JPMorgan Chase & Co.
10/29/2024 | Press release | Distributed by Public on 10/29/2024 14:48
Primary Offering Prospectus - Form 424B2
October 25, 2024RegistrationStatement Nos.333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-Idated April 13, 2023, underlying supplement no. 5-IIdated March5,2024, the prospectus and
prospectus supplement, eachdated April 13, 2023, and the prospectus addendum datedJune3,2024
JPMorganChase Financial Company LLC
Structured Investments
$14,826,000
Auto CallableContingent Interest Notes Linked to theMerQube
US Tech+ Vol Advantage Indexdue October 30, 2029
Fully and Unconditionally Guaranteedby JPMorgan Chase & Co.
•The notes aredesigned for investors who seek a Contingent Interest Payment with respect to each monthly Interest
Review Date for which the closing level of the MerQube US Tech+ Vol Advantage Index, which we refer to as the Index,
is greater than or equal to 70.00% of the Initial Value, whichwe refer to astheInterest Barrier.
•The notes will be automatically calledif theclosing level of the Indexon any quarterly Autocall Review Date is greater
than or equal to the Initial Value.
•The earliest date on which an automatic call may be initiated isApril25, 2025.
•Investors shouldbe willing to accept the risk of losing up to 80.00%of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all InterestReview Dates.
•Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity toreceive
Contingent Interest Payments.
•The Index is subject to a 6.0% per annum daily deduction, and the performance of the Invesco QQQ TrustSM,
Series 1 (the"QQQ Fund")is subject to a notional financing cost. These deductions will offset any appreciation
of the components of the Index, will heighten any depreciation of those components and will generally be a drag
on the performance of the Index. The Index will trail 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 ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed byJPMorgan 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., asguarantor of the notes.
•Minimum denominations of $1,000 and integralmultiplesthereof
•The notes priced on October 25, 2024 and are expected tosettle on or about October 30, 2024.
•CUSIP: 48135U5N6
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of the accompanying
prospectus supplement,Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplement, "Risk Factors" beginning on page US-4 of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on pagePS-8 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor anystate securitiescommission has approved or disapproved
of the notes or passed upon the accuracyor the adequacy of this pricing supplement or theaccompanying product supplement,
underlying supplement, prospectus supplement,prospectusand prospectusaddendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds to Issuer
Per note
$1,000
$6.50
$993.50
Total
$14,826,000
$96,369
$14,729,631
(1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the
price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorganFinancial, will payall of the
selling commissionsof $6.50per $1,000 principal amount note it receives from us to other affiliated or unaffiliated
dealers.See "Planof Distribution (Conflicts of Interest)" in the accompanying product supplement.
The estimated value of the notes, when the terms of the notes were set,was$941.40per $1,000 principal amount note.
See"The Estimated Value of the Notes" in this pricing supplement for additional information.
Thenotes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Tech+ Vol Advantage Index (Bloomberg
ticker: MQUSTVA). The levelof 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.
Contingent Interest Payments:If the notes have not been
automatically called and theclosing level of the Index on any
Interest Review Date is greater than or equal to the Interest
Barrier, you willreceive on the applicable Interest Payment Date
for each $1,000principal amount note a Contingent Interest
Payment equal to $11.875(equivalent toa Contingent Interest
Rate of 14.25% per annum, payable at a rate of 1.1875%per
month).
If the closing level of the Index on any Interest Review Date is
less than the Interest Barrier, no Contingent Interest Payment will
be made with respect to that Interest Review Date.
Contingent Interest Rate:14.25% per annum, payable at a rate
of 1.1875% per month
Interest Barrier:70.00%of the Initial Value, whichis8,015.441
Buffer Threshold:80.00%of the Initial Value, which is9,160.504
Buffer Amount:20.00%
Pricing Date:October 25, 2024
Original Issue Date (Settlement Date): On or about October 30,
2024
Interest ReviewDates*:November 25, 2024, December 26,
2024, January 27, 2025, February25, 2025, March 25, 2025, April
25, 2025, May 27, 2025, June 25, 2025, July 25, 2025, August 25,
2025, September 25, 2025, October 27, 2025, November 25,
2025, December 26, 2025, January 26, 2026, February 25, 2026,
March 25, 2026, April 27, 2026, May 26, 2026, June 25, 2026,
July 27, 2026, August 25, 2026, September 25, 2026, October 26,
2026, November 25, 2026, December 28, 2026, January 25,
2027, February 25, 2027, March 25, 2027, April26,2027, May 25,
2027, June 25, 2027, July 26, 2027, August 25, 2027, September
27, 2027, October 25, 2027, November 26, 2027, December 27,
2027, January 25, 2028, February25, 2028, March 27, 2028, April
25, 2028, May 25, 2028, June 26, 2028, July 25, 2028, August 25,
2028, September 25, 2028, October 25, 2028, November 27,
2028, December 26, 2028, January 25, 2029, February 26, 2029,
March 26, 2029, April 25, 2029, May 25, 2029, June 25, 2029,
July 25, 2029, August 27, 2029, September 25, 2029 and October
25, 2029 (the "final Review Date")
Autocall Review Dates*:April 25, 2025, July 25, 2025, October
27, 2025, January 26, 2026, April 27, 2026, July27, 2026,
October 26, 2026, January 25, 2027, April 26, 2027, July 26,
2027, October 25, 2027, January 25, 2028, April 25, 2028, July
25, 2028, October 25, 2028, January 25, 2029, April25, 2029 and
July 25, 2029
Interest Payment Dates*:November 29, 2024, December 31,
2024, January 30, 2025, February28, 2025, March 28, 2025, April
30, 2025, May 30, 2025, June 30, 2025, July 30, 2025, August 28,
2025, September 30, 2025, October 30, 2025, December 1, 2025,
December 31, 2025, January29, 2026, March 2, 2026, March 30,
2026, April 30, 2026, May 29, 2026, June 30, 2026, July 30, 2026,
August 28, 2026, September 30, 2026, October 29, 2026,
December 1, 2026, December 31, 2026, January 28, 2027, March
2, 2027, March 31, 2027, April 29, 2027, May 28, 2027, June 30,
2027, July 29, 2027, August 30, 2027, September 30, 2027,
October 28, 2027, December 1, 2027, December 30, 2027,
January28, 2028, March 1, 2028, March 30, 2028, April 28, 2028,
May31, 2028, June 29, 2028, July 28, 2028, August 30, 2028,
September 28, 2028, October 30, 2028, November 30, 2028,
December 29, 2028, January30, 2029, March 1, 2029, March 29,
2029, April 30, 2029, May 31, 2029, June 28, 2029, July 30, 2029,
August 30, 2029, September 28, 2029 and the Maturity Date
Maturity Date*:October 30, 2029
Call Settlement Date*:If thenotes are automatically calledon
any Autocall Review Date, thefirst Interest Payment Date
immediately following that Autocall Review Date
Automatic Call:
If the closing level of the Index on anyAutocall Review Date is
greater than or equal to the Initial Value, the notes willbe
automatically called for a cash payment, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment applicable to the Interest Review Date corresponding to
that AutocallReview Date, payableon the applicable Call
Settlement Date.No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value isgreater than or equal to the Buffer Threshold, you will
receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment applicable to the final Review Date.
If thenotes have not been automatically called and the Final
Value isless than the Buffer Threshold, your payment at maturity
per $1,000 principal amount note, in addition to any Contingent
Interest Payment, will becalculated asfollows:
$1,000 + [$1,000 × (Index Return + Buffer Amount)]
If the notes have not been automatically called and the Final
Value isless than the Buffer Threshold, you will losesome or
most of your principal amount at maturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Indexon the Pricing Date,
which was 11,450.63
Final Value: Theclosing level of the Index on the final Review
Date
* Subject to postponement in the event of a market disruption
event and as described under "Supplemental Terms of the Notes
- Postponement of a Determination Date-Notes Linked Solely
to anIndex" in the accompanying underlying supplement and
"General Terms of Notes -Postponement of a Payment Date"in
the accompanying product supplement
PS-2 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
The MerQube US Tech+Vol Advantage Index
The MerQube US Tech+ Vol AdvantageIndex (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 IndexCalculation
Agent. The Index was established on June 22, 2021. An affiliate of ourscurrently has a 10% equityinterest in the Index Sponsor, with
a right toappoint an employee of JPMS, another of our affiliates, as a member of the board of directors of the Index Sponsor.
Since February 9, 2024 (the "Amendment Effective Date"), the underlying asset to which the Indexis linked (the "Underlying Asset")
has been an unfunded position in the QQQ Fund, calculated as the excess of the total return of the QQQ Fundover a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset 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-100 Index®," respectively, in the accompanying underlying supplement.
The Index attempts to provide a dynamic rules-based exposure to the Underlying Asset, while targeting alevelof implied volatility, with
a maximum exposure to the Underlying Asset of 500% and a minimum exposure to the Underlying Asset of 0%. The Index is subject to
a 6.0% per annumdaily deduction, and theperformance of the Underlying Asset is subject to a notional financing cost deducted daily.
On each weekly Index rebalance day, the exposure 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 is below
35%, and the Index's exposure to the Underlying Asset will be less than 100% when the implied volatility of the QQQ Fund is above
35%. In general, the Index'starget volatility feature is expected to result in the volatilityof the Index being morestableover time than if
no target volatilityfeature were employed. No assurance can be provided that thevolatilityof the Index will be stable atany 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,lessthedaily 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 a spread of 0.50% per annum. SOFR, the Secured Overnight Financing
Rate, is intended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasurysecurities. The Index isan
"excess return" index and not a "total return" index because, as part of the calculation of the level of the Index, the performance of the
QQQ Fund is 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 notional financing 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 Contingent Interest Rate, the Interest Barrier, the Buffer
Threshold, the Buffer Amountand the other economic termsavailable on the notes aremore favorable to investors than the termsthat
would be available on a hypothetical note issued by us linked to an identical index without a daily deduction. However, there can be no
assurance that anyimprovement in the terms of the notes derived from the daily deduction will offset the negative effect of the daily
deduction on the performance of the Index.The return on the notesmay be lower than the returnon a hypothetical note issued by us
linked to an identicalindex 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' internalpricing models use to value the derivative or derivatives underlying the economicterms of the notes forpurposes of
determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivativeor derivativesunderlyingthe economic terms of the notes. See "The Estimated Value of the Notes"
and "Selected Risk Considerations -Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing
supplement.
The Index is subject to risks associated with the useof significant leverage. The notional financing cost deducted daily will
be magnified byany leverage provided by the Index. Inaddition, the Index may be significantly uninvested on any given day,
and, in that case, will realize only a portion of any gainsdue to appreciation of the Underlying Asset on that day. The index
deduction isdeducted daily at a rate of 6.0% per annum, even when the Index is not fully invested.
PS-3 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
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 outperformany 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
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Supplemental Terms of the Notes
Any valuesof the Index, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricingsupplement and the corresponding terms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment willbecomeeffective without consent of the holders of
the notes or anyother party.
How the Notes Work
Payments in Connection with Interest Review Dates Preceding the Final Review Date
Theclosing level of theIndexis greater thanor equal
totheInterest Barrier.
Theclosing level of theIndexis less thantheInterest
Barrier.
InterestReviewDates Preceding the Final ReviewDate That Are NotAutocall ReviewDates
Compare the closinglevel of the Indexto the Interest Barrier on each Interest ReviewDate that is not an Autocall ReviewDateuntil the final
ReviewDate or anyearlier automatic call. Refertothe seconddiagramif anInterest ReviewDateis also an Autocall ReviewDate.
You will receive a Contingent Interest Payment on the
applicable Interest Payment Date.
Proceedto the next Interest ReviewDate.
No Contingent Interest Payment will be made with respect to
the applicable Interest ReviewDate.
Proceedto the next Interest ReviewDate.
Thenotes will be automaticallycalledon the applicable Call Settlement Date and youwill
receive (a)$1,000 plus (b)the Contingent Interest Payment applicable to that Interest
ReviewDate.
No further payments will be made on thenotes.
InterestReviewDates That AreAlso AutocallReviewDates
AutomaticCall
Theclosing level of the
Indexis greater thanor
equal to theInitial Value.
Theclosing level of the
Indexis less thanthe
Initial Value.
Initial
Value You will receive a Contingent Interest
Payment on the applicable Interest
Payment Date.
Proceedto the next Interest Review
Date.
Theclosing level of the
Indexis greater than or
equal totheInterest
Barrier.
No
Automatic
Call No Contingent Interest Payment will
bemadewith respect to the
applicable Interest ReviewDate.
Proceedto the next Interest Review
Date.
Thelevel of the Indexis less
than the Interest Barrier.
Comparethe closing level of theIndexto the Initial Value and the Interest BarrieroneachInterest ReviewDate that is also an
Autocall ReviewDate until earlierautomatic call.
PS-5 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Payment at MaturityIf the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest Payments per $1,000principal amount note over the termof the
notesbased on the Contingent Interest Rate of 14.25%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
60
$712.500
59
$700.625
58
$688.750
57
$676.875
56
$665.000
55
$653.125
54
$641.250
53
$629.375
52
$617.500
51
$605.625
50
$593.750
49
$581.875
48
$570.000
47
$558.125
46
$546.250
45
$534.375
44
$522.500
43
$510.625
42
$498.750
41
$486.875
40
$475.000
39
$463.125
38
$451.250
37
$439.375
36
$427.500
35
$415.625
34
$403.750
33
$391.875
32
$380.000
31
$368.125
30
$356.250
29
$344.375
28
$332.500
27
$320.625
26
$308.750
25
$296.875
24
$285.000
23
$273.125
22
$261.250
21
$249.375
Autocall Review Dates
Precedingthe Final Review
Date
You will receive (a)$1,000plus (b)the
Contingent Interest Payment
applicable to the final ReviewDate.
The notes are not
automaticallycalled.
Proceedto maturity
Final ReviewDatePayment at Maturity
TheFinal Value is greater than or equal tothe
Buffer Threshold.
You will receive,in addition to any
Contingent Interest Payment:
$1,000 + [$1,000 ×(IndexReturn+
Buffer Amount)]
Under thesecircumstances, you will
lose some or most of your principal
amount at maturity.
TheFinal Value is less than the Buffer
Threshold.
PS-6 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
20
$237.500
19
$225.625
18
$213.750
17
$201.875
16
$190.000
15
$178.125
14
$166.250
13
$154.375
12
$142.500
11
$130.625
10
$118.750
9
$106.875
8
$95.000
7
$83.125
6
$71.250
5
$59.375
4
$47.500
3
$35.625
2
$23.750
1
$11.875
0
$0.000
Hypothetical Payout Examples
The followingexamples illustrate payments on thenotes linked to ahypothetical Index, assuming a range of performances for the
hypothetical Index on the Interest Review Dates and the Autocall Review Dates.The hypothetical paymentsset forth below assume
the following:
•an Initial Value of 100.00;
•an Interest Barrier of 70.00 (equal to 70.00%of the hypothetical Initial Value);
•a Buffer Threshold of 80.00 (equal to 80.00% of thehypothetical Initial Value);
•a Buffer Amount of 20.00%;and
•a Contingent Interest Rate of 14.25% per annum.
The hypothetical Initial Value of 100.00 hasbeen chosen for illustrative purposes only and doesnot represent theactual Initial Value.
The actual Initial Value is the closing level of the Indexon the Pricing Date andis specified under "Key Terms -Initial Value" in this
pricing supplement.For historical data regarding the actualclosing levels of the Index, please see the historical information set forth
under "Hypothetical Back-Tested Data and Historical Information"in thispricing supplement.
Each hypothetical payment set forthbelow isfor illustrative purposesonly and may not be the actual payment applicable to a purchaser
of the notes.The numbers appearing in the following exampleshave been rounded for ease of analysis.
Example1 - Notes are automatically called on thefirst Autocall Review Date.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Interest Review
Date
105.00
$11.875
Second throughFifth
Interest Review Dates
Lesser than Interest Barrier
$0
SixthInterest Review
Date (first Autocall
Review Date)
120.00
$1,011.875
Total Payment
$1,023.75(2.375% return)
Because the closing level of the Indexon the first Autocall Review Date, which is also the sixth Interest Review Date,is greater than or
equal to the Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, of
$1,011.875 (or $1,000plus the Contingent Interest Payment applicable to the sixth Interest Review Date), payable on the applicable
Call SettlementDate.When added to the Contingent Interest Payment received with respect tothe prior Interest Review Dates, the
total amount paid, for each $1,000 principal amount note, is $1,023.75. No further payments will bemade on the notes.
Example 2- Notes have NOT been automatically calledand the Final Valueis greater than or equal tothe Buffer Threshold.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Interest Review
Date
95.00
$11.875
Second Interest Review
85.00
$11.875
PS-7 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Date
Third through Thirty-Fifth
Interest Review Dates
Lessthan Interest Barrier
$0
Final Review Date
90.00
$1,011.875
Total Payment
$1,035.625 (3.5625% return)
Because the notes have not been automatically called and the Final Valueis greater than or equal to theBuffer Threshold, the payment
at maturity, for each $1,000 principal amount note, will be$1,011.875 (or $1,000 plusthe Contingent Interest Payment applicable to the
final Review Date).When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, thetotal
amount paid, for each $1,000 principal amount note, is $1,035.625.
Example 3- Notes have NOT been automatically calledand the Final Value is less than theBuffer Thresholdbut is greater
than or equal to the Interest Barrier.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Interest Review
Date
50.00
$0
Second Interest Review
Date
55.00
$0
Third through Thirty-Fifth
Interest Review Dates
Lessthan Interest Barrier
$0
Final Review Date
75.00
$961.875
Total Payment
$961.875 (-3.8125% return)
Because the notes have not been automaticallycalled, the Final Value is lessthan the Buffer Threshold but is greater than or equal to
the Interest Barrier and the Index Return is -25.00%, the payment at maturity willbe $961.875 per $1,000 principal amount note,
calculatedasfollows:
$1,000 + [$1,000 × (-25.00% +20.00%)] + $11.875 = $961.875
Example 4- Notes have NOT been automatically calledand theFinal Value is less than the Buffer Thresholdand the Interest
Barrier.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Interest Review
Date
40.00
$0
Second Interest Review
Date
45.00
$0
Third through Thirty-Fifth
Interest Review Dates
Lessthan Interest Barrier
$0
Final Review Date
40.00
$600.00
Total Payment
$600.00 (-40.00% return)
Because the notes have not been automatically called, the Final Value is lessthan theBuffer Thresholdand the Interest Barrier and the
Index Return is -60.00%, the payment at maturity will be $600.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00% + 20.00%)]= $600.00
The hypothetical returnsand hypothetical payments on thenotesshown above apply only if you hold thenotesfor 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.
PS-8 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Selected Risk Considerations
An investment in the notesinvolvessignificant 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 -
Thenotes do not guarantee any return of principal. If thenotes have not beenautomatically called and the Final Value is less than
theBuffer Threshold, you will lose1% of the principalamount of your notes for every1% that the Final Valueis less than the Initial
Valueby more than 20.00%.Accordingly, under these circumstances, you will lose up to 80.00%of your principal amountat
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 an Interest Review
Date only if the closing levelof the Index onthatInterestReview Date is greater than or equal to the Interest Barrier. If theclosing
level of the Index on an Interest Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with
respect to that Interest Review Date. Accordingly, if the closing level of the Indexon each Interest Review Date is less than the
Interest Barrier, you will not receive anyinterest paymentsover the term of thenotes.
•THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction.As a result, the level of the Index will trail the value of an identically
constituted synthetic portfolio that is not subject to anysuch deduction.
Thisdeduction will place a significant drag on the performance of the Index, potentially offsetting positive returnson the Index's
investment strategy, exacerbating negative returnsof its investment strategy and causing the level of the Index to declinesteadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of itsinvestment strategy is
sufficient to offset the negative effectsof thisdeduction, and then onlyto the extent that the returnof its investment strategy is
greater than this deduction. As a result of thisdeduction, the level of the Index may decline even if the return of itsinvestment
strategy isotherwise positive.
The daily deduction is one of the inputs our affiliates' internal pricing models 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, theperformance of the Underlying Asset has been subject to a notional financing cost
deducted daily.The notionalfinancing cost is intended to approximate the cost of maintaining a position in the QQQ Fund using
borrowedfunds at a rate of interest equal to the daily SOFR rate plusa fixed spread.Theactualcost of maintaining 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 onour andJPMorgan Chase & Co.'s ability to pay all amountsdue on the notes.Any actual or potential
change in ouror 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 weand JPMorgan Chase & Co. were todefault on our payment
obligations, you maynot receive any amounts owed to you under the notes and you could lose your entireinvestment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capital contribution 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. 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
PS-9 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
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 are unable to make
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 theaccompanying 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 appreciationof 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 notesare automatically called, the termof the notes may be reduced to as short asapproximatelysix months and you will
not receive any Contingent Interest Payments after the applicable Call Settlement Date.There is no guarantee that youwould be
able to reinvest the proceeds from an investment in the notes at a comparable return and/or with acomparable interest rate fora
similar levelof risk.Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions
described on the front cover of this pricing supplement.
•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.
•THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE BUFFER
THRESHOLD 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 investigationof the merits of investing in the notes, the Index and the components of the Index.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange.Accordingly, the price at whichyou may be able to trade your notesis
likelyto depend on the price, if any, at which JPMS is willing to buy the notes. You may notbe able to sellyour notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should 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 thenotes.In performing these duties, our and JPMorganChase &
Co.'s economicinterests are potentially adversetoyour interests as an investor in the notes.It ispossible that hedging or trading
activities of oursor our affiliates in connection with the notescould result in substantial returns for us or our affiliates while the
value of the notes declines.Please refer to"RiskFactors-Risks Relating to Conflicts of Interest"in the accompanying product
supplement.
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 Indexmethodology that could negativelyaffect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the value of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates andour respective employees areunder no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the role of
an employee of JPMS asa member of the board of directorsof theIndex Sponsor.
In addition, JPMS worked withthe Index Sponsor in developing the guidelines and policies governing 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 inthe notes in its role indeveloping the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
PS-10| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage 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 -
Theestimated value of the notes is only an estimate determined by reference to several factors.The originalissue price of the
notes exceedsthe estimatedvalue of the notes becausecosts associated withselling, structuring and hedging the notesare
included in the original issue price of the notes.Thesecosts includethe selling commissions,the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesand the estimated cost of hedging
our obligations under the notes.See "The Estimated Valueof the Notes" inthis pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See"TheEstimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate usedin the determinationof the estimated value of the notes maydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissued byJPMorgan Chase & Co. or its affiliates. Any differencemay
be based on, amongother things, our and our affiliates' view of thefunding value of the notes as well as the higherissuance,
operational and ongoing liability management costs of the notesin comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes.The use of an
internal funding rate and any potential changes to thatrate may have an adverse effect on the terms of the notes and any
secondarymarket prices of the notes. See"TheEstimated Valueof 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 theoriginal 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.
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 customeraccount 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 intoaccount our internalsecondarymarket funding ratesfor structureddebt issuances and,
also, because secondarymarket prices may exclude sellingcommissions,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 originalissueprice. 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 secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom the selling commissions,projected hedgingprofits, if any, estimated hedging
costs and thelevel of the Index. Additionally, independent pricing vendors and/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) thanthe
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 SecondaryMarket Prices of the Notes - Secondary market prices of the notes will be
impacted by many economic and market factors" in theaccompanying product supplement.
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Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
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 obligationto
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 is set
equal to (a) the 35% implied volatility target dividedby (b) the one-weekimplied volatilityof the QQQ Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, there is no guarantee that themethodology used by the Index to determine theimplied volatility of the QQQ Fund
will be representative of the realized volatility of the QQQ Fund. The volatilityof the Underlying Asset on any daymay change
quickly and unexpectedly 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 volatility may 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, which mayadversely 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 theIndex 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, insituations where asignificant increase in volatility is
accompanied by asignificant decline in the price of the Underlying Asset, the level of the Index may decline significantlybeforethe
following Index rebalance day when the Index'sexposure to theUnderlying Asset would be reduced. In addition, the notional
financing cost deducted dailywill be magnified by any leverage provided by the Index.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED-
On a weeklyIndex 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 besignificantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Underlying Asset on anysuch day. The 6.0% per annum 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 areissued 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 by political, economic, financial and social
factors in the home countries of those issuers, or global regions, including changes in government, economicand fiscalpolicies
and currency exchange laws.
•THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
The QQQ Fund issubject to management risk, which is the risk that the investment strategiesof 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.
PS-12| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
•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 to a lack of correlation between the performance of the QQQ Fund
and its underlyingindex.In addition, corporateactions with respect to the equity securitiesunderlyingthe QQQ Fund (such as
mergers and spin-offs) mayimpact thevariance between the performances of the QQQ Fund andits underlying index.Finally,
because theshares of the QQQ Fund are traded on asecuritiesexchange and are subject to market supply and investor demand,
the market value of one shareof the QQQ Fund maydiffer from the net asset value per share of the QQQ Fund.
During periodsof market volatility, securities underlying the QQQ Fund may be unavailable in the secondary market, market
participants may be unable tocalculate 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 may adversely affect, sometimes materially, the prices at which market
participants are willing to buyand sell shares of the QQQ Fund. As a result, under these circumstances, the market value of shares
of the QQQ Fund mayvary substantially from the net asset value per share of the QQQ Fund. For all of the foregoing reasons, the
performance of the QQQ Fund may not correlate with the performance of itsunderlying index as well as thenet asset value per
share of the QQQ Fund, which could materially and adversely affect the value of the notes in thesecondary market and/or reduce
any payment on thenotes.
•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS, AND THE HISTORICAL AND HYPOTHETICAL BACK-TESTED
PERFORMANCE OF THE INDEX ARE NOT INDICATIONS OF ITS FUTURE PERFORMANCE -
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 has not
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 not indicative of future results.
Thistype of information has inherent limitations, and you should carefully consider these limitationsbefore 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
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 detailsregarding the above-listedand
other risks.
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Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index fromJanuary 4, 2019 through June 18, 2021, and the historical performance of the Index based on the
weekly historical closing levels of the Index from June 25, 2021 throughOctober 25, 2024. The Index was established on June 22,
2021, as represented by the vertical linein the following graph. 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 onOctober25, 2024 was 11,450.63. Weobtainedthe closing levels above and below from the Bloomberg Professional®
service ("Bloomberg"), without independent verification.
The data for the hypothetical back-testedperformance of the Index set forth in the followinggraphare 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 Are Subject to Inherent Limitations,
and the Historical and Hypothetical Back-Tested Performance of the Index Are Not Indications of Its Future Performance" above.
The hypothetical back-tested andhistorical closing levels ofthe Indexshould not be takenas an indication of future performance, and
no assurance can be given asto the closing level of the Index onanyInterestReview Date or Autocall Review Date.There can beno
assurance that the performance of the Index will result in the returnof any of your principalamount in excessof $200.00 per $1,000
principal amount note, subjectto the credit risksof JPMorgan Financial and JPMorgan Chase & Co., or the payment of any interest.
The hypothetical back-testedclosinglevels of the Indexhave inherent limitationsand have not been verified by an independent third
party. These hypothetical back-tested closing levels are determinedbymeans of a retroactiveapplication 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 closing levels of the Index that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closinglevels 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. In determiningour reporting responsibilities weintend to treat (i) the notes for U.S. federal income tax purposes as
prepaid forward contracts withassociated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences-Tax Consequences 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 acourt may adopt, in whichcase the timing andcharacter of any income or loss on thenotes
could be materially affected.In addition, in 2007 Treasury and the IRS released a notice 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 these instrumentsto accrue income over the term of their investment.It also asks for commentson a number of related
topics, including the character of income or loss with respect to these instruments and the relevance of factors such as thenature of the
PS-14| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
underlying property to which the instruments are linked.While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materiallyaffect the
taxconsequences of an investment in the notes, possibly with retroactive effect.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 consequences of 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 on any 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 treatyunder an "other income" or similar provision.We willnot be required topay any additional amounts with
respect to amounts withheld.In order to claiman exemption from, or a reduction in, the 30% withholdingtax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and iseligible for such an exemptionor
reduction under an applicable tax treaty.If you area Non-U.S. Holder, you should consult your tax adviser regarding thetax treatment
of the notes, including the possibility of obtaining a 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 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 thescope of Section 871(m) instruments issued prior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could payU.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security").Based on certain determinations made by us, our special taxcounsel isof the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.Our determination is not binding on the
IRS, and the IRS may disagree with this determination.Section 871(m) is complex and itsapplication may depend on your particular
circumstances, including whether you enter intoother transactions with respect to an Underlying Security.You should consult your tax
adviser regarding the potential applicationof Section 871(m) to thenotes.
In the event of any withholding on the notes, we will not be required topay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplementis equal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component withthe same maturityas the notes, valued usingthe internal funding
rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes.The estimated value of the
notesdoes 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 the determination of theestimated valueof the notes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof a similar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybebased on, among other things, ourand our affiliates'view of the funding value of the notes as well as thehigherissuance,
operational and ongoing liability management costs of thenotes 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, which may prove
to be incorrect, and is intended to approximate theprevailing market replacement funding rate for thenotes. 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 an InternalFunding Rate" in this
pricing supplement.
The value of the derivative or derivatives underlying the economic terms of thenotes is derived frominternal pricingmodelsof our
affiliates.Thesemodels 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 thenotes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations forthe notes that are greater than or less thanthe 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, thevalue of the notescould change significantly based on, among other things, changes in market conditions, our or
PS-15| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
JPMorgan Chase & Co.'s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfrom you in secondarymarket transactions.
The estimated value of the notes is lower than the original issue price of the notesbecause costs associated withselling,structuring
and hedging the notes are included in the original issue price of the notes. These costsincludethe selling commissions paid to JPMS
and other affiliated or unaffiliated dealers,the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligations under thenotes. Becausehedgingour
obligations entails riskand may be influenced by market forces beyond our control, thishedging may result in a profit that ismore or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under thenotes may be
allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain 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 funding rates
for structured debt issuances.This initial predetermined time period is intended to be the shorter of six months and one-half of the
stated term of the notes.Thelength of 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
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 pricingsupplement for an illustration of the risk-return
profile of the notes and "The MerQube US Tech+ Vol Advantage Index"in this pricing supplement for a description of themarket
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
notesoffered by this pricing supplement have been issued by JPMorgan Financialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions 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 guarantee will 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 and the lack ofbad faith),provided that such counsel
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressedabove or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'sobligation 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 issubject 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, all asstated in the letter of such counsel dated February 24, 2023, which
was filedasan exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. onFebruary 24,
2023.
PS-16| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Tech+
Vol Advantage Index
Additional Terms Specific to the Notes
You should read thispricing supplement together with theaccompanying prospectus, as supplemented bythe accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanyingprospectus
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 materials of
ours. You should carefully consider, among other things, the matters set forth in the"Risk Factors" sections of the accompanying
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 therelevant date on the SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 5-II datedMarch 5, 2024:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectus addendum dated June 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in thispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.