JPMorgan offers $300K Auto‑Callable Enhanced Notes

Q: What is the offering size and denomination for AMJB notes?

The offering is for $300,000 aggregate principal amount with minimum denominations of $1,000. The notes priced on March 19, 2026 and are expected to settle on or about March 24, 2026.

Q: What were the indices' Initial Values at pricing?

At pricing the Initial Values were: S&P 500® Futures Excess Return Index 534.51, Nasdaq‑100 Futures Excess Index 648.4408, and Russell 2000® Futures Excess Return Index 336.92.

Q: What are the fees, estimated value, and who receives proceeds?

Price to public per note is $1,000; selling commissions are $6.50 per note and proceeds to issuer per note are $993.50. The estimated value at pricing was $972.90 per $1,000 note.

JPMorgan Chase Financial Company LLC is offering $300,000 in Auto Callable Return Enhanced Notes linked to the least performing of three futures excess‑return indices.

Filing Impact

(Neutral)

Filing Sentiment

(Neutral)

Form Type

424B2

Rhea-AI Filing Summary

JPMorgan Chase Financial Company LLC is offering $300,000 in Auto Callable Return Enhanced Notes linked to the least performing of three futures excess‑return indices. The notes priced on March 19, 2026 and are expected to settle on or about March 24, 2026.

The notes may be automatically called on the Review Date: March 25, 2027 for $1,250 per $1,000 note (principal plus a $250 Call Premium). If not called, maturity is March 24, 2031 and the payoff uses an Upside Leverage Factor of 4.55 applied to the Least Performing Index Return. The original issue price is $1,000 per note, selling commissions are $6.50 per note, and the estimated value at pricing was $972.90 per $1,000 note.

Insights

Auto‑call plus leverage concentrates payoff on the least performing futures index.

The structure combines an early automatic call on March 25, 2027 with an upside multiplier of 4.55 at maturity (March 24, 2031) applied to the Least Performing Index Return. The prospect of a one‑year minimum term if called and the enhanced upside at maturity create a payoff profile that is asymmetric and path dependent.

Key dependencies include the closing levels of the S&P 500® Futures Excess Return Index (534.51 at pricing), Nasdaq‑100 Futures Excess Index (648.4408) and Russell 2000® Futures Excess Return Index (336.92) on the applicable determination dates and the issuer and guarantor creditworthiness.

Credit and liquidity risk drive secondary‑market valuation.

The notes are unsecured obligations of JPMorgan Chase Financial and fully guaranteed by JPMorgan Chase & Co.; payments depend on both entities' credit. The pricing shows an estimated value of $972.90 versus issue price $1,000, reflecting commissions, hedging costs and issuer spreads.

Secondary market bids are expected to be lower than issue price; repurchase support by JPMS may decline over an initial period (shorter of six months and half the term). Cash‑flow treatment and market liquidity will affect realizable prices.

FAQ

AI-generated questions and answers. How Rhea-AI works. Not financial advice.

What is the offering size and denomination for AMJB notes?

The offering is for $300,000 aggregate principal amount with minimum denominations of $1,000. The notes priced on March 19, 2026 and are expected to settle on or about March 24, 2026.

When can the AMJB notes be automatically called and what is paid?

An automatic call can occur if each index is at or above its Call Value on the Review Date: March 25, 2027. If called, holders receive $1,000 plus a $250 Call Premium per $1,000 note on the Call Settlement Date.

How is the maturity payoff determined if the notes are not called?

If not called and all Final Values exceed Initial Values, payoff at maturity (March 24, 2031) is $1,000 + $1,000 × Least Performing Index Return × 4.55. If the Least Performing Index declines, losses are proportional to that decline.

What were the indices' Initial Values at pricing?

At pricing the Initial Values were: S&P 500® Futures Excess Return Index 534.51, Nasdaq‑100 Futures Excess Index 648.4408, and Russell 2000® Futures Excess Return Index 336.92.

What are the fees, estimated value, and who receives proceeds?

Price to public per note is $1,000; selling commissions are $6.50 per note and proceeds to issuer per note are $993.50. The estimated value at pricing was $972.90 per $1,000 note.

AI-generated analysis. How Rhea-AI works. Not financial advice.

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Accepted by SEC EDGAR 03/23/2026 - 02:56 PM

March 19, 2026  Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) 

Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlying supplement no. 1-I dated April 13, 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 

$300,000 

Auto Callable Return Enhanced Notes Linked to the 

Least Performing of the S&P 500® Futures Excess 

Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures 

Excess Return Index due March 24, 2031 

Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. 

•  The notes are designed for investors who seek early exit prior to maturity at a premium if, on the Review Date, the 

closing level of each of the S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess ReturnTM Index and 

the Russell 2000® Futures Excess Return Index, which we refer to as the Indices, is at or above its Call Value.  

•  The date on which an automatic call may be initiated is March 25, 2027.  

•  The notes are also designed for investors who seek an uncapped return of 4.55 times any appreciation of the least 

performing of the Indices at maturity if the notes have not been automatically called. 

•  Investors should be willing to forgo interest payments and be willing to lose some or all of their principal amount 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. 

•  Payments on the notes are not linked to 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 integral multiples thereof 

•  The notes priced on March 19, 2026 and are expected to settle on or about March 24, 2026.   

•  CUSIP: 46660RAM6 

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-11 

of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-5 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 supplement, 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 

$6.50 

$993.50 

Total 

$300,000 

$1,950 

$298,050 

(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 $6.50 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 $972.90 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 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

Key Terms 

Issuer: JPMorgan Chase Financial Company LLC, a direct, 

wholly owned finance subsidiary of JPMorgan Chase & Co. 

Guarantor: JPMorgan Chase & Co. 

Indices: The S&P 500® Futures Excess Return Index 

(Bloomberg ticker: SPXFP), the Nasdaq-100 Futures Excess 

ReturnTM Index (Bloomberg ticker: NDXNQER) and the Russell 

2000® Futures Excess Return Index (Bloomberg ticker: 

RTYFPE) 

Call Premium Amount: $250.00 per $1,000 principal amount 

note 

Call Value: With respect to each Index, 100.00% of its Initial 

Value 

Upside Leverage Factor: 4.55 

Pricing Date: March 19, 2026 

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

24, 2026 

Review Date*: March 25, 2027 

Call Settlement Date*: March 31, 2027 

Observation Date*: March 19, 2031 

Maturity Date*: March 24, 2031 

* 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” and “General Terms of Notes — Postponement of a 

Payment Date” in the accompanying product supplement 

Automatic Call: 

If the closing level of each Index on the Review Date is greater 

than or equal to its Call Value, the notes will be automatically 

called for a cash payment, for each $1,000 principal amount 

note, equal to (a) $1,000 plus (b) the Call Premium Amount, 

payable on the Call Settlement Date.  No further payments will 

be made on the notes.   

If the notes are automatically called, you will not benefit from 

the Upside Leverage Factor that applies to the payment at 

maturity if the Final Value of each Index is greater than its 

Initial Value.  Because the Upside Leverage Factor does not 

apply to the payment upon an automatic call, the payment 

upon an automatic call may be significantly less than the 

payment at maturity for the same level of appreciation in the 

Least Performing Index. 

Payment at Maturity: 

If the notes have not been automatically called and the Final 

Value of each Index is greater than its Initial Value, your 

payment at maturity per $1,000 principal amount note will be 

calculated as follows: 

$1,000 + ($1,000 × Least Performing Index Return × Upside 

Leverage Factor) 

If the notes have not been automatically called and (i) the Final 

Value of one or more Indices is greater than its Initial Value 

and the Final Value of the other Index or Indices is equal to its 

Initial Value or (ii) the Final Value of each Index is equal to its 

Initial Value, you will receive the principal amount of your notes 

at maturity. 

If the notes have not been automatically called and the Final 

Value of any Index is less than its Initial Value, your payment 

at maturity per $1,000 principal amount note will be calculated 

as follows: 

$1,000 + ($1,000 × Least Performing Index Return) 

If the notes have not been automatically called and the Final 

Value of any Index is less than its Initial Value, you will lose 

some or all of your principal amount at maturity. 

Least Performing Index: The Index with the Least Performing 

Index Return 

Least Performing Index Return: The lowest 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, the closing level of 

that Index on the Pricing Date, which was 534.51 for the S&P 

500® Futures Excess Return Index, 648.4408 for the Nasdaq-

100 Futures Excess ReturnTM Index and 336.92 for the Russell 

2000® Futures Excess Return Index 

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

that Index on the Observation Date 

PS-2 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

Supplemental Terms of the Notes 

The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act, 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. 

For purposes of the accompanying product supplement, each Index will be deemed to be an Equity Index, except as provided below, 

and any references in the accompanying product supplement to the securities included in an Equity Index (or similar references) should 

be read to refer to the securities included in the S&P 500® Index, the Nasdaq-100® Index or the Russell 2000® Index, as applicable, 

which are the reference indices for the futures contracts included in the S&P 500® Futures Excess Return Index, the Nasdaq-100 

Futures Excess ReturnTM Index and the Russell 2000® Futures Excess Return Index, respectively.  Notwithstanding the foregoing, each 

Index will be deemed to be a Commodity Index for purposes of the section entitled “The Underlyings — Indices — Discontinuation of an 

Index; Alteration of Method of Calculation” in the accompanying product supplement. 

Notwithstanding anything to the contrary in the accompanying product supplement, if a Determination Date (as defined in the 

accompanying product supplement) has been postponed to the applicable Final Disrupted Determination Date (as defined in the 

accompanying product supplement) and that day is a Disrupted Day (as defined in the accompanying product supplement), the 

calculation agent will determine the closing level of the affected Index for that Determination Date on that Final Disrupted Determination 

Date in accordance with the formula for and method of calculating the closing level of the affected Index last in effect prior to the 

commencement of the market disruption event (or prior to the non-trading day), using the official settlement price (or, if trading in the 

relevant futures contract has been materially suspended or materially limited, the calculation agent’s good faith estimate of the 

applicable settlement price that would have prevailed but for that suspension or limitation) at the close of the principal trading session 

on that date of each futures contract most recently composing the affected Index, as well as any futures contract required to roll any 

expiring futures contract in accordance with the method of calculating the affected Index 

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. 

Hypothetical Payout Profile 

Payment upon an Automatic Call 

The notes will be automatically called on the Call Settlement Date and you will receive 

(a) $1,000 plus (b) the Call Premium Amount.

No further payments will be made on the notes.

Compare the closing level of each Index to its Call Value on the Review Date.

Review Date

Automatic Call

The closing level of each 

Index is greater than or 

equal to its Call Value.

The closing level of any 

Index is less than its 

Call Value.

Call 

Value

The notes will not be automatically called. Proceed to the Observation Date. 

No Automatic Call

PS-3 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

Payment at Maturity If the Notes Have Not Been Automatically Called  

Call Premium Amount 

The Call Premium Amount per $1,000 principal amount note if the notes are automatically called is $250.00.  

Review Date

You will receive: 

$1,000 + ($1,000 ×Least Performing 

Index Return ×Upside Leverage 

Factor)

The notes have not 

been automatically 

called. Proceed to the 

payment at maturity.

Observation Date Payment at Maturity

The Final Value of each Index is greater than its 

Initial Value.

You will receive:

$1,000 + ($1,000 ×Least Performing 

Index Return) 

Under these circumstances, you will 

lose some or all of your principal 

amount at maturity.

(i) The Final Value of one or more Indices is greater 

than its Initial Value and the Final Value of the other 

Index or Indices is equal to its Initial Value or (ii) the 

Final Value of each Index is equal to its Initial Value.

The Final Value of any Index is less than its Initial 

Value.

You will receive the principal amount of 

your notes.

PS-4 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

Payment at Maturity If the Notes Have Not Been Automatically Called 

The following table illustrates the hypothetical total return and payment at maturity on the notes linked to three hypothetical Indices if 

the notes have not been automatically called.  The “total return” as used in this pricing supplement is the number, expressed as a 

percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.  The hypothetical total 

returns and payments set forth below assume the following: 

• the notes have not been automatically called; 

• an Initial Value for the Least Performing Index of 100.00; and

• an Upside Leverage Factor of 4.55.  

The hypothetical Initial Value of the Least Performing Index of 100.00 has been chosen for illustrative purposes only and does not 

represent the actual Initial Value of any Index.  The actual Initial Value of each Index is the closing level of that Index on 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 pricing supplement. 

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

actual total return or payment at maturity applicable to a purchaser of the notes.  The numbers appearing in the following table have 

been rounded for ease of analysis. 

Final Value of the Least 

Performing Index 

Least Performing Index 

Return 

Total Return on the Notes 

Payment at Maturity 

165.00 

65.00% 

295.75% 

$3,957.50 

150.00 

50.00% 

227.50% 

$3,275.00 

140.00 

40.00% 

182.00% 

$2,820.00 

130.00 

30.00% 

136.50% 

$2,365.00 

120.00 

20.00% 

91.00% 

$1,910.00 

110.00 

10.00% 

45.50% 

$1,455.00 

105.00 

5.00% 

22.75% 

$1,227.50 

101.00 

1.00% 

4.55% 

$1,045.50 

100.00 

0.00% 

0.00% 

$1,000.00 

95.00 

-5.00% 

-5.00% 

$950.00 

90.00 

-10.00% 

-10.00% 

$900.00 

80.00 

-20.00% 

-20.00% 

$800.00 

70.00 

-30.00% 

-30.00% 

$700.00 

60.00 

-40.00% 

-40.00% 

$600.00 

50.00 

-50.00% 

-50.00% 

$500.00 

40.00 

-60.00% 

-60.00% 

$400.00 

30.00 

-70.00% 

-70.00% 

$300.00 

20.00 

-80.00% 

-80.00% 

$200.00 

10.00 

-90.00% 

-90.00% 

$100.00 

0.00 

-100.00% 

-100.00% 

$0.00 

PS-5 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

How the Notes Work 

Upside Scenario If Automatic Call: 

If the closing level of each Index on the Review Date is greater than or equal to its Call Value, the notes will be automatically called and 

investors will receive on the Call Settlement Date the $1,000 principal amount plus the Call Premium Amount of $250.00.  No further 

payments will be made on the notes. 

• If the closing level of the least performing of the Indices increases 50.00% as of the Review Date, the notes will be automatically 

called and investors will receive a return equal to 25.00%, or $1,250.00 per $1,000 principal amount note. 

Upside Scenario If No Automatic Call: 

If the notes have not been automatically called and the Final Value of each Index is greater than its Initial Value, investors will receive at 

maturity the $1,000 principal amount plus a return equal to the Least Performing Index Return times the Upside Leverage Factor of 

4.55. 

• If the notes have not been automatically called and the closing level of the Least Performing Index increases 5.00%, investors will 

receive at maturity a return equal to 22.75%, or $1,227.50 per $1,000 principal amount note. 

Par Scenario: 

If the notes have not been automatically called and (i) the Final Value of one or more Indices is greater than its Initial Value and the 

Final Value of the other Index or Indices is equal to its Initial Value or (ii) the Final Value of each Index is equal to its Initial Value, 

investors will receive at maturity the principal amount of their notes. 

Downside Scenario: 

If the notes have not been automatically called and the Final Value of any Index is less than its Initial Value, investors will lose 1% of 

the principal amount of their notes for every 1% that the Final Value of the Least Performing Index is less than its Initial Value. 

• For example, if the notes have not been automatically called and the closing level of the Least Performing Index declines 60.00%, 

investors will lose 60.00% of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity. 

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

or until automatically called.  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.

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 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 do not guarantee any return of principal.  If the notes have not been automatically called and the Final Value of any 

Index is less than its Initial Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the 

Least Performing Index is less than its Initial Value.  Accordingly, under these circumstances, you will lose some or all of your 

principal amount at maturity. 

• 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 

PS-6 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

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. 

• IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE 

CALL PREMIUM AMOUNT PAID ON THE NOTES, 

regardless of any appreciation of any Index, which may be significant.  In addition, if the notes are automatically called, you will not 

benefit from the Upside Leverage Factor that applies to the payment at maturity if the Final Value of each Index is greater than its 

Initial Value.  Because the Upside Leverage Factor does not apply to the payment upon an automatic call, the payment upon an 

automatic call may be significantly less than the payment at maturity for the same level of appreciation in the Least Performing 

Index. 

• YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX — 

Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each 

individual Index.  Poor performance by any of the Indices over the term of the notes may result in the notes not being automatically 

called on the Review Date, may negatively affect your payment at maturity and will not be offset or mitigated by positive 

performance by any other Index. 

• YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX. 

• THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — 

If your notes are automatically called, the term of the notes may be reduced to as short as approximately one year.  There is no 

guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar 

level of risk.  Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions described 

on the front cover of this pricing supplement. 

• THE NOTES DO NOT PAY INTEREST. 

• YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE UNDERLYING FUTURES CONTRACTS OR THE SECURITIES 

INCLUDED IN THE INDEX UNDERLYING ANY UNDERLYING FUTURES CONTRACT. 

• 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. 

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 

PS-7 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

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 levels of the Indices.  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 Indices 

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

UNDERLYING THE UNDERLYING FUTURES CONTRACTS OF THE S&P 500® FUTURES EXCESS RETURN 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® Futures Excess Return Index. 

• AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES WITH 

RESPECT TO THE NASDAQ-100 FUTURES EXCESS RETURNTM INDEX —  

Some of the equity securities included in the Nasdaq-100 Index®, the index underlying the Nasdaq-100 Futures Excess ReturnTM 

Index’s Underlying Futures Contracts, have been issued by non-U.S. companies.  Investments in securities linked to the value of 

such non-U.S. equity securities involve risks associated with the home countries of the issuers of those non-U.S. equity securities.  

PS-8 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

The prices of securities issued by non-U.S. companies may be affected by political, economic, financial and social factors in the 

home countries of those issuers, or global regions, including changes in government, economic and fiscal policies and currency 

exchange laws. 

• EACH INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE APPLICABLE UNDERLYING FUTURES 

CONTRACTS —  

Each Index tracks the excess return of the applicable Underlying Futures Contracts (as defined under “The Indices” below).  The 

price of an Underlying Futures Contract depends not only on the level of the underlying index referenced by the Underlying Futures 

Contract, but also on a range of other factors, including but not limited to the performance and volatility of the U.S. stock market, 

corporate earnings reports, geopolitical events, governmental and regulatory policies and the policies of the exchange on which the 

applicable Underlying 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 the applicable Underlying Futures Contracts to be 

volatile and could adversely affect the level of the Indices and any payments on, and the value of, your notes. 

• SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE APPLICABLE UNDERLYING 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 the applicable Underlying 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 those 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 level of each Index and could adversely affect the level of each Index and any 

payments on, and the value of, your notes. 

• THE PERFORMANCE OF EACH INDEX WILL DIFFER FROM THE PERFORMANCE OF THE INDEX UNDERLYING ITS 

UNDERLYING FUTURES CONTRACTS — 

A variety of factors can lead to a disparity between the performance of a futures contract on an equity index and the performance 

of that equity index, including the expected dividend yields of the equity securities included in that equity index, an implicit financing 

cost associated with futures contracts and policies of the exchange on which the futures contracts are traded, such as margin 

requirements.  Thus, a decline in expected dividends yields or an increase in margin requirements may adversely affect the 

performance of each Index.  In addition, the implicit financing cost will negatively affect the performance of each Index, with a 

greater negative effect when market interest rates are higher.  During periods of high market interest rates, each Index is likely to 

underperform the equity index underlying its Underlying Futures Contracts, perhaps significantly. 

• NEGATIVE ROLL RETURNS ASSOCIATED WITH THE APPLICABLE UNDERLYING FUTURES CONTRACTS MAY 

ADVERSELY AFFECT THE LEVEL OF THE INDEX AND THE VALUE OF THE NOTES —  

Each Index tracks the excess return of the applicable Underlying Futures Contracts.  Unlike common equity securities, futures 

contracts, by their terms, have stated expirations.  As the exchange-traded Underlying Futures Contracts approach expiration, they 

are replaced by contracts of the same series that have a later expiration.  For example, an Underlying Futures Contract notionally 

purchased and held in June may specify a September expiration date.  As time passes, the contract expiring in September is 

replaced by a contract for delivery in December.  This is accomplished by notionally selling the September contract and notionally 

purchasing the December contract.  This process is referred to as “rolling.”  Excluding other considerations, if prices are higher in 

the distant delivery months than in the nearer delivery months, the notional purchase of the December contract would take place at 

a price that is higher than the price of the September contract, thereby creating a negative “roll return.”  Negative roll returns 

adversely affect the returns of the applicable Underlying Futures Contracts and, therefore, the level of each Index and any 

payments on, and the value of, the notes.  Because of the potential effects of negative roll returns, it is possible for the level of 

each Index to decrease significantly over time, even when the levels of the underlying index referenced by the applicable 

Underlying Futures Contracts are stable or increasing. 

• HYPOTHETICAL BACK-TESTED DATA RELATING TO EACH OF THE NASDAQ-100 FUTURES EXCESS RETURNTM INDEX 

AND THE RUSSELL 2000® FUTURES EXCESS RETURN INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND 

ARE SUBJECT TO INHERENT LIMITATIONS —  

The hypothetical back-tested performance of each of the Nasdaq-100 Futures Excess ReturnTM Index and the Russell 2000® 

Futures Excess Return Index set forth under “The Indices” in this pricing supplement is purely theoretical and does not represent 

PS-9 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

the actual historical performance of that Index and has not been verified by an independent third party.  Hypothetical back-tested 

performance measures have inherent limitations.  Alternative modelling 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. 

• AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH 

RESPECT TO THE RUSSELL 2000® INDEX, THE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS OF THE 

RUSSELL 2000® FUTURES EXCESS RETURN INDEX — 

Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative 

to larger companies.  Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a 

dividend payment could be a factor that limits downward stock price pressure under adverse market conditions. 

• OTHER KEY RISKS: 

o  EACH 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 NASDAQ-100 FUTURES EXCESS RETURNTM INDEX WAS ESTABLISHED ON APRIL 1, 2024 AND THE RUSSELL 

2000® FUTURES EXCESS RETURN INDEX WAS ESTABLISHED ON MAY 20, 2024 AND THEREFORE EACH HAS 

LIMITED OPERATING HISTORY AND MAY PERFORM IN UNANTICIPATED WAYS 

PS-10 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

The Indices 

The S&P 500® Futures Excess Return Index measures the performance of the nearest maturing quarterly E-mini® S&P 500® futures 

contracts (Symbol: ES) (with respect to the S&P 500®  Futures Excess Return Index, the “Underlying Futures Contracts”) trading on the 

Chicago Mercantile Exchange (the “Exchange”).  The Underlying Futures Contracts are U.S. dollar-denominated futures contracts 

based on 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® Futures Excess Return Index and the 

Underlying Futures Contracts, see Annex A in this pricing supplement. 

The Nasdaq-100 Futures Excess ReturnTM Index measures the performance of the nearest E-mini® Nasdaq-100® futures contracts 

(Symbol: NQ) (with respect to the Nasdaq-100 Futures Excess ReturnTM Index, the “Underlying Futures Contracts”) trading on the 

Exchange. The Underlying Futures Contracts are U.S. dollar-denominated futures contracts based on the Nasdaq-100 Index®.  The 

Nasdaq-100 Index® is a modified market capitalization-weighted index of 100 of the largest non-financial securities listed on The 

Nasdaq Stock Market based on market capitalization.  For additional information about the Nasdaq-100 Futures Excess ReturnTM Index 

and its Underlying Futures Contracts, see Annex B in this pricing supplement. 

The Russell 2000® Futures Excess Return Index measures the performance of the nearest maturing quarterly E-mini® Russell 2000® 

futures contracts (Symbol: RTY) (with respect to the Russell 2000® Futures Excess Return Index, the “Underlying Futures Contracts”) 

trading on the Exchange.  The Underlying Futures Contracts are U.S. dollar-denominated futures contracts based on the Russell 2000® 

Index.  The Russell 2000® Index consists of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the 

index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000® Index.  The Russell 2000® 

Index is designed to track the performance of the small capitalization segment of the U.S. equity market.  For additional information 

about the Russell 2000® Futures Excess Return Index and its Underlying Futures Contracts, see Annex C in this pricing supplement.  

Hypothetical Back-Tested Data and Historical Information 

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

historical closing levels of the S&P 500® Futures Excess Return Index from January 8, 2021 through March 13, 2026, (ii) the 

hypothetical back-tested performance of the Nasdaq-100 Futures Excess ReturnTM Index based on the hypothetical back-tested weekly 

closing levels of the Nasdaq-100 Futures Excess ReturnTM Index from January 8, 2021 through March 28, 2024 and the historical 

performance of the Nasdaq-100 Futures Excess ReturnTM Index based on the weekly historical closing levels of the Nasdaq-100 

Futures Excess ReturnTM Index from April 5, 2024 through March 13, 2026 and (iii) the hypothetical back-tested performance of the 

Russell 2000® Futures Excess Return Index based on the hypothetical back-tested weekly closing levels of the Russell 2000® Futures 

Excess Return Index from January 8, 2021 through May 17, 2024 and the historical performance of the Russell 2000® Futures Excess 

Return Index based on the weekly historical closing levels of the Russell 2000® Futures Excess Return Index from May 24, 2024 

through March 13, 2026.  The Nasdaq-100 Futures Excess ReturnTM Index was established on April 1, 2024 and the Russell 2000® 

Futures Excess Return Index was established on May 20, 2024, each as represented by the vertical line in the applicable graph below.  

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

of the applicable vertical line reflect actual historical performance of the applicable Index. The closing level of the S&P 500® Futures 

Excess Return Index on March 19, 2026 was 534.51.  The closing level of the Nasdaq-100 Futures Excess ReturnTM Index on March 

19, 2026 was 648.4408.  The closing level of the Russell 2000® Futures Excess Return Index on March 19, 2026 was 336.92.  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 each of the Nasdaq-100 Futures Excess ReturnTM Index and the Russell 

2000® Futures Excess Return Index set forth below are purely theoretical and do not represent the actual historical performance of that 

Index.  See “Selected Risk Considerations — Risks Relating to the Indices — Hypothetical Back-Tested Data Relating to each of the 

Nasdaq-100 Futures Excess ReturnTM Index and the Russell 2000® Futures Excess Return Index Do Not Represent Actual Historical 

Data and Are Subject to Inherent Limitations” above. 

The hypothetical back-tested and historical closing levels of each Index should not be taken as an indication of future performance, and 

no assurance can be given as to the closing level of any Index on the Review Date or the Observation Date.  There can be no 

assurance that the performance of the Indices will result in the return of any of your principal amount. 

PS-11 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

PS-12 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

The hypothetical back-tested closing levels of each of the Nasdaq-100 Futures Excess ReturnTM Index and the Russell 2000® Futures 

Excess Return 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 each of the Nasdaq-100 Futures Excess ReturnTM Index and the Russell 

2000® Futures Excess Return Index that might prove to be more appropriate and that might differ significantly from the hypothetical 

back-tested closing levels of that Index set forth above. 

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 of our special tax 

counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes. 

Based on 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 instruments for 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 as long-

term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue 

price.  However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the 

notes could be materially and adversely affected.  In addition, in 2007 Treasury and the IRS released a notice requesting comments on 

the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.  The notice focuses in particular on 

whether to require investors in these instruments to accrue income over the term of their investment.  It also asks for comments on a 

number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as 

the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated 

accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject 

to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary 

income and impose a notional interest charge.  While the notice requests comments on appropriate transition rules and effective dates, 

any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the 

tax consequences of an investment in the notes, possibly with retroactive effect.  You should consult your tax adviser regarding the 

U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented 

by this notice. 

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. 

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 

PS-13 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

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 

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 Indices” 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. 

PS-14 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

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.

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 

supplement.  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 and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, as the 

notes involve risks not associated with conventional debt securities.  We urge you to consult your investment, legal, tax, accounting and 

other advisers before you invest in the notes. 

You may access these 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. 4-I dated April 13, 2023: 

http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf 

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

http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_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.   

PS-15 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

Annex A 

The S&P 500® Futures Excess Return Index 

All information contained in this pricing supplement regarding the S&P 500® Futures Excess Return Index (the “SPX Futures Index”), 

including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly 

available information, without independent verification.  This information reflects the policies of, and is subject to change by, S&P Dow 

Jones Indices LLC (“S&P Dow Jones”).  The SPX Futures Index is calculated, maintained and published by S&P Dow Jones.  S&P Dow 

Jones has no obligation to continue to publish, and may discontinue the publication of, the SPX Futures Index. 

The SPX Futures Index is reported by Bloomberg L.P. under the ticker symbol “SPXFP.” 

The SPX Futures Index measures the performance of the nearest maturing quarterly E-mini® S&P 500® futures contracts (Symbol: ES) 

(with respect to the SPX Futures Index, the “Underlying Futures Contracts”) trading on the Chicago Mercantile Exchange (the 

“Exchange”).  The Underlying Futures Contracts are U.S. dollar-denominated futures contracts based on the S&P 500® Index.  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 SPX Futures Index is calculated real-time from the price change of the Underlying Futures Contracts.  The 

SPX Futures Index is an “excess return” index that is based on price levels of the Underlying Futures Contracts as well as the discount 

or premium obtained by “rolling” hypothetical positions in the Underlying Futures Contracts as they approach delivery.  The SPX 

Futures Index does not reflect interest earned on hypothetical, fully collateralized contract positions. 

Index Rolling 

As each Underlying Futures Contract approaches maturity, it is replaced by the next maturing Underlying Futures Contract in a process 

referred to as “rolling.”  The rolling of the SPX Futures Index occurs quarterly over a one-day rolling period (the “roll day”) every March, 

June, September and December, effective after the close of trading five business days preceding the last trading date of the maturing 

Underlying Futures Contract. 

On any scheduled roll day, the occurrence of either of the following circumstances will result in an adjustment of the roll day according 

to the procedure set forth in this section:  

•  An exchange holiday occurs on that scheduled roll day. 

•  The daily contract price of any Underlying Futures Contract within the index on that scheduled roll day is a limit price. 

If either of the above events occur, the relevant roll day will take place on the next designated commodity index business day whereby 

none of the circumstances identified take place. 

If a disruption is approaching the last trading day of a contract expiration, the Index Committee (defined below) will convene to 

determine the appropriate course of action, which may include guidance from the Exchange. 

The Index Committee may change the date of a given rebalancing for reasons including market holidays occurring on or around the 

scheduled rebalancing date.  Any such change will be announced with proper advance notice where possible. 

Index Calculations 

The closing level of the SPX Futures Index on any trading day reflects the change in the daily contract price of the Underlying Futures 

Contract since the immediately preceding trading day.  On each quarterly roll day, the closing level of the SPX Futures Index reflects 

the change from the daily contract price of the maturing Underlying Futures Contract on the immediately preceding trading day to the 

daily contract price of the next maturing Underlying Futures Contract on that roll day. 

The daily contract price of an Underlying Futures Contract will be the settlement price reported by the Exchange.  If the Exchange fails 

to open due to unforeseen circumstances, such as natural disasters, inclement weather, outages, or other events, the SPX Futures 

Index uses the prior daily contract prices.  In situations where the Exchange is forced to close early due to unforeseen events, such as 

computer or electric power failures, weather conditions or other events, S&P Dow Jones calculates the closing level of the SPX Futures 

Index based on (1) the daily contract price published by the Exchange, or (2) if no daily contract price is available, the Index Committee 

determines the course of action and notifies clients accordingly. 

Index Corrections and Recalculations 

S&P Dow Jones reserves the right to recalculate an index at its discretion in the event that settlement prices are amended or upon the 

occurrence of a missed index methodology event (deviation from what is stated in the methodology document).   

PS-16 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

Index Governance 

An S&P Dow Jones index committee (the “Index Committee”) maintains the SPX Futures Index.  All committee members are full-time 

professional members of S&P Dow Jones’ staff.  The Index Committee may revise index policy covering rules for including currencies, 

the timing of rebalancing or other matters.  The Index Committee considers information about changes to the SPX Futures Index and 

related matters to be potentially market moving and material.  Therefore, all Index Committee discussions are confidential.  

The Index Committees reserve the right to make exceptions when applying the methodology of the SPX Futures Index if the need 

arises.  In any scenario where the treatment differs from the general rules stated in this document or supplemental documents, notice 

will be provided, whenever possible. 

In addition to the daily governance of the SPX Futures Index and maintenance of its index methodology, at least once within any 12-

month period, the Index Committee reviews the methodology to ensure the SPX Futures Index continues to achieve the stated 

objectives, and that the data and methodology remain effective.  In certain instances, S&P Dow Jones may publish a consultation 

inviting comments from external parties. 

License Agreement  

JPMorgan Chase & Co. or its affiliate has entered into an agreement with S&P Dow Jones that provides it and certain of its affiliates or 

subsidiaries, including JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the SPX Futures Index, 

which is owned and published by S&P Dow Jones, in connection with certain securities, including the notes. 

The notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones or its third-party licensors.  Neither S&P Dow Jones nor 

its third-party licensors make any representation or warranty, express or implied, to the owners of the notes or any member of the public 

regarding the advisability of investing in securities generally or in the notes particularly or the ability of the SPX Futures Index to track 

general stock market performance.  S&P Dow Jones’ and its third-party licensors’ only relationship to JPMorgan Financial or JPMorgan 

Chase & Co. is the licensing of certain trademarks and trade names of S&P Dow Jones and the third-party licensors and of the SPX 

Futures Index which is determined, composed and calculated by S&P Dow Jones or its third-party licensors without regard to JPMorgan 

Financial or JPMorgan Chase & Co. or the notes. S&P Dow Jones and its third-party licensors have no obligation to take the needs of 

JPMorgan Financial or JPMorgan Chase & Co. or the owners of the notes into consideration in determining, composing or calculating 

the SPX Futures Index.  Neither S&P Dow Jones nor its third-party licensors are responsible for and has not participated in the 

determination of the prices and amount of the notes or the timing of the issuance or sale of the notes or in the determination or 

calculation of the equation by which the notes are to be converted into cash.  S&P Dow Jones has no obligation or liability in connection 

with the administration, marketing or trading of the notes. 

NEITHER S&P DOW JONES, ITS AFFILIATES NOR THEIR THIRD-PARTY LICENSORS GUARANTEE THE ADEQUACY, 

ACCURACY, TIMELINESS OR COMPLETENESS OF THE SPX FUTURES INDEX OR ANY DATA INCLUDED THEREIN OR ANY 

COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC 

COMMUNICATIONS) WITH RESPECT THERETO.  S&P DOW JONES, ITS AFFILIATES AND THEIR THIRD-PARTY LICENSORS 

SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P 

DOW JONES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF 

MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE SPX 

FUTURES INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT 

WHATSOEVER SHALL S&P DOW JONES, ITS AFFILIATES OR THEIR THIRD-PARTY LICENSORS BE LIABLE FOR ANY 

INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF 

PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF 

SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE. 

“S&P®” and “S&P 500®” are trademarks of S&P Global, Inc. or its affiliates and have been licensed for use by JPMorgan Chase & Co. 

and its affiliates, including JPMorgan Financial. 

Background on Futures Contracts 

Overview of Futures Markets  

Futures contracts are contracts that legally obligate the holder to buy or sell an asset at a predetermined delivery price during a 

specified future time period.  Futures contracts are traded on regulated futures exchanges, in the over-the-counter market and on 

various types of physical and electronic trading facilities and markets.  An exchange-traded futures contract provides for the purchase 

and sale of a specified type and quantity of an underlying asset or financial instrument during a stated delivery month for a fixed price.  

A futures contract provides for a specified settlement month in which the cash settlement is made or in which the underlying asset or 

PS-17 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

financial instrument is to be delivered by the seller (whose position is therefore described as “short”) and acquired by the purchaser 

(whose position is therefore described as “long”).  

No purchase price is paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents 

must be deposited with the broker as “initial margin.”  This amount varies based on the requirements imposed by the exchange clearing 

houses, but it may be lower than 5% of the notional value of the contract. This margin deposit provides collateral for the obligations of 

the parties to the futures contract. 

By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market 

participant may be able to earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in 

futures contracts. 

In the United States, futures contracts are traded on designated contract markets. At any time prior to the expiration of a futures 

contract, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the 

position, subject to the availability of a liquid secondary market.  This operates to terminate the position and fix the trader’s profit or loss. 

Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a “futures 

commission merchant,” which is a member of the clearing house. 

Unlike common equity securities, futures contracts, by their terms, have stated expirations. At a specific point in time prior to expiration, 

trading in a futures contract for the current delivery month will cease.  As a result, a market participant wishing to maintain its exposure 

to a futures contract on a particular asset or financial instrument with the nearest expiration must close out its position in the expiring 

contract and establish a new position in the contract for the next delivery month, a process referred to as “rolling.”  For example, a 

market participant with a long position in a futures contract expiring in November who wishes to maintain a position in the nearest 

delivery month will, as the November contract nears expiration, sell the November contract, which serves to close out the existing long 

position, and buy a futures contract expiring in December.  This will “roll” the November position into a December position, and, when 

the November contract expires, the market participant will still have a long position in the nearest delivery month. 

Futures exchanges and clearing houses in the United States are subject to regulation by the Commodity Futures Trading Commission 

(the “CFTC”).  Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits, 

maximum price fluctuations and trading halts and suspensions and requiring liquidation of contracts in certain circumstances.  Futures 

markets outside the United States are generally subject to regulation by foreign regulatory authorities comparable to the CFTC.  The 

structure and nature of trading on non-U.S. exchanges, however, may differ from the above description. 

Underlying Futures Contracts 

E-mini® S&P 500® futures contracts are U.S. dollar-denominated futures contracts, based on the S&P 500® Index, traded on the 

Exchange, representing a contract unit of $50 multiplied by the S&P 500® Index, measured in cents per index point.  

E-mini® S&P 500® futures contracts listed for the nearest nine quarters, for each March, June, September and December, and the 

nearest three Decembers are available for trading.  Trading of the E-mini® S&P 500® futures contracts will terminate at 9:30 A.M. 

Eastern time on the third Friday of the contract month.  

The daily settlement prices of the E-mini® S&P 500® futures contracts are based on trading activity in the relevant contract (and in the 

case of a lead month also being the expiry month, together with trading activity on lead month-second month spread contracts) on the 

Exchange during a specified settlement period.  The final settlement price of E-mini® S&P 500® futures contracts is based on the 

opening prices of the component stocks in the S&P 500® Index, determined on the third Friday of the contract month.   

PS-18 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

Annex B 

The Nasdaq-100 Futures Excess ReturnTM Index  

All information contained in this pricing supplement regarding the Nasdaq-100 Futures Excess ReturnTM Index (the “NDX Futures 

Index”), including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly 

available information, without independent verification.  This information reflects the policies of, and is subject to change by, Nasdaq, 

Inc. (“Nasdaq”).  The NDX Futures Index is calculated, maintained and published by Nasdaq.  Nasdaq has no obligation to continue to 

publish, and may discontinue the publication of, the NDX Futures Index. 

The NDX Futures Index is reported by Bloomberg L.P. under the ticker symbol “NDXNQER.” 

The Base Value of the NDX Futures Index was set equal to 100.00 on September 30, 1999, the “Index Base Date.”  The NDX Futures 

Index has been calculated on a live basis since April 1, 2024, the “Index Live Date.” 

The NDX Futures Index measures the performance of the nearest maturing quarterly E-mini® Nasdaq-100® futures contracts (Symbol: 

NQ) (with respect to the NDX Futures Index, the “Underlying Futures Contracts”) trading on the Chicago Mercantile Exchange (the 

“Exchange”).  The Underlying Futures Contracts are U.S. dollar-denominated futures contracts based on the Nasdaq-100 Index®.  For 

additional information about the Nasdaq-100 Index®, see “Equity Index Descriptions — The Nasdaq-100 Index®” in the accompanying 

underlying supplement.  The NDX Futures Index is calculated real-time from the price change of the Underlying Futures Contracts.  The 

NDX Futures Index is an “excess return” index that is based on price levels of the Underlying Futures Contracts as well as the discount 

or premium obtained by “rolling” hypothetical positions in the Underlying Futures Contracts as they approach delivery.  The NDX 

Futures Index does not reflect interest earned on hypothetical, fully collateralized contract positions. 

Index Rolling 

As each Underlying Futures Contract approaches maturity, it is replaced by the next maturing Underlying Futures Contract in a process 

referred to as “rolling.”  The rolling of the NDX Futures Index occurs quarterly over a three-day rolling period (the “roll period”) every 

March, June, September and December, effective after the close of trading on the fifth, fourth and third business days (each, a “roll 

day”) preceding the last trading date of the maturing Underlying Futures Contract.  The number of units over the roll period will change 

equally each day as illustrated below, provided that there is no Index Market Disruption Event (as described under “— Index Market 

Disruption Events” below) on a roll day (a “Roll Day Disruption”). 

Roll Period Day 

Proportion of Current Contract 

Proportion of Next Contract 

Day 1 

2/3

1/3

Day 2 

1/3

2/3

Day 3 

0

1

On any scheduled roll day during the roll period, the occurrence of any Index Market Disruption Event below will result in a Roll Day 

Disruption and an adjustment to the roll period such that no changes to the units of the current or next contract will occur until such time 

as the Roll Day Disruption is no longer occurring.  After the Roll Day Disruption ends, on the next day during the Roll Period, the unit 

proportions between the current contract and the next contract will “catch up” to where they would have been in the absence of a 

disruption, as illustrated below. 

Roll Period Day 

Proportion of Current Contract 

Proportion of Next Contract 

Day 1* 

1

0

Day 2** 

1/3

2/3

Day 3 

0

1

PS-19 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

*Disruption occurs on Day 1 of the Roll Period; no changes are made to the proportion of the units of the current contract and the next 

contract. 

**Day 2’s proportions are identical to where they would have been in the absence of a disruption on Day 1 of the Roll Period. 

Index Market Disruption Events 

Each of the below described events is an “Index Market Disruption Event” for the purposes of this description. 

• Trading Disruption: Any unscheduled closure of the Exchange; a material suspension, limitation or disruption of trading on the 

Exchange; a failure of the Exchange to publish the relevant price, level, value or other information; a halt in trading, such as a 

circuit breaker or other exchange-imposed halt; or any other event that materially affects the ability of market participants to trade, 

effect transactions in, maintain or unwind positions in that futures contract.  

• Exchange Disruption: Any exchange related event that disrupts or impairs the ability of market participants to effect transactions or 

obtain market values or price discovery of a component used directly or indirectly in the NDX Futures Index.  

• Price Failure: Any event that impairs or prevents the ability of Nasdaq to obtain a relevant price, level, rate, value or any other 

information from an exchange or other source necessary, on a timely basis and in a manner acceptable to Nasdaq, in order to 

perform the calculation of the NDX Futures Index.  

• Inaccurate Data: The price or value of a component that has been calculated by reference to data that, in the determination of the 

Nasdaq, is inaccurate, incomplete and/or does not adequately reflect the true market price or value of such component. 

• Force Majeure: Any event or circumstance (including, without limitation, a systems failure, natural or man-made disaster, act of 

God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance, or restrictions due to 

emergency powers enforced by federal, state or local government agencies), that is beyond the reasonable control of Nasdaq and 

that Nasdaq determines, in its sole discretion, affects the NDX Futures Index, a component of the NDX Futures Index, any input 

data required to calculate the Index, or that prevents the ability of Nasdaq to calculate the NDX Futures Index. 

• General Moratorium: Nasdaq observes on any day that there has been a declaration of a general moratorium in respect of banking 

activities in any relevant jurisdiction. 

Index Calculations 

The closing level of the NDX Futures Index on any trading day reflects the change in the daily contract price of the Underlying Futures 

Contract since the immediately preceding Index Calculation Day (defined as each weekday that is not a scheduled holiday according to 

Nasdaq’s publicly available index holiday schedule).  Additionally, on each roll day during the quarterly roll period, the closing level of 

the NDX Futures Index reflects the proportional change from the daily contract price of the maturing Underlying Futures Contract on the 

immediately preceding trading day to the daily contract price of the next maturing Underlying Futures Contract on that roll day. 

The daily contract price of an Underlying Futures Contract will be the settlement price reported by the Exchange.  If an Index Market 

Disruption Event occurs (as defined under “— Index Rolling — Index Market Disruption Events” above) or is occurring on an Index 

Calculation Day that Nasdaq determines materially affects the NDX Futures Index, Nasdaq may: 

• Delay the calculation of the Index and halt the dissemination of the value of the NDX Futures Index and /or other information 

relating to the NDX Futures Index until such time, which may be a subsequent Index Calculation Day, that Nasdaq determines that 

such Index Market Disruption Event is no longer occurring. 

• Determine a good faith estimate of any affected or missing input data required to calculate the NDX Futures Index or the value of 

the NDX Futures Index for such Index Calculation Day or time for such Index Calculation Day. 

Index Corrections and Recalculations 

Nasdaq reserves the right to recalculate an index at its discretion in the event that settlement prices are amended or upon the 

occurrence of a missed index methodology event (deviation from what is stated in the methodology document).   

License Agreement  

The notes are not sponsored, endorsed, sold or promoted by Nasdaq or its affiliates (Nasdaq, with its affiliates, are referred to as the 

“Corporations”).  The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and 

disclosures relating to, the notes.  The Corporations make no representation or warranty, express or implied to the owners of the notes 

PS-20 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

or any member of the public regarding the advisability of investing in securities generally or in the notes particularly, or the ability of the 

NDX Futures Index to track general stock market performance.  The Corporations’ only relationship to J.P. Morgan Financial and J.P. 

Morgan Chase & Co. (the “Licensee”) is in the licensing of the Nasdaq®, the Nasdaq-100 Index® and certain trade names of the 

Corporations and the use of the NDX Futures Index, which is determined, composed and calculated by Nasdaq without regard to the 

Licensee or the notes.  Nasdaq has no obligation to take the needs of the Licensee or the owners of the notes into consideration in 

determining, composing or calculating the NDX Futures Index.  The Corporations are not responsible for and have not participated in 

the determination of the timing of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation 

by which the notes are to be converted into cash.  The Corporations have no liability in connection with the administration, marketing or 

trading of the notes. 

THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE NDX 

FUTURES INDEX OR ANY DATA INCLUDED THEREIN.  THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, 

AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY 

FROM THE USE OF THE NDX FUTURES INDEX OR ANY DATA INCLUDED THEREIN.  THE CORPORATIONS MAKE NO 

EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS 

FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NDX FUTURES INDEX OR ANY DATA INCLUDED THEREIN.  

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY 

LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF 

THE POSSIBILITY OF SUCH DAMAGES. 

Background on Futures Contracts 

Overview of Futures Markets  

Futures contracts are contracts that legally obligate the holder to buy or sell an asset at a predetermined delivery price during a 

specified future time period.  Futures contracts are traded on regulated futures exchanges, in the over-the-counter market and on 

various types of physical and electronic trading facilities and markets.  An exchange-traded futures contract provides for the purchase 

and sale of a specified type and quantity of an underlying asset or financial instrument during a stated delivery month for a fixed price.  

A futures contract provides for a specified settlement month in which the cash settlement is made or in which the underlying asset or 

financial instrument is to be delivered by the seller (whose position is therefore described as “short”) and acquired by the purchaser 

(whose position is therefore described as “long”).  

No purchase price is paid or received on the purchase or sale of a futures contract.  Instead, an amount of cash or cash equivalents 

must be deposited with the broker as “initial margin.”  This amount varies based on the requirements imposed by the exchange clearing 

houses, but it may be lower than 5% of the notional value of the contract.  This margin deposit provides collateral for the obligations of 

the parties to the futures contract. 

By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market 

participant may be able to earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in 

futures contracts. 

In the United States, futures contracts are traded on designated contract markets.  At any time prior to the expiration of a futures 

contract, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the 

position, subject to the availability of a liquid secondary market.  This operates to terminate the position and fix the trader’s profit or loss.  

Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a “futures 

commission merchant,” which is a member of the clearing house. 

Unlike common equity securities, futures contracts, by their terms, have stated expirations.  At a specific point in time prior to expiration, 

trading in a futures contract for the current delivery month will cease.  As a result, a market participant wishing to maintain its exposure 

to a futures contract on a particular asset or financial instrument with the nearest expiration must close out its position in the expiring 

contract and establish a new position in the contract for the next delivery month, a process referred to as “rolling.”  For example, a 

market participant with a long position in a futures contract expiring in November who wishes to maintain a position in the nearest 

delivery month will, as the November contract nears expiration, sell the November contract, which serves to close out the existing long 

position, and buy a futures contract expiring in December.  This will “roll” the November position into a December position, and, when 

the November contract expires, the market participant will still have a long position in the nearest delivery month. 

Futures exchanges and clearing houses in the United States are subject to regulation by the Commodity Futures Trading Commission 

(the “CFTC”).  Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits, 

PS-21 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

maximum price fluctuations and trading halts and suspensions and requiring liquidation of contracts in certain circumstances.  Futures 

markets outside the United States are generally subject to regulation by foreign regulatory authorities comparable to the CFTC.  The 

structure and nature of trading on non-U.S. exchanges, however, may differ from the above description. 

Underlying Futures Contracts 

E-mini® Nasdaq-100® futures contracts are U.S. dollar-denominated futures contracts, based on the Nasdaq-100 Index®, traded on the 

Exchange, representing a contract unit of $20.00 multiplied by the index level of the Nasdaq-100 Index®, measured in cents per index 

point.  From April 10, 1996, the E-mini® Nasdaq-100® futures contracts have traded on the Exchange. 

E-mini® Nasdaq-100® futures contracts listed for six consecutive quarters for each March, June, September and December and four 

additional December contract months are available for trading.  Trading of the E-mini® Nasdaq-100® futures contracts will terminate at 

9:30 A.M. Eastern time on the third Friday of the contract month. 

The daily settlement prices of the E-mini® Nasdaq-100® futures contracts are based on trading activity in the relevant contract (and in 

the case of a lead month also being the expiry month, together with trading activity on lead month-second month spread contracts) on 

the Exchange during a specified settlement period.  The final settlement price of E-mini® Nasdaq-100® futures contracts is determined 

through the “end of month fair value procedure,” which fixes a price based on trading activity on the Exchange in the E-mini® Nasdaq-

100® futures contracts between 2:59:30 P.M. and 3:00:00 P.M. Central time on the last business day of each month.  

PS-22 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

Annex C 

The Russell 2000® Futures Excess Return Index  

All information contained in this pricing supplement regarding the Russell 2000® Futures Excess Return Index (the “RTY Futures 

Index”), including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly 

available information, without independent verification.  This information reflects the policies of, and is subject to change by, FTSE 

International Limited (“FTSE”).  The RTY Futures Index is calculated by MerQube, Inc. (the “Index Calculation Agent”), and maintained 

and published by FTSE.  FTSE has no obligation to continue to publish, and may discontinue the publication of, the RTY Futures Index. 

The RTY Futures Index is reported by Bloomberg L.P. under the ticker symbol “RTYFPE.” 

The RTY Futures Index has been calculated on a live basis since May 20, 2024, the “Index Live Date.”  

The RTY Futures Index measures the performance of the nearest maturing quarterly E-mini® Russell 2000® futures contracts (Symbol: 

RTY) (with respect to the RTY Futures Index, the “Underlying Futures Contracts”) trading on the Chicago Mercantile Exchange (the 

“Exchange”).  The Underlying Futures Contracts are U.S. dollar-denominated futures contracts based on the Russell 2000® Index.  For 

additional information about the Russell 2000® Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying 

underlying supplement.  The RTY Futures Index is calculated real-time from the price change of the Underlying Futures Contracts.  The 

RTY Futures Index is an “excess return” index that is based on price levels of the Underlying Futures Contracts as well as the discount 

or premium obtained by “rolling” hypothetical positions in the Underlying Futures Contracts as they approach delivery.  The RTY 

Futures Index does not reflect interest earned on hypothetical, fully collateralized contract positions.  

Index Rolling 

As each Underlying Futures Contract approaches maturity, it is replaced by the next maturing Underlying Futures Contract in a process 

referred to as “rolling.”  The rolling of the RTY Futures Index occurs quarterly over a three-day rolling period (the “roll period”) every 

March, June, September and December, effective after the close of trading on the fifth, fourth and third business days (each, a “roll 

day”) preceding the last trading date of the maturing Underlying Futures Contract.  The number of units over the roll period will change 

equally each day as illustrated below, provided that no Index Market Disruption Events occurred on any business day during the roll 

period.  

Roll Period Day 

Proportion of Current Contract 

Proportion of Next Contract 

Day 1 

2/3

1/3

Day 2 

1/3

2/3

Day 3 

0

1

If an Index Market Disruption Event occurs on any business day during the roll period that is not the last business day of the roll period, 

the portion of the roll will be postponed to the first roll business day immediately following that business day.  

If an Index Market Disruption Event occurs on the last business day of the roll period, the roll on that business day will not be 

postponed.  

Index Market Disruption Events 

An Index Market Disruption Event can be defined as the occurrence of one or more of the following events if, in the discretion of the 

Index Calculation Agent, that event is material:  

PS-23 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

• The Index Calculation Agent observes on any business day that there has been a declaration of a general moratorium in respect of 

banking activities in any relevant jurisdiction.  

• The occurrence of an event that makes it impossible or not reasonably practicable on any business day for the Index Calculation 

Agent to obtain the value of any Underlying Futures Contract, or any other price or necessary information for purposes of 

calculating the value of the RTY Futures Index in a manner acceptable to the Index Calculation Agent.  

• The administrator of the Underlying Futures Contract fails to announce or publish the level of that Underlying Futures Contract on a 

business day on which the level of that Underlying Futures Contract was scheduled to be announced or published.  

• The occurrence or existence of a lack of, or material decline in, the liquidity in the market for trading of any Underlying Futures 

Contract on any business day. 

• A force majeure event or any event that disrupts or impairs (as determined by the Index Calculation Agent acting in a reasonable 

manner) the ability of market participants in general to establish, maintain or unwind transactions in, or obtain market values for, 

futures, forwards, options, swaps or other over-the-counter derivative transactions indirectly included in and/or that may be used for 

hedging any Underlying Futures Contract. 

• A suspension, disruption, absence or material limitation imposed on trading by the Exchange or observed in any related over-the-

counter market(s) or otherwise and whether by reason of movements in price exceeding limits permitted by the Exchange or 

otherwise in the futures, forwards, options, swaps or other over-the-counter derivative transactions indirectly included in and/or that 

may be used for hedging the RTY Futures Index. 

Index Calculations 

The closing level of the RTY Futures Index on any trading day reflects the change in the daily contract price of the Underlying Futures 

Contract since the immediately preceding business day.  Additionally, on each roll day during the quarterly roll period, the closing level 

of the RTY Futures Index reflects the proportional change from the daily contract price of the maturing Underlying Futures Contract on 

the immediately preceding trading day to the daily contract price of the next maturing Underlying Futures Contract on that roll day. 

The daily contract price of an Underlying Futures Contract will be the settlement price reported by the Exchange.  If, on any business 

day, an Index Market Disruption Event occurs or is occurring that the Index Calculation Agent determines, in its sole discretion, 

materially affects the RTY Futures Index, the Index Calculation Agent may, but not limited to: 

• Use the last available closing futures value to calculate and publish the closing level of the RTY Futures Index; and/or 

• Defer or suspend the calculation and publication of the closing level of the RTY Futures Index and any other information relating to 

the RTY Futures Index until the next business day on which that Index Market Disruption Event has ceased. 

Index Corrections and Recalculations 

FTSE reserves the right to recalculate an index at its discretion in the event that settlement prices are amended or upon the occurrence 

of a missed index methodology event (deviation from what is stated in the methodology document).   

License Agreement 

Frank Russell Company (“Russell”) is the source and owner of the trademarks, service marks and copyrights related to the Russell 

Indices.  Russell® is a trademark of Frank Russell Company.  Neither Russell nor its licensors accept any liability for any errors or 

omissions in the Russell Indices and/or Russell ratings or underlying data and no party may rely on any Russell Indices and/or Russell 

ratings and/or underlying data contained in this communication.  No further distribution of Russell Data is permitted without Russell’s 

express written consent.  Russell does not promote, sponsor or endorse the content of this communication. 

The Russell 2000® Futures Excess Return Index (for the purposes of this disclaimer, the “Index”) is a trademark of Frank Russell 

Company (“Russell”) and has been licensed for use by JPMorgan Chase & Co. and its affiliates (“J.P. Morgan”).  These notes are not in 

any way sponsored, endorsed, sold or promoted by Russell or the London Stock Exchange Group companies (“LSEG”) (together the 

“Licensor Parties”) and none of the Licensor Parties make any claim, prediction, warranty or representation whatsoever, expressly or 

impliedly, either as to (i) the results to be obtained from the use of the Index (upon which the notes are based), (ii) the figure at which 

the Index is said to stand at any particular time on any particular day or otherwise, or (iii) the suitability of the Index for the purpose to 

which it is being put in connection with the notes.  None of the Licensor Parties have provided or will provide any financial or investment 

advice or recommendation in relation to the Index to J.P. Morgan or to its clients.  The Index is calculated by Russell or its agent.  None 

PS-24 | Structured Investments 

Auto Callable Return Enhanced Notes Linked to the Least Performing of the 

S&P 500® Futures Excess Return Index, the Nasdaq-100 Futures Excess 

ReturnTM Index and the Russell 2000® Futures Excess Return Index 

of the Licensor Parties shall be (a) liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under any 

obligation to advise any person of any error therein. 

Background on Futures Contracts 

Overview of Futures Markets  

Futures contracts are contracts that legally obligate the holder to buy or sell an asset at a predetermined delivery price during a 

specified future time period.  Futures contracts are traded on regulated futures exchanges, in the over-the-counter market and on 

various types of physical and electronic trading facilities and markets.  An exchange-traded futures contract provides for the purchase 

and sale of a specified type and quantity of an underlying asset or financial instrument during a stated delivery month for a fixed price.  

A futures contract provides for a specified settlement month in which the cash settlement is made or in which the underlying asset or 

financial instrument is to be delivered by the seller (whose position is therefore described as “short”) and acquired by the purchaser 

(whose position is therefore described as “long”).  

No purchase price is paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents 

must be deposited with the broker as “initial margin.”  This amount varies based on the requirements imposed by the exchange clearing 

houses, but it may be lower than 5% of the notional value of the contract.  This margin deposit provides collateral for the obligations of 

the parties to the futures contract. 

By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market 

participant may be able to earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in 

futures contracts. 

In the United States, futures contracts are traded on designated contract markets.  At any time prior to the expiration of a futures 

contract, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the 

position, subject to the availability of a liquid secondary market.  This operates to terminate the position and fix the trader’s profit or loss. 

Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a “futures 

commission merchant,” which is a member of the clearing house. 

Unlike common equity securities, futures contracts, by their terms, have stated expirations.  At a specific point in time prior to expiration, 

trading in a futures contract for the current delivery month will cease.  As a result, a market participant wishing to maintain its exposure 

to a futures contract on a particular asset or financial instrument with the nearest expiration must close out its position in the expiring 

contract and establish a new position in the contract for the next delivery month, a process referred to as “rolling.”  For example, a 

market participant with a long position in a futures contract expiring in November who wishes to maintain a position in the nearest 

delivery month will, as the November contract nears expiration, sell the November contract, which serves to close out the existing long 

position, and buy a futures contract expiring in December.  This will “roll” the November position into a December position, and, when 

the November contract expires, the market participant will still have a long position in the nearest delivery month. 

Futures exchanges and clearing houses in the United States are subject to regulation by the Commodity Futures Trading Commission 

(the “CFTC”).  Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits, 

maximum price fluctuations and trading halts and suspensions and requiring liquidation of contracts in certain circumstances.  Futures 

markets outside the United States are generally subject to regulation by foreign regulatory authorities comparable to the CFTC.  The 

structure and nature of trading on non-U.S. exchanges, however, may differ from the above description. 

Underlying Futures Contracts 

E-mini® Russell 2000® futures contracts are U.S. dollar-denominated futures contracts (each, an “E-mini® Russell 2000® futures 

contract”), based on the Russell 2000® Index, traded on the Chicago Mercantile Exchange (the “Exchange”), representing a contract 

unit of $50.00 multiplied by the index level of Russell 2000® Index, measured in cents per index point.  From February 4, 1993 to 

September 18, 2008, and since July 10, 2017, E-mini® Russell 2000® futures contracts have traded on the Exchange.  From August 8, 

2007 to June 15, 2018, E-mini® Russell 2000® futures contracts traded on the ICE Futures U.S. exchange. 

E-mini® Russell 2000® futures contracts listed for the nearest five quarters, for each March, June, September and December are 

available for trading.  Trading of the E-mini® Russell 2000® futures contracts will terminate at 9:30 A.M. Eastern time on the third Friday 

of the contract month. 

The daily settlement prices of the E-mini® Russell 2000® futures contracts are based on trading activity in the relevant contract (and in 

the case of a lead month also being the expiry month, together with trading activity on lead month-second month spread contracts) on 

the Exchange during a specified settlement period.  The final settlement price of E-mini® Russell 2000® futures contracts is determined 

through the “end-of-month fair value procedure,” which fixes a price based on trading activity on the Exchange in the E-mini® Russell 

2000® futures contracts between 2:59:30 P.M. and 3:00:00 P.M. Central time. 

Source: View Original Filing on SEC EDGAR

JPMorgan offers $300K Auto‑Callable Enhanced Notes

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JPMorgan offers $300K Auto‑Callable Enhanced Notes

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What is the offering size and denomination for AMJB notes?

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