JPMorgan Chase & Co.
10/31/2024 | Press release | Distributed by Public on 10/31/2024 11:22
Primary Offering Prospectus - Form 424B2
The information in this preliminary pricing supplement is notcomplete and maybe changed. This preliminary pricing supplement is not an
offer to sell nor does it seek anoffer to buythese securities inany jurisdictionwhere the offer or sale is not permitted.
Subjectto completion datedOctober 31, 2024
November ,2024 Registration StatementNos. 333-270004 and333-270004-01; Rule 424(b)(2)
Pricingsupplement to product supplement no.3-IdatedApril 13,2023, underlying supplementno.24-I datedSeptember 1,2023, the prospectus and
prospectus supplement, each dated April 13,2023, and the prospectus addendum dated June 3,2024
JPMorgan Chase Financial Company LLC
Structured Investments
NotesLinked to the J.P. Morgan Dynamic BlendSM Index
due November 30, 2028
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
●The notes are designed for investors whoseek exposure toany appreciation of the J.P. Morgan Dynamic BlendSM Index
over the termof the notesand who seek fixed annual interest payments at a rate of at least 3.15%per annum with respect
to thefirst threeyears of the term of thenotes.
●Investors should be willing to forgo anyinterest payment with respect to the finalyear of the termof the notes, while seeking
full repayment of principal at maturity.
●The notes are unsecured andunsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase &Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk
of JPMorgan Chase & Co., as guarantor of the notes.
●Minimum denominations of $1,000 and integralmultiplesthereof
●The notes are expected to price on or about November 27, 2024 and are expected to settle on or aboutDecember 3, 2024.
●CUSIP: 48135VCG1
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 accompanyingprospectus addendum, "Risk Factors" beginning on page PS-12 of
the accompanying product supplement,"Risk Factors" beginning on page US-3 of the accompanying underlying
supplement and"Selected Risk Considerations" beginningon page PS-6 of this pricing supplement.
Neither the Securities and Exchange Commission (the"SEC") nor anystate securities commission has approved or disapproved of
thenotes or passedupon theaccuracy or theadequacyof thispricing supplement or the accompanying product supplement,
underlyingsupplement, prospectus supplement, prospectusand prospectusaddendum.Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Feesand Commissions(2)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1)See "Supplemental Use ofProceeds"in this pricingsupplementfor information about thecomponents of theprice to publicof the
notes.
(2) J.P.Morgan Securities LLC, which we refer toasJPMS,acting as agent for JPMorganFinancial,will pay all ofthe selling
commissionsit receives fromustootheraffiliated or unaffiliateddealers.In no event willthese sellingcommissionsexceed$10.00per
$1,000 principal amountnote.See "Plan of Distribution (ConflictsofInterest)" in theaccompanying productsupplement.
If the notes priced today, the estimated value of the notes would be approximately $949.00per $1,000 principal amount
note. The estimated valueof the notes, when the termsof the notes are set, will be provided in the pricing supplement
and will not be less than $900.00per $1,000 principal amount note. See "The Estimated Value of the Notes" in this pricing
supplement for additional information.
The notes arenot bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index:The J.P. Morgan Dynamic BlendSMIndex (Bloomberg
ticker: JPUSDYBL ). The level of the Index reflects
the deduction of 0.95% per annum that accrues daily.
Interest Rate: At least 3.15% per annum with respect to the
first three yearsof the term of thenotes (to be provided in the
pricingsupplement). No interest will be payable with
respect to the final year of the term of thenotes.
Participation Rate:300.00%
Pricing Date:On or about November 27, 2024
Original Issue Date (Settlement Date):On or about
December3, 2024
Interest Payment Dates*: December 3, 2025, December 2,
2026andDecember 2, 2027
Observation Date*:November 27, 2028
Maturity Date*:November 30, 2028
* Subjectto postponement in theevent ofa market disruption event
and as describedunder"Supplemental Terms ofthe Notes-
Postponement of aDetermination Date - Noteslinked solelyto the
Index" intheaccompanying underlying supplement and "General
Terms of Notes-Postponement of a Payment Date"in the
accompanyingproductsupplement
Payment at Maturity:At maturity, you will receive a cash
payment, for each $1,000principal amount note, of $1,000
plusthe Additional Amount, which may be zero. You will
receive no interest payment on the Maturity Date.
You areentitled to repayment of principalin fullat maturity,
subject to thecredit risks of JPMorgan Financial and
JPMorgan Chase & Co.
Additional Amount:The Additional Amount payable at
maturityper $1,000 principal amount notewill equal:
$1,000 × Index Return × Participation Rate,
providedthat the Additional Amount will not beless than
zero.
Index Return:
(Final Value -Initial Value)
Initial Value
InitialValue:Theclosing level of the Indexon thePricing
Date
Final Value:Theclosing levelof theIndex on the
Observation Date
PS-2 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
The J.P. Morgan Dynamic BlendSM Index
The J.P. Morgan Dynamic BlendSMIndex (the "Index") was developed and is maintained and calculated by J.P. Morgan Securities LLC
("JPMS"). The Index hasbeen calculated on a "live" basis (i.e., using real-time data) since March 23, 2021. TheIndex is reported by
BloombergL.P. under the ticker symbol "JPUSDYBL Index."
The Index attempts to provide a dynamic rules-based allocation to the J.P. Morgan US Large Cap Equities Futures Index(the "Equity
Constituent") and the J.P. Morgan 2Y US Treasury Futures Index (the "Bond Constituent" and, together with the Equity Constituent, the
"Portfolio Constituents") while targeting a levelvolatility of 3.0% (the "Target Volatility"). The Index tracks the return of (a) a notional
dynamic portfolioconsisting ofthe Equity Constituentand the Bond Constituent, less(b) the dailydeduction of 0.95% per annum (the
"IndexDeduction"). Each futures contract underlyinga Portfolio Constituent as of a particular time is referredto as an "Underlying
Futures Contract."
•The Equity Constituent is an excess return index that tracks the return of a notional rollingfutures positionin futures contracts
on the S&P 500® Index.For additional information about the Equity Constituent, see"Background on the J.P. Morgan Futures
Indices" in the accompanying underlyingsupplement.
•The Bond Constituent is an excess return index that tracks the return of a notional rolling futuresposition in futures contracts
on 2-Year U.S. treasurynotes.For additional information about the Bond Constituent, see "Background on the J.P.Morgan
Futures Indices" in the accompanyingunderlyingsupplement.
The Index providesa diversified exposure that rebalancesdailybased on measures of market risk and diversification to attempt to
deliver stablevolatility over time.
Considerations Relating to the Volatility of the Portfolio Constituents. Under normal market conditions, the Equity Constituent's realized
volatilityhas tended to be relativelymorevariable than the Bond Constituent's realized volatility. Consequently, and because the Index
seeks to maintainan annualized realized volatility approximately equalto the Target Volatilityof only 3.0%, the Index methodology may
be more likelytoshift exposure from the Equity Constituent to the Bond Constituent duringperiods of relatively higher market volatility
and to shiftexposure from the Bond Constituent to the Equity Constituent under normal market conditions exhibiting relativelylower
market volatility.
In general, equity markets have historicallybeen more likely to outperform fixed-income markets duringperiods of relatively lower
market volatilityandto underperformfixed-income markets duringperiods of relatively higher market volatility. However, therecan be
no assurance that the Indexallocationstrategy will achieve its intended results or that the Index will outperform anyalternative index or
strategythat might referencethe Portfolio Constituents. Past performance should not be considered indicative of future performance.
In any initial selection between two eligiblenotional portfolios, the Index will select the portfolio that hasthehigher allocation to the
Portfolio Constituent with a higher realized volatility, as described below, which generally will cause the Equity Constituent to receive a
higher allocation than if the portfolio that has the higher allocation to the Portfolio Constituent with a lower realized volatility were
selected.
Furthermore, under normal market conditions, the Equity Constituent's realized volatility has tended to be significantly higher than the
Bond Constituent's realizedvolatility. Under these circumstances and because the TargetVolatility is only3.0%, the Index is generally
expected tobe more heavily weighted towards the Bond Constituent. Past performance should not be considered indicative of future
performance. Under circumstances where the Equity Constituent's realized volatility issignificantlyhigher than that of the Bond
Constituent, the performance of the Indexis expected to be influenced to a greater extent by the performance of the Equity Constituent
than by the performance of the Bond Constituent, even if the weight of the Bond Constituent issignificantly greater than the weight of
the Equity Constituent.
Consequently, even in caseswhere the allocation to the Bond Constituent isgreater than the allocation to the Equity Constituent, the
Index may be influenced to a greater extent by the performance of the Equity Constituent than by the performance of the Bond
Constituent because, under some conditions, the greater allocation to the Bond Constituent will not be sufficiently large to offset the
greater realized volatilityof the Equity Constituent.
Calculating the level of the Index. On any givenday, the closing levelof the Index reflects(a) the weighted return performance of the
Portfolio Constituents less(b) the 0.95%per annumdaily Index Deduction. The IndexLevel was set equal to 100.00 onJuly25, 1990,
the base date of the Index. The Index is an "excess return" index because, through the Portfolio Constituents, it provides notional
exposure to futures contract returnsthat reflect changes in the price of those futurescontracts, as well as their "roll" returns described
below. TheIndex is not a "total return" index becauseit does not reflect interest that couldbe earnedon funds notionallycommitted to
the trading of futurescontracts.
No assurance can be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successful or will outperform any alternative index or strategy thatmight reference the Portfolio
PS-3 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
Constituents. Furthermore,no assurancecan be given that the realized volatility of the Index will approximate the Target
Volatility. The actual realized volatility of the Index may be greater or less than the Target Volatility.
If the aggregate weight of the Portfolio Constituents in the Index is less than 100%, the Index will not be fullyinvested,and
any uninvested portion will earn no return. The IndexDeduction is deducted daily at a rate of0.95% per annum, even when
the Index is not fully invested.
The Index is described as a"notional" or "synthetic" portfolio of assets because there is no actual portfolio of assets to
which any person is entitled or in which any person has any ownership interest. The Index merely references certain assets,
the performanceof which will be used as a reference point for calculating thelevel of theIndex.
See "The J.P. Morgan Dynamic BlendSMIndex"in the accompanying underlying supplement for more information about the
Index.
PS-4 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
Supplemental Terms of the Notes
Any values of the Index, and any valuesderivedtherefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricing supplement andthe correspondingterms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or any other party.
Hypothetical Payout Profile
Total Interest Payments
The total Interest Payments per $1,000 note over the firstthree yearsof the term of the notesbased ona hypothetical Interest Rate of
3.15% per annum is $94.50. The actual Interest Rate will be provided in thepricing supplement and will be at least 3.15% per annum.
No interest is payable on the Maturity Date.
Payment at Maturity
The following table and graph illustrate the hypotheticalpayment at maturity on thenoteslinked to ahypothetical Index. The
hypothetical payments set forth below assume the following:
●an Initial Value of 100.00; and
●a Participation Rate of 300.00%.
The hypotheticalInitial Value of 100.00 hasbeen chosen for illustrative purposes only andmaynot represent a likely actual Initial
Value. The actual Initial Value will be the closing levelof the Index on the Pricing Date andwill be provided in the pricingsupplement.
For historical data regarding the actual closing levels of the Index, please see the historical information set forth under "Hypothetical
Back-Tested Data andHistorical Information" in thispricing supplement.
Each hypothetical payment at maturityset forth below is for illustrative purposes only andmay not be the actualpayment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of
analysis.
Final Value
Index Return
Additional Amount
Payment at Maturity
165.00
65.00%
$1,950.00
$2,950.00
150.00
50.00%
$1,500.00
$2,500.00
140.00
40.00%
$1,200.00
$2,200.00
130.00
30.00%
$900.00
$1,900.00
120.00
20.00%
$600.00
$1,600.00
110.00
10.00%
$300.00
$1,300.00
105.00
5.00%
$150.00
$1,150.00
101.00
1.00%
$30.00
$1,030.00
100.00
0.00%
$0.00
$1,000.00
95.00
-5.00%
$0.00
$1,000.00
90.00
-10.00%
$0.00
$1,000.00
85.00
-15.00%
$0.00
$1,000.00
80.00
-20.00%
$0.00
$1,000.00
70.00
-30.00%
$0.00
$1,000.00
60.00
-40.00%
$0.00
$1,000.00
50.00
-50.00%
$0.00
$1,000.00
40.00
-60.00%
$0.00
$1,000.00
30.00
-70.00%
$0.00
$1,000.00
20.00
-80.00%
$0.00
$1,000.00
10.00
-90.00%
$0.00
$1,000.00
0.00
-100.00%
$0.00
$1,000.00
PS-5 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
The following graph demonstratesthehypothetical payments at maturity on the notes for arangeof Index Returns. There can beno
assurance that the performance of the Index will result in a payment at maturityin excess of $1,000.00 per $1,000 principal amount
note, subject tothecredit risks of JPMorgan Financial andJPMorgan Chase & Co.
How the Notes Work
Upside Scenario:
If theFinal Valueisgreater than theInitial Value, investors will receive at maturity the $1,000 principal amount plus the Additional
Amount, which isequal to $1,000 timesthe Index Return times the Participation Rateof300.00%.
•If the closing level of the Index increases 5.00%, investors will receive at maturitya return equalto15.00%, or $1,150.00 per
$1,000 principal amount note. Whenadded to the interest payments receivedover the firstthreeyears of the term of the
notes, assuming an Interest Rate of 3.15% per annum, the totalpayment on the notes over the term of the notes willbe
$1,244.50per $1,000 principal amount note.
Par Scenario:
If theFinal Valueisequal to or less than the Initial Value, theAdditional Amount willbe zero andinvestors will receive at maturitythe
principal amount of their notes.When added to the interest payments received over the first threeyearsof the term of the notes,
assuming an Interest Rate of 3.15% per annum, the total payment on thenotes over the term of thenotes will be $1,094.50 per $1,000
principal amount note.
The hypothetical returnsand hypothetical payments on thenotesshown above applyonlyif you hold thenotes for their entire term.
These hypotheticals do not reflect the feesor expenses that would be associated with anysale in the secondarymarket. If these fees
and expenses were included, the hypothetical returnsand hypothetical paymentsshown above would likely be lower.
PS-6 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
Selected Risk Considerations
An investment in the notesinvolvessignificant risks. These risks are explained in more detail in the "Risk Factors"sections of the
accompanyingprospectus supplement, product supplement and underlying supplement and in Annex A totheaccompanying
prospectusaddendum.
Risks Relating to the Notes Generally
●THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY-
If the Final Valueisnot greater than the InitialValue, you willreceive only the principal amount of your notesat maturity, and you
will not be compensated for any lossinvaluedue to inflationand other factors relatingto the valueof money over time.
●THE LEVEL OF THE INDEX WILL INCLUDE A 0.95% PER ANNUM DAILY DEDUCTION-
The Index is subject to a 0.95% per annum daily deduction. As a result of the deduction of thisindexfee, thelevelof theIndex will
trail thevalue of a hypothetical identically constitutedsynthetic portfolio from which nosuch fee or cost is deducted.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our andJPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined bythemarket 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 loseyour 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 thecollection of intercompany obligations. Aside from the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loansmade 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 key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to havesufficient 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 toseek 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 the accompanying prospectus addendum.
●YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE PORTFOLIO CONSTITUENTS, THE UNDERLYING FUTURES
CONTRACTS OR THE SECURITIES INCLUDED IN THE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS.
●LACK OF LIQUIDITY-
The notes will not belisted on anysecurities exchange.Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes. You may notbe able to sellyour notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should beable and willing to hold your notes to maturity.
●THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT -
You should consider your potential investment in the notesbased on the minimums for the estimated value of the notes and the
Interest Rate.
Risks Relating to Conflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay avarietyof roles in connection with thenotes. In performing these duties, our and JPMorgan Chase &
Co.'seconomic interests are potentially adverse toyour interests as an investor in the notes. It is possiblethat hedging or trading
activities of ours or our affiliates in connection with the notes could 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 accompanyingproduct
supplement.See also "- Risks Relating to the Index- Our Affiliate, JPMS, Is the IndexSponsor and the Index Calculation Agent
of theIndex and Each Portfolio Constituent andMay Adjust the Index or Each Portfolio Constituent in a Way that Affects ItsLevel"
below.
JPMS is one of the primary dealers through which the U.S. Federal Reserve conductsopen-market purchases and sales of U.S.
Treasury and federal agencysecurities, including U.S. Treasury notes. These activitiesmay affect the pricesandyields on the
PS-7 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
U.S. Treasury notes, which may in turn affect the level of the Bond Constituent and the level of the Bond Constituent. JPMS has
no obligation to take into consideration your interests as a holder of the notes when undertaking these activities.
•JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the meritsof investing in the notes and the Portfolio Constituents and thefutures contracts composing
the Portfolio Constituents.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
●THE ESTIMATED VALUE OF THE NOTES WILL BE 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 original issue price ofthe
notes will exceed the estimated value of the notesbecausecosts associated with selling, structuring and hedging the notes are
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 notesandthe estimated cost of hedging
our obligations under the notes. See "The Estimated Valueof the Notes" in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS' ESTIMATES -
See "The Estimated Value of the Notes" in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determinationof the estimated value of the notesmay differ from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturityissued byJPMorgan Chase & Co. or its affiliates. Anydifference may
be based on, among other things, our and our affiliates' view of thefunding valueof the notes as well as the higher issuance,
operational and ongoingliability management costs of the notes 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 the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potentialchanges tothat ratemay have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Value of the Notes" in this pricing supplement.
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the noteswill be partiallypaid back to you in
connection with any repurchases of your notesbyJPMS in an amount that will decline to zero over an initial predetermined period.
See "Secondary Market Prices of the Notes" in this pricingsupplement for additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the valueof the notesaspublished by
JPMS (and which may be shown onyour customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondary market pricestake intoaccount our internal secondarymarket funding rates for structured debt issuances and,
also, because secondarymarket pricesmay exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included intheoriginal issue price of the notes.As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale byyou prior to
the Maturity Date could result in a substantialloss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes duringtheir term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom theselling commissions, projected hedgingprofits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendorsand/or third party broker-dealers may publish a price for
the notes, whichmay also be reflectedoncustomer 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-
PS-8 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
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,THE
REFERENCE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS OF THE EQUITY CONSTITUENT,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in takinganycorporate action that might affect
the securities included in the reference index underlying theUnderlying Futures Contractsof the Equity Constituent.
•OUR AFFILIATE, JPMS, IS THE INDEX SPONSOR AND THE INDEX CALCULATION AGENT OF THE INDEX AND EACH
PORTFOLIO CONSTITUENT AND MAY ADJUST THE INDEX OR EACH PORTFOLIO CONSTITUENT IN A WAY THAT
AFFECTS ITS LEVEL -
JPMS, oneof our affiliates, currently actsas the indexsponsor and the indexcalculation agent for theIndex and the Portfolio
Constituentsandis responsible for calculating and maintaining the Indexand the Portfolio Constituentsand developing the
guidelinesand policies governing their composition and calculation. In performingthese duties, JPMS may have interests adverse
to theinterests of the holdersof thenotes, which may affect your return on the notes, particularly where JPMS, as the index
sponsor and the index calculation agent of the Index and the Portfolio Constituents, is entitled to exercise discretion.The rules
governing the Indexand the Portfolio Constituentsmay be amended at any time bytheindex sponsor of the Index andthe Portfolio
Constituents, inits sole discretion. The rules also permit the useof discretion by the index sponsor and the index calculation agent
of theIndex and the Portfolio Constituents in specific instances, including, but not limited to, the determination of whether to
replace a Portfolio Constituent with asubstitute or successor upontheoccurrence of certain events affecting that Portfolio
Constituent, the selection of any substitute or successor and the determination of the levels to be used in the event of market
disruptionsthat affect the ability of the indexcalculation agent of the Indexand the PortfolioConstituents to calculate andpublish
the levels of the IndexandthePortfolio Constituentsand the interpretation of the rules governing the Index and the Portfolio
Constituents. Although JPMS, acting as the index sponsor and the indexcalculation agent, willmake all determinationsand take
all action in relation to the Index and the Portfolio Constituents acting ingood faith, it should be noted that JPMS may have
interests adverse to the interestsof the holders of thenotesand the policies and judgments for which JPMS is responsible could
have animpact, positive or negative, on the level of the Index and the valueof your notes.
Although judgments, policies and determinations concerningthe Index and the Portfolio Constituents are made byJPMS,
JPMorgan Chase & Co., as the ultimate parent companyof JPMorgan Chase Bank and JPMS, ultimatelycontrols JPMorgan
ChaseandJPMS.JPMS has no obligation to consider your interestsin taking any actions that might affect the value of your notes.
Furthermore, the inclusion of the Portfolio Constituents in the Index is not an investment recommendation by us or JPMS of any of
the Portfolio Constituents, or any of the futurescontractscomposing any of the Portfolio Constituents.
•THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE PORTFOLIO CONSTITUENTS -
The Index follows a notional rules-based proprietary strategy that operateson the basis of pre-determined rules. Under this
strategy, theIndexseeks to maintain an annualized realized volatilityapproximately equal to theTarget Volatility of 3.0%by
rebalancingits exposures to the Portfolio Constituents oneach day basedon two measuresof realized portfoliovolatility: a shorter-
termvolatility measure and alonger-termvolatility measure. By seekingtomaintain an annualized realized volatility approximately
equal to the Target Volatility, the Indexmay underperform an alternative strategy that seeks tomaintain a higher annualized
realizedvolatilityor an alternativestrategy that does not seek to maintain a level volatility.
In addition, on each day, the Index generallyselects the notionalportfolio identified for thevolatility measure that has the lower
allocation to the Equity Constituent as thenotionalportfolio to be trackedby the Index. The Index's selection of the notional
portfolio with the lower allocation to the Equity Constituent may be more likelyto result in the Index tracking a notional portfolio with
a lower realized volatility thanif the Index were to select the notional portfolio with the higher allocationto the Equity Constituent.
No assurance can be given that the investment strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed in respect of the Portfolio Constituents.
•THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurance can be given that the Index will maintain an annualized realized volatility that approximates the Target Volatility. The
actual realized volatility of theIndex may be greater or lessthan the Target Volatility. The Indexseeksto maintain anannualized
realizedvolatility approximately equal to the Target Volatilityof 3.0% by rebalancing itsexposures to thePortfolio Constituents on
each day based on two measures of realized portfoliovolatility. However, there is no guarantee that trends exhibited by either
measureof realizedportfolio volatility will continuein the future. The volatility of a notional portfolio on any day may change quickly
and unexpectedly. Accordingly, the actual realized annualized volatility of the Indexon adaily basis may be greater than or less
than the Target Volatility, which may adversely affect the level of the Index and the value of the notes.
PS-9 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
•THE PERFORMANCE OF THE INDEX MAY BE ADVERSELY AFFECTED BY ITS TARGET VOLATILITY OF 3.0%-
The Index seeks tomaintain an annualized realizedvolatility approximatelyequal to the Target Volatility of 3.0%. A Target
Volatility of 3.0% is relatively low ascompared to indices with similar investment strategies established prior to the Index.A
relativelylower Target Volatility could result in poorer performance in general over time, especially during periods of rising markets.
See also "-A Significant Portion of the Index's ExposureMay Be Allocated to the Bond Constituent" and "- The IndexMay Be
More Heavily Influenced bythe Performance of the Equity Constituent Than the Performance of the Bond Constituent in General
Over Time" below.
•THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
For each volatility measure oneach day, the Indexseeks toidentify a notional portfoliocomposed of the Portfolio Constituentsthat
hasan annualized realized volatilitydetermined for that volatilitymeasure approximately equal to the Target Volatility of 3.0% and
an aggregate weight of 100%. If the Indexidentifiesand selectssuch anotional portfolio for a volatilitymeasure, but the weight of
either Portfolio Constituent isgreater than100%, the weight of that Portfolio Constituent in the notional portfolio selected for that
volatilitymeasure on that daywill be 100% and, if the weight of either Portfolio Constituent is less than 0%, the weight of that
Portfolio Constituent in the notionalportfolio selectedfor that volatilitymeasure onthat daywillbe 0%.In addition, if there is no
such notional portfoliofor a volatilitymeasure, the Index selects for that volatilitymeasure on that day the notional portfolio with the
lowest realizedvolatility.
As a result of applying a cap and floor and in the case of selecting the notional portfolio with the lowest realized volatility, the
resulting notional portfoliomay be greater than or less than 3.0% for the relevant volatilitymeasure. If the annualized realized
volatilityof the notionalportfolio selected for a volatility measure on any day is greater than 3.0%, that notional portfolio will be
adjusted so that the weight of each Portfolio Constituent in that notional portfolio willbe reduced proportionately to achieve a
notionalportfolio that has an annualized realized volatility forthe relevant volatility measureof 3.0%. Under these circumstances,
the aggregate weight of the Portfolio Constituents in that notional portfolio will beless than 100%.
If theIndex tracks a notional portfolio with anaggregate weight that is lessthan 100%, the Index will not be fully invested, and any
uninvested portion will earn no return. The Indexmay be significantlyuninvested onany givenday, and will realize onlya portion
of any gains due to appreciation of the Portfolio Constituentson any such day. The Index Deduction is deducted daily at a rate of
0.95% per annum, even when the Index is not fullyinvested.
•A SIGNIFICANT PORTION OF THE INDEX'S EXPOSURE MAY BE ALLOCATED TO THE BOND CONSTITUENT -
Under normal market conditions, the Equity Constituent hastended to exhibit a realized volatility that ishigher than the Target
Volatility and that is higher than the realized volatilityof the Bond Constituent in generalover time. As a result,and because the
Target Volatilityisonly 3.0% the Index will generally need to reduce its exposure to the Equity Constituent in order to approximate
the Target Volatility. Therefore, the Indexmay have significant exposurefor an extended period of time to the Bond Constituent,
and that exposure may be greater, perhapssignificantly greater, than its exposure to the Equity Constituent.Moreover, under
certain circumstances, the Index mayhave no exposure to the Equity Constituent. However, the returns of the Bond Constituent
maybesignificantly lower than the returns of the Equity Constituent, and possibly even negative while the returns of the Equity
Constituent arepositive, which will adverselyaffect the level of the Index and any payment on, and the value of, the notes.
•THE INDEX MAY BE MORE HEAVILY INFLUENCED BY THE PERFORMANCE OF THE EQUITY CONSTITUENT THAN THE
PERFORMANCE OF THE BOND CONSTITUENT IN GENERAL OVER TIME -
In any initial selection between two eligiblenotional portfolios, the Index will select the portfolio that hasthehigher allocation to the
Portfolio Constituent with a higher realized volatility, as described under "TheJ.P.Morgan Dynamic BlendSMIndex" in the
accompanying underlying supplement, which generally will cause the Equity Constituent toreceive a higher allocation than if the
portfolio that has the higher allocation to the Portfolio Constituent with a lower realized volatility were selected.
Furthermore, under normal market conditions, the Equity Constituent's realized volatilityhas been relatively more variable and has
tended tobe significantly higher than the Bond Constituent's realized volatility. Under these circumstancesandbecause the
Target Volatilityis only 3.0%, the Indexisgenerally expected to be more heavily weightedtowards the Bond Constituent.
However, under circumstances where the Equity Constituent's realizedvolatility is significantlyhigher than that of the Bond
Constituent, the performance of the Indexis expected to be influenced to a greater extent by theperformance of the Equity
Constituent than by the performance of the Bond Constituent, even if the weight of the Bond Constituent issignificantly greater
than the weight of the Equity Constituent.
Consequently, even in caseswhere the allocation to the Bond Constituent isgreater than the allocation to the Equity Constituent,
the Index may be influenced to a greater extent by the performance of the Equity Constituent than by the performance of the Bond
Constituent because, under some conditions, the greater allocation to the Bond Constituent will not be sufficiently large to offset
the greater realized volatility of the Equity Constituent.
Accordingly, the levelof the Indexmay decline if the value of the Equity Constituent declines, evenif the value of the Bond
Constituent increases at the same time. See also "-The Returns of the Portfolio ConstituentsMay Offset Each Other or May
Become Correlated in Decline" below.
PS-10 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
•THE RETURNS OF THE PORTFOLIO CONSTITUENTS MAY OFFSET EACH OTHER OR MAY BECOME CORRELATED IN
DECLINE -
At a time when the value of one Portfolio Constituent increases, the value of the other Portfolio Constituent may not increaseas
much or may even decline. Thismay offset the potentially positive effect of the performance of the former Portfolio Constituent on
the performance of the Index. During the termof the notes, it is possible that the value of the Indexmay decline even if the value
of one Portfolio Constituent rises, because of the offsetting effect of adecline in the other Portfolio Constituent. It is also possible
that the returns of the Portfolio Constituentsmay be positively correlated with each other. In this case, adecline inonePortfolio
Constituent would be accompanied by a declinein the other Portfolio Constituent, which may adversely affect the performance of
the Index. As a result, the Index maynot perform as well asan alternative index that tracks only one Portfolio Constituentor the
other.
•HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in this pricingsupplement is purely theoretical and doesnot represent the actual historicalperformance of the Indexandhasnot
beenverified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations. Alternative
modelling techniquesmight produce significantlydifferent results and 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
and youshould carefullyconsider these limitations before placing reliance on such information. Hypotheticalback-tested
performance is derived bymeansof the retroactive application of a back-tested model that hasbeen designed with the benefit of
hindsight.
•THE INVESTMENT STRATEGY USED TO CONSTRUCT THE INDEX INVOLVES DAILY ADJUSTMENTS TO ITS NOTIONAL
EXPOSURE TO ITS PORTFOLIO CONSTITUENTS -
The Index is subject to daily adjustments to itsnotional exposure to its Portfolio Constituents. By contrast, a notional portfolio that
is not subject to daily exposure adjustmentsin thismanner couldsee greater compoundedgains over time through exposure toa
consistently and rapidly appreciating portfolio consistingof the relevant Portfolio Constituents. Therefore, your return onthe notes
maybeless than the returnyou could realize on an alternative investment in the relevant Portfolio Constituents that isnot subject
to daily exposure adjustments.No assurance can be given that the investment strategy used toconstruct the Index will outperform
anyalternativeinvestment in the Portfolio Constituents of the Index.
•A PORTFOLIO CONSTITUENT OF THE INDEX MAY BE REPLACED BY A SUBSTITUTE INDEX OR FUTURES CONTRACT IN
CERTAIN EXTRAORDINARY EVENTS -
Following theoccurrence of certainextraordinary events with respect to a Portfolio Constituent as described in the accompanying
underlyingsupplement, a Portfolio Constituent may be replaced by asubstituteindex or futures contract or the index calculation
agent may cease calculating and publishing in theIndex. You should realize that changinga Portfolio Constituent may affect the
performance of the Index, andtherefore, the returnon the notes, as the substitute index or futures contract may perform
significantlybetter or worsethan the original Portfolio Constituent. For example, the substitute or successor Portfolio Constituent
mayhave higher fees or worse performance than the original Portfolio Constituent.
Moreover, the policies of the indexsponsor of the substitute index or futures contractconcerningthemethodology and calculation
of thesubstitute indexor futures contract, including decisions regarding additions, deletions or substitutionsof the assets
underlying the substitute index or futurescontract could affect the level or price of the substitute index or futurescontract and
therefore the value of the notes. The amount payable on the notes and their market value could also be affectedif the sponsor of
a substitute indexor the sponsor of the reference index of a substitute futurescontract discontinuesor suspends calculation or
dissemination of the relevant index, in which case it may becomedifficult to determine themarket value of the notes. The sponsor
of thesubstitute indexor futures contract will have no obligation to consider your interestsin calculating or revisingsuch substitute
index or futurescontract.
•EACH PORTFOLIO CONSTITUENT IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE UNDERLYING
FUTURES CONTRACTS -
The Portfolio Constituents each track the returns of the Underlying Futures Contracts. Theprice of an Underlying Futures Contract
dependsnot only on the priceof theunderlying asset referencedby the Underlying Futures Contract, but also on arange of other
factors, includingbut not limited tochanging supply and demand relationships, interest rates, governmental and regulatory policies
and the policies of the exchangeson which the Underlying Futures Contracts trade. In addition, the futuresmarkets are subject to
temporary distortions or otherdisruptions due tovariousfactors, including the lack of liquidity in themarkets, the participation of
speculators and government regulation and intervention. These factorsandotherscan cause the prices of the Underlying Futures
Contracts to be volatile and could adversely affect the level of each Portfolio Constituent and the Index and anypayments on, and
the value of, your notes.
PS-11 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY
AFFECT THE VALUE OF YOUR NOTES -
Futures marketsare subject to temporary distortions or other disruptionsdue to various factors, includinglack of liquidity, the
participation of speculators, and government regulation and intervention. In addition, futures exchanges generally have regulations
that limit the amount of the Underlying Futures Contract price fluctuations that may occur in a single day. These limits are
generally referred to as "dailyprice fluctuation limits" and the maximum or minimum price of a contract on any given day as a result
of these limits is referred to as a "limit price." Once the limit pricehas been reached in a particular contract, no tradesmay be
made at a price beyond the limit, or trading may be limited for a set period of time. Limit prices have the effect of precluding trading
in aparticular contract or forcing the liquidation of contractsat potentially disadvantageous times or prices. These circumstances
could delay the calculation of the level of each Portfolio Constituent and could adversely affect the level of each Portfolio
Constituent and the Indexandanypayments on, and thevalue of,your notes.
•AN INCREASE IN THE MARGIN REQUIREMENTS FOR THE UNDERLYING FUTURES CONTRACTS INCLUDED IN THE
PORTFOLIO CONSTITUENTS MAY ADVERSELY AFFECT THE LEVEL OF THAT PORTFOLIO CONSTITUENT -
Futures exchanges require market participants to post collateral in order to open and keep open positions in the Underlying
Futures Contracts. If an exchangeincreasesthe amount of collateral required to be posted to holdpositions in the Underlying
Futures Contracts, market participants whoare unwilling or unable topost additional collateral mayliquidate their positions, which
maycausethe price or liquidity of the relevant UnderlyingFutures Contracts to decline significantly. As a result,thelevel of the
relevant Portfolio Constituent and the Index and any payments on, and the value of, thenotesmay be adversely affected.
•THE INDEX MAY IN THE FUTURE INCLUDE UNDERLYING FUTURES CONTRACTS THAT ARE NOT TRADED ON
REGULATED FUTURES EXCHANGES -
The Index, through its exposure to the Portfolio Constituents, iscurrently based solely on futurescontracts traded on regulated
futures exchanges (referred to in the United States as "designated contract markets"). If theseexchange-traded futurescontracts
cease to exist, or if the calculationagent for the Portfolio Constituents substitutesan Underlying Futures Contract in certain
circumstances, the Index may in the future include futurescontract or over-the-counter contracts traded on trading facilities that are
subject to lesser degreesof regulation or, in some cases, no substantive regulation. Asa result, trading insuch contracts, and the
manner in which prices andvolumes are reported by the relevant trading facilities, may not be subject to the provisions of, and the
protectionsafforded by, the U.S. Commodity Exchange Act, or other applicable statutes and related regulationsthat govern trading
on regulated U.S.futuresexchanges or similar statutesand regulations that govern trading on regulated non-U.S. futures
exchanges.In addition, many electronic trading facilities have only recently initiated trading and do not have significant trading
histories. As a result, the trading of contracts on such facilities, and the inclusion of such contractsin the Index, through its
exposure to the Portfolio Constituents, may be subject to certain risks not presented by the Underlying Futures Contracts, including
risks related to the liquidityand price histories of the relevant contracts.
•NEGATIVE ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS CONSTITUTING THE
PORTFOLIO CONSTITUENTS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE PORTFOLIO CONSTITUENTS AND
THE VALUE OF THE NOTES -
The Portfolio Constituents each reference UnderlyingFutures Contracts. Unlike common equity securities, Underlying Futures
Contracts, by their terms, have stated expirations. Asthe exchange-traded Underlying Futures Contracts that compose the
Portfolio Constituents approach expiration, they are replaced bysimilar contractsthat have a later expiration. For example, an
Underlying Futures Contract notionally purchased and held in June mayspecify a September expiration date. As time passes, the
contract expiring in September is replaced by a contract for delivery in December.This is accomplished by notionallyselling the
September contract and notionally purchasing the December contract. Thisprocess is referred to as "rolling." Excluding other
considerations, if prices are higher in the distant delivery monthsthan in the nearer delivery months, the notionalpurchase of the
December contract would take place at a price that is higher than the priceof the September contract, thereby creating anegative
"roll return." Negative roll returns adversely affect the returns of the Portfolio Constituents and, therefore, the level of the Index and
anypayments on, and the value of, the notes. Because of the potential effectsof negative roll returns, it is possible for the value of
a Portfolio Constituent to decrease significantly over time, even when the near-term or spot pricesof the underlying assets or
instrumentsarestable or increasing. In addition, interest rates havebeen historically low for an extended periodand, if interest
rates revert to their historical means, the likelihood that a roll return related to any Portfolio Constituent will be negative, as well as
the adverse effect of negative roll returns on any Portfolio Constituent, will increase.
PS-12 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
•OTHER KEY RISKS:
oTHE INDEX, WHICH WAS ESTABLISHED ON MARCH 23, 2021, AND THE PORTFOLIO CONSTITUENTS, WHICH WERE
ESTABLISHED ON DECEMBER 22, 2020, HAVE LIMITED OPERATING HISTORIES AND MAY PERFORM IN
UNANTICIPATED WAYS.
oTHE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO
WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST.
oTHE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING
INTEREST RATE-RELATED RISKS AND CREDIT RISK.
Please refer to the "Risk Factors" section of the accompanying underlying supplement for more details regardingthe above-listed
and other risks.
PS-13 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
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 March 19, 2021and the historical performance of the Index based on the
weekly historical closing levels of the Index from March 26, 2021 through October 25, 2024.The Index was established on March 23,
2021, as represented by the red vertical linein the followinggraph. All datato the left of that vertical line reflect hypothetical back-
tested performance of the Index. All data to the right of that vertical linereflect actualhistorical performance of the Index. The closing
level of the Index on October 29, 2024 was152.04.We obtained the closing levels above and below from the Bloomberg Professional®
service, without independent verification.
The data for the hypotheticalback-tested performance of the Index set forth in the followinggraph are purely theoretical and do not
represent the actual historicalperformance of the Index. See "Selected Risk Considerations-Risks Relating totheIndex -
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 historical closing levels of the Indexshould not be takenas an indication of future performance, and
no assurance can be given as to the closing level of the Index onthe Pricing Date or the ObservationDate. Therecan be no
assurance that the performance of the Index will result in a payment at maturity in excess of your principal amount, subject to the credit
risks of JPMorgan Financial and JPMorgan Chase & Co.
The hypothetical back-testedclosing levels of the Index have inherent limitations and have not beenverified by an independent third
party.These hypotheticalback-tested closing levels are determined by means of a retroactiveapplication of a back-tested model
designed withthebenefit of hindsight. Hypothetical back-tested results are neither anindicator nor a guaranteeof future returns. No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling
techniquesor assumptions would produce different hypothetical back-tested closing levelsof theIndex that might prove to bemore
appropriate and that might differ significantly from the hypothetical back-testedclosing levels of the Index set forth above.
Treatment as Contingent Payment Debt Instruments
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences," and in particular the subsection
thereof entitled "-Tax Consequences to U.S. Holders- Notes with a Term of More thanOne Year - NotesTreated as Contingent
Payment Debt Instruments," in the accompanying product supplement no. 3-I. Unlike a traditional debt instrument that providesfor
periodicpaymentsof interest at a single fixed rate, with respect to which acash-method investor generally recognizes income only
upon receipt of stated interest, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated for
U.S. federal incometax purposesas "contingent payment debt instruments." As discussedin that subsection, you generally will be
required to accrue original issue discount ("OID") on your notes in each taxable year at the "comparableyield," asdetermined by us, but
will not be required separately to include in income the amount of the Interest Payment that you receive in any year, if any, with the
result that your taxable income in any year willdiffer significantlyfrom (and may be significantlyhigher than) the amount,if any, you
receivein that year.Upon sale or exchange (including at maturity), you will recognize taxableincome or loss equal to the difference
between theamount received from the sale or exchange and your adjusted basis in the note, which generally will equalthe cost
thereof, increased by the amount of OID you have accruedin respect of the note, anddecreased by the amount of anyprior projected
payments in respect of thenote.You generallymust treat any income as interest income and any loss as ordinary loss to the extent of
PS-14 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
previous interest inclusions, and the balance as capitalloss.The deductibilityof capital lossesissubject to limitations. The discussions
herein and intheaccompanying product supplement do not address the consequences to taxpayers subject to special tax accounting
rules under Section 451(b) of the Code. Purchasers who are not initial purchasers of notes at their issue price should consult their tax
advisers with respect tothe tax consequences of an investment in notes, including the treatment of the difference, if any, between the
basis in their notes and the notes'adjusted issue price.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unlessan income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations.Additionally, a recent IRS notice excludes fromthescopeof Section 871(m) instruments issued prior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, we expect that Section 871(m) will
not apply tothenotes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with
thisdetermination. Section871(m) is complex and its application may depend on your particular circumstances, including whether you
enter intoother transactions with respect to an Underlying Security. If necessary, further information regarding the potential application
of Section 871(m) will be provided in the pricing supplement for the notes. You shouldconsult your taxadviser regarding the potential
application of Section 871(m) to thenotes.
The discussionsin the preceding paragraphs, when readin combination with the section entitled "Material U.S. Federal Income Tax
Consequences" (and in particular the subsectionthereof entitled "-Tax Consequences toU.S. Holders- Notes with a Term of More
than One Year -Notes Treated as Contingent Payment Debt Instruments") in the accompanying product supplement, constitute the
fullopinion of Davis Polk & WardwellLLP regarding thematerial U.S. federalincome tax consequences of owning and disposing of
notes.
Comparable Yield and Projected Payment Schedule
We will determine thecomparable yield for the notesand will provide that comparable yield and the related projectedpayment schedule
(or information about how toobtain them) in the pricing supplement for thenotes, which wewill file with the SEC. Thecomparable yield
for the notes will be determined based upon a variety of factors, including actualmarket conditions and our borrowing costs for debt
instrumentsof comparablematuritiesat the time of issuance.The comparable yield andprojected payment schedule are
determined solely to calculate the amount onwhich you will be taxed with respect to the notes in each year and are neither a
prediction nor aguarantee of what the actual yield will be.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement isequal to thesum of thevalues of thefollowing
hypothetical components: (1) a fixed-income debt component with the same maturityasthe notes, valued using the internalfunding
rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes.The estimated value of the
notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if anyexists) at
any time.The internal funding rate used inthedetermination of the estimated valueof thenotes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof asimilar maturityissued by JPMorganChase & Co. orits affiliates. Any difference
maybe based on, among other things, our and our affiliates' view of the funding value of the notes as well as the higher issuance,
operational and ongoingliability management costs of the notes in comparison to those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co.This internal funding rate is based on certain market inputs and assumptions, which may prove
to beincorrect, and is intended to approximatetheprevailing market replacement fundingrate for the notes.Theuse of an internal
funding rate and anypotential changes to that ratemay have an adverse effect on the terms of the notes and any secondary market
prices of the notes.For additionalinformation, see "Selected Risk Considerations - Risks Relating to theEstimated Value and
Secondary Market Pricesof the Notes-The Estimated Value of the NotesIs Derived by Reference to anInternalFunding Rate" in this
pricingsupplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates. These modelsare dependent on inputssuch as the traded market prices of comparable derivative instruments and on
variousother inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments. Accordingly, the estimatedvalue of thenotes is
determined when the termsof the notes are set based on market conditions and other relevant factors and assumptions existing at that
time.
The estimated value of the notesdoesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations for the notes that are greater than or less than the estimated valueof the notes. In
PS-15 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
addition, market conditions and other relevant factors in the futuremay change, and any assumptionsmay prove to be incorrect. On
futuredates, thevalue of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'screditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
which JPMS would be willingto buy notesfromyou in secondarymarket transactions.
The estimated value of the notes will be lower than the original issue priceof the notes because costs associated with selling,
structuring and hedging the notes are included in the originalissue price of the notes. These costs include the selling commissions
paidto JPMS and other affiliated or unaffiliated dealers, theprojected profits, if any, that our affiliatesexpect to realizefor assuming
risks inherent in hedging our obligationsunder thenotes and the estimatedcost of hedging our obligations under the notes. Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result inaprofit that
ismoreor less than expected,or it may result in a loss. A portionof the profits, if any, realized in hedging our obligations under the
notes 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 theEstimated Value and SecondaryMarket Prices of the Notes-The
Estimated Value of the NotesWill Be Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricingsupplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes - Secondary market prices of the notes will beimpacted bymany
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes willbe partially paid back to you 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 include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs andour internal secondarymarket funding rates
for structureddebt issuances. This initial predeterminedtime period is intended to be the shorter of sixmonths and one-half of the
stated term of thenotes. The lengthof anysuch initialperiod reflects the structure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes- The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricingsupplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-returnprofile and market exposure provided by the
notes. See "Hypothetical Payout Profile" and"How the Notes Work" in this pricingsupplement for anillustration of the risk-return profile
of thenotes and "TheJ.P. MorganDynamic BlendSM Index" in this pricingsupplement for a description of the market exposureprovided
by the notes.
The originalissue price of thenotes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying theapplicable
agent. We reservethe right to change the terms of, or reject anyoffer to purchase, the notes prior to their issuance. In the event of any
changes to the terms of the notes, we will notifyyou and youwill be asked to accept such changes in connection withyour purchase.
You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should read thispricing supplement together with theaccompanyingprospectus, as supplemented bythe accompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part, the accompanyingprospectus
addendumand 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 notesand supersedes all
other prior or contemporaneous oral statements as well as any other written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. Youshould carefullyconsider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying
prospectussupplement, the accompanying product supplementand the accompanying underlying supplementand 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.gov as follows (or if such addresshaschanged, by reviewingour
filingsfor the relevant dateon the SEC website):
•Product supplement no. 3-I dated April 13, 2023:
PS-16 | Structured Investments
Notes Linkedto the J.P. Morgan DynamicBlendSMIndex
•Underlying supplement no. 24-I dated September 1, 2023:
•Prospectus supplement andprospectus, each dated April 13, 2023:
•Prospectus addendum dated June 3, 2024:
Our CentralIndex 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.