● 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.
● 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 values of the Underlyings. 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.
The Underlyings
The Nasdaq-100
®
Technology Sector Index
SM
is an equal-weighted, price-return index designed to measure the performance of the
technology companies in the Nasdaq-100 Index
®
. For additional information about the Nasdaq-100
®
Technology Sector Index
SM
, see
Annex A in this pricing supplement.
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.
The SPDR
®
S&P
®
Biotech ETF is an exchange-traded fund of the SPDR
®
Series Trust, a registered investment company, that seeks to
provide investment results that, before fees and expenses, correspond generally to the total return performance of an index derived
from the biotechnology segment of a U.S. total market composite index, which we refer to as the Underlying Index with respect to the
SPDR
®
S&P
®
Biotech ETF. The Underlying Index with respect to the SPDR
®
S&P
®
Biotech ETF is currently the S&P
®
Biotechnology
Select Industry
TM
Index. The S&P
®
Biotechnology Select Industry
TM
Index is a modified equal-weighted index that is designed to
measure the performance of the GICS
®
biotechnology sub-industry of the S&P Total Market Index. The S&P
®
Biotechnology Select
Industry
TM
Index may also include companies in the life sciences tools & services sub-industry of the S&P Total Market Index. For
additional information about the SPDR
®
S&P
®
Biotech ETF, see “Fund Descriptions — The SPDR
®
S&P
®
Industry ETFs” in the
accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance of each Underlying based on the weekly historical closing values from January
4, 2019 through July 19, 2024. The closing value of the Nasdaq-100
®
Technology Sector Index
SM
on July 24, 2024 was 10,172.30. The
closing value of the S&P 500
®
Index on July 24, 2024 was 5,427.13. The closing value of the SPDR
®
S&P
®
Biotech ETF on July 24,
2024 was $99.04. We obtained the closing values above and below from the Bloomberg Professional
®
service (“Bloomberg”), without