JPMorgan Chase & Co.
11/01/2024 | Press release | Distributed by Public on 11/01/2024 14:29
Primary Offering Prospectus - Form 424B2
October 30, 2024RegistrationStatement Nos.333-270004 and 333-270004-01; Rule 424(b)(2)
Pricingsupplement to productsupplement no.4-I dated April13,2023, underlying supplement no.5-II dated March5, 2024, the prospectus and
prospectus supplement, eachdated April 13, 2023,and the prospectus addendum dated June 3,2024
JPMorganChase Financial Company LLC
Structured Investments
$552,000
Auto Callable Contingent Interest Notes Linked to the MerQube US
Large-Cap Vol Advantage Indexdue November 4, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
•The notes aredesigned for investors who seek a Contingent Interest Payment with respect to each Review Date for
whichtheclosing level of theMerQube US Large-Cap Vol Advantage Index, which we refer to as the Index,isgreater
than or equal to 75.00% of the Initial Value, which we refer to asthe Interest Barrier.
•The notes will be automatically calledif theclosing level of the Indexon any Review Date (other than the first through
eleventh and final Review Dates) is greater than or equal to the Initial Value.
•The earliest date on which an automatic call may be initiated isOctober 30, 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 Review Dates.
•Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
ContingentInterest Payments.
•The Index is subject to a 6.0% per annum daily deduction. This daily deduction will offset any appreciation of
the futures contracts included in the Index, will heighten any depreciation of those futures contracts andwill
generally bea drag on the performance of the Index. The Index will trail the performance of an identical index
without a deduction. See "Selected Risk Considerations- Risks Relating to the Notes Generally - The Level
of the Index Will Include a 6.0% per Annum Daily Deduction" in thispricing supplement.
•The notes areunsecured and unsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase& Co. Any
payment on the notes is subject to the credit risk of JPMorganFinancial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., asguarantor of the notes.
•Minimum denominations of $1,000 and integral multiples thereof
•The notes priced onOctober 30, 2024 and are expectedtosettleon or aboutNovember 4, 2024.
•CUSIP: 48135U6J4
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of the accompanying
prospectus supplement,Annex A tothe accompanyingprospectus addendum,"Risk Factors" beginning on page PS-11
of the accompanying product supplement, "Risk Factors" beginning on page US-4 of the accompanying underlying
supplement and"Selected Risk Considerations" beginning on pagePS-6 of this pricing supplement.
Neither the Securities andExchangeCommission (the"SEC")noranystate securities commission hasapproved ordisapproved ofthenotesor
passed upon the accuracy or theadequacy ofthis pricingsupplementor the accompanying product supplement,underlying supplement,
prospectus supplement, prospectusand prospectus addendum. Any representation tothe contrary is a criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds to Issuer
Per note
$1,000
$26
$974
Total
$552,000
$14,352
$537,648
(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 $26.00per $1,000 principalamount note it receives from us to other affiliated or unaffiliated
dealers.See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.
The estimated value of the notes, when the terms of the notes were set,was $927.10per $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 Large-
Cap 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 Large-Cap Vol Advantage Index
(Bloomberg ticker: MQUSLVA). Thelevelof the Index reflects a
deduction of 6.0% per annum that accrues daily.
Contingent Interest Payments:If the notes have not been
automaticallycalled and theclosing level of the Index on any
Review Date is greater than or equal to the Interest Barrier, you
will receiveon the applicableInterest Payment Date for each
$1,000 principal amount note a Contingent Interest Payment
equal to $10.00(equivalent to a Contingent Interest Rate of
12.00% per annum, payable at a rate of 1.00% per month).
If the closing level of the Index on any Review Date is less than
the Interest Barrier, no Contingent Interest Payment willbe
made with respect tothat Review Date.
Contingent Interest Rate:12.00% per annum, payable at a
rate of1.00%per month
Interest Barrier:75.00% of the Initial Value, which is
2,939.2575
Buffer Threshold:80.00% of the Initial Value, which is
3,135.208
Buffer Amount:20.00%
Pricing Date:October 30, 2024
Original Issue Date (Settlement Date): On or about November
4, 2024
Review Dates*:December 2, 2024, December 30, 2024,
January30, 2025, February 28, 2025, March 31, 2025, April 30,
2025, May 30, 2025, June 30, 2025, July30, 2025, September
2, 2025, September 30, 2025, October 30, 2025, December 1,
2025, December 30, 2025, January 30, 2026, March 2, 2026,
March 30, 2026, April 30, 2026, June 1, 2026, June 30, 2026,
July 30, 2026, August 31, 2026, September 30, 2026, October
30, 2026, November 30, 2026, December 30, 2026, February 1,
2027, March 1, 2027, March 30, 2027, April 30, 2027, June 1,
2027, June 30, 2027, July 30, 2027, August 30, 2027,
September 30, 2027and November 1, 2027 (final Review Date)
Interest Payment Dates*:December 5, 2024, January3, 2025,
February 4, 2025, March 5, 2025, April 3, 2025, May 5, 2025,
June 4, 2025, July3, 2025, August 4, 2025, September 5, 2025,
October 3, 2025, November 4, 2025, December 4, 2025,
January5, 2026, February 4,2026, March 5, 2026, April 2,
2026, May 5, 2026, June 4, 2026, July 6, 2026, August 4, 2026,
September 3, 2026, October 5, 2026, November 4, 2026,
December 3, 2026, January 5, 2027, February 4, 2027, March
4, 2027, April 2, 2027, May 5, 2027, June 4, 2027, July 6, 2027,
August 4, 2027, September 2,2027, October 5, 2027 and the
Maturity Date
Maturity Date*:November 4,2027
Call Settlement Date*:If thenotes are automatically calledon
any Review Date (other than the first through eleventhandfinal
Review Dates), the first Interest Payment Date immediately
following that Review Date
Automatic Call:
If the closing level of the Index on anyReview Date (other than
the first through eleventh and final Review Dates) is greater
than or equal to theInitial Value, the notes will be automatically
called for acash payment, for each $1,000principal amount
note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment applicable to that Review 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
maturityper $1,000 principal amount note, in addition to any
Contingent Interest Payment,will be calculated as follows:
$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 3,919.01
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 toanIndex" in the accompanyingunderlying
supplement and "General Terms of Notes- Postponementof a
Payment Date" in the accompanying product supplement
PS-2 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-CapVol Advantage Index (the "Index") was developed by MerQube(the "Index Sponsor" and "Index
Calculation Agent"),incoordination with JPMS, and is maintained by the Index Sponsor and iscalculated and published by the Index
Calculation Agent. The Indexwas establishedon February11, 2022. An affiliate of ours currently has a10% equity interest in the Index
Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as a member of the board of directorsof the Index
Sponsor.
The Index attempts to provide a dynamic rules-based exposure to an unfunded rolling position in E-mini® S&P 500® futures (the
"Futures Contracts"), 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%.TheIndex is subject to a 6.0% 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 Contractsand 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 tothe Futures 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 Fundis equal to 17.5%, the exposure to the Futures
Contracts will equal 200% (or35% / 17.5%) and if the implied volatility of the SPY Fund isequal to 40%, the exposure to theFutures
Contracts will equal 87.5% (or 35% / 40%).The Index's exposure to the Futures Contractswill be greater than 100% when theimplied
volatilityof the SPY Fundis below 35%, and the Index'sexposure to the Futures Contractswill be less than 100% when the implied
volatilityof the SPY Fundis above 35%. In general, the Index'starget volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility feature were employed. No assurance can be provided that the volatilityof the
Index will bestable at any time.
The investment objective of the SPY Fund is toprovide investment results that, before expenses, correspond generally to theprice and
yield performance of the S&P500®Index. For more information about the SPY Fund, see"Background on the SPDR® S&P 500® ETF
Trust" in the accompanying underlyingsupplement. The Index uses the impliedvolatilityof the SPY Fund as a 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 on theperformance of the Index. The Index will trail 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 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 byus linked to an identical index without a dailydeduction. However, therecan be no
assurance that anyimprovement in the terms of the notesderived from the daily deduction will offset the negative effect of thedaily
deduction on the performance of theIndex.The return onthe notes may belower than the returnon a hypotheticalnote 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' 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 pricingsupplement. 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. In addition, theIndex may be significantly
uninvested on any given day, and, in that case, will realize only aportion of any gains due to appreciation of theFutures
Contracts on that day. The index deduction is deducted dailyat a rate of 6.0% per annum, even when the Index is not fully
invested.
No assurancecan be given that the investment strategyused to construct the Index will achieve its intended results or that
the Index will be successfulor will outperform any alternative index or strategy thatmight reference the Futures Contracts.
For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanyingunderlying
supplement.
PS-3 | Structured Investments
Auto Callable ContingentInterest NotesLinked 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 an exemption from regulation under the Commodity Exchange
Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or morepayments indexed to the
value, level or rateof one or more commodities, as set 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 the Commodity Futures Trading Commission.
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 Connectionwith the First throughEleventhReview Dates
Payments in Connectionwith Review Dates(Other than the First through Eleventh and Final Review Dates)
Theclosing level of theIndexis greater thanor equal
totheInterest Barrier.
Theclosing level of theIndexis lessthanthe Interest
Barrier.
First through Eleventh ReviewDates
Compare the closinglevel of theIndexto the Interest BarrieroneachReviewDate.
You will receive a Contingent Interest Payment on the
applicable Interest Payment Date.
Proceedto thenext ReviewDate.
No Contingent Interest Payment will be made with respect to
the applicable ReviewDate.
Proceedto thenext ReviewDate.
Thenotes will beautomaticallycalled ontheapplicable Call Settlement Date andyou will
receive (a)$1,000 plus (b) the Contingent Interest Payment applicable to that ReviewDate.
No further payments will be made on the notes.
ReviewDates (Other than the First through Eleventh and Final ReviewDates)
AutomaticCall
Theclosing level of the
Indexis greaterthanor
equal tothe Initial 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 thenext ReviewDate.
Theclosing level of the
Indexis greaterthan or
equal tothe Interest
Barrier.
No
Automatic
Call No Contingent Interest Payment will
bemadewith respect to the
applicable ReviewDate.
Proceedto thenext ReviewDate.
Thelevel of the Indexis less
than the Interest Barrier.
Comparetheclosing level of the Indexto theInitial Value and the Interest Barrieron each ReviewDateuntil the final Review
Date or anyearlierautomatic call.
PS-4 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap 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 12.00%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
36
$360.00
35
$350.00
34
$340.00
33
$330.00
32
$320.00
31
$310.00
30
$300.00
29
$290.00
28
$280.00
27
$270.00
26
$260.00
25
$250.00
24
$240.00
23
$230.00
22
$220.00
21
$210.00
20
$200.00
19
$190.00
18
$180.00
17
$170.00
16
$160.00
15
$150.00
14
$140.00
13
$130.00
12
$120.00
11
$110.00
10
$100.00
9
$90.00
8
$80.00
7
$70.00
6
$60.00
5
$50.00
4
$40.00
3
$30.00
2
$20.00
1
$10.00
0
$0.00
Review DatesPrecedingthe
Final Review Date
You will receive (a)$1,000 plus (b) the
Contingent Interest Payment
applicable tothefinal ReviewDate.
The notes are not
automaticallycalled.
Proceedto maturity
Final ReviewDatePayment at Maturity
TheFinal Value is greater thanor equal tothe
Buffer Threshold.
You will receive, in additiontoany
Contingent Interest Payment:
$1,000 + [$1,000× (IndexReturn +
Buffer Amount)]
Under thesecircumstances, youwill
lose some ormost of your principal
amount at maturity.
TheFinal Value is less than the Buffer
Threshold.
PS-5 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap Vol Advantage Index
Hypothetical Payout Examples
The followingexamples illustrate payments on the notes linked to ahypothetical Index, assuming a range of performances for the
hypothetical Index on the Review Dates.The hypothetical payments set forth below assume the following:
•an Initial Value of 100.00;
•an Interest Barrier of 75.00 (equal to 75.00% of the hypothetical Initial Value);
•a Buffer Threshold of 80.00 (equalto80.00% of thehypothetical Initial Value);
•a Buffer Amount of 20.00%;and
•a Contingent Interest Rate of 12.00% 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 actualclosinglevels of the Index, please see the historical information set forth
under "Hypothetical Back-Tested Data and Historical Information"in this pricing 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.
Example 1- Notes are automatically called on the twelfth Review Date.
Date
Closing Level
Payment (per $1,000 principalamount note)
First Review Date
105.00
$10.00
Second Review Date
110.00
$10.00
Third through Eleventh
Review Dates
Greater than Initial Value
$10.00
Twelfth Review Date
120.00
$1,010.00
Total Payment
$1,120.00(12.00% return)
Because the closing level of the Indexon the twelfth 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 $1,010.00 (or $1,000plusthe Contingent Interest
Payment applicable to the twelfth Review Date), payable on the applicable Call Settlement Date.The notes are not automatically
callable before thetwelfth Review Date, even though the closing level of the Index on each of the first through eleventhReview Dates is
greater than the Initial Value. When added to the Contingent Interest Payments received with respect tothe prior Review Dates, the
total amount paid, for each $1,000 principal amount note, is$1,120.00. 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 Review Date
95.00
$10.00
Second Review Date
85.00
$10.00
Third through Thirty-Fifth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
90.00
$1,010.00
Total Payment
$1,030.00(3.00% return)
Because the notes have not been automatically called and the Final Valueis greater thanor equal to theBuffer Threshold, the payment
at maturity, for each $1,000 principal amount note, will be$1,010.00 (or $1,000 plus the Contingent Interest Payment applicable to the
final Review Date).When added to the Contingent Interest Payments received with respect to the priorReview Dates, the total amount
paid, for each $1,000principal amount note, is $1,030.00.
PS-6 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap Vol Advantage Index
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 Review Date
50.00
$0
Second Review Date
55.00
$0
Third through Thirty-Fifth
Review Dates
Lessthan Interest Barrier
$0
Final Review Date
75.00
$960.00
Total Payment
$960.00 (-4.00% return)
Because the notes have not been automatically called, 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 will be $960.00 per $1,000 principal amount note,
calculatedasfollows:
$1,000 + [$1,000 × (-25.00% +20.00%)] + $10.00 = $960.00
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 principalamount note)
First Review Date
40.00
$0
Second Review Date
45.00
$0
Third through Thirty-Fifth
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 thenotes for their entire term
or until automatically called.These hypotheticalsdo not reflect the fees or expenses that would be associated with any sale in the
secondarymarket.If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likelybelower.
Selected Risk Considerations
An investment in the notesinvolvessignificant risks.These risks areexplained 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 to80.00%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 a Review Date only if
theclosing level of the Index on that Review Dateis greater than or equal to the Interest Barrier.If theclosing level of the Indexon
that Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to thatReview Date.
Accordingly, if theclosing level of the Indexon each Review Date is lessthan theInterest Barrier, you will not receive any interest
payments over the termof the notes.
PS-7 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap Vol Advantage Index
•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.The level of the Index will trail the value of an identically constituted
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 strategyand causing the level of the Index to decline
steadily if the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of its investment
strategy issufficient to offset the negativeeffects of the index deduction, and then onlyto the extent that the return of its investment
strategy isgreater than the index deduction. As a result ofthe indexdeduction, the level ofthe 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 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 EstimatedValue of the Notes" and "-Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes" in thispricing supplement.
•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 we and 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 entire investment.
•AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan 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
bankruptcy or resolution of JPMorgan Chase & Co. weare 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 guaranteebyJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see theaccompanying prospectus addendum.
•THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO 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 as approximatelyone year andyou willnot
receive any Contingent Interest Payments after the applicableCall SettlementDate.There is no guarantee that you would be able
to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate fora similar
level of risk.Even in cases where the notes arecalled before maturity, you are not entitled to any fees and commissions described
on the front cover of thispricing 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.
PS-8 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap Vol Advantage Index
•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 -
Anyresearch, opinions or recommendations could affect the market value of thenotes. Investors should undertake their own
independent investigationof the merits of investing in the notes, the Index and the futures contractscomposing the Index.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange.Accordingly, the price at whichyou may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes. You may notbe able to 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 is possible that hedging or trading
activities of oursor ouraffiliates in connection with thenotescould result in substantial returns for us or our affiliates while the
value of the notes declines.Please refer to"RiskFactors-Risks Relating to Conflicts of Interest"in the 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 thevalue of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates andour respective employees areunder no obligation to consider your interestsas an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the 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 whichJPMS was
responsible could have an impact,positive or negative, on the levelof the Index and the value of your notes. JPMS is underno
obligation to consider your interests as an investor in the notes in its role indeveloping the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
•THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors. The originalissue price of the
notes exceedsthe estimatedvalueof the notes becausecosts associated with selling, structuring and hedging the notesare
included in the original 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 notes and theestimated 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"TheEstimated Value of the Notes" in this pricingsupplement.
•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 themarket-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 fixedincome
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
PS-9 | Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap Vol Advantage Index
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 that rate may havean adverse effect on the terms of the notes and any
secondarymarket prices of the notes. See "The Estimated Valueof the Notes" in this pricing supplement.
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the noteswill be partially paid back toyou 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 pricing supplement 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 customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondarymarket prices take into account our internal secondarymarket funding rates for structureddebt issuances and,
also, becausesecondary market prices may exclude selling commissions,projected hedging profits, if any, and estimated hedging
costs that are included in theoriginal issue price of the notes.As a result, the price,if any, at which JPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissueprice. Any sale by you prior to
the Maturity Datecould result in a substantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BEIMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom theselling commissions, projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealersmay publisha price for
the notes, which may also be reflected oncustomer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes - Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in the accompanying 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 takingany corporate action that might affect
the level of the S&P 500® Index.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS -
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 Futures Contracts.
•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 realizedvolatility 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 themethodology used by the Index to determine the implied volatility of the SPY Fund will be
representative of theimplied or realized volatility of the Futures Contracts. The performance of the SPY Fund may not correlate
with the performance of the Futures Contracts, particularlyduring periods of market volatility. In addition, the volatility of the
Futures Contracts on any daymaychange quicklyandunexpectedly and realizedvolatility maydiffer significantly from implied
volatility.In general, 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 mayexceed their respective implied volatilities,
particularly during periods of market volatility. Accordingly, the actual annualized realized volatilityof the Index may be greater
than or lessthan thetarget volatility, which mayadverselyaffect the level of the Index and the value of the notes.
PS-10| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap Vol Advantage Index
•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE -
On a weeklyIndex rebalance day, the Index will employ leverage to increase the exposureof the Index to the Futures Contracts if
the implied volatility of the SPY Fund isbelow 35%, subject to a maximum exposure of 500%. Under normal market conditions in
the past, the SPY 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
Futures Contracts will result in greater changesin the level of the Index than if leverage were not used. In particular, the use of
leverage will magnify 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 onlyona weeklybasis, in situations where asignificant increase in volatility is
accompanied by asignificant decline in the value of the Futures Contracts, the level of the Index may declinesignificantly before
the following Index rebalanceday when the Index's exposure 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 Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Futures Contracts on anysuch day. The 6.0% per annumdeduction
is deducted daily, even when the Index isnot 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 the Futures Contracts included in the Indexcome to expiration, they are replaced by Futures Contractsthat expirethree months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the FuturesContract
that expires three months from that time. This process is referred toas "rolling."Excluding other considerations, if the market for
the Futures Contracts is in "contango," where the prices arehigher 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 higher than the price of the expiring Futures
Contract, thereby creating a negative "roll yield."In addition, excluding other considerations, if the market for the FuturesContracts
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 "roll yield." The presence of contango in the market for the Futures Contracts could adversely affect the level of 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 returnindex that does not reflect total returns.The returnfrom investing in futurescontractsderives from
three sources: (a) changes in the price of the relevant futures contracts (whichis known as the "price return"); (b) any profit or loss
realized when rolling the relevant futures contracts (which isknown 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").
TheIndex measuresthe returns accrued frominvesting in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated with an investment in the Futures Contracts). Bycontrast, a total returnindex, in addition to 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 aninvestment in the Futures Contracts).Investing in thenotes willnot generatethesame return
as would be generated frominvesting in a total return index related to the Futures Contracts.
•CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES -
The Index generally providesexposure to a single futures contract on the S&P 500®Index that trades on the ChicagoMercantile
Exchange. Accordingly, the notesare less diversified than other funds, investment portfolios or indices investing in or tracking a
broader range of products and, therefore, could experience greater volatility. You should be aware that other indicesmay be more
diversified than the Indexin terms of both the number and varietyof futures contracts. You will not benefit, with respect to the
notes, from any of the advantagesof a diversified investment and will bear the risks of a highly concentrated investment.
•THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY -
The Index tracks the returnsof futurescontracts. The price of a futures contract depends not only on the price of the underlying
asset referencedbythe futures contract, but also on a range of other factors, including but not limited to changing supply and
demand relationships, interestrates, governmentaland regulatorypoliciesand the policiesof the exchanges on which the futures
contracts trade. In addition, the futuresmarkets aresubject to temporary distortionsor other disruptions due to various factors,
including the lack of liquidityin the markets, the participation of speculators and government regulation and intervention.These
factors and others cancause the prices of futurescontracts to be volatile.
PS-11| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap Vol Advantage Index
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES-
Futures marketslike the Chicago Mercantile Exchange, themarket for theFutures Contracts, are subject to temporarydistortions
or other disruptions due to various factors, including the lackof liquidity inthe markets, the participation of speculators, and
government regulation and intervention. In addition, futuresexchanges have regulations that limit theamount of fluctuationin
some futures contract prices that mayoccur during a single day. These limits aregenerally referred to as "daily price fluctuation
limits" andthe maximum or minimum price of a contract on any given day as a result of these limitsis referred to asa "limit price."
Once the limit price has been reached in a particular contract, no trades may be madeat aprice beyond the limit, or trading may
be limited for aset 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 could affect 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 andintraday trading prices of the Futures Contractsare calculated and published by the Chicago
Mercantile Exchange and areused tocalculate 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 to open and to keep 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 thispricing supplement is purely theoretical and does not represent the actual historicalperformance of the Index and hasnot
been verified by anindependent third party. Hypothetical back-tested performance measures haveinherent 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. Alternative modellingtechniquesmight produce significantly different resultsand mayprove
to be more appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations andyou shouldcarefully consider these limitations before placingreliance on such
information.
•OTHER KEY RISKS:
oTHE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS.
oHISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE
PERFORMANCE OF THE INDEX DURING THE TERM OF THE NOTES.
Pleaserefer to the "Risk Factors" section of the accompanying underlying supplement for more details regarding theabove-listed
and other risks.
PS-12| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap 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 from January 4, 2019 through February 4, 2022, and the historicalperformance of the Index basedon the
weekly historical closing levels of the Index from February 11, 2022 throughOctober 25, 2024. The Index was established on February
11, 2022, as represented by the vertical linein the followinggraph. All data to the left of that vertical line reflect hypothetical back-
tested performance of the Index. All data to the right of that vertical line reflect actual historicalperformance of the Index. The closing
level of the Index onOctober 30, 2024 was3,919.01. We obtained the closing levels aboveand below fromthe Bloomberg
Professional®service ("Bloomberg"), without independent verification.
The data for the hypothetical back-tested performance of the Index set forth in the following graph are purely theoretical and do not
represent the actualhistoricalperformance 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"
above.
The hypothetical back-tested and historicalclosing levels ofthe Indexshould not be takenas an indication of future performance, and
no assurance can be given asto the closing level of the Index onany Review Date.There canbe no assurance that theperformance
of the Index will result in the return of any of yourprincipalamount in excess of $200.00 per $1,000 principal amount note, subject to
the credit risks of JPMorgan Financialand JPMorgan Chase & Co., or the payment of anyinterest.
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 retroactive application of a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither anindicator nor a guarantee of future returns.No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown.Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closinglevels of the Index that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-tested closing levelsof 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 determining our reporting responsibilities weintend totreat (i) the notes for U.S. federal income taxpurposes 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 -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 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-13| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap 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 income taxconsequencesof 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. withholdingtax (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 generallyat a rate of 30% or at a reduced ratespecified by an
applicable income tax treatyunder an "other income" or similar provision.We will not be required to payany 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 suchan exemptionor
reduction under an applicable tax treaty.If you are a Non-U.S. Holder, you shouldconsultyour tax adviser regarding thetax treatment
of the notes, including the possibility of obtaining a refund of any withholding tax and thecertification 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 equivalents paid or deemed paid 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 Section871(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 dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security").Based on certain determinations made by us, our special taxcounsel is of 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 shouldconsult your tax
adviser regarding the potential application of Section 871(m) to thenotes.
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 the notes set forth on the cover of this pricing supplementisequal to thesum of the values of thefollowing
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 valueof 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 thedetermination 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 the higherissuance,
operational and ongoing liability management costs of thenotes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co.This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximate theprevailing market replacement funding rate for thenotes. The use of an internal
funding rate and any potential changes to that ratemay have an adverseeffect 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 from internal pricing modelsof our
affiliates.Thesemodels are dependenton inputssuch as the traded market prices of comparable derivative instruments and on
various other inputs, someof 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, 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
PS-14| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap Vol Advantage Index
future dates, thevalue of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfrom you in secondary market transactions.
The estimatedvalue of the notes is lowerthan 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 costsinclude the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Becausehedgingour
obligations entails riskand may 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 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 andSecondaryMarket 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 anysecondary 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 costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market 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 Large-Cap Vol Advantage Index"in this pricingsupplement for a description of the market
exposure provided by the notes.
The original issue price of the notes is equal to the estimatedvalue of the notes plus the sellingcommissions paidto JPMS 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.
SupplementalPlanof Distribution
JPMS, acting asagent for JPMorgan Financial, will payall of the selling commissions of $26.00 per $1,000 principal amount note it
receives fromus to other affiliated or unaffiliated dealers.See "Plan of Distribution (Conflicts of Interest)" in the accompanying product
supplement.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial andJPMorgan Chase & Co., when the
notesoffered by this pricing supplement have been issued by JPMorgan Financialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions 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 been delivered 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 andthe lack ofbad faith),provided that such counsel
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressedabove or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similarprovision of applicablelaw 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
PS-15| Structured Investments
Auto Callable ContingentInterest NotesLinked to the MerQubeUS Large-
Cap Vol Advantage Index
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 filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
Additional Terms Specific to the Notes
You should read thispricing supplement together with theaccompanying prospectus, as supplemented by the accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanyingprospectus
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 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 theaccompanying
prospectus supplement, the accompanying product supplement and the accompanyingunderlying 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 at www.sec.govasfollows (or if such addresshas changed, by reviewingour
filings for the relevant dateonthe SEC website):
•Product supplement no.4-I datedApril13, 2023:
•Underlying supplement no.5-II dated March 5, 2024:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectus addendum datedJune 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in thispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.