JPMorgan Chase & Co.
10/31/2024 | Press release | Distributed by Public on 10/31/2024 15:31
Primary Offering Prospectus - Form 424B2
October 29, 2024RegistrationStatement Nos.333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to productsupplement no. 4-Idated April 13, 2023, underlyingsupplement no. 1-Idated April 13,2023,
the prospectus and prospectussupplement,eachdated April 13, 2023, andthe prospectus addendumdatedJune 3, 2024
JPMorganChase Financial Company LLC
Structured Investments
$3,276,000
Uncapped Accelerated Barrier Notes Linked to the Least
Performing of the S&P 500®Futures Excess Return Index,
the S&P 500®Equal Weight Index and the iShares® S&P500
Growth ETFdue November3, 2027
Fully and Unconditionally Guaranteedby JPMorgan Chase & Co.
•The notes aredesigned for investors who seek an uncapped return of 2.13times any appreciation of the least performing
of the S&P 500® Futures Excess Return Index, the S&P 500® Equal Weight Index and theiShares® S&P 500 Growth
ETF, which we refer to as the Underlyings, at maturity.
•Investors should be willing to forgo interest anddividend payments and be willing to lose some or all of their principal
amount at maturity.
•The notes areunsecured and unsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed byJPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., asguarantor of the notes.
•Payments onthenotes are not linked to abasket composed of theUnderlyings.Paymentson the notes are linked to the
performance of each of theUnderlyings individually, asdescribed below.
•Minimum denominations of $1,000 and integral multiplesthereof
•The notes priced on October 29, 2024 and are expected tosettle on or about November 1, 2024.
•CUSIP: 48135UP53
Investing in thenotes involves a number of risks.See "Risk Factors"beginning on page S-2 of the accompanying
prospectus supplement,Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on pagePS-11
of the accompanying product supplement and"Selected Risk Considerations"beginning on page PS-4 of this pricing
supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securitiescommission has approved or disapproved
of the notesor passed upon the accuracyor the adequacy ofthis pricing supplementor the accompanying product supplement,
underlying supplement, prospectus supplement, prospectusand prospectusaddendum.Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$3
$997
Total
$3,276,000
$9,828
$3,266,172
(1)See"Supplemental Use ofProceeds"in this pricing supplement for information aboutthe components of the price to publicofthe
notes.
(2) J.P.Morgan SecuritiesLLC, which we refer toas JPMS, actingas agentforJPMorgan Financial,will pay allof the selling
commissions of $3.00per $1,000principal amount note it receivesfrom us toother affiliated orunaffiliated dealers.See "Plan of
Distribution (Conflicts of Interest)"in theaccompanyingproduct supplement.
The estimated value of the notes, when the terms of the notes were set,was $986.90per $1,000 principal amount note.
See"The Estimated Value of the Notes" in thispricing supplementfor 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
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, a direct,
whollyowned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Underlyings: TheS&P 500®Futures Excess Return Index
(Bloomberg ticker: SPXFP)and the S&P 500® Equal Weight
Index (Bloomberg ticker: SPW) (each of the S&P 500®Futures
Excess ReturnIndexand theS&P 500® Equal Weight Index, an
"Index" and collectively, the "Indices") and the iShares®S&P
500 Growth ETF (Bloomberg ticker: IVW) (the "Fund") (eachof
the Indices and the Fund, an "Underlying" and collectively, the
"Underlyings")
Upside Leverage Factor: 2.13
Barrier Amount:With respect to each Underlying, 70.00% of
itsInitial Value, which is348.243 for the S&P 500® Futures
Excess ReturnIndex, 5,065.333 for the S&P 500® Equal Weight
Indexand $68.915 for the Fund
Pricing Date:October 29, 2024
Original Issue Date (Settlement Date): On or about November
1, 2024
Observation Date*: October 29, 2027
Maturity Date*: November 3,2027
* Subject to postponement in theevent of amarket disruptionevent
and as describedunder"General Terms of Notes-Postponement
of a Determination Date - NotesLinked toMultipleUnderlyings"
and "General TermsofNotes- Postponement of a PaymentDate"
in theaccompanying product supplement
Payment at Maturity:
If theFinal Valueof each Underlyingis greater than itsInitial
Value, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying Return ×
Upside Leverage Factor)
If theFinal Valueof any Underlying is equal to or lessthan its
Initial Value but the Final Value of each Underlyingis greater
than or equal to its Barrier Amount, you will receive the principal
amount of your notes at maturity.
If theFinal Valueof any Underlyingis less than its Barrier
Amount, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying Return)
If the Final Value of any Underlying is less than itsBarrier
Amount, you will losemore than 30.00% of your principal
amount at maturity and could lose allof your principal amount at
maturity.
Least Performing Underlying: The Underlying with theLeast
Performing Underlying Return
Least Performing Underlying Return: The lowest of the
Underlying Returns of theUnderlyings
Underlying Return:
With respect to each Underlying,
(Final Value -Initial Value)
InitialValue
Initial Value:With respect to eachUnderlying, the closing value
of thatUnderlyingon the Pricing Date, which was 497.49 for the
S&P 500®Futures Excess Return Index, 7,236.19 for the S&P
500® EqualWeight Index and$98.45 for the Fund
Final Value: With respect to eachUnderlying, the closing value
of thatUnderlyingon the Observation Date
Share Adjustment Factor: The Share Adjustment Factor is
referenced in determining theclosing value of the Fund and is
set equal to 1.0on the PricingDate. The Share Adjustment
Factor is subject to adjustment uponthe occurrenceof certain
events affecting the Fund. See "The Underlyings-Funds-
Anti-Dilution Adjustments" in the accompanyingproduct
supplement for further information.
PS-2 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
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 offeredpursuant to an exemption from regulation under the Commodity Exchange
Act, commonly known as the hybrid instrument exemption, that is available to securitiesthat have one or more paymentsindexed 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 theCommodity Futures Trading Commission.
For purposes of the accompanying product supplement, the S&P 500® Futures Excess Return Index willbe deemed to be an Equity
Index, except as provided below, and any referencesin the accompanying product supplement to the securities included in an Equity
Index (or similar references) should be read to refer to the securities included in the S&P 500® Index, which is the reference index for
the futures contracts included in the S&P 500®Futures Excess Return Index.Notwithstanding the foregoing, the S&P 500® Futures
Excess ReturnIndex will be deemed to be a CommodityIndex for purposes of the sectionentitled "The Underlyings -Indices-
Discontinuation of an Index; Alteration of Method of Calculation" in the accompanying product supplement.
Notwithstandinganything to the contrary in the accompanying product supplement, if a Determination Date (as defined inthe
accompanying product supplement) has been postponed to the applicable Final Disrupted Determination Date (as defined in the
accompanying product supplement) and that day is a Disrupted Day (asdefined in the accompanying product supplement), the
calculation agent willdetermine theclosing level of the S&P 500®Futures Excess Return Index for that Determination Date on that
Final Disrupted Determination Date in accordance with the formula for and method of calculating the closing level of the S&P 500®
Futures Excess Return Index last in effect prior to thecommencement of the market disruptionevent (or prior to the non-trading day),
using the officialsettlement price (or, if trading in the relevant futurescontract has been materiallysuspended or materially limited, the
calculation agent's good faithestimate of the applicable settlement price that would have prevailed but for that suspension or limitation)
at the close of the principal trading session on that date of each futures contract most recentlycomposing the S&P 500® Futures
Excess ReturnIndex, as well as any futures contract required to roll any expiring futures contract in accordance with the method of
calculating the S&P 500® Futures Excess Return Index.
Any valuesof the Underlyings, and anyvalues derived therefrom, included in this pricingsupplement 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.
PS-3 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total return and payment at maturityon the notes linkedtothreehypothetical
Underlyings. The"total return" as used in this pricing supplement is the number, expressed asa percentage, that results from
comparing the payment at maturity per $1,000 principal amount note to $1,000.The hypotheticaltotal returns and payments set forth
below assume the following:
•an InitialValue for the Least PerformingUnderlying of 100.00;
•an Upside Leverage Factor of 2.13; and
•a Barrier Amount for theLeast Performing Underlying of 70.00 (equal to 70.00%of itshypothetical Initial Value).
The hypothetical Initial Value of the Least Performing Underlying of 100.00has been chosen for illustrative purposesonlyand does not
represent the actual Initial Value of any Underlying. The actual Initial Value of each Underlying is the closingvalue of thatUnderlying
on thePricing Dateandis specified under "KeyTerms-Initial Value" in thispricing supplement.For historical data regarding the
actualclosing values of each Underlying, please see the historical information set forthunder "The Underlyings" in this pricing
supplement.
Each hypothetical total return or hypothetical payment at maturity set forth below is for illustrative purposes only andmay not be the
actual total return or paymentat maturity applicableto a purchaser of the notes. The numbers appearing in the following table and
graph have been rounded for ease of analysis.
Final Value of the
Least Performing
Underlying
Least Performing
Underlying Return
Total Return on the Notes
Payment at Maturity
165.00
65.00%
138.45%
$2,384.50
150.00
50.00%
106.50%
$2,065.00
140.00
40.00%
85.20%
$1,852.00
130.00
30.00%
63.90%
$1,639.00
120.00
20.00%
42.60%
$1,426.00
110.00
10.00%
21.30%
$1,213.00
105.00
5.00%
10.65%
$1,106.50
101.00
1.00%
2.13%
$1,021.30
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
80.00
-20.00%
0.00%
$1,000.00
70.00
-30.00%
0.00%
$1,000.00
69.99
-30.01%
-30.01%
$699.90
60.00
-40.00%
-40.00%
$600.00
50.00
-50.00%
-50.00%
$500.00
40.00
-60.00%
-60.00%
$400.00
30.00
-70.00%
-70.00%
$300.00
20.00
-80.00%
-80.00%
$200.00
10.00
-90.00%
-90.00%
$100.00
0.00
-100.00%
-100.00%
$0.00
PS-4 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
The following graph demonstratesthe hypothetical payments at maturity onthe notes for arangeof Least PerformingUnderlying
Returns. Therecan be no assurance that the performance of the Least Performing Underlying will result in the return of any of your
principal amount.
How the Notes Work
Upside Scenario:
If the Final Valueof eachUnderlying is greater than itsInitial Value, investors will receive at maturity the $1,000 principalamount plusa
return equal tothe Least Performing UnderlyingReturn times the Upside Leverage Factor of 2.13.
•If the closing value of the Least Performing Underlyingincreases10.00%, investors will receive at maturity areturn equalto
21.30%, or $1,213.00 per $1,000 principal amount note.
Par Scenario:
If the Final Valueof any Underlying is equal to or lessthan itsInitial Value but the Final Value of each Underlyingis greater thanor
equal toits Barrier Amount of 70.00% of its Initial Value, investors will receive at maturity the principalamount of their notes.
Downside Scenario:
If theFinal Value of any Underlying is less than its Barrier Amount of 70.00% of itsInitial Value, investors will lose 1% of the principal
amount of their notes for every 1% that the Final Value of theLeast PerformingUnderlying is less than itsInitial Value.
•For example, if the closing value of the Least Performing Underlying declines 60.00%, investors will lose 60.00% of their principal
amount and receiveonly $400.00 per $1,000 principal amount note at maturity.
The hypothetical returnsand hypothetical payments on the notes shownabove applyonly if you hold the notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated withany sale in the secondarymarket.If these fees
and expenses were included, the hypothetical returnsand hypothetical paymentsshown above would likely be lower.
Selected Risk Considerations
An investment in thenotesinvolves significant risks. These risks are explained in more detail in the "Risk Factors"sections of the
accompanyingprospectussupplementandproduct supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. If the Final Value of any Underlying is less than itsBarrier Amount, you will
lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Underlying is less than its
InitialValue. Accordingly, under these circumstances, you willlose more than 30.00% of your principal amount at maturity and
could loseall of your principalamount at maturity.
PS-5 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined bythemarket for taking that credit
risk, is likely to adversely affect the value 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 capitalcontribution 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. we are not expected to have sufficient resources to meet 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.
•YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING -
Payments onthenotes are not linked to abasket composed of theUnderlyings and are contingent upon the performance of each
individualUnderlying. Poor performance by any of the Underlyings over the term of the notesmaynegatively affectyour payment
at maturity and will not be offset or mitigated by positive performance byanyother Underlying.
•YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
•THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE-
If the Final Valueof any Underlying is less than itsBarrier Amount, the benefit provided by theBarrier Amount will terminate and
you willbe fully exposed to any depreciation of theLeast Performing Underlying.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE E-MINI® S&P 500®FUTURES CONTRACTS (THE
"UNDERLYING FUTURES CONTRACTS") OR THE SECURITIES INCLUDED IN THE INDEX UNDERLYING THE
UNDERLYING FUTURES CONTRACTS.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN THE S&P 500® EQUAL WEIGHT
INDEX OR HELD BY THE FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THOSE SECURITIES.
•THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE
VALUE OF THAT UNDERLYING IS VOLATILE.
•LACK OF LIQUIDITY -
Thenotes 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 thenotes. You may notbe able to sell yournotes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to holdyour notes to maturity.
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay a varietyof roles in connection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economicinterests are potentially adversetoyour interests as an investor in the notes. It is possible that hedging or trading
activities of oursor our affiliates inconnection with the notescould result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to"Risk Factors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
PS-6 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
•THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors. The originalissueprice of the
notes exceedsthe estimated value of the notes becausecosts associated withselling, 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 notesand the estimatedcost ofhedging
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 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 the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, amongother things, our and our affiliates' view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes.The use of an
internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
secondarymarket prices of the notes. See "The Estimated Value of the Notes"in thispricing supplement.
•THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the noteswill be partially paid back to you in
connection with any repurchases of your notesbyJPMS in an amount that willdecline to zero over an initial predetermined period.
See"Secondary Market 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 will likely be lower than the original issue price of the notes because, among other
things, secondarymarket prices take into account our internal secondarymarket funding rates for structureddebt issuances and,
also, because secondarymarket prices may exclude selling commissions, projected hedging profits, if any, and estimatedhedging
costs that are included in theoriginal issue price of the notes.As a result, the price, if any, at whichJPMS will be willing to buy the
notes from you in secondary market transactions, if at all,is likely to be lower than the originalissueprice. Anysale by you prior to
the Maturity Datecould result in a substantial loss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefromthe selling commissions,projected hedging profits, if any, estimatedhedging
costs and the valuesof the Underlyings. Additionally, independent pricing vendors and/or third party broker-dealersmay publish a
price for the notes, which mayalso be reflected on customer 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 notesin the secondary market. See"Risk
Factors -Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes - Secondarymarket prices of the
notes will beimpactedbymany economic and market factors" in the accompanying product supplement.
Risks Relating to the Underlyings
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX, THE INDEX
UNDERLYING THE UNDERLYING FUTURES CONTRACTSOF THE S&P 500®FUTURES EXCESS RETURN INDEX, AND
THE S&P 500® EQUAL WEIGHT 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® Futures Excess Return Indexorthe S&P 500® Equal Weight Index.
PS-7 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
•THE S&P 500® FUTURES EXCESS RETURN INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE
UNDERLYING FUTURES CONTRACTS -
TheS&P 500® Futures Excess Return Index tracks the excess return of the Underlying Futures Contracts. The price of an
Underlying Futures Contract depends not only on the level of the underlying index referenced by the Underlying Futures Contract,
but also on a range of other factors, including but not limited to the performance and volatility of the U.S. stock market, corporate
earnings reports, geopolitical events, governmental and regulatorypolicies and the policiesof the Chicago Mercantile Exchange
(the "Exchange") on which theUnderlying Futures Contracts trade. In addition, the futures marketsare subject to temporary
distortions or other disruptions due to various factors, including the lackof liquidity in the markets, the participation ofspeculators
and government regulation and intervention. These factorsand others can cause the prices of the Underlying Futures Contractsto
be volatile and could adversely affect thelevel of the S&P 500® Futures Excess Return Indexandany payments on, and thevalue
of, your notes.
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY
AFFECT THE VALUE OF YOUR NOTES-
Futures marketsaresubject to temporary distortions or other disruptions due tovarious 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 UnderlyingFutures Contract price fluctuations that may occur in a single day. These limits are
generally referred to as "dailyprice fluctuation limits" and the maximumor minimum price of a contract on any given dayas a result
of those 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 a particular contract or forcing the liquidation of contractsat potentially disadvantageous times or prices. These circumstances
could delay the calculationof the level of the S&P 500®Futures Excess Return Indexandcould adversely affect the level of the
S&P 500® Futures Excess Return Indexandany payments on, and the value of,your notes.
•THE PERFORMANCE OF THE S&P 500® FUTURES EXCESS RETURN INDEX WILL DIFFER FROM THE PERFORMANCE OF
THE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS-
A varietyof factors can lead to a disparitybetween the performance of a futures contract on an equity index and the performance
of that equity index, including the expected dividend yields of the equitysecuritiesincludedin that equity index, an implicit financing
cost associated with futures contracts and policies of the exchange on which the futurescontracts are traded, such as margin
requirements. Thus, a decline in expected dividends yieldsor an increase in margin requirements mayadversely affect the
performance of theS&P 500®Futures Excess Return Index. In addition, theimplicit financing cost will negatively affect the
performance of theS&P 500®Futures Excess Return Index, with agreater negative effect when market interest rates are higher.
During periodsof high market interest rates, theS&P 500® Futures Excess Return Index islikelyto underperform the equity index
underlying the Underlying Futures Contracts, perhapssignificantly.
•NEGATIVE ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY AFFECT
THE LEVEL OF THE S&P 500®FUTURES EXCESS RETURN INDEX AND THE VALUE OF THE NOTES -
TheS&P 500® Futures Excess Return Index tracks the excess return of the Underlying Futures Contracts. Unlikecommon equity
securities, futures contracts, by their terms, have stated expirations. As the exchange-traded Underlying Futures Contracts
approach expiration, they are replacedbycontractsof the same series that have a later expiration. For example, an Underlying
Futures Contract notionally purchased and held inJune mayspecify a September expiration date. As time passes, the contract
expiring in September is replaced by a contract for delivery in December. Thisisaccomplished bynotionally selling theSeptember
contract and notionally purchasing the December contract.Thisprocess is referred to as "rolling." Excluding other considerations,
if pricesare higher in the distant deliverymonths than inthe nearer delivery months, the notional purchaseof the December
contract would take place at a price that is higher than the price of the September contract,thereby creating a negative "roll return."
Negative roll returns adversely affect the returnsof the Underlying Futures Contracts and, therefore, the levelof the S&P 500®
Futures Excess Return Indexand anypayments on, and the value of, the notes.Becauseof thepotential effects of negative roll
returns, it is possible for the levelof the S&P 500® Futures Excess Return Index to decrease significantly over time, evenwhen the
levels of the underlying index referenced bythe Underlying Futures Contracts are stable or increasing.
•THERE ARE RISKS ASSOCIATED WITH THE FUND -
The Fund issubject tomanagement risk, which is the risk that theinvestment strategies ofthe Fund's investment adviser, the
implementation of which is subject to anumber of constraints, may not produce the intended results. These constraintscould
adversely affect the market price of the sharesof the Fund and, consequently, thevalue ofthe notes.
•THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND'S UNDERLYING INDEX AS WELL AS THE NET ASSET
VALUE PER SHARE -
PS-8 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
The Fund does not fully replicate its Underlying Index (asdefined under "The Underlyings" below) and may holdsecurities different
from those included in its Underlying Index. In addition, the performance of the Fund will reflect additional transactioncostsand
fees that are not included in the calculation of its Underlying Index. All of these factorsmay lead to a lackof correlation between
the performance of the Fund and its Underlying Index. In addition, corporateactions with respect to the equity securities
underlying the Fund (such asmergers and spin-offs) may impact thevariance between the performances of the Fund and its
Underlying Index. Finally, because the shares of the Fund are traded on a securities exchange and are subject to market supply
and investor demand, the market value of one share of the Fund maydiffer from the net asset value per shareof the Fund.
During periodsof market volatility, securities underlying the Fundmaybe unavailable in thesecondarymarket, market participants
maybe unable to calculate accurately thenet asset value per share of the Fund and theliquidity of the Fund maybe adversely
affected. This kind of market volatility mayalso disrupt the ability of market participants to create and redeem shares of the Fund.
Further, market volatility mayadversely affect, sometimes materially, the prices at which market participants are willing tobuyand
sell shares of the Fund. Asa result, under these circumstances, themarket value of shares of the Fund mayvary substantially
from the net asset value per share of the Fund. For all of the foregoing reasons, the performance of the Fund maynot correlate
with the performance of its Underlying Index as well as the net asset value per share of the Fund, which could materiallyand
adversely affect the value of the notes in the secondary market and/or reduce any paymenton the notes.
•THE INVESTMENT STRATEGY REPRESENTED BY THE FUND MAY NOT BE SUCCESSFUL -
The Fundseeks to track the investment results, before feesand expenses, of an indexcomposed of large-capitalization U.S.
equities that exhibit growth characteristics, which is currently the S&P 500® Growth Index.The S&P 500®Growth Index is a float-
adjusted market capitalization-weighted index that is designed tomeasure the full performance of companiesincluded in the S&P
500® Index that exhibit relatively strong growth characteristics (determined by reference to (1) earnings-per-share growth,(2)
sales-per-share growth and (3) upward share pricemomentum) and relatively weak growth characteristics (determined by
reference to (1) book-value-to-price ratio, (2) earnings-to-price ratio and (3) sales-to-price ratio) and a portion of the performance of
companies withmorebalanced value and growth characteristics (where greater weight isallocated to companies with relatively
stronger growth characteristics and relatively weaker value characteristics).A "growth" investment strategy is premised on the goal
of investing in stocks of companies whose earningsare expected to increase at an above-average rate comparedto their industry
sector or the overall market.However, the growth characteristicsreferenced by the S&P 500® Growth Index maynot beaccurate
predictors of growthstocks, and there is no guarantee that growth stocks will appreciate. In addition, the S&P 500®Growth Index's
selectionmethodology includes asignificant bias against stocks withstrong value characteristics, and stocks withstrong value
characteristics mayoutperform stocks with weakvalue characteristics. There is no assurance that the Fund willoutperform any
other index, exchange-tradedfund or strategy that tracks U.S. stocks selected using other criteria and may underperform the S&P
500® Index as a whole. Itispossible that the stock selection methodology of the S&P 500® Growth Index willadverselyaffect its
return and, consequently, the level of the S&P 500®Growth Index, the price of one share of the Fund and thevalue and return of
the notes.
•THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED -
The calculation agent willmake adjustments to the Share Adjustment Factor for certain events affecting the shares of the Fund.
However, the calculation agent will not make an adjustment in response to all events that couldaffect the shares of the Fund. If an
event occurs that does not require the calculation agent to make an adjustment, the value of the notes maybemateriallyand
adversely affected.
•OTHER KEY RISK:
oTHE S&P 500®FUTURES EXCESS RETURN 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.
PS-9 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
The Underlyings
The S&P 500® Futures Excess Return Index measures the performance of the nearest maturing quarterly UnderlyingFutures Contracts
trading on the Chicago Mercantile Exchange (the "Exchange"). The Underlying Futures Contracts are U.S. dollar-denominatedfutures
contracts based on the S&P 500®Index. The S&P 500®Index consists of stocksof 500 companies selected to provide aperformance
benchmark for the U.S. equitymarkets. For additionalinformation about the S&P 500® Futures Excess Return Index and the
Underlying Futures Contracts, see Annex A in this pricingsupplement.
TheS&P 500® Equal Weight Index is an equal-weighted version of the S&P 500®Index. The S&P 500® Index consists of stocks of 500
companiesselected to provide a performance benchmark for the U.S. equitymarkets. For additional information about the S&P 500®
Equal Weight Index, see "Equity Index Descriptions -The S&P EqualWeight Indices" in the accompanying underlyingsupplement.
The Fund is an exchange-traded fund of iShares® Trust, a registered investment company, that seeks to track the investment results,
before fees and expenses, of an index composed of large-capitalization U.S. equities that exhibit growthcharacteristics, which we refer
to as the Underlying Index with respect to the Fund.The Underlying Index with respect to the Fund is currentlythe S&P 500®Growth
Index. The S&P 500® GrowthIndex is a float-adjusted market capitalization-weighted indexthat is designed to measure the full
performance of companies included in the S&P 500®Index that exhibit relatively strong growth characteristics (determined by reference
to (1) earnings-per-share growth, (2) sales-per-sharegrowth and (3) upward share price momentum) and relatively weak growth
characteristics (determined by reference to (1) book-value-to-price ratio, (2) earnings-to-price ratio and (3) sales-to-price ratio) and a
portion of the performance of companies with more balanced value and growth characteristics (where greater weight is allocated to
companies with relativelystronger growth characteristics and relatively weaker value characteristics). For additional information about
the Fund, see "Fund Descriptions -TheiShares®ETFs" in the accompanying underlyingsupplement.
Historical Information
The following graphsset forththe historical performance of each Underlying based on the weekly historical closing values from January
4, 2019 through October 18, 2024.The closing value of the S&P 500® Futures Excess Return Indexon October 29, 2024 was 497.49.
The closingvalue of the S&P 500® Equal Weight Indexon October 29, 2024 was 7,236.19. The closing value of the Fundon October
29, 2024 was $98.45.We obtained the closing values above andbelow from the Bloomberg Professional®service ("Bloomberg"),
without independent verification.The closing values of the Fund above and below mayhave been adjusted by Bloomberg for actions
taken by the Fund, such as stock splits.
The historical closing values of each Underlyingshould not be taken as an indication of future performance, and no assurance can be
given as tothe closing value of any Underlying on the Observation Date.There can benoassurance that the performance of the
Underlyings will result in the return of any of yourprincipalamount.
PS-10 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanyingproduct
supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal incometax consequences of owning and disposing of notes.
Basedoncurrent market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, asmorefully described in "Material U.S. Federal Income Tax
Consequences- Tax Consequences to U.S. Holders -Notes Treated as Open Transactions That Are Not Debt Instruments" in the
accompanying product supplement. Assumingthis treatment is respected, the gainor loss on your notes should be treated aslong-term
capital gain or loss if you holdyour notes for more than ayear, whether or not youare an initial purchaser of notes at the issueprice.
However, the IRS or a court may not respect thistreatment, in which case the timing and character of any income or loss on the notes
could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the
U.S. federal incometax treatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments ona number of
related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the natureof
the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandatedaccruals)
realized by non-U.S. investorsshould be subject to withholding tax; and whether these instruments are or should be subject tothe
"constructive ownership" regime, which verygenerally can operate to recharacterize certainlong-termcapital gain as ordinary income
PS-11 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
and impose a notionalinterest charge. While the notice requestscomments on appropriate transition rulesand effective dates, any
Treasury regulationsor other guidance promulgated after consideration of these issuescould materially and adverselyaffect the tax
consequencesof an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S.
federal income tax consequencesof an investment in the notes, including possible alternative treatments and the issuespresented by
thisnotice.
No statutory, judicial or administrativeauthority directly addresses the characterization of the notes (or similar instruments) for U.S.
federal income tax purposes, and no rulingisbeing requested from the IRS with respect to their proper characterizationand treatment.
Assuming that "open transaction" treatment is respected, subject to thepossible application of the "constructive ownership" rules
described below, the gain or loss on your notes should generally be treated as long-termcapital gain or loss if you hold your notes for
more than a year, whether or not you are an initial purchaser of the notesat the issue price. However, the IRS or acourt may not
respect the treatment of the notes as "open transactions," in which case the timing and character of any income or loss on thenotes
could be materially and adversely affected. For instance, the notes could betreated as contingent payment debt instruments, in which
case the gain on your notes would be treated as ordinary income and you would berequired to accrue original issue discount on your
notes in each taxableyear at the "comparable yield," as determined by us, although we will not make any payment with respect tothe
notes until maturity.
In addition, assumingthat "open transaction" treatment is respected, the notescould be treatedas "constructive ownership
transactions" within themeaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would
otherwise be long-term capital gain and that was in excess of the "net underlying long-term capital gain" (as defined in Section 1260)
would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a
constant yield over your holding period for the notes.Our special tax counsel has not expressed an opinion with respect to whether the
constructive ownership rules apply to the notes. Accordingly, U.S. Holdersshouldconsult their tax advisers regarding the potential
application of theconstructive ownership rules.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal incometax treatment of "prepaid
forwardcontracts" and similar instruments.The noticefocuses in particular on whether to require investors inthese instruments to
accrue income over the term of their investment.It also asks for comments on a number ofrelated topics, including thecharacter of
income or loss with respect tothese instruments; the relevance of factors suchas the nature of the underlying property towhichthe
instrumentsarelinked; the degree, if any, to which income (including anymandated accruals) realized by non-U.S. investors should be
subject to withholding tax; and whether these instruments are or should be subject to the "constructive ownership" regime described
above. While the notice requestscomments onappropriate transition rulesand effective dates, anyTreasury regulationsor other
guidance promulgated after consideration of these issuescouldmaterially and adverselyaffect the tax consequences of an investment
in the notes, possibly with retroactive effect. You should review carefully thesection entitled "Material U.S. Federal Income Tax
Consequences" in the accompanying product supplement and consult your taxadviser regarding the U.S. federal income tax
consequencesof an investment in the notes, including the potential application of the constructive ownership rules, possiblealternative
treatments and the issues presented by thisnotice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalentspaid or deemedpaid to Non-U.S. Holders with respect to certain
financial instrumentslinked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthe scope of Section 871(m) instruments issuedprior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could payU.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security").Based on certain determinationsmade by us, our special taxcounsel isof the
opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the
IRS, and the IRS may disagree with this determination. Section 871(m) is complex and itsapplication may depend on your particular
circumstances, including whether you enter intoother transactions with respect to an Underlying Security.You shouldconsult your tax
adviser regarding the potential application of Section 871(m) to thenotes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement isequal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component withthe same maturityas the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the
notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondarymarket (if anyexists) at
any time. The internal funding rate used inthe determination of the estimated value of 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
PS-12 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
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 ongoing liability management costs of the notes in comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximate the prevailing market replacement funding rate for thenotes. The use of an internal
funding rate and any potential changes to that ratemay have an adverse effect on the terms of the notes and anysecondary market
prices of the notes. For additional information, see "Selected Risk Considerations- Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes- The Estimated Value of the NotesIs Derived byReference to anInternal Funding Rate" in this
pricing supplement.
The value of the derivative or derivatives underlying the economic terms of thenotes is derived from internal pricingmodelsof our
affiliates.Thesemodels are dependent on inputssuch as the traded market prices of comparable derivative instrumentsand on
various other inputs, someof which are market-observable, and which can includevolatility, dividend rates, interest rates and other
factors,as well as assumptions about futuremarket events and/or environments.Accordingly, the estimated value 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 thenotes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsand assumptions could provide valuations forthenotes that are greater than or less thanthe estimated valueof the notes.In
addition, market conditions and other relevant factors in the futuremay change, and any assumptions may prove to be incorrect.On
future dates, thevalue of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
whichJPMS would be willing to buy notesfrom you in secondarymarket transactions.
The estimated value of thenotes 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. Because hedgingour
obligations entails riskand may be influenced by market forces beyond our control, thishedging may result in a profit that ismoreor
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be
allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See
"Selected Risk Considerations - Risks Relating to the Estimated Value and SecondaryMarket Prices ofthe Notes - The Estimated
Value of the Notes Is LowerThan the Original Issue Price (Price to Public) of the Notes" in thispricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes-Secondary market prices of the notes will be impactedbymany
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in the original issue price of the notes willbe partially paid back toyou in connection with any repurchases of your notesby
JPMS in an amount that will decline to zero over an initial predetermined period.These costs caninclude selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances.This initial predetermined time period is intended to be the shorter of six months and one-half of the
stated term of the notes.Thelength of any such initial period reflects the structure of the notes, whether our affiliatesexpect 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 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" inthis pricing supplement for an illustration of the risk-return profile
of the notes and"The Underlyings"in thispricing supplement for adescription of themarket exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid toJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliatesexpect to realize for assuming risks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
PS-13 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offered by this pricing supplement have been issued by JPMorgan Financialpursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master 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 applicablebankruptcy,
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),providedthat 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 purportsto avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'sobligation under the related guarantee.
Thisopinion is given as of the date hereof and is limited to the laws of the State of New York, the General CorporationLaw of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject to customary assumptions about the
trustee's authorization, execution and deliveryof the indenture andits authentication of the master note and thevalidity, 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. onFebruary 24,
2023.
Additional Terms Specific to the Notes
You should readthispricing supplement together with theaccompanyingprospectus, as supplemented by the accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained inthe accompanying product supplement and the accompanying underlying
supplement.This pricing supplement, 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 writtenmaterials includingpreliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, sample structures, fact sheets, brochures or other educational materials of
ours.Youshouldcarefullyconsider, among other things, the matters set forth in the "Risk Factors"sections of the accompanying
prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, as the
notes involve risks not associated with conventional debt securities.We urge you to consult your investment, legal, tax, accounting and
other advisers before 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 relevantdate onthe SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 1-Idated April 13, 2023:
•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.
PS-14 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
Annex A
The S&P 500® Futures Excess Return Index
All information contained in this pricing supplement regarding the S&P 500®Futures Excess Return Index (the "SPX Futures Index"),
including, without limitation, its make-up, method of calculation and changes in its components,has been derived from publicly
available information, without independent verification. Thisinformation reflects the policies of, and is subject to changeby, S&P Dow
Jones Indices LLC ("S&P Dow Jones"). The SPX FuturesIndexis calculated, maintained and published by S&P Dow Jones. S&P Dow
Jones has no obligation to continue to publish, and may discontinue the publication of, the SPX Futures Index.
The SPX Futures Index is reported by Bloomberg L.P. under the ticker symbol "SPXFP."
The SPX Futures Index measures the performanceof the nearest maturing quarterly E-mini® S&P 500® futurescontracts (Symbol: ES)
(the "Underlying Futures Contracts") trading on the Chicago Mercantile Exchange (the "Exchange"). E-mini® S&P 500®futures
contracts are U.S. dollar-denominated futurescontracts based on the S&P 500® Index. For additionalinformation about the S&P 500®
Index, see "Equity Index Descriptions -The S&P U.S. Indices" intheaccompanying underlying supplement. The SPX Futures Index
is calculated real-time from the price change of the Underlying Futures Contracts. The SPX Futures Index is an "excess return" index
that is based on price levels of the Underlying Futures Contracts as wellasthediscount orpremiumobtained by "rolling" hypothetical
positions in the Underlying Futures Contractsas they approach delivery. The SPX Futures Index does not reflect interest earnedon
hypothetical, fully collateralized contract positions.
Index Rolling
As each Underlying Futures Contract approaches maturity, it is replaced by thenext maturing UnderlyingFutures Contract in a process
referred to as "rolling." The rollingof the SPX Futures Index occurs quarterly over aone-day rolling period (the "roll day") every March,
June, September and December, effective after the close of trading five business days preceding the last trading date of the maturing
Underlying Futures Contract.
On any scheduled roll day, the occurrence of either of the followingcircumstances will result in an adjustment of the roll day according
to the procedure set forth in this section:
•An exchange holiday occurs on that scheduled roll day.
•The daily contract price of any Underlying Futures Contract within the index on that scheduled roll day is a limit price.
If either of theabove eventsoccur, the relevant roll day will takeplace on the next designated commodityindex businessday whereby
none of the circumstances identified take place.
If a disruption is approaching the last trading dayof a contract expiration, the Index Committee (defined below) will convene to
determine the appropriate course of action, which may include guidance from the Exchange.
The Index Committee may change the date of a given rebalancing for reasons including market holidays occurring on or around the
scheduled rebalancing date. Any such change will beannounced with proper advance notice where possible.
Index Calculations
The closing level of the SPX Futures Indexon any trading day reflects the change in the daily contract price of the Underlying Futures
Contract since the immediately precedingtrading day. On each quarterly roll day, the closing level of the SPX Futures Indexreflects
the change from the daily contract price of thematuring Underlying Futures Contract on the immediately preceding trading day to the
daily contract price of the next maturing Underlying Futures Contract on that roll day.
The daily contract price of an Underlying Futures Contract will be the settlement price reported by the Exchange. If the Exchange fails
to open due to unforeseen circumstances, such as natural disasters, inclement weather, outages, or other events, the SPX Futures
Index uses theprior daily contract prices. In situations where the Exchange is forced to close early due to unforeseen events, such as
computer or electric power failures, weather conditions or other events, S&P Dow Jones calculates theclosing level of the SPX Futures
Index based on (1) the daily contract price published bythe Exchange, or (2) if no daily contract price is available, theIndex Committee
determines the course of action andnotifies clients accordingly.
Index Correctionsand Recalculations
S&P Dow Jones reserves the right to recalculate an index at its discretion in the event that settlement prices are amendedor upon the
occurrence of a missed index methodology event (deviation from what is stated in the methodology document).
PS-15 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
Index Governance
An S&P Dow Jones indexcommittee (the "Index Committee") maintains the SPX Futures Index. All committee membersare full-time
professional membersof S&P Dow Jones' staff. The Index Committee may reviseindex policycovering rules for including currencies,
the timing of rebalancing or other matters. The Index Committee considers information about changes to the SPX Futures Indexand
related matters to bepotentially market moving and material. Therefore, all Index Committee discussions are confidential.
The Index Committees reserve the right tomake exceptionswhen applying the methodology of the SPX Futures Index if the need
arises. In anyscenario wherethe treatment differs from the general rules stated in this document or supplemental documents, notice
will be provided, whenever possible.
In addition to the daily governance of the SPX Futures Index and maintenance of itsindex methodology, at least once within any 12-
month period, theIndex Committee reviews the methodology to ensure the SPX Futures Index continues to achieve thestated
objectives, and that the data and methodology remain effective. In certain instances, S&P Dow Jonesmay publish a consultation
inviting comments from external parties.
License Agreement
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subsidiaries, includingJPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the SPX Futures Index,
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The notes arenot sponsored, endorsed, sold or promoted by S&P Dow Jones or its third-party licensors. Neither S&P Dow Jones nor
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regarding the advisability of investing in securities generally or in the notes particularly or the ability of the SPX Futures Index to track
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Chase & Co. is the licensing of certain trademarksand trade names of S&P Dow Jones and the third-party licensors and of the SPX
Futures Index which is determined, composed and calculated by S&P Dow Jonesor its third-partylicensors without regard toJPMorgan
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"S&P®" and "S&P 500®" are trademarks of S&P Global, Inc. or its affiliates and have beenlicensed for use byJPMorgan Chase & Co.
and its affiliates, including JPMorgan Financial.
Background on Futures Contracts
Overview of FuturesMarkets
Futures contracts are contracts that legallyobligate the holder to buyor sell an asset at a predetermined delivery price during a
specified future time period. Futures contracts are traded on regulatedfutures exchanges, in theover-the-counter market and on
various types of physical and electronic trading facilitiesand markets. Anexchange-traded futurescontract provides for the purchase
and sale of a specified type and quantity of an underlying asset or financial instrument during a stated deliverymonth for a fixed price.
A futures contract provides fora specified settlement monthin which the cash settlement ismade or in which the underlying asset or
financial instrument is to bedelivered by the seller (whose position is therefore described as"short") and acquired by the purchaser
(whose position is therefore described as "long").
PS-16 | Structured Investments
Uncapped Accelerated Barrier Notes Linkedto the LeastPerforming of the
S&P 500® FuturesExcess Return Index,the S&P 500®Equal Weight Index
and the iShares® S&P500 GrowthETF
No purchase price is paid or receivedon the purchase or sale of a futures contract.Instead, an amount of cash or cash equivalents
must bedeposited with the broker as "initial margin." This amount varies based on the requirements imposedbythe exchange clearing
houses, but it maybe lower than 5% of the notionalvalueof the contract. Thismargin deposit providescollateral for the obligations of
the parties to the futurescontract.
By depositing margin, which may varyin formdepending on the exchange, with the clearing house or broker involved, a market
participant may be able toearn interest on its margin funds, thereby increasing the total return that it may realize from aninvestment in
futures contracts.
In the United States, futures contractsare traded on designated contract markets. At any time prior to the expiration of afutures
contract, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the
position, subject to the availabilityof a liquid secondary market. Thisoperates to terminate the position and fix the trader's profit or loss.
Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to asa "futures
commissionmerchant," which is amember of theclearing house.
Unlike commonequitysecurities, futures contracts, by their terms, have stated expirations. At a specific point in time prior to expiration,
trading in a futures contract for the current deliverymonth will cease. As a result, a market participant wishing to maintain itsexposure
to a futures contract on a particular asset or financial instrument with the nearest expiration must close out its position in the expiring
contract and establish a new position in thecontract for the next delivery month, a process referred to as "rolling." For example, a
market participant with along position in a futures contract expiring in November who wishes to maintain a position in the nearest
delivery month will, as the November contract nears expiration, sell the November contract, which serves to close out theexisting long
position, and buy afuturescontract expiring inDecember. This will "roll" the November position into a December position, and, when
the November contract expires, the market participant will still have a longposition in the nearest deliverymonth.
Futures exchanges and clearing houses in the UnitedStates are subject to regulation by the CommodityFutures TradingCommission
(the "CFTC"). Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits,
maximum price fluctuationsand trading halts and suspensions and requiring liquidationof contractsincertain circumstances. Futures
marketsoutside the United Statesare generally subject to regulation by foreign regulatory authoritiescomparable to the CFTC. The
structure andnature of trading onnon-U.S. exchanges, however, may differ from the above description.
Underlying Futures Contracts
E-mini® S&P 500® futures contracts are U.S. dollar-denominated futures contracts, based on the S&P 500® Index, tradedon the
Exchange, representing a contractunit of $50 multiplied by the S&P 500® Index, measured in centsper index point.
E-mini® S&P 500® futures contracts listed for the nearest nine quarters, for each March, June, September and December, and the
nearest three Decembers areavailable for trading. Trading of the E-mini® S&P 500® futures contracts will terminateat 9:30 A.M.
Eastern time on the third Friday of the contract month.
The daily settlement prices of the E-mini® S&P 500® futures contractsare based on trading activity in the relevant contract (andin the
case of a lead month alsobeing the expiry month, together with trading activity on lead month-second month spreadcontracts) on the
Exchange during a specified settlement period. The finalsettlement price of E-mini®S&P 500® futures contracts is basedon the
opening pricesof the component stocks in the S&P 500®Index, determined on the third Fridayof the contract month.