JPMorgan Chase Financial 424B2 Prospectus for primary offering

January 31, 2025 Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)

Pricing supplement to product supplement no. 3-I dated April 13, 2023, underlying supplement no. 1-I dated April 13, 2023, underlying supplement

no. 23-I dated August 28, 2023, the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June

3, 2024

JPMorgan Chase Financial Company LLC

Structured Investments

$75,000

Notes Linked to an Unequally Weighted Basket Consisting of

the S&P 500® Index and the J.P. Morgan Multi-Asset Index

due February 3, 2028

Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.

• The notes are designed for investors who seek exposure to any appreciation of an unequally weighted basket of the S&P

500® Index and the J.P. Morgan Multi-Asset Index, which we refer to as the Indices, over the term of the notes.

• The weighting of each Index will be determined based on the relative performance of the Indices against each other over

the term of the notes. The Index with the better performance will be allocated a weighting of 65.00% and the Index with

the lesser performance will be allocated a weighting of 35.00%.

• Investors should be willing to forgo interest and dividend payments, while seeking full repayment of principal at maturity.

• The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to

as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any

payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit

risk of JPMorgan Chase & Co., as guarantor of the notes.

• Minimum denominations of $1,000 and integral multiples thereof

• The notes priced on January 31, 2025 and are expected to settle on or about February 5, 2025.

• CUSIP: 48135W5D4

Investing in the notes involves a number of risks. See “Risk Factors” beginning on page S-2 of the accompanying

prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors” beginning on page PS-12

of the accompanying product supplement, “Risk Factors” beginning on page US-4 of the accompanying underlying

supplement no. 23-I and “Selected Risk Considerations” beginning on page PS-8 of this pricing supplement.

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved

of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement,

underlying supplements, prospectus supplement, prospectus and prospectus addendum. Any representation to the contrary is a

criminal offense.

Price to Public (1)

Fees and Commissions (2)

Proceeds to Issuer

Per note

$1,000

$10

$990

Total

$75,000

$750

$74,250

(1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the

notes.

(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling

commissions of $10.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of

Distribution (Conflicts of Interest)” in the accompanying product supplement.

The estimated value of the notes, when the terms of the notes were set, was $973.10 per $1,000 principal amount note.

See “The Estimated Value of the Notes” in this pricing supplement for additional information.

The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency

and are not obligations of, or guaranteed by, a bank.

PS-1 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

Key Terms

Issuer: JPMorgan Chase Financial Company LLC, a direct,

wholly owned finance subsidiary of JPMorgan Chase & Co.

Guarantor: JPMorgan Chase & Co.

Basket: The notes are linked to an unequally weighted basket

consisting of the following:

• the S&P 500® Index (Bloomberg ticker: SPX); and

• the J.P. Morgan Multi-Asset Index (Bloomberg ticker: MAX)

(each, an “Index” and collectively, the “Indices”).

The level of the J.P. Morgan Multi-Asset Index reflects a 1.00%

per annum daily deduction.

Better Performing Index Weighting: 65.00%

Lesser Performing Index Weighting: 35.00%

Participation Rate: 100.00%

Pricing Date: January 31, 2025

Original Issue Date (Settlement Date): On or about February

5, 2025

Observation Date*: January 31, 2028

Maturity Date*: February 3, 2028

* Subject to postponement in the event of a market disruption event

and as described under “General Terms of Notes — Postponement

of a Determination Date —Notes Linked to Multiple Underlyings” in

the accompanying product supplement, as supplemented by

“Supplemental Terms of the Notes — Postponement of a

Determination Date — Notes linked to the Index and other

reference assets” in the accompanying underlying supplement no.

23-I, and “General Terms of Notes — Postponement of a Payment

Date” in the accompanying product supplement

Payment at Maturity:

At maturity, you will receive a cash payment, for each $1,000

principal amount note, of $1,000 plus the Additional Amount,

which may be zero.

You are entitled to repayment of principal in full at maturity,

subject to the credit risks of JPMorgan Financial and JPMorgan

Chase & Co.

Additional Amount†: The Additional Amount payable at

maturity per $1,000 principal amount note will equal:

$1,000 × Basket Return × Participation Rate,

provided that the Additional Amount will not be less than zero.

Basket Return:

(Final Basket Value – Initial Basket Value)

Initial Basket Value

Initial Basket Value: Set equal to 100 on the Pricing Date

Final Basket Value: 100 × [1 + (Better Performing Index

Weighting × Index Return of Better Performing Index) + (Lesser

Performing Index Weighting × Index Return of Lesser

Performing Index)]

Better Performing Index: The Index with the higher Index

Return

Lesser Performing Index: The Index with the lower Index

Return

Index Return: With respect to each Index,

(Final Value – Initial Value)

Initial Value

Initial Value: With respect to each Index, the closing level of

that Index on the Pricing Date, which was 6,040.53 for the S&P

500® Index and 295.49 for the J.P. Morgan Multi-Asset Index

Final Value: With respect to each Index, the closing level of

that Index on the Observation Date

† Subject to the impact of a commodity hedging disruption event as

described under “General Terms of Notes — Consequences of a

Commodity Hedging Disruption Event” in the accompanying product

supplement. In the event of a commodity hedging disruption event, we

have the right, but not the obligation, to cause the calculation agent to

determine on the commodity hedging disruption date, as defined in the

accompanying product supplement, the value of the Additional Amount

payable at maturity. Under these circumstances, the value of the

Additional Amount payable at maturity will be determined prior to the

Observation Date and without regard to the Final Basket Value.

PS-2 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

Supplemental Terms of the Notes

The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended

(the “Commodity Exchange Act”). The notes are offered pursuant to an exemption from regulation under the Commodity Exchange

Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or more payments indexed to the

value, level or rate of one or more commodities, as set out in section 2(f) of that statute. Accordingly, you are not afforded any

protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity Futures Trading Commission.

Any values of the Indices, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of

manifest error or inconsistency, by amendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding

anything to the contrary in the indenture governing the notes, that amendment will become effective without consent of the holders of

the notes or any other party.

The Basket

The return on the notes is linked to an unequally weighted basket consisting of the S&P 500® Index and the J.P. Morgan Multi-Asset

Index.

The S&P 500® Index

The S&P 500® Index consists of stocks of 500 companies selected to provide a performance 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 no. 1-I.

The J.P. Morgan Multi-Asset Index

The J.P. Morgan Multi-Asset Index (the “MAX Index”) was developed and is maintained and calculated by JPMS, one of our affiliates.

The MAX Index is reported by Bloomberg L.P. under the ticker symbol “MAX Index.”

The MAX Index seeks to provide a dynamic and diversified asset allocation based on a momentum investment strategy. The MAX

Index tracks the return of (a) a dynamic notional portfolio consisting of up to 10 excess return futures-based indices (each, a

“Constituent” and collectively, the “Constituents”), converted into U.S. dollars (in the case of Constituents not denominated in U.S.

dollars), less (b) a 1.00% per annum daily deduction. The Constituents represent a broad range of asset classes (equities, fixed

income and commodities) and developed markets (the United States, Germany and Japan).

The MAX Index selects and rebalances into a new notional portfolio composed of the Constituents at least once each month using a

methodology that is designed to:

• maintain a diversified allocation at all times;

• allocate dynamically based on the market cycle; and

• select allocations that attempt to deliver a stable volatility over time.

Maintaining a diversified allocation. A diversified portfolio’s return is the weighted average of its constituents’ returns, but its volatility is

less than the weighted average of its constituents’ volatilities, because different assets don’t always move in the same direction — in

this sense, a diversified portfolio can be said to deliver average returns with below-average volatility. In order to ensure diversification,

the MAX Index constitutes its selected portfolio from a universe of 10 Constituents, and imposes caps and floors on the Constituent

weights at the individual and asset class levels. Each Constituent’s assigned weight must also be an increment of 5%, and the

assigned weights must sum to 100%. The following table sets forth the current Constituents, the ticker for each Constituent, the

minimum and maximum assigned weight for each Constituent and the minimum and maximum aggregate assigned weight for each

asset class. For additional information about the Constituents, see “Background on the J.P. Morgan Futures Indices” in the

accompanying underlying supplement no. 23-I.

Constituent

Ticker

Individual

Assigned

Weight

Constraints

Aggregate

Assigned

Weight

Constraints

1

J.P. Morgan US Large Cap Equities Futures Index

JPUSLGEQ

Minimum:

-10%

Maximum:

40%

Minimum:

10%

Maximum:

60%

2

J.P. Morgan US Small Cap Equities Futures Index

JPUSSMEQ

3

J.P. Morgan German Equities Futures Index

JPDEEQ

4

J.P. Morgan Japanese Equities Futures Index

JPJPEQ

PS-3 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

Constituent

Ticker

Individual

Assigned

Weight

Constraints

Aggregate

Assigned

Weight

Constraints

5

J.P. Morgan 5Y U.S. Treasury Futures Index

JPUS5YT

Minimum:

-10%

Maximum:

40%

Minimum:

10%

Maximum:

80%

6

J.P. Morgan 10Y U.S. Treasury Futures Index

JPUS10YT

7

J.P. Morgan German Government Bond Futures Index

JPDEBUND

8

J.P. Morgan Japanese Government Bond Futures Index

JPJP10YB

9

J.P. Morgan Brent Crude Oil Futures Index

JPBRENT

Minimum:

-20%

Maximum:

20%

Minimum:

-30%

Maximum:

30%

10

J.P. Morgan Gold Futures Index

JPMGOLD

Allocating dynamically based on the market cycle. Historical data and statistical analysis support the premise that assets tend to move

in multi-year cycles. Depending on the asset class, these cycles can range from five to 30 years. The presence of these trends is one

possible explanation for the academic research showing that, historically, asset classes exhibiting strong recent returns have been

more likely to continue to exhibit positive returns. The MAX Index attempts to take advantage of this dynamic by identifying a selected

portfolio that reflects the strongest recent returns in local-currency terms from among the possible portfolios that meet the weight

constraints set forth above and the volatility threshold described below.

Targeting stable volatility. One measure of risk used by many investors is volatility, which reflects the degree of variation in the value of

an asset or portfolio over a period of time. Unlike asset-allocation approaches that aim to maintain stable proportions of different assets

throughout the market cycle, the MAX Index attempts to maintain a stable level of volatility over time. As compared to an approach that

maintains consistent weights through the market cycle, the MAX Index is designed to take on more volatility risk in calm markets and

deliver lower volatility in choppy ones.

Identifying a selected portfolio. At least once each month, the MAX Index identifies every notional portfolio that meets the individual

Constituent and asset class weight constraints set forth above with weights in increments of 5% and a total weight of 100% and that

has a recent historical volatility at or below a volatility threshold of 4%. The MAX Index then selects and rebalances into the notional

portfolio from that set with the strongest recent performance in local-currency terms. If no such notional portfolio exists, then the

volatility threshold is increased by 1% (e.g., from 4% to 5%), and the procedure described in this paragraph is repeated, including the

increase to the volatility threshold, until a notional portfolio has been selected.

Calculating the level of the MAX Index. On any given day, the closing level of the MAX Index (the “MAX Index Level”) reflects (a) the

weighted U.S. dollar performance of the Constituents tracked by the MAX Index on that day less (b) the 1.00% per annum daily

deduction. The MAX Index Level was set equal to 100.00 on February 22, 1994, the base date of the MAX Index. The Index

Calculation Agent (as defined below) began calculating the MAX Index on a live basis on November 18, 2022.

The MAX Index is an “excess return” index because it provides notional exposure to its Constituents that in turn provide exposure to

futures contract returns that reflect changes in the price of those futures contracts, as well as their “roll” returns. The MAX Index is not

a “total return” index because its Constituents do not reflect interest that could be earned on funds notionally committed to the trading of

futures contracts.

JPMS is currently the sponsor of the MAX Index (the “Index Sponsor”) and the calculation agent of the MAX Index (the “Index

Calculation Agent”).

See “The J.P. Morgan Multi-Asset Index” in the accompanying underlying supplement no. 23-I for additional information about the MAX

Index.

No assurance can be given that the investment strategy used to construct the MAX Index will be successful or that the MAX

Index will outperform any alternative portfolio or strategy that might be constructed from its Constituents. There is no

guarantee that past performance trends referenced in identifying a selected portfolio will continue during the subsequent

period when the MAX Index provides exposure to that selected portfolio. In addition, no assurance can be given that the

actual realized volatility of the MAX Index will approximate 4%. The actual realized volatility of the MAX Index will depend on

the performance of the Constituents included in the selected portfolio(s) from time to time, and, at any time or for extended

periods, may be greater than 4%, perhaps significantly, or less than 4%. Furthermore, the volatility threshold is subject to

upward adjustment and, thus, the realized volatility threshold used to determine any selected portfolio may be greater than

4%, perhaps significantly.

PS-4 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

The MAX Index is described as a “notional” or “synthetic” portfolio of assets because there is no actual portfolio of assets to

which any person is entitled or in which any person has any ownership interest. The MAX Index merely references certain

assets, the performance of which will be used as a reference point for calculating the MAX Index Level.

PS-5 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

Hypothetical Payout Profile

The following table and graph illustrate the hypothetical payment at maturity on the notes. The hypothetical payments set forth below

assume the following:

• an Initial Basket Value of 100.00; and

• a Participation Rate of 100.00%.

Each hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the actual payment at maturity

applicable to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of

analysis.

Final Basket Value

Basket Return

Additional Amount

Payment at Maturity

165.00

65.00%

$650.00

$1,650.00

150.00

50.00%

$500.00

$1,500.00

140.00

40.00%

$400.00

$1,400.00

130.00

30.00%

$300.00

$1,300.00

120.00

20.00%

$200.00

$1,200.00

110.00

10.00%

$100.00

$1,100.00

105.00

5.00%

$50.00

$1,050.00

101.00

1.00%

$10.00

$1,010.00

100.00

0.00%

$0.00

$1,000.00

95.00

-5.00%

$0.00

$1,000.00

90.00

-10.00%

$0.00

$1,000.00

80.00

-20.00%

$0.00

$1,000.00

70.00

-30.00%

$0.00

$1,000.00

60.00

-40.00%

$0.00

$1,000.00

50.00

-50.00%

$0.00

$1,000.00

40.00

-60.00%

$0.00

$1,000.00

30.00

-70.00%

$0.00

$1,000.00

20.00

-80.00%

$0.00

$1,000.00

10.00

-90.00%

$0.00

$1,000.00

0.00

-100.00%

$0.00

$1,000.00

PS-6 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

The following graph demonstrates the hypothetical payments at maturity on the notes for a range of Basket Returns. There can be no

assurance that the performance of the Basket will result in a payment at maturity in excess of $1,000.00 per $1,000 principal amount

note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.

How the Notes Work

Upside Scenario:

If the Final Basket Value is greater than the Initial Basket Value, investors will receive at maturity the $1,000 principal amount plus the

Additional Amount, which is equal to $1,000 times the Basket Return times the Participation Rate of 100.00%.

• If the Final Basket Value is greater than the Initial Basket Value by 10.00%, investors will receive at maturity a return equal to

10.00%, or $1,100.00 per $1,000 principal amount note.

Par Scenario:

If the Final Basket Value is equal to or less than the Initial Basket Value, the Additional Amount will be zero and investors will receive at

maturity the principal amount of their notes.

The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term.

These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees

and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.

PS-7 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

How to Determine the Weightings of the Indices

The following examples illustrate a range of performances of the Indices on the Observation Date. The hypothetical examples set forth

below assume the following:

• an Initial Value of 100.00 for each Index;

• a Better Performing Index Weighting of 65.00%;

• a Lesser Performing Index Weighting of 35.00%; and

• an Initial Basket Value of 100.00.

Example 1: All Index Returns are positive.

Index

Initial Value

Final Value

Index Return

Basket Weighting

S&P 500® Index

100.00

105.00

5.00%

35.00%

MAX Index

100.00

110.00

10.00%

65.00%

Basket Return:

8.25%

Because the Index Return of the MAX Index is higher than the Index Return of the S&P 500® Index, the MAX Index is weighted at

65.00% and the S&P 500® Index is weighted at 35.00%.

The Final Basket Value is calculated as follows:

100 × [1 + (65.00% × 10.00%) + (35.00% × 5.00%)] = 108.25

Therefore, the Basket Return is 8.25%.

Example 2: All Index Returns are negative.

Index

Initial Value

Final Value

Index Return

Basket Weighting

S&P 500® Index

100.00

60.00

-40.00%

65.00%

MAX Index

100.00

50.00

-50.00%

35.00%

Basket Return:

-43.50%

Because the Index Return of the S&P 500® Index is higher than the Index Return of the MAX Index, the S&P 500® Index is weighted at

65.00% and the MAX Index is weighted at 35.00%.

The Final Basket Value is calculated as follows:

100 × [1 + (65.00% × -40.00%) + (35.00% × -50.00%)] = 56.50

Therefore, the Basket Return is -43.50%.

Example 3: The Index Returns are mixed.

Index

Initial Value

Final Value

Index Return

Basket Weighting

S&P 500® Index

100.00

105.00

5.00%

65.00%

MAX Index

100.00

20.00

-80.00%

35.00%

Basket Return:

-24.75%

Because the Index Return of the S&P 500® Index is higher than the Index Return of the MAX Index, the S&P 500® Index is weighted at

65.00% and the MAX Index is weighted at 35.00%.

The Final Basket Value is calculated as follows:

100 × [1 + (65.00% × 5.00%) + (35.00% × -80.00%)] = 75.25

Therefore, the Basket Return is -24.75%.

PS-8 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

Selected Risk Considerations

An investment in the notes involves significant risks. These risks are explained in more detail in the “Risk Factors” sections of the

accompanying prospectus supplement, product supplement and underlying supplement no. 23-I and in Annex A to the accompanying

prospectus addendum.

Risks Relating to the Notes Generally

• THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY —

If the Final Basket Value is less than or equal to the Initial Basket Value, you will receive only the principal amount of your notes at

maturity, and you will not be compensated for any loss in value due to inflation and other factors relating to the value of money over

time.

• THE MAX INDEX IS SUBJECT TO A 1.00% PER ANNUM DAILY DEDUCTION —

This per annum deduction will be deducted daily. As a result of the per annum deduction, the level of the MAX Index will trail the

value of a hypothetical identically constituted notional portfolio from which no such deduction is made.

• CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —

Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential

change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit

risk, is likely to adversely affect the value 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 finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of

our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase &

Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to

JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan

Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a

bankruptcy or 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 to make

payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that

guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more

information, see the accompanying prospectus addendum.

• THE NOTES DO NOT PAY INTEREST.

• CORRELATION (OR LACK OF CORRELATION) OF THE INDICES —

The notes are linked to an unequally weighted Basket composed of two Indices. In calculating the Final Basket Value, an increase

in the level of one of the Indices may be moderated, or more than offset, by a lesser increase or decline in the level of the other

Index. In addition, high correlation of movements in the levels of the Indices during periods of negative returns between the Indices

could have an adverse effect on the payment at maturity on the notes.

• YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE S&P 500® INDEX OR HAVE ANY RIGHTS

WITH RESPECT TO THOSE SECURITIES.

• YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES OR LOANS UNDERLYING THE

CONSTITUENTS OF THE MAX INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THE SECURITIES, COMMODITIES,

COMMODITY FUTURES CONTRACTS, LOANS OR OTHER ASSETS UNDERLYING THE CONSTITUENTS OF THE MAX

INDEX.

• WE MAY DETERMINE THE ADDITIONAL AMOUNT FOR YOUR NOTES EARLY IF A COMMODITY HEDGING DISRUPTION

EVENT OCCURS —

If we or our affiliates are unable to effect transactions necessary to hedge our obligations under the notes due to a commodity

hedging disruption event, we may, in our sole and absolute discretion, cause the calculation agent to determine the Additional

Amount for your notes early based on the calculation agent’s good faith determination of the option value for your notes (i.e., the

price of the embedded option representing the Additional Amount payable on the notes at maturity) on the date on which the

calculation agent determines that a commodity hedging disruption event has occurred, which may be significantly earlier than the

Observation Date. Under these circumstances, the amount due and payable on your notes will be due and payable only at

PS-9 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

maturity, and that amount will not reflect any appreciation of the Basket after such early determination. See “General Terms of

Notes —Consequences of a Commodity Hedging Disruption Event” in the accompanying product supplement for more

information.

• LACK OF LIQUIDITY —

The notes will not be listed on any securities exchange. Accordingly, the price at which you may be 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 notes

are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.

Risks Relating to Conflicts of Interest

• POTENTIAL CONFLICTS —

We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase &

Co.’s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading

activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the

value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product

supplement. See also “— Risks Relating to the Basket — Our Affiliate, JPMS, Is the Index Sponsor and Index Calculation Agent of

the MAX Index and May Adjust the MAX Index in a Way that Affects Its Level” below.

In addition, one of our affiliates, JPMS, is one of the primary dealers through which the U.S. Federal Reserve conducts open-

market purchases and sales of U.S. Treasury and federal agency securities, including U.S. Treasury notes. These activities may

affect the prices and yields on the U.S. Treasury notes, which may in turn affect the levels of two of the Bond Constituents (as

defined below) of the MAX Index and the level of the MAX Index. JPMS has no obligation to take into consideration your interests

as a holder of the notes when undertaking these activities.

• JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED

RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN

THE FUTURE —

Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own

independent investigation of the merits of investing in the notes, the Constituents of the MAX Index and the securities,

commodities, commodity futures contracts, loans and other assets underlying the Constituents of the MAX Index.

Risks Relating to the Estimated Value and Secondary Market Prices of the Notes

• THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE

NOTES —

The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the

notes exceeds the estimated value of the notes because costs associated with selling, structuring and hedging the notes are

included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our

affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging

our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement.

• THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER

FROM OTHERS’ ESTIMATES —

See “The Estimated Value of the Notes” in this pricing supplement.

• THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —

The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding

rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan 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 notes as well as the higher issuance,

operational and ongoing liability management costs of the notes in comparison to those costs for the conventional 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 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

secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.

PS-10 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

• 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 generally expect that some of the costs included in the original 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 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 notes during this initial period may be lower than the value of the notes as published 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 prices of the notes will likely be lower than the original issue price of the notes because, among other

things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and,

also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging

costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the

notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to

the Maturity Date could result in a substantial loss to you.

• SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —

The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which

may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging

costs and the level of the Basket. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price

for the notes, which may also 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 notes in the secondary market. See “Risk Factors —

Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be

impacted by many economic and market factors” in the accompanying product supplement.

Risks Relating to the Basket

• JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, WHICH IS

ALSO THE REFERENCE INDEX UNDERLYING THE FUTURES CONTRACTS INCLUDED IN ONE OF THE EQUITY

CONSTITUENTS (AS DEFINED BELOW) OF THE MAX 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 or the securities included in the S&P 500® Index.

• OUR AFFILIATE, JPMS, IS THE INDEX SPONSOR AND INDEX CALCULATION AGENT OF THE MAX INDEX AND MAY

ADJUST THE MAX INDEX IN A WAY THAT AFFECTS ITS LEVEL —

JPMS, one of our affiliates, currently acts as the Index Sponsor and the Index Calculation Agent of the MAX Index and is

responsible for calculating and maintaining the MAX Index and developing the guidelines and policies governing its composition

and calculation. In performing these duties, JPMS may have interests adverse to the interests of the holders of the notes, which

may affect your return on the notes, particularly where JPMS, as the Index Sponsor and the Index Calculation Agent of the MAX

Index, is entitled to exercise discretion. The rules governing the MAX Index may be amended at any time by its Index Sponsor, in

its sole discretion. The rules also permit the use of discretion by the Index Sponsor and the Index Calculation Agent of the MAX

Index in relation to the MAX Index in specific instances, including, but not limited to, the determination of whether to replace a

Constituent of the MAX Index with a substitute or successor upon the occurrence of certain events affecting that Constituent, the

selection of any substitute or successor and the determination of the levels to be used in the event of market disruptions that affect

the ability of the Index Calculation Agent of the MAX Index to calculate and publish the levels of the MAX Index and the

interpretation of the rules governing the MAX Index. Although JPMS, acting as the Index Sponsor and the Index Calculation Agent

of the MAX Index, will make all determinations and take all action in relation to the MAX Index acting in good faith, it should be

noted that JPMS may have interests adverse to the interests of the holders of the notes and the policies and judgments for which

JPMS is responsible could have an impact, positive or negative, on the level of the MAX Index and the value of your notes.

Although judgments, policies and determinations concerning the MAX Index are made by JPMS, JPMorgan Chase & Co., as the

ultimate parent company of JPMS, ultimately controls JPMS. JPMS has no obligation to consider your interests in taking any

actions that might affect the value of your notes. Furthermore, the inclusion of any Constituent in the MAX Index is not an

investment recommendation by us or JPMS of that Constituent or any of the futures contracts underlying that Constituent.

PS-11 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

• AN INVESTMENT IN THE NOTES CARRIES THE RISKS ASSOCIATED WITH THE MAX INDEX’S MOMENTUM INVESTMENT

STRATEGY —

The MAX Index construction reflects a momentum investment strategy. Momentum investing generally seeks to capitalize on

positive trends in the returns of financial instruments. As such, the weights of the Constituents in the MAX Index are based in part

on the recent performance of the Constituents. However, there is no guarantee that recent performance trends will continue in the

future. In addition, the caps and floors on the Constituent weights applied at the individual and asset class levels will result in lower

weights for the Constituents with the best recent performance than would be the case if those caps and floors were not applied.

Moreover, the aggregate assigned weights of the J.P. Morgan US Large Cap Equities Futures Index, the J.P. Morgan US Small

Cap Equities Futures Index, the J.P. Morgan German Equities Futures Index and the J.P. Morgan Japanese Equities Futures Index

(the “Equity Constituents”) and the aggregate assigned weights of the J.P. Morgan 5Y U.S. Treasury Futures Index, the J.P.

Morgan 10Y U.S. Treasury Futures Index, the J.P. Morgan German Government Bond Futures Index and the J.P. Morgan

Japanese Government Bond Futures Index (the “Bond Constituents”) in the MAX Index will, in each case, not be less than 10%,

even in cases where the recent performance of the Equity Constituents or the Bond Constituents, as applicable, is significantly

worse than the recent performance of the remaining Constituents.

Furthermore, the MAX Index will maintain a 100% net long exposure to its Constituents at all times, even when most or all

Constituents are displaying negative performance. Moreover, once a selected portfolio has been identified and implemented, the

MAX Index will track the performance of the relevant Constituents until the next rebalancing of the MAX Index, even when the

performance of those Constituents is worse than their recent performance, or than the performance of the remaining Constituents.

In addition, due to the MAX Index’s momentum investment strategy, the MAX Index may fail to realize gains that could occur as a

result of obtaining exposures to financial instruments that have experienced returns one direction, but which subsequently

experience a sudden return in the other direction. As a result, if market conditions do not represent a continuation of prior

observed trends, the level of the MAX Index, which is rebalanced based on prior trends, may decline.

• THE MAX INDEX MAY PERFORM POORLY AT TIMES WHEN THE PHASE OF THE MARKET CYCLE IS CHANGING OR

DURING PERIODS CHARACTERIZED BY SHORT-TERM VOLATILITY —

While historical data and statistical analysis support the premise that assets tend to move in multi-year cycles, performance of

assets will be variable, even within a particular phase of a market cycle, and the nature of a market cycle is such that the

performance of assets will shift from phases of positive performance to phases of negative performance over time. Because the

MAX Index’s strategy is based on momentum investing, the MAX Index may perform poorly during times when a Constituent’s

performance is not consistent with the current phase of the market cycle or when the current phase of the market cycle for that

Constituent is changing. In non-trending, sideways markets, momentum investment strategies are subject to “whipsaws.” A

whipsaw occurs when the market reverses and does the opposite of what is indicated by the trend indicator, resulting in a trading

loss during the particular period. Consequently, the MAX Index may perform poorly in non-trending, “choppy” markets

characterized by short-term volatility.

● BECAUSE THE MAX INDEX MAY INCLUDE NOTIONAL SHORT POSITIONS, THE NOTES MAY BE SUBJECT TO

ADDITIONAL RISKS —

During each rebalancing of the MAX Index, the MAX Index may assign negative weights as low as -10% to one or more of the

Equity Constituents and the Bond Constituents and negative weights as low as -20% to one or both of the J.P. Morgan Brent Crude

Oil Futures Index and the J.P. Morgan Gold Futures Index (the “Commodity Constituents”), thereby providing notional short

exposure to one or more Constituents. Unlike long positions, short positions are subject to unlimited risk of loss because there is

no limit on the appreciation of the price of the relevant asset before the short position is closed. It is possible that a Constituent

may appreciate substantially while the MAX Index is providing a notional short exposure to that Constituent, thus resulting in an

adverse effect on the level of the MAX Index and the value of your notes.

Moreover, if the MAX Index provides both notional long and short exposures to its Constituents, the total long and short exposure

to its Constituents may exceed 100%, perhaps significantly, which increases the risk that the MAX Index will suffer losses, thereby

adversely affecting any payment on the notes and the value of the notes.

• THE MAX INDEX MAY NOT APPROXIMATE ITS INITIAL VOLATILITY THRESHOLD OF 4% —

No assurance can be given that the MAX Index will maintain an annualized realized volatility that approximates its initial volatility

threshold of 4%. The actual realized volatility of the MAX Index will depend on the performance of the Constituents included in the

selected portfolio(s) from time to time, and, at any time or for extended periods, may be greater than 4%, perhaps significantly, or

less than 4%. Furthermore, the volatility threshold of the MAX Index is subject to upward adjustment and, thus, the realized

volatility threshold used to determine any selected portfolio may be greater than 4%, perhaps significantly. While the assigned

PS-12 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

weights of the notional portfolio(s) tracked by the MAX Index are based in part on the recent historical volatility of the relevant

notional portfolio, there is no guarantee that trends existing in the relevant measurement periods will continue in the future. The

volatility of the notional portfolio on any day may change quickly and unexpectedly. Accordingly, the actual annualized realized

volatility of the MAX Index on a daily basis may be greater than or less than the volatility threshold used to select the relevant

selected portfolio(s), which may adversely affect the level of the MAX Index and the value of the notes.

In addition, due to the weight constraints applied in constructing the MAX Index, the aggregate assigned weights of the Equity

Constituents will not be less than 10%, even if the Equity Constituents are performing poorly. In general, the Equity Constituents

will tend to receive their minimum weight of 10% during periods when equities are experiencing poor performance or high volatility.

In addition, during periods when equities are experiencing high volatility, the initial volatility threshold, and the actual realized

volatility, of the MAX Index may be significantly higher than 4%, even if other assets are not experiencing high volatility.

• A SIGNIFICANT PORTION OF THE MAX INDEX’S EXPOSURE MAY BE ALLOCATED TO ITS BOND CONSTITUENTS —

Under normal market conditions, the Equity Constituents and the Commodity Constituents have tended to exhibit realized

volatilities that are higher than the realized volatilities of the Bond Constituents in general over time. As a result, the MAX Index will

generally need to reduce its exposure to the Equity Constituents and the Commodity Constituents in order to satisfy the volatility

threshold. Therefore, the MAX Index may have significant exposure for an extended period of time to the Bond Constituents, and

that exposure may be greater, perhaps significantly greater, than its exposure to the Equity Constituents and the Commodity

Constituents. However, the returns of the Bond Constituents may be significantly lower than the returns of the Equity Constituents

and the Commodity Constituents, and possibly even negative while the returns of the Equity Constituents and the Commodity

Constituents are positive, which will adversely affect the level of the MAX Index and any payment on, and the value of, the notes.

• THE MAX INDEX IS SUBJECT TO CONCENTRATION RISK IN ITS ALLOCATION AMONG ITS CONSTITUENTS —

The strategy employed by the MAX Index involves an asset allocation that imposes certain weight caps and floors that may result

in the MAX Index being allocated to as few as three Constituents, with up to 40% of the MAX Index being allocated to a single

Equity Constituent and/or any single Bond Constituent. Under these circumstances, the MAX Index may face more risks than if it

were diversified broadly over numerous asset classes and geographical regions. Accordingly, the MAX Index may be more

adversely affected by negative economic, political or regulatory occurrences affecting its Constituents and the relevant asset

classes than a more broadly diversified allocation among its Constituents. Additionally, the MAX Index allocation will sometimes

result in exposure to only the Equity Constituents and the Bond Constituents, without any exposure to the Commodity Constituents.

• CHANGES IN THE VALUES OF THE MAX INDEX’S CONSTITUENTS MAY OFFSET EACH OTHER —

Because the notes are linked in part to the MAX Index, which is linked to the performance of its Constituents, which collectively

represent a broad range of asset classes (equities, fixed income and commodities) and developed markets (the United States,

Germany and Japan), price movements between the Constituents representing different asset classes or developed markets may

not correlate with each other. At a time when the value of a Constituent representing a particular asset class or developed market

increases, the value of other Constituents representing a different asset class or developed market may not increase as much or

may decline. Therefore, in calculating the level of the MAX Index, increases in the values of some of its Constituents may be

moderated, or more than offset, by lesser increases or declines in the values of its other Constituents. In addition, high correlation

during periods of negative returns among its Constituents could have a material adverse effect on the performance of the MAX

Index.

PS-13 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

● THE MAX INDEX IS AN “EXCESS RETURN” INDEX AND NOT A “TOTAL RETURN” INDEX BECAUSE ITS CONSTITUENTS

DO NOT REFLECT INTEREST THAT COULD BE EARNED ON FUNDS NOTIONALLY COMMITTED TO THE TRADING OF

FUTURES CONTRACTS —

Each of the Constituents is an excess return index and not a total return index. The MAX Index, by providing exposure to the

Constituents, is also an excess return index and not a total return index. The return from investing in futures contracts derives from

three sources: (a) changes in the price of the relevant futures contracts (which is known as the “price return”); (b) any profit or loss

realized when rolling the relevant futures contracts (which is known as the “roll return”); and (c) any interest earned on the cash

deposited as collateral for the purchase of the relevant futures contracts (which is known as the “collateral return”).

Some indices, including the Constituents (and indirectly, the MAX Index), that track futures contracts are excess return indices that

measure the returns accrued from investing in uncollateralized futures contracts (i.e., the sum of the price return and the roll return

associated with an investment in futures contracts). By contrast, a total return index, in addition to reflecting those returns, also

reflects interest that could be earned on funds committed to the trading of the underlying futures contracts (i.e., the collateral return

associated with an investment in futures contracts). Investing in the notes will not generate the same return as would be generated

from investing directly in the relevant futures contracts or in a total return index related to those futures contracts.

• HYPOTHETICAL BACK-TESTED DATA RELATING TO THE MAX INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA

AND ARE SUBJECT TO INHERENT LIMITATIONS —

The hypothetical back-tested performance of the MAX Index set forth under “Hypothetical Back-Tested Data and Historical

Information” in this pricing supplement is purely theoretical and does not represent the actual historical performance of the MAX

Index and has not been verified by an independent third party. Hypothetical back-tested performance measures have inherent

limitations. Alternative modeling techniques might produce significantly different results and may prove to be more appropriate.

Past performance, and especially hypothetical back-tested performance, is not indicative of future results. This type of information

has inherent limitations and you should carefully consider these limitations before placing reliance on such information.

Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that has been

designed with the benefit of hindsight.

• THE INVESTMENT STRATEGY USED TO CONSTRUCT THE MAX INDEX INVOLVES REGULAR REBALANCING AND

WEIGHTING CONSTRAINTS THAT ARE APPLIED TO ITS CONSTITUENTS —

The Constituents of the MAX Index are subject to regular rebalancing and weighting constraints applied individually and by asset

type. By contrast, a notional portfolio that does not rebalance monthly and is not subject to any weighting constraints could see

greater compounded gains over time through exposure to a consistently and rapidly appreciating portfolio consisting of the

Constituents. Therefore, your return on the notes may be less than the return you could realize on an alternative investment in the

Constituents that is not subject to regular rebalancing or weighting constraints. No assurance can be given that the investment

strategy used to construct the MAX Index will outperform any alternative investment in its Constituents.

• A CONSTITUENT OF THE MAX INDEX MAY BE REPLACED BY A SUBSTITUTE INDEX UPON THE OCCURRENCE OF

CERTAIN EXTRAORDINARY EVENTS—

Following the occurrence of certain extraordinary events with respect to a Constituentof the MAX Index, the affected Constituent

may be replaced by a substitute index or the Index Calculation Agent of the MAX Index may cease calculation and publication of

the MAX Index on a date determined by the Index Calculation Agentof the MAX Index. These extraordinary events generally

include events that could materially interfere with the ability of market participants to transact in, or events that could materially

change the underlying economic exposure of, positions with respect to the MAX Index, any Constituent of the MAX Index or any

reference indexof the MAX Index, where that material interference or change is not acceptable to the Index Calculation Agentof

the MAX Index. If the Index Calculation Agent of the MAX Index determines in its discretion that no suitable substitute is available

for an affected Constituent, then the Index Calculation Agent of the MAX Index will determine its good faith estimate of the closing

level of that Constituent and remove it from the MAX Index. In any such case, the Index Calculation Agent of the MAX Index will, in

good faith, make related adjustments to the rules governing the MAX Index that it determines to be appropriate. See “The J.P.

Morgan Multi-Asset Index —Succession and Extraordinary Events” in the accompanying underlying supplement no. 23-I for a

summary of events that could trigger an extraordinary event.

You should realize that the changing of a Constituent of the MAX Index may affect the performance of the MAX Index, and

therefore, the return on the notes, as the replacement Constituent may perform significantly better or worse than the original

Constituent. Moreover, the policies of the sponsor of the substitute index concerning the methodology and calculation of the

substitute index, including decisions regarding additions, deletions or substitutions of the assets underlying the substitute index,

could affect the level of the substitute index and therefore the value of the notes. The amount payable on the notes and their

market value could also be affected if the sponsor of a substitute index or the sponsor of the reference index discontinues or

PS-14 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

suspends calculation or dissemination of the index, in which case it may become difficult to determine the market value of the

notes. The sponsor of the substitute index will have no obligation to consider your interests in calculating or revising such

substitute index.

● THE MAX INDEX’S CONSTITUENTS ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS

—

Each Constituent of the MAX Index tracks the returns of futures contracts. The price of a futures contract depends not only on the

price of the underlying asset referenced by the futures contract, but also on a range of other factors, including but not limited to

changing supply and demand relationships, interest rates, governmental and regulatory policies and the policies of the exchanges

on which the futures contracts trade. In addition, the futures markets are subject to temporary distortions or other disruptions due

to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and

intervention. These factors and others can cause the prices of futures contracts to be volatile and could adversely affect the level

of the MAX Index and any payments on, and the value of, your notes.

• SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE

VALUE OF YOUR NOTES —

Futures markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity, the

participation of speculators, and government regulation and intervention. In addition, futures exchanges generally have regulations

that limit the amount of futures contract price fluctuations that may occur in a single day. These limits are generally referred to as

“daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these limits is

referred to as a “limit price.” Once the limit price has been reached in a particular contract, no trades may 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 contracts at potentially disadvantageous times or prices. These circumstances could delay the

calculation of the levels of the Constituents of the MAX Index and the level of the MAX Index and could affect the levels of the

Constituents of the MAX Index and adversely affect the level of the MAX Index and any payments on, and the value of, your notes.

• AN INCREASE IN THE MARGIN REQUIREMENTS FOR FUTURES CONTRACTS INCLUDED IN THE MAX INDEX’S

CONSTITUENTS MAY ADVERSELY AFFECT THE LEVEL OF THAT CONSTITUENT —

Futures exchanges require market participants to post collateral in order to open and keep open positions in futures contracts. If

an exchange increases the amount of collateral required to be posted to hold positions in futures contracts underlying the

Constituents of the MAX Index, market participants who are unwilling or unable to post additional collateral may liquidate their

positions, which may cause the price of the relevant futures contracts to decline significantly. As a result, the level of the MAX

Index and any payments on, and the value of, the notes may be adversely affected.

• THE MAX INDEX’S CONSTITUENTS MAY IN THE FUTURE INCLUDE CONTRACTS THAT ARE NOT TRADED ON

REGULATED FUTURES EXCHANGES —

The Constituents of the MAX Index are currently based solely on futures contracts traded on regulated futures exchanges (referred

to in the United States as “designated contract markets”). If these exchange-traded futures contracts cease to exist, or if the

calculation agent for the Constituentsof the MAX Index substitutes a futures contract in certain circumstances, the MAX Index may

in the future include futures contracts or over-the-counter contracts traded on trading facilities that are subject to lesser degrees of

regulation or, in some cases, no substantive regulation. As a result, trading in such contracts, and the manner in which prices and

volumes are reported by the relevant trading facilities, may not be subject to the provisions of, and the protections afforded by, the

U.S. Commodity Exchange Act, or other applicable statutes and related regulations that govern trading on regulated U.S. futures

exchanges or similar statutes and regulations that govern trading on regulated non-U.S. futures exchanges. In addition, many

electronic trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading

of contracts on such facilities, and the inclusion of such contracts in the MAX Index, through its exposure to its Constituents, may

be subject to certain risks not presented by futures contracts traded on regulated futures exchanges, including risks related to the

liquidity and price histories of the relevant contracts.

● CHANGES IN FUTURE PRICES OF THE FUTURES CONTRACTS INCLUDED IN THE MAX INDEX’S CONSTITUENTS

RELATIVE TO THEIR CURRENT PRICES COULD LEAD TO A DECREASE IN ANY PAYMENT ON THE NOTES —

The Constituentsof the MAX Index are composed of futures contracts. As the contracts underlying the Constituents of the MAX

Index come to expiration, they are replaced by contracts that have a later expiration. For example, a contract notionally purchased

and held in August may specify an October expiration. As time passes, the contract expiring in October is replaced by a contract

for delivery in November. This is accomplished by notionally selling the October contract and notionally purchasing the November

contract. This process is referred to as “rolling.” Excluding other considerations, if the market for the underlying futures contracts

is in “contango,” where the prices are higher in the distant delivery months than in the nearer delivery months, the notional

PS-15 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

purchase of the November contract would take place at a price that is higher than the price of the October contract, thereby

creating a negative “roll yield.” In addition, excluding other considerations, if the market for the underlying futures contracts is in

“backwardation,” where the prices are lower in the distant delivery months than in the nearer delivery months, the notional

purchase of the November contract would take place at a price that is lower than the price of the October contract, thereby creating

a positive “roll yield.”

When the MAX Index provides long exposure to a Constituent, the presence of contango in the relevant markets could adversely

affect the values of that Constituent and the MAX Index and, accordingly, any payment on the notes. In addition, when the MAX

Index provides short exposure to a Constituent, the presence of backwardation in the relevant markets could positively affect the

value of that Constituent and therefore adversely affect the value of the MAX Index and, accordingly, any payment on the notes.

● THE MAX INDEX SHOULD NOT BE COMPARED TO ANY OTHER INDEX OR STRATEGY SPONSORED BY ANY OF OUR

AFFILIATES—

The MAX Index follows a notional rules-based proprietary strategy that may have objectives, features and/or constituents that are

similar to those of another index or strategy sponsored by any of our affiliates (each, a “J.P. Morgan Index”). No assurance can be

given that these similarities will form a basis for comparison between the MAX Index and any other J.P. Morgan Index, and no

assurance can be given that the MAX Index would be more successful than or outperform any other J.P. Morgan Index. The MAX

Index operates independently and does not necessarily revise, enhance, modify or seek to outperform any other J.P. Morgan

Index.

● OTHER KEY RISKS RELATING TO THE MAX INDEX:

o THE MAX INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE

EMPLOYED IN RESPECT OF ITS CONSTITUENTS.

o THE MAX 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.

o THE MAX INDEX, WHICH WAS ESTABLISHED ON NOVEMBER 18, 2022, AND ITS CONSTITUENTS, WHICH WERE

ESTABLISHED ON DECEMBER 22, 2020, NOVEMBER 29, 2021 OR OCTOBER 24, 2022, HAVE LIMITED OPERATING

HISTORIES AND MAY PERFORM IN UNANTICIPATED WAYS.

o THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE MAX INDEX BECAUSE THE

VALUES OF ITS CONSTITUENTS DENOMINATED IN CURRENCIES OTHER THAN THE U.S. DOLLAR ARE CONVERTED

INTO U.S. DOLLARS FOR PURPOSES OF CALCULATING THE LEVEL OF THE MAX INDEX.

o THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH NON-U.S. SECURITIES MARKETS AND

SMALL-CAPITALIZATION STOCKS WITH RESPECT TO THE MAX INDEX.

o THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING

INTEREST RATE-RELATED RISKS AND CREDIT RISK, WITH RESPECT TO THE MAX INDEX.

o THE COMMODITY FUTURES CONTRACTS UNDERLYING THE COMMODITY CONSTITUENTS OF THE MAX INDEX ARE

SUBJECT TO UNCERTAIN LEGAL AND REGULATORY REGIMES.

o INVESTMENTS RELATED TO THE VALUES OF THE COMMODITIES TEND TO BE MORE VOLATILE THAN

TRADITIONAL INVESTMENTS.

o HIGHER FUTURE PRICES OF THE COMMODITY FUTURES CONTRACTS CONSTITUTING THE COMMODITY

CONSTITUENTS OF THE MAX INDEX RELATIVE TO THEIR CURRENT PRICES MAY DECREASE THE AMOUNT

PAYABLE AT MATURITY.

o THE MARKET PRICE OF CRUDE OIL AND GOLD WILL AFFECT THE VALUE OF THE NOTES.

Please refer to the “Risk Factors” section of the accompanying underlying supplement no. 23-I for more details regarding the above-

listed and other risks.

PS-16 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

Hypothetical Back-Tested Data and Historical Information

The following graphs set forth (i) the historical performance of the S&P 500® Index based on the weekly historical closing levels of the

S&P 500® Index from January 4, 2019 through January 31, 2025 and (ii) the hypothetical back-tested performance of the MAX Index

based on the hypothetical back-tested weekly closing levels of the MAX Index from January 4, 2019 through November 11, 2022 and

the historical performance of the MAX Index based on the weekly historical closing levels of the MAX Index from November 18, 2022

through January 31, 2025. The MAX Index was established on November 18, 2022, as represented by the vertical line in the relevant

graph. All data to the left of that vertical line reflect hypothetical back-tested performance of the MAX Index. All data to the right of that

vertical line reflect actual historical performance of the MAX Index. The closing level of the S&P 500® Index on January 31, 2025 was

6,040.53. The closing level of the MAX Index on January 31, 2025 was 295.49. We obtained the closing levels above and below from

the Bloomberg Professional®service (“Bloomberg”), without independent verification.

The data for the hypothetical back-tested performance of the MAX Index set forth in the relevant graph are purely theoretical and do not

represent the actual historical performance of the MAX Index. See “Selected Risk Considerations — Risks Relating to the Basket —

Hypothetical Back-Tested Data Relating to the MAX Index Do Not Represent Actual Historical Data and Are Subject to Inherent

Limitations” above.

The historical closing levels of the S&P 500® Index and the hypothetical back-tested and historical closing levels of the MAX Index

should not be taken as an indication of future performance, and no assurance can be given as to the Final Basket Value or the closing

levels of the Indices on the Observation Date. There can be no assurance that the performance of the Basket will result in a payment

at maturity in excess of your principal amount, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.

PS-17 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

The hypothetical back-tested closing levels of the MAX Index have inherent limitations and have not been verified by an independent

third party. These hypothetical back-tested closing levels are determined by means of a retroactive application of a back-tested model

designed with the benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guarantee of future returns. No

representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling

techniques or assumptions would produce different hypothetical back-tested closing levels of the MAX Index that might prove to be

more appropriate and that might differ significantly from the hypothetical back-tested closing levels of the MAX Index set forth above.

Treatment as Contingent Payment Debt Instruments

You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection

thereof entitled “Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent

Payment Debt Instruments,” in the accompanying product supplement no. 3-I. Unlike a traditional debt instrument that provides for

periodic payments of interest at a single fixed rate, with respect to which a cash-method investor generally recognizes income only

upon receipt of stated interest, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated for

U.S. federal income tax purposes as “contingent payment debt instruments.” As discussed in that subsection, you generally will be

required to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable yield,” as determined by us,

although we will not make any payment with respect to the notes until maturity. Upon sale or exchange (including at maturity), you will

recognize taxable income or loss equal to the difference between the amount received from the sale or exchange and your adjusted

basis in the note, which generally will equal the cost thereof, increased by the amount of OID you have accrued in respect of the note.

You generally must treat any income as interest income and any loss as ordinary loss to the extent of previous interest inclusions, and

the balance as capital loss. The deductibility of capital losses is subject to limitations. The discussions herein and in the accompanying

product supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the

Code. Purchasers who are not initial purchasers of notes at their issue price should consult their tax advisers with respect to the tax

consequences of an investment in notes, including the treatment of the difference, if any, between the basis in their notes and the

notes’ adjusted issue price.

Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding

tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain

financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this

withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable

Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January

1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal

income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, our special tax counsel is of the

opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS,

and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular

circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should consult your tax

adviser regarding the potential application of Section 871(m) to the notes.

PS-18 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

The discussions in the preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax

Consequences” (and in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More

than One Year —Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, constitute the

full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of

notes.

Comparable Yield and Projected Payment Schedule

We have determined that the “comparable yield” is an annual rate of 4.29%, compounded semiannually. Based on our determination of

the comparable yield, the “projected payment schedule” per $1,000 principal amount note consists of a single payment at maturity,

equal to $1,135.62. Assuming a semiannual accrual period, the following table sets out the amount of OID that will accrue with respect

to a note during each calendar period, based upon our determination of the comparable yield and projected payment schedule.

Calendar Period

Accrued OID During

Calendar Period (Per

$1,000 Principal Amount

Note)

Total Accrued OID from

Original Issue Date (Per $1,000

Principal Amount Note) as of

End of Calendar Period

February 5, 2025 through December 31, 2025…………………

$39.10

$39.10

January 1, 2026 through December 31, 2026…………………

$45.06

$84.16

January 1, 2027 through December 31, 2027.........................

$47.01

$131.17

January 1, 2028 through February 3, 2028..............................

$4.45

$135.62

The comparable yield and projected payment schedule are determined solely to calculate the amount on which you will be

taxed with respect to the notes in each year and are neither a prediction nor a guarantee of what the actual yield will be. The

amount you actually receive at maturity or earlier sale or exchange of your notes will affect your income for that year, as

described above under “Treatment as Contingent Payment Debt Instruments.”

The Estimated Value of the Notes

The estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following

hypothetical components: (1) a fixed-income debt component with the same maturity as 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 secondary market (if any exists) at

any time. The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied

funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan 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 notes as well as the higher issuance,

operational and ongoing liability management costs of the notes in comparison to those costs for the conventional 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 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 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 this

pricing supplement.

The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our

affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on

various 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 set based on market conditions and other relevant factors and assumptions existing at that

time.

The estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different pricing

models and assumptions 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 future may change, and any assumptions may prove to be incorrect. On

future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or

PS-19 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at

which JPMS would be willing to buy notes from you in secondary market transactions.

The estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring

and hedging the notes are included in the original issue price of the notes.These costs include 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 hedging our

obligations entails risk and may be influenced by market forces beyond our control, this hedging 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 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 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 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 impacted by many

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 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 initial predetermined period.These costs can include selling commissions,

projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates

for structured debt issuances.This initial predetermined time period is intended to be the shorter of six months and one-half of the

stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a

profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as

determined by our affiliates.See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices

of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May

Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.

Supplemental Use of Proceeds

The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the

notes. See “Hypothetical Payout Profile” and “How the Notes Work” in this pricing supplement for an illustration of the risk-return profile

of the notes and “The Basket” in this pricing supplement for a description of the market 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 to JPMS and other

affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent

in hedging our obligations under 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 offered by this pricing supplement have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying

agent has made, in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating

to the master global note 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 constitute a

valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,

insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general

applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel

expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the

conclusions expressed 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.’s obligation under the related guarantee.

This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State

of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the

trustee’s authorization, execution and delivery of the indenture and its authentication of the master note and the validity, binding nature

and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which

was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,

2023.

PS-20 | Structured Investments

Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®

Index and the J.P. Morgan Multi-Asset Index

Additional Terms Specific to the Notes

You should read this pricing supplement together with the accompanying prospectus, 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 in the accompanying product supplement and the accompanying underlying

supplements. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all

other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,

correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of

ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying

prospectus supplement, the accompanying product supplement and the accompanying underlying supplement no. 23-I 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 documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our

filings for the relevant date on the SEC website):

• Product supplement no. 3-I dated April 13, 2023:

http://www.sec.gov/Archives/edgar/data/19617/000121390023029706/ea153081_424b2.pdf

• Underlying supplement no. 1-I dated April 13, 2023:

http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf

• Underlying supplement no. 23-I dated August 28, 2023:

http://www.sec.gov/Archives/edgar/data/19617/000121390023071317/ea160620_424b2.pdf

• Prospectus supplement and prospectus, each dated April 13, 2023:

http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf

• Prospectus addendum dated June 3, 2024:

http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm

Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617.As used in this pricing

supplement, “we,” “us” and “our” refer to JPMorgan Financial.