JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 14:20
Primary Offering Prospectus - Form 424B2
October 28, 2024
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricingsupplement to productsupplement no. 4-Idated April 13, 2023, underlying supplement no. 1-IdatedApril 13, 2023, the prospectus and
prospectussupplement, eachdated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorgan Chase Financial CompanyLLC
Structured Investments
$500,000
Uncapped Dual Directional Buffered Return Enhanced
Notes Linked to the Lesser Performing of the Russell
2000® Index and the S&P 500® Index due
November2,2026
Fully and Unconditionally Guaranteedby JPMorgan Chase & Co.
●The notes aredesigned for investors whoseek an uncapped return of 1.30 times any appreciation, or a capped,
unleveraged return equal to the absolute value of any depreciation (up to the Buffer Amount of 10.00%), of the lesser
performing of the Russell2000® Index and the S&P 500®Index, which we refer to as the Indices,at maturity.
●Investors should be willing to forgo interest and dividend payments and be willing tolose up to 90.00% of their principal
amount at maturity.
●The notes areunsecured andunsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, thepayment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk
of JPMorgan Chase & Co., as guarantor of the notes.
●Payments on the notes are not linkedto a basket composed of the Indices. Payments on the notes are linked to the
performance of each of the Indices individually, as described below.
●Minimum denominations of $1,000 and integralmultiplesthereof
●The notes priced on October 28, 2024 and are expected to settle on orabout October 31, 2024.
●CUSIP: 48135UL24
Investing in the notes involves a number of risks. See "Risk Factors" beginningon page S-2 of theaccompanying
prospectus supplement, Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-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 notes or passed upon the accuracy or theadequacyof this pricingsupplement or the accompanying product supplement,
underlying supplement, prospectus supplement,prospectus and prospectusaddendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds to Issuer
Per note
$1,000
$9
$991
Total
$500,000
$4,500
$495,500
(1) See "Supplemental Use of Proceeds"in this pricing supplementfor information about the components of the price to public ofthe notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent forJPMorgan Financial, will pay allof the selling commissions
of $9.00 per $1,000 principal amount noteit receivesfrom usto other affiliated orunaffiliated dealers.See "Planof Distribution(Conflicts of
Interest)" in the accompanyingproductsupplement.
The estimated value of the notes, when the terms of the notes were set, was $978.80 per $1,000 principal amount note. See
"The Estimated Value of the Notes" in this pricing supplement for additional information.
Thenotes are not bankdeposits, are not insured by the FederalDeposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
Uncapped Dual Directional Buffered Return Enhanced NotesLinkedto the Lesser Performing
of theRussell 2000®Index andthe S&P 500® Index
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The Russell 2000® Index (Bloomberg ticker: RTY)
and the S&P 500® Index (Bloomberg ticker: SPX) (each an
"Index" and collectively, the "Indices")
Upside Leverage Factor:1.30
Buffer Amount:10.00%
Pricing Date:October 28, 2024
Original Issue Date (Settlement Date):On or about October
31, 2024
Observation Date*:October 28, 2026
Maturity Date*:November 2, 2026
* Subject to postponement in the event of a market disruption
event and as described under "GeneralTerms of Notes -
Postponement of a Determination Date - Notes Linked to
Multiple Underlyings" and "GeneralTerms of Notes -
Postponement of a Payment Date" in the accompanying
product supplement
Payment at Maturity:
If the Final Value of each Index is greater than itsInitial
Value, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return × Upside
Leverage Factor)
If (i) the Final Value of one Index is greater than its Initial
Value and the Final Value of the other Index is equal to its
Initial Valueor is less than its Initial Value by up to the Buffer
Amount or (ii) the Final Value of each Index is equalto its
Initial Valueor is less than its Initial Value by up to the Buffer
Amount, your payment at maturityper $1,000 principal
amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return of the Lesser
Performing Index)
Thispayout formularesults in an effective cap of 10.00% on
your return at maturity if the Lesser Performing Index Return
is negative. Under theselimited circumstances, your
maximum payment at maturity is $1,100.00 per $1,000
principal amount note.
If the Final Value of either Index is less than its Initial Value
by more than the Buffer Amount, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Lesser Performing Index Return + Buffer
Amount)]
If the Final Value of either Index is lessthan its Initial Value
by more than the Buffer Amount, you will lose some or most
of your principal amount at maturity.
Absolute Index Return: Withrespect to each Index, the
absolute valueof its Index Return. For example, if the Index
Return of an Index is-5%, its Absolute Index Return will equal
5%.
Lesser PerformingIndex: The Index with the Lesser
Performing Index Return
Lesser PerformingIndex Return: The lower of the Index
Returns of the Indices
Index Return: With respect to each Index,
(Final Value -Initial Value)
Initial Value
Initial Value:With respect to each Index, theclosing level of
that Index on the Pricing Date, which was2,244.068 for the
Russell 2000® Indexand5,823.52 for the S&P 500® Index
Final Value: With respect to each Index, the closing level of
that Index on the Observation Date
PS-2| Structured Investments
Uncapped Dual Directional Buffered Return Enhanced NotesLinkedto the Lesser Performing
of theRussell 2000®Index andthe S&P 500® Index
Supplemental Terms of the Notes
Any value of any underlier, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of thispricingsupplement and thecorrespondingterms of the notes. Notwithstanding
anything to the contraryin the indenture governing the notes, that amendment will become effective without consent of the holders of
the notes or anyother party.
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total return and payment at maturityon the noteslinkedto two hypothetical
Indices. The "total return" as usedin thispricing supplement is the number, expressed as a percentage, that resultsfrom comparing the
payment at maturity per $1,000 principalamount noteto $1,000. The hypothetical total returns and payments set forthbelow assume
the following:
●an Initial Value for the Lesser Performing Index of 100.00;
●an Upside Leverage Factor of 1.30; and
●a Buffer Amount of 10.00%.
The hypothetical InitialValue of the Lesser Performing Indexof 100.00has been chosen for illustrative purposesonly anddoes not
represent the actual Initial Value of either Index. The actual Initial Value of eachIndex is the closing level of that Indexon the Pricing
Date and is specified under "Key Terms -Initial Value" in this pricing supplement.For historical data regarding the actual closing levels
of each Index, please see the historical information set forth under "The Indices" in this pricingsupplement.
Each hypothetical total return or hypothetical payment at maturity set forth below is for illustrative purposes only and maynot 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 Lesser
Performing
Index
Lesser
Performing
Index Return
Absolute Index Return
of the Lesser
Performing Index
Total Return on the
Notes
Payment at Maturity
180.00
80.00%
N/A
104.00%
$2,040.00
165.00
65.00%
N/A
84.50%
$1,845.00
150.00
50.00%
N/A
65.00%
$1,650.00
140.00
40.00%
N/A
52.00%
$1,520.00
130.00
30.00%
N/A
39.00%
$1,390.00
120.00
20.00%
N/A
26.00%
$1,260.00
110.00
10.00%
N/A
13.00%
$1,130.00
105.00
5.00%
N/A
6.50%
$1,065.00
101.00
1.00%
N/A
1.30%
$1,013.00
100.00
0.00%
0.00%
0.00%
$1,000.00
95.00
-5.00%
5.00%
5.00%
$1,050.00
90.00
-10.00%
10.00%
10.00%
$1,100.00
85.00
-15.00%
N/A
-5.00%
$950.00
80.00
-20.00%
N/A
-10.00%
$900.00
70.00
-30.00%
N/A
-20.00%
$800.00
60.00
-40.00%
N/A
-30.00%
$700.00
50.00
-50.00%
N/A
-40.00%
$600.00
40.00
-60.00%
N/A
-50.00%
$500.00
30.00
-70.00%
N/A
-60.00%
$400.00
20.00
-80.00%
N/A
-70.00%
$300.00
10.00
-90.00%
N/A
-80.00%
$200.00
0.00
-100.00%
N/A
-90.00%
$100.00
PS-3| Structured Investments
Uncapped Dual Directional Buffered Return Enhanced NotesLinkedto the Lesser Performing
of theRussell 2000®Index andthe S&P 500® Index
The following graph demonstratesthehypothetical payments at maturity on the notes for a range of Lesser Performing Index Returns (-
100% to 100%). There can beno assurance that the performance of the Lesser Performing Index will result in the returnof any of your
principal amount in excess of $100.00 per $1,000.00 principal amount note, subject to thecredit risks of JPMorgan Financial and
JPMorgan Chase & Co.
How the Notes Work
Index Appreciation Upside Scenario:
If the Final Value of eachIndex is greater thanitsInitial Value, investors will receive at maturitythe $1,000 principal amount plusa
return equal tothe Lesser Performing Index Returntimes the Upside Leverage Factor of 1.30.
●If the closing level of the Lesser PerformingIndexincreases5.00%, investors will receive at maturity a return of 6.50%, or
$1,065.00 per $1,000 principal amount note.
Index Par or Index Depreciation Upside Scenario:
If (i) the Final Value of one Index is greater than its Initial Value and the Final Value of the other Index is equal to its InitialValueor is
less than its Initial Valueby up to the Buffer Amount of 10.00% or (ii) the Final Value of each Index is equal to its Initial Value or is less
than its Initial Value by up to the Buffer Amount of 10.00%, investors will receive at maturitythe $1,000 principal amount plus a return
equal to the AbsoluteIndex Return of the Lesser Performing Index.
●For example, if the closing level of the Lesser PerformingIndex declines 10.00%, investors will receive at maturity a return of
10.00%, or $1,100.00 per $1,000 principal amount note.
Downside Scenario:
If the Final Value of either Index is less than its Initial Value by more than the Buffer Amount of 10.00%, investors will lose1% of the
principal amount of their notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value bymore
than the Buffer Amount.
●For example, if theclosing level of the Lesser Performing Index declines 60.00%, investors will lose 50.00%oftheir principal
amount and receive only $500.00 per $1,000principalamount note at maturity.
The hypothetical returnsand hypothetical payments on the notesshown above applyonlyif you hold the notes for their entire term.
These hypotheticals do not reflect the feesor expenses that would be associated withanysale inthe secondary market. If these fees
and expenses were included, the hypothetical returnsandhypothetical payments shown above wouldlikely be lower.
PS-4| Structured Investments
Uncapped Dual Directional Buffered Return Enhanced NotesLinkedto the Lesser Performing
of theRussell 2000®Index andthe S&P 500® Index
Selected Risk Considerations
An investment in the notes involvessignificant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement and product 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 either Index is lessthan its Initial Value by more than
10.00%, you will lose 1%of the principalamount of your notes for every1% that the FinalValue of the Lesser Performing Index is
less than its Initial Valueby more than 10.00%. Accordingly, under these circumstances, you will lose up to 90.00% of your
principal amount at maturity.
●YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER AMOUNT IF THE LESSER PERFORMING INDEX
RETURN IS NEGATIVE -
Because the payment at maturity will not reflect the AbsoluteIndex Return of the Lesser Performing Index if its Final Valueis less
than its Initial Value by more than the Buffer Amount, the Buffer Amount iseffectively a cap on your returnat maturityif the Lesser
Performing Index Return is negative. The maximum payment at maturityif the Lesser Performing Index Returnis negative is
$1,100.00 per $1,000 principal amount note.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, asdetermined bythemarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a financesubsidiary of JPMorgan Chase & Co., we have no independent operations beyond theissuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capitalcontribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. 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
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in
respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable tomake
payments on the notes, you may have to seek payment under the related guaranteeby JPMorgan 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 ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX -
Payments on the notes are not linkedto a basket composed of the Indices and are contingent upon the performance of each
individualIndex. Poor performance byeither of theIndices over the term of the notesmaynegatively affect your payment at
maturityand will not be offset or mitigated bypositive performance by the other Index.
●YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
●THE NOTES DO NOT PAY INTEREST.
●YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
●LACK OF LIQUIDITY-
The notes will not be listedon anysecurities exchange. Accordingly, the price at which you maybe able to trade your notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notesare not
designed to beshort-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
●POTENTIAL CONFLICTS-
We and our affiliates play avariety of roles inconnection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economicinterests are potentially adverse to your interests as aninvestor in the notes. It ispossible that hedging or trading
activities of ours or our affiliates inconnection with thenotescould result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanyingproduct
supplement.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
●THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of thenotes is only an estimate determined by reference to several factors. The original issue price of the
notes exceedsthe estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in theoriginal issue price of the notes. Thesecosts include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesandthe estimated cost of hedging
our obligations under the notes. See "The Estimated Valueof the Notes" in this pricing supplement.
PS-5| Structured Investments
Uncapped Dual Directional Buffered Return Enhanced NotesLinkedto the Lesser Performing
of theRussell 2000®Index andthe S&P 500® Index
●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 fundingrate usedin the determinationof the estimated value of the notes maydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any difference may
be based on, among other things, our and our affiliates' view of the funding valueof the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for theconventional fixed income
instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended toapproximate the prevailing market replacement funding rate for the notes.The use of an
internal funding rate and anypotential changes to that ratemay have an adverse effect on the termsof the notes and any
secondary market prices of the notes. See "The Estimated Value of the Notes" in this pricing supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in the original issue price of the notes will be 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.
See "SecondaryMarket Prices of the Notes" in this pricing supplementfor additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the value of the notes aspublished by
JPMS (and which may be shown on your customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondary market pricesof the notes willlikely be lower than the original issue price of the notes because, among other
things, secondary market prices take intoaccount our internal secondary market funding rates for structureddebt issuances and,
also, becausesecondarymarket prices may exclude sellingcommissions, projected hedging profits, if any, and estimatedhedging
costs that are included inthe original issue price of the notes. As a result, the price, if any, at which JPMS will be willingtobuy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale byyou prior to
the Maturity Date could result in a substantialloss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, aside from theselling commissions, projected hedgingprofits, if any, estimated hedging
costs and the levels of the Indices. Additionally, independentpricing vendors and/or third party broker-dealers may publish aprice
for the notes, which mayalso be reflected on customer account statements. This pricemay be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes -Secondarymarket prices of the notes will be
impacted by many economic and market factors" in theaccompanying product supplement.
Risks Relating to the Indices
●JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the level of the S&P 500® Index.
●AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE RUSSELL 2000®INDEX -
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Smallcapitalization companies are less likely to paydividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock pricepressure under adverse marketconditions.
The Indices
The Russell 2000® Index consistsof the middle 2,000companies included in the Russell 3000ETMIndex and, as a result of the index
calculation methodology, consistsof the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is
designed to track the performance of the small capitalizationsegment of the U.S.equity market. For additional information about the
Russell 2000®Index, see "Equity Index Descriptions -The Russell Indices" in theaccompanying underlyingsupplement.
The S&P 500®Index consistsof stocks of 500 companiesselected to provide aperformance benchmark for the U.S. equity markets.
For additional information about the S&P 500®Index, see "Equity Index Descriptions -The S&P U.S. Indices" in the accompanying
underlying supplement.
Historical Information
The following graphs set forththe historical performance of each Index based onthe weekly historical closing levels from January4,
2019 through October 25, 2024. The closing level of the Russell 2000® Index on October 28, 2024 was 2,244.068. Theclosing level of
the S&P 500®Index on October 28, 2024 was5,823.52. We obtained the closing levels aboveand below from the Bloomberg
Professional®service ("Bloomberg"), without independent verification.
The historical closing levels of each Indexshouldnot be taken asan indication of future performance, and noassurance can be given
as to the closing level of either Index on the Observation Date. There can be no assurancethat the performance of the Indices will
result in the return of anyof your principalamount in excessof $100.00 per $1,000.00 principalamount note, subject to the credit risks
of JPMorgan Financial and JPMorgan Chase & Co.
PS-6| Structured Investments
Uncapped Dual Directional Buffered Return Enhanced NotesLinkedto the Lesser Performing
of theRussell 2000®Index andthe S&P 500® Index
Historical Performance of the Russell 2000®Index
Source: Bloomberg
Historical Performance of the S&P 500® Index
Source: Bloomberg
PS-7| Structured Investments
Uncapped Dual Directional Buffered Return Enhanced NotesLinkedto the Lesser Performing
of theRussell 2000®Index andthe S&P 500® Index
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion ofour special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Basedon current 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, as more fully 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. Assuming this treatment is respected, the gain or loss on your notes should be treated aslong-term
capital gain or loss if you holdyour notes for more than ayear, whether or not you are an initialpurchaser of notes at the issue price.
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 theIRS released a notice requestingcomments on the
U.S. federal income tax treatment of "prepaidforward contracts" and similar instruments. The notice focuses in particular onwhether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of
related topics, including the character of income or loss with respect to these instruments; the relevance of factors such asthe nature of
the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandatedaccruals)
realized bynon-U.S. investorsshould be subject to withholding tax; and whether these instruments are or should be subject tothe
"constructive ownership" regime, whichverygenerallycan operate to recharacterize certain long-termcapital gain as ordinary income
and imposea notional interest charge. While the noticerequestscomments on appropriate transition rulesandeffective dates, any
Treasury regulations or other guidance promulgated after consideration of these issues could materiallyand adverselyaffect the tax
consequencesof an investment in the notes, possibly with retroactive effect. You should consult your taxadviser regarding the U.S.
federal income tax consequencesof an investment in the notes, including possible alternative treatments and the issuespresented by
thisnotice.
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 theapplicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthe scopeof Section 871(m) instruments issued prior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special taxcounsel is of the
opinion that Section871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS,
and the IRS maydisagree with this determination. Section 871(m) iscomplex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. Youshould consult your tax
adviser regarding the potential application of Section871(m) to the notes.
The Estimated Value of the Notes
The estimated value of thenotes set forth on the cover of this pricing supplement isequal to the sum of the values of the following
hypothetical components: (1) a fixed-incomedebt component with thesamematurityas the notes, valuedusingthe internal funding
rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes. The estimated value of the notes
does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any
time. The internal funding rate used in the determination of the estimatedvalue of the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any difference may be
based on, among other things, our and our affiliates'view of the funding value of the notesas well as the higher issuance,operational
and ongoing liabilitymanagement costs of the notesin comparison tothosecosts for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputsand assumptions, which mayprove to beincorrect,
and is intended to approximate theprevailing market replacement funding rate for the notes. The use of an internal funding rate and
any potential changes to that rate mayhave an adverse effect on theterms of the notesand any secondary market prices of the notes.
For additional information, see "Selected Risk Considerations -Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes -The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate" in thispricing supplement.
The value of the derivativeor derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These modelsare dependent on inputs such asthe traded market prices of comparable derivative instruments and onvarious
other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as
well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when
the terms of the notes are setbased on market conditions and other relevant factors and assumptionsexisting at that time.
PS-8| Structured Investments
Uncapped Dual Directional Buffered Return Enhanced NotesLinkedto the Lesser Performing
of theRussell 2000®Index andthe S&P 500® Index
The estimated value of thenotes doesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsandassumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the futuremay change, and any assumptionsmay prove to be incorrect. On
futuredates, the value of thenotescould changesignificantly 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 notesfromyou in secondarymarket transactions.
The estimated value of thenotes is lower than the original issue priceof the notes becausecosts associated with selling, structuring
and hedging the notes areincludedin the original issueprice of the notes. These costsinclude the sellingcommissions 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 estimatedcost of hedging our obligations under thenotes. Becausehedging our
obligations entails riskandmay be influenced by market forces beyond our control, thishedging may result in a profit that is more or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notesmay be
allowed to other affiliatedor unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See
"Selected Risk Considerations -Risks Relating to the Estimated Value and Secondary Market Prices of the Notes - The Estimated
Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes- Secondary market prices of the notes will be impacted bymany
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs
included in theoriginal issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initialpredetermined period. These costscan includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structured debt issuances. Thisinitial predetermined time period is intended to be the shorter of six monthsand one-half of the
stated term of the notes. The length of any such initial period reflects thestructure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "SelectedRisk 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 LimitedTime Period" in this pricing supplement.
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 "HypotheticalPayout Profile" and "How the Notes Work" in this pricing supplement for an illustration of the risk-return profile
of the notes and "The Indices"in thispricing supplement for a description of themarket exposure provided by the notes.
The original issueprice of the notes is equal to the estimated value of the notes plus the selling commissions paidtoJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliatesexpect to realize for assuming risks inherent
in hedging our obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offeredby this pricing supplement have beenissued by JPMorgan Financialpursuant to the indenture, the trustee and/orpaying
agent has made, in accordance with the instructions fromJPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and such notes have beendelivered against payment as
contemplated herein, suchnotes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicablebankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing andthe lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulentconveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'sobligation under the related guarantee.
Thisopinion is given as of thedate hereof and is limited to the laws of the State of New York, the General CorporationLaw of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion issubject to customary assumptions about the
trustee's authorization, execution and delivery of the indenture and its authentication of the master note and thevalidity, binding nature
and enforceability of the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filed asan exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. onFebruary 24,
2023.
PS-9| Structured Investments
Uncapped Dual Directional Buffered Return Enhanced NotesLinkedto the Lesser Performing
of theRussell 2000®Index andthe S&P 500® Index
Additional Terms Specific to the Notes
You should read this pricing supplement together with the accompanying prospectus, as supplementedby theaccompanying
prospectussupplement relating to our Series A medium-term notes of which thesenotes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notesandsupersedes 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 carefully consider, among other things, the matters set forth in the "Risk Factors" sections of theaccompanying
prospectussupplement and the accompanying product supplement andin Annex A to the accompanying prospectusaddendum, as the
notes involve risksnot 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 accessthese documentson theSEC websiteat www.sec.gov as follows(or if such address haschanged, by
reviewing our filings for the relevant dateon the 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, orCIK, on the SEC websiteis 1665650,and JPMorganChase & Co.'s CIK is19617. As used inthis pricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.