures Contractsthat expire three months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the FuturesContract
that expiresthree months from that time. Thisprocess is referred to as "rolling."Excluding other considerations, if themarket for
the Futures Contracts is in "contango," where the prices arehigher inthe distant deliverymonths than in the nearer delivery
months, the purchase of the later Futures Contract wouldtake place at a price that is higher than the price of the expiringFutures
Contract, thereby creating a negative "roll yield."In addition, excludingother considerations, if themarket for the Futures Contracts
is in "backwardation," where the prices arelower in the distant deliverymonths than in the nearer delivery months, the purchase of
the later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, therebycreating
a positive "rollyield." The presence of contango in the market for the Futures Contracts could adversely affect the levelof the
Index and, accordingly, any payment on the notes.
●THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT "TOTAL RETURNS" -
The Index is an excess return index that does not reflect total returns. The return frominvesting in futures contracts derives from
three sources: (a) changes in the price of the relevant futures contracts (which isknown as the "price return"); (b) anyprofit or loss
realized when rollingthe relevant futures contracts (which is known as the "roll return"); and (c) any interest earned on thecash
deposited as collateral for the purchase of the relevant futures contracts (which is known as the "collateral return").
The Index measures the returns accrued from investing in uncollateralized futures contracts (i.e., the sumof the price return and
the roll returnassociated with an investment in the Futures Contracts). By contrast, a total return index, in additionto reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e.,the
collateral return associated with an investment in theFutures Contracts).Investing in the notes willnot generate the same return
as would be generated frominvesting in a total returnindex related tothe Futures Contracts.
●CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOURNOTES -
The Index generallyprovides exposure to a single futures contract on the S&P 500®Index that trades on the Chicago Mercantile
Exchange. Accordingly, the notesare less diversified than other funds, investment portfolios or indices investingin or tracking a
broader range of products and, therefore, could experience greater volatility. You should be aware that other indicesmay bemore
diversified than the Index in terms of both the number and varietyof futures contracts. You will not benefit,with respect tothe
notes, from any of the advantagesof a diversified investment and will bear the risks of a highlyconcentrated investment.
PS-10| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
●THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY -
The Index tracks the returns of futures contracts. The price of a futures contract depends not only on the price of the underlying
asset referenced bythe futures contract, but also on a range of other factors, including but not limited to changing supply and
demandrelationships, interestrates, governmental and regulatorypoliciesandthe policies of theexchanges on which the futures
contracts trade. In addition, the futures markets aresubject to temporary distortions or other disruptions due to various factors,
including the lack of liquidityin the markets, the participation of speculators andgovernment regulation and intervention.These
factors and others cancause the prices of futures contracts to bevolatile.
●SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES -
Futures marketslike the Chicago Mercantile Exchange, themarket for the Futures Contracts, are subject to temporarydistortions
or other disruptions due to various factors, including thelack of liquidity in the markets, the participation of speculators, and
government regulation and intervention. In addition, futuresexchanges have regulations that limit the amount of fluctuationin
some futures contract prices that mayoccur during a single day. Theselimits are generally referred to as "daily price fluctuation
limits" andthe maximumor minimum price of a contract on any given day as a result of these limits is referred to asa "limit price."
Once the limit price hasbeen reached in aparticular contract, no trades may be made at aprice beyond the limit, or trading may
be limited for a set period of time. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation
of contractsat potentiallydisadvantageous times or prices. These circumstances couldaffect the level of the Index and therefore
could affect adversely the value of your notes.
●THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE -
The officialsettlement price and intraday trading prices of the Futures Contracts are calculated and published by the Chicago
Mercantile Exchange and areused to calculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price and intraday trading prices and may delay or prevent the calculation
of the Index.
●CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY
ADVERSELY AFFECT THE VALUE OF THE NOTES -
Futures exchanges require market participants to post collateral in order toopen and tokeep open positions in futures contracts. If
an exchange changes the amount of collateral required to be posted to hold positionsin the Futures Contracts, market participants
mayadjust their positions, which mayaffect the prices of theFutures Contracts. As a result, thelevel of the Index may beaffected,
whichmay adversely affect the value of the notes.
●HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in this pricing supplement is purely theoretical and does not represent the actual historical performance of the Indexand has not
been verified by an independent third party. Hypothetical back-tested performance measures have inherent
limitations. Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that
has been designed with the benefit of hindsight. Alternativemodelling techniquesmight produce significantlydifferent results and
mayprove to be more appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of
future results. This type of informationhas inherent limitations and youshould carefully consider these limitations before placing
reliance on such information.
●OTHER KEY RISKS:
o THE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS.
o HISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE
PERFORMANCE OF THE INDEX DURING THE TERM OF THE NOTES.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding theabove-listedand
other risks.
PS-11| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
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 January 4, 2019 through February 4, 2022, and the historicalperformance of the Index basedon the
weekly historical closing levels of the Index fromFebruary 11, 2022 through October 25, 2024. The Index was established on February
11, 2022, as represented by the vertical line in the following graph. All data to the left of that vertical line reflect hypothetical back-tested
performance of the Index. Alldata to the right of that vertical line reflect actual historical performance of the Index. The closing level of
the Index on October 29, 2024 was 3,947.70. We obtained the closing levels above and below fromthe Bloomberg Professional®
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 historical performance of the Index. See "Selected Risk Considerations- Risks Relating to theIndex-
Hypothetical Back-Tested Data Relatingto the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations"
above.
The hypothetical back-tested and historical closing levels of the Indexshould not be taken as an indication of future performance, and
no assurance can be given asto the closing level of the Index on any Review Date. There can be no assurance that the performance of
the Index will result in the return of any of your principal amount or thepayment of any interest.
Hypothetical Back-Tested and Historical Performance of the
MerQube US Large-Cap Vol Advantage Index
Source: Bloomberg
The hypothetical back-tested closing levels of the Index have inherent limitations and have not been verified by an independent third
party. These hypothetical back-tested closing levels are determined by means of a retroactive application of a back-tested model
designed withthe benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guaranteeof future returns. No
representation is made that an investment in thenotes will or is likely to achieve returns similar to thoseshown. Alternative modeling
techniquesor assumptions would produce different hypotheticalback-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.
PS-12| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. In determining our reporting responsibilities weintend to treat (i) the notes for U.S. federal income tax purposes as
prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences -TaxConsequences to U.S. Holders- Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement. Based on the
advice of Davis Polk & Wardwell LLP, our specialtax counsel, we believe that this is a reasonable treatment, but that there are other
reasonable treatments that the IRS or a court may adopt, in whichcase the timing and character of any income or loss on the notes
could be materially affected. In addition, in 2007 Treasury and the IRS released anotice requesting comments on the U.S. federal
income taxtreatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require
investors in theseinstruments to accrue income over the term of their investment. It also asks for commentson a number of related
topics, includingthe character of income or loss with respect to these instruments and the relevance of factors such as the nature of the
underlying property to which the instruments are linked. While thenotice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materiallyaffect the
taxconsequences of an investment in the notes, possibly with retroactiveeffect.The discussions above and in the accompanying
product supplement do not address the consequences to taxpayerssubject to special tax accounting rules under Section 451(b) of the
Code. You should consult your taxadviser regarding the U.S. federal incometax consequencesof an investment in the notes, including
possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders - Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at
least if an applicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent, intend
to) withhold onany Contingent Interest Payment paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by
an applicable income tax treaty under an "other income"or similar provision. We will not be required to pay any additionalamounts with
respect to amounts withheld. In order toclaiman exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and is eligible for suchan exemption or
reduction under an applicable tax treaty. If you area Non-U.S. Holder, you should consultyour tax adviser regarding the tax treatment
of the notes, including the possibility of obtaininga refund of any withholding tax and the certification requirement described above.
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 deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in theapplicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthe scopeof Section 871(m) instruments issued prior toJanuary
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 determinations made by us, our special tax counsel is of the
opinion that Section871(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 maydisagree with this determination. Section 871(m) iscomplex and its application may dependon your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. Youshould consultyour tax
adviser regarding the potential application of Section871(m) to the notes.
In the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of thenotes set forth on the cover of this pricing supplement isequal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the samematurityas the notes, valuedusing the internal funding
rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes. The estimated value of the notes
does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any
time. The internal funding rate used in the determination of the estimatedvalue of the notes maydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any differencemay be
based on, among other things, our and our affiliates'view of the funding value of the notes as well as the higher issuance, operational
and ongoing liabilitymanagement costs of the notesin comparison tothosecosts for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certainmarket inputsandassumptions, which mayprove to be incorrect,
and is intended to approximate theprevailing market replacement funding rate for the notes. The use of an internal funding rateand
any potential changes to that rate mayhave an adverse effect on theterms of the notesand any secondary market prices of the notes.
For additional information, see "Selected Risk Considerations - Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes - The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate" in thispricing supplement.
PS-13| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
The value of the derivativeor derivatives underlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates. These modelsare dependent on inputs such asthe traded market prices of comparable derivative instruments and on various
other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as
well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when
the terms of the notes are setbased on market conditions and other relevant factors and assumptionsexisting at that time.
The estimated value of the notes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsandassumptionscould provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On
future dates, the value of the notes could changesignificantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfromyou in secondarymarket transactions.
The estimated value of thenotes is lowerthan the originalissue priceof the notes becausecosts associated with selling, structuring
and hedging the notes are included in the originalissue price of the notes. These costsinclude the sellingcommissions paidto JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our
obligations entails riskandmay be influenced by market forces beyond our control, thishedging may result in a profit that is more or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notesmay 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 Secondary Market Prices of theNotes - The Estimated
Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket 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 be impacted bymany
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs
included in theoriginal issue price of the notes will be partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initialpredetermined period. These costscan include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances. Thisinitial predetermined time period is intended to bethe shorter of six monthsand one-half of the
stated term of the notes. The length of any such initial period reflects thestructure of the notes, whether our affiliatesexpect toearna
profit inconnection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "Selected Risk Considerations - Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes - The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricingsupplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See "How the Notes Work" and "Hypothetical Payout Examples" in this pricing supplement for an illustration of the risk-return
profile of thenotes and "The MerQube US Large-Cap 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 obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.
PS-14| StructuredInvestments
Auto Callable Contingent Interest Notes Linked to the MerQubeUS Large-
Cap Vol Advantage Index
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 offeredby this pricing supplement have beenissued 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 such notes (the "master note"), and such notes have beendelivered against payment as
contemplated herein, suchnotes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitutea
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicablebankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof goodfaith, fair dealing andthe lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicablelaw by limiting the amount of JPMorgan Chase & Co.'sobligationunder the related guarantee.
Thisopinion is given as of thedate hereof and is limited to the laws of the State of New York, the General CorporationLaw of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject tocustomary assumptions about the
trustee's authorization, execution and delivery of the indenture and its authentication of the master note and thevalidity, binding nature
and enforceability of the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filed asan 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 this pricing supplement together with theaccompanying prospectus, as supplemented by theaccompanying
prospectussupplement 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 supersedesall
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, samplestructures, fact sheets, brochures or other educational materialsof
ours. Youshould carefullyconsider, among other things, the mattersset forth in the "Risk Factors" sections of theaccompanying
prospectussupplement, the accompanying product supplement and the accompanying underlying supplement and in Annex A to the
accompanying prospectus addendum, as the notesinvolve risks not associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisersbefore you invest in the notes.
You may access these documentson the SEC website atwww.sec.gov asfollows (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 March5, 2024:
●Prospectus supplement and prospectus, each dated April 13, 2023:
●Prospectus addendum datedJune 3, 2024:
Our Central Index Key, orCIK, on the SEC websiteis 1665650,and JPMorgan Chase & Co.'s CIK is19617. As used inthispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.