The information in this preliminary pricing
supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to
buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated July 1, 2024
July , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg)
JPMorgan Chase Financial Company LLC
Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index due August 12, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek exposure to the performance of the J.P. Morgan Kronos+SM Index, subject to
the Index Adjustment Factor of at least 100.00%. |
| · | Investors should be willing to forgo interest and dividend 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. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about July 31, 2024 and are expected to settle on or about August 5, 2024. |
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, “Risk Factors” beginning on page US-5 of the
accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-6 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 |
$ |
$ |
Total |
$ |
$ |
$ |
(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 it receives from us to other affiliated or unaffiliated
dealers. In no event will these selling commissions exceed $10.00 per $1,000 principal amount note. See “Plan of Distribution (Conflicts
of Interest)” in the accompanying product supplement. |
If the notes priced today, the estimated value of the notes would
be approximately $978.40 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will
be provided in the pricing supplement and will not be less than $900.00 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.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, underlying supplement no. 6-I dated April 13, 2023, the prospectus and prospectus supplement, each dated April 13, 2023,
and the prospectus addendum dated June 3, 2024
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Index:
The J.P. Morgan Kronos+SM Index (Bloomberg ticker: JPUSKRNS <Index>). The level of the
Index reflects a 0.95% per annum daily deduction and, in some circumstances, a notional financing cost.
Index
Adjustment Factor: At least 100.00% (to be provided in the pricing supplement)
Pricing
Date: On or about July 31, 2024
Original
Issue Date (Settlement Date): On or about August 5, 2024
Observation
Date*: August 7, 2025
Maturity
Date*: August 12, 2025
* Subject to postponement in the event of a market disruption
event and as described under “Supplemental Terms of the Notes — Postponement of a Determination Date — Notes linked
solely to the Index” in the accompanying underlying supplement and “General Terms of Notes — Postponement of a Payment
Date” in the accompanying product supplement |
Payment at Maturity:
At maturity you will receive a cash payment, for each $1,000 principal
amount note, calculated as follows:
$1,000 × (1 + Index Return) × Index
Adjustment Factor
Assuming an Index Adjustment Factor of 100.00%, the Index Adjustment
Factor will not provide any buffer against any decline of the Index. If the Final Value is less than the Initial Value, you will lose
some or all of your principal amount at maturity.
Index Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing level of the Index on the Pricing Date
Final
Value: The closing level of the Index on the Observation Date
|
PS-1
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
The J.P.
Morgan Kronos+SM Index
The J.P. Morgan Kronos+SM Index (the “Index”)
was developed and is maintained and calculated by J.P. Morgan Securities LLC (“JPMS”). The Index has been calculated on a
“live” basis (i.e., using real-time data) since December 22, 2020. The Index is reported by Bloomberg L.P. under the
ticker symbol “JPUSKRNS Index.”
The Index attempts to provide a dynamic rules-based
exposure to the S&P 500® Index (the “Constituent”). The Index tracks (a) 0%, 100% or 200% of the price
performance of the Constituent (i.e., dividends, if any, are not reflected), where the exposure to the Constituent is determined
as described below, (b) a notional cash return (only if the exposure to the Constituent is 0%) or a notional financing cost (only if the
exposure to the Constituent is 200%) and (c) the daily deduction of 0.95% per annum (the “Index Deduction”). The Constituent
consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information
about the Constituent, see “Background on the S&P 500® Index” in the accompanying underlying supplement.
The Index’s exposure to the Constituent is determined
based on strategies that reference the following historical tendencies:
| · | historical outperformance around the turn of the month; |
| · | historical price momentum ahead of monthly index options’ expiry; and |
| · | historical mean reversion into month-end. |
Historical turn-of-the-month outperformance.
Historically, the performance of the Constituent has tended to be better over the first few and last few days of the month than at other
times during the month. There can be no assurance that this outperformance effect will be observed regularly or at all in the future or
that any instances of outperformance observed in the future will exceed any instances of underperformance observed in the future.
It has been theorized that this outperformance effect
might be due in part to month-end portfolio adjustments by institutions, distributions from pensions and other retirement accounts that
are immediately reinvested and monthly investments by retail mutual fund investors through systematic investment plans in the equity securities
included in the Constituent, as these purchases may cause the value of the relevant equity securities, and therefore the Constituent,
to increase. However, other unidentified factors might contribute to or be primarily responsible for this effect, and there can be no
assurance that any factor will continue to exist or continue to cause this effect.
Historical momentum into monthly options expiry.
Historically, the performance of the Constituent has tended to exhibit momentum in the third week of each month prior to the scheduled
monthly expiry of option contracts on the Constituent, as compared to the remainder of the period following the immediately preceding
scheduled monthly expiry and prior to the third week of the relevant month, meaning that the Constituent has tended to continue to increase
if it has been increasing and has tended to continue to decrease if it has been decreasing. There can be no assurance that this momentum
effect will be observed regularly or at all in the future or that any instances of momentum observed in the future will exceed any instances
of mean reversion observed in the future.
Because this effect appears to have been visible in
data only since 1983, when the Chicago Board Options Exchange first listed option contracts on the Constituent, it has been theorized
this effect could be due in part to systematic call overwriting. A call option contract is a financial contract that gives the option
contract buyer the right, but not the obligation, to buy an asset or index at a specified price (called the “strike price”)
on a specified day or within a specific time period in the future from the option contract seller. In a call overwriting strategy, an
investor sells a call option contract on an asset or index where the strike price of the call option is typically higher than the current
value of that asset or index.
As option contracts on the Constituent near their expiry,
if the Constituent has increased since the immediately preceding scheduled monthly expiry, investors engaged in a call overwriting strategy
may buy back their call option contracts at a loss (or let them be exercised at a loss), and sell new call option contracts with higher
strikes to market-makers. Under these circumstances, market-makers may buy the equity securities included in the Constituent to hedge
their risk, and this buying could cause the level of the Constituent to increase.
As option contracts on the Constituent near their expiry,
if the Constituent has decreased since the immediately preceding scheduled monthly expiry, investors engaged in a call overwriting strategy
may buy back their call option contracts at a profit (or let them expire at a profit), and sell new call option contracts with lower strikes
to market-makers. Under these circumstances, market-makers may sell the equity securities included in the Constituent to hedge their risk,
and this selling could cause the level of the Constituent to decline.
However, other unidentified factors might contribute
to or be primarily responsible for this effect, and there can be no assurance that any factor will continue to exist or continue to cause
this effect.
Historical mean reversion into month-end. Historically,
the performance of the Constituent has tended to exhibit mean reversion into the last week of the month, as compared to the preceding
portion of that month, meaning that the Constituent has tended to increase if
PS-2
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
it has been decreasing and has tended to decrease if it has been increasing.
There can be no assurance that this mean reverting effect will be observed regularly or at all in the future or that any instances of
mean reversion observed in the future will exceed any instances of momentum in the future.
It has been theorized that this effect might be due
in part to month-end rebalancing flows from investors targeting fixed portfolio weights of equities securities included in the Constituent.
An investor seeking to apply fixed portfolio weights may determine to sell assets that have increased in value (which may cause the value
of those assets to decline) and buy assets that have decreased in value (which may cause the value of those assets to increase) in order
to return those assets to their target fixed portfolio weights. However, other unidentified factors might contribute to or be primarily
responsible for this effect, and there can be no assurance that any factor will continue to exist or continue to cause this effect.
Index construction. The Index generally provides
a fully-invested (i.e., 100%) exposure to the Constituent (subject to the Index Deduction), but that exposure may be increased
to a leveraged long 200% exposure (with an accompanying notional financing cost) or decreased to 0% (with a notional cash return), in
which case the Index will be uninvested, during portions of each month in order to implement the Index’s strategies described below,
in each case, subject to modification in the event of a market disruption:
| · | Turn-of-the-month strategy: For the first four days of each calendar month on which the New York Stock Exchange is scheduled to open
for trading for its regular trading session (each, an “Index Business Day”), the Index will provide a leveraged exposure to
the Constituent (with an accompanying notional financing cost). The Index will also seek to apply the turn-of-the-month strategy for the
last two Index Business Days of each calendar month, but the exposure to the Constituent during that period is also subject to the month-end
mean reversion strategy as described below. |
| · | Options expiry momentum strategy: If the closing level of the Constituent on the fifth Index Business Day immediately preceding the
Saturday following the third Friday of each calendar month (the third Friday of each calendar month is typically the scheduled monthly
expiry of U.S. equity and equity index option contracts, including on the Constituent) is greater than the closing level of the Constituent
on the Index Business Day immediately following the third Friday of the prior calendar month, the Index will provide a leveraged exposure
to the Constituent (with an accompanying notional financing cost) for the four Index Business Days ending on the Index Business Day after
the third Friday of the current calendar month. If the closing level of the Constituent on the fifth Index Business Day immediately preceding
the Saturday following the third Friday of each calendar month is less than the closing level of the Constituent on the Index Business
Day immediately following the third Friday of the prior calendar month, the Index will be uninvested (with a notional cash return) for
the four Index Business Days ending on the Index Business Day after the third Friday of the current calendar month. |
| · | Month-end mean reversion strategy: If the closing level of the Constituent on the seventh Index Business Day immediately preceding
the last Index Business Day of the calendar month is greater than the closing level of the Constituent on the last Index Business Day
of the immediately preceding calendar month, the Index will be uninvested (with a notional cash return) for the four Index Business Days
immediately preceding the final two Index Business Days of the month and, due to the turn-of-the-month strategy, the Index will be fully
invested in the Constituent for the final two Index Business Days of the month. If the closing level of the Constituent on the seventh
Index Business Day immediately preceding the last Index Business Day of the calendar month is less than the closing level of the Constituent
on the last Index Business Day of the immediately preceding calendar month, the Index will provide a leveraged exposure to the Constituent
(with an accompanying notional financing cost) for the final six Index Business Days of the month. The exposure to the Constituent is
capped at 200%, so it will not exceed 200% even during the period when the turn-of-the-month strategy and the month-end mean reversion
strategy overlap. |
Calculating the level of the Index. On any given
day, the closing level of the Index (the “Index Level”) reflects (a) (i) the price performance of the Constituent (i.e.,
dividends, if any, are not reflected), (ii) a notional cash return, or (iii) 200% of the price performance of the Constituent (i.e.,
dividends, if any, are not reflected) less a notional financing cost with respect to the leveraged portion of the exposure, in
each case less (b) the Index Deduction of 0.95% per annum. The Index Level was set equal to 0.05 on July 7, 1954, the base date
of the Index.
The notional cash return is intended to approximate
interest that could be earned when the Index provides no exposure to the Constituent, and the notional financing cost is intended to approximate
the cost of using borrowed funds for the leveraged portion. The notional cash return and the notional financing cost are each currently
calculated by reference to the Effective Federal Funds Rate. The Effective Federal Funds Rate is a measure of the interest rate at which
depository institutions lend balances at the Federal Reserve to other depository institutions overnight, calculated as the volume-weighted
median of overnight federal funds transactions reported by U.S. banks and U.S. branches and agencies of non-U.S. banks, and is quoted
on the basis of an assumed year of 360 days. Assuming a positive Effective Federal Funds Rate, the notional cash return will have a positive
effect on the performance of the Index when the exposure to the Constituent is 0%, and the notional financing cost will have a negative
effect on the performance of the Index when the exposure to the Constituent is 200%.
PS-3
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
No assurance can be given that the investment strategy
used to construct the Index will achieve its intended results or that the Index will be successful or will outperform any alternative
index or strategy that might reference the Constituent.
If the exposure to the Constituent is 0%, the Index
will be uninvested, and its return will be limited to the notional cash return, minus the Index Deduction of 0.95% per annum. The Index
Deduction is deducted daily at a rate of 0.95% per annum, even when the Index is uninvested.
The Index is described as a “notional”
or “synthetic” portfolio of assets because there is no actual portfolio of assets to which any person is entitled or in which
any person has any ownership interest. The Index merely references certain assets, the performance of which will be used as a reference
point for calculating the level of the Index.
See “The J.P. Morgan Kronos+SM
Index” in the accompanying underlying supplement for more information about the Index.
PS-4
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
Supplemental Terms
of the Notes
Any values of the Index, 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
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to a hypothetical Index. 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:
| · | an Initial Value of 100.00; and |
| · | an Index Adjustment Factor of 100.00%. |
The hypothetical Initial Value of 100.00 has been chosen
for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing level
of the Index on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing levels
of the Index, please see the historical information set forth under “Hypothetical Back-Tested Data and Historical Information”
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 and graph have been rounded for ease of analysis.
Final Value |
Index Return |
Total Return on the Notes |
Payment at Maturity |
165.00 |
65.00% |
65.00% |
$1,650.00 |
150.00 |
50.00% |
50.00% |
$1,500.00 |
140.00 |
40.00% |
40.00% |
$1,400.00 |
130.00 |
30.00% |
30.00% |
$1,300.00 |
120.00 |
20.00% |
20.00% |
$1,200.00 |
110.00 |
10.00% |
10.00% |
$1,100.00 |
105.00 |
5.00% |
5.00% |
$1,050.00 |
101.00 |
1.00% |
1.00% |
$1,010.00 |
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
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
The following graph demonstrates the hypothetical payments
at maturity on the notes for a range of Index Returns. There can be no assurance that the performance of the Index will result in the
return of any of your principal amount.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_002.jpg)
How the Notes Work
Investors will receive at maturity a cash payment, for
each $1,000 principal amount note, equal to $1,000 × (1 + Index Return) × Index Adjustment Factor. The Index Adjustment Factor
will be at least 100.00%.
Upside Scenario:
| · | Assuming a hypothetical Index Adjustment Factor of 100.00%, if the closing level of the Index increases 5.00%, investors will receive
at maturity a return equal to 5.00%, or $1,050.00 per $1,000 principal amount note. |
Par Scenario:
| · | Assuming a hypothetical Index Adjustment Factor of 100.00%, if the Final Value is equal to the Initial Value, investors will receive
at maturity the principal amount of their notes. |
Downside Scenario:
| · | Assuming a hypothetical Index Adjustment Factor of 100.00%, if the closing level of the 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, calculated as follows: |
$1,000 × (1 + -60.00%) ×
100.00% = $400.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks. These risks are
explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement and
underlying supplement 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.
The amount payable at maturity, if any, will reflect the performance of the Index, subject to the Index Adjustment Factor. Assuming an
Index Adjustment Factor of 100.00%, the Index Adjustment Factor will not provide any buffer against any decline of the Index. If the Final
Value is less than the Initial Value, you will lose some or all of your principal amount at maturity.
PS-6
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
| · | THE LEVEL OF THE INDEX WILL INCLUDE AN INDEX DEDUCTION OF 0.95% PER ANNUM AND, IN SOME CIRCUMSTANCES, A NOTIONAL FINANCING COST
CALCULATED BASED ON THE EFFECTIVE FEDERAL FUNDS RATE — |
This Index Deduction and, when the exposure
to the Constituent is leveraged, the notional financing cost will be deducted daily. As a result of this Index Deduction and, when applicable,
the notional financing cost, the level of the Index will trail the value of a hypothetical identically constituted synthetic portfolio
from which no such Index Deduction or cost is deducted, assuming that the rates underlying the notional financing cost remain positive.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed
to you under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany
agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes.
We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co.
we are not expected to have sufficient resources to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co.
does not make payments to us and we are unable to make payments on the notes, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co. For more information, see the accompanying prospectus addendum.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES UNDERLYING THE CONSTITUENT OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
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.
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Index Adjustment Factor.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement. See also “—
Risks Relating to the Index — Our Affiliate, JPMS, Is the Index Sponsor and the Index Calculation Agent of the Index and May Adjust
the Index in a Way that Affects Its Level” below.
| · | JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH
INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN THE FUTURE — |
Any research, opinions or recommendations could
affect the market value of the notes. Investors should undertake their own independent investigation of the merits of investing in the
notes and the Constituent and the securities composing the Constituent.
PS-7
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE 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 will exceed the estimated value of the notes
because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These
costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated
Value of the Notes” in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the
Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in
an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be
lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. 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.
PS-8
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
Risks Relating to the Index
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE CONSTITUENT, |
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 Constituent.
| · | OUR AFFILIATE, JPMS, IS THE INDEX SPONSOR AND THE INDEX CALCULATION AGENT OF THE INDEX AND MAY ADJUST THE INDEX IN A WAY THAT AFFECTS
ITS LEVEL — |
JPMS, one of our affiliates, currently acts
as the index sponsor and the index calculation agent for the Index and is responsible for calculating and maintaining the Index and developing
the guidelines and policies governing its composition and calculation. In performing these duties, JPMS may have interests adverse to
the interests of the holders of the notes, which may affect your return on the notes, particularly where JPMS, as the index sponsor and
the index calculation agent of the Index, is entitled to exercise discretion. The rules governing the Index may be amended at any time
by the index sponsor of the Index, in its sole discretion. The rules also permit the use of discretion by the index sponsor and the index
calculation agent in relation to the Index in specific instances, including, but not limited to, the determination of whether to replace
the Constituent with a substitute or successor upon the occurrence of certain events affecting the Constituent, the selection of any substitute
or successor and the determination of the levels to be used in the event of market disruptions that affect the ability of the index calculation
agent of the Index to calculate and publish the levels of the Index and the interpretation of the rules governing the Index. Although
JPMS, acting as the index sponsor and the index calculation agent, will make all determinations and take all action in relation to the
Index acting in good faith, it should be noted that JPMS may have interests adverse to the interests of the holders of the notes and the
policies and judgments for which JPMS is responsible could have an impact, positive or negative, on the level of the Index and the value
of your notes.
Although judgments, policies and determinations
concerning the Index are made by JPMS, JPMorgan Chase & Co., as the ultimate parent company of JPMS, ultimately controls
JPMorgan Chase and JPMS. JPMS has no obligation to consider your interests in taking any actions that might affect the value of your notes.
Furthermore, the inclusion of the Constituent in the Index is not an investment recommendation by us or JPMS of the Constituent or any
of the equity securities underlying the Constituent.
| · | THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE CONSTITUENT — |
The Index follows a notional rules-based proprietary
strategy that operates on the basis of pre-determined rules. No assurance can be given that the investment strategy on which the Index
is based will be successful or that the Index will outperform any alternative strategy that might be employed in respect of the Constituent.
| · | risks associated with THE INDEX’S turn-of-the-month strategy — |
The Index involves risks associated with its
turn-of-the-month strategy. The turn-of-the-month strategy is designed to benefit from positive returns in the Constituent at the beginning
and end of each month. However, there is no guarantee that the level of the Constituent will rise during these periods and unexpected
market conditions or other external events may cause the level of the Constituent to fall during these periods. No assurance can be given
that the turn-of-the-month strategy will be successful or that it will outperform any alternative strategy.
| · | risks associated with THE INDEX’S options expiry momentum strategy — |
The Index involves risks associated with its
options expiry momentum investment strategy. Momentum investing generally seeks to capitalize on trends in the price of an asset. As such,
the exposure of the Index during the portion of the month governed by the momentum strategy is based on the recent performance trend of
the Constituent. However, there is no guarantee that this trend will continue in the future and, even if the monthly options expiry convention
changes, the timing of the options expiry momentum strategy will remain the same. A momentum strategy is different from a strategy that
seeks long-term exposure to the underlying asset with fixed weights. If market conditions during the portion of the month governed by
the momentum strategy do not represent a continuation of prior observed trends, the Index may decline. In particular, momentum investment
strategies are subject to “whipsaws.” A whipsaw occurs when the market reverses and does the opposite of what is indicated
by the trend indicator, resulting in a trading loss during the particular period. Consequently, the Index may perform poorly during the
portion of the month governed by the options expiry momentum strategy in non-trending, “choppy” markets characterized by short-term
volatility. No assurance can be given that the options expiry momentum strategy will be successful or that it will outperform any alternative
strategy.
In addition, the Index’s options expiry
momentum strategy assumes that the scheduled monthly expiry of U.S. equity and equity index option contracts, including on the Constituent,
will typically fall on the third Friday of each calendar month. Any change to the scheduled monthly expiry of U.S. equity or equity index
option contracts may adversely affect the performance of the Index’s options expiry momentum strategy.
PS-9
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
| · | risks associated with THE INDEX’S month-end mean reversion strategy —
|
The Index involves risks associated with its
month-end mean reversion investment strategy. A mean reversion strategy seeks to capitalize on the view that over short periods of time,
markets are cyclical — meaning that an upward trend in the level of an asset is usually followed by a downward trend or vice versa.
There is no guarantee that the actual performance of the Constituent will exhibit any mean reversion during the portion of the month governed
by the month-end mean reversion strategy, and any sustained decline in the level of the Constituent at a time when the month-end mean
reversion theory would suggest that the level should increase may result in unexpected losses, which could be significant. No assurance
can be given that the month-end mean reversion strategy will be successful or that it will outperform any alternative strategy.
| · | The Index’s strategies are applied during only a portion of each month — |
Each of the Index’s strategies is implemented
over only a limited number of days in a calendar month as described under “The J.P. Morgan Kronos+SM Index” above.
Outside of these limited number of days, the Index will track 100% of the performance of the Constituent (subject to the Index Deduction)
and will not benefit from the application of any strategy. The Index may underperform the Constituent due to the limited application of
the strategies along with the Index Deduction.
| · | The Index may be adversely affected by an overlap between its turn-of-the-month strategy
and its month-end mean reversion strategy — |
During the final two Index Business Days of
each month, the turn-of-the-month strategy and the month-end mean revision strategy are both applicable, subject to a maximum exposure
to the Constituent of 200%. As a result, the exposure to the Constituent may be higher or lower than would have been the case had only
one of those strategies been applied and the performance of the Index may be worse than if only one strategy were applied or no maximum
exposure limit were applied.
| · | THE INDEX MAY BE UNINVESTED IN THE CONSTITUENT — |
During any portion of each month in which the
exposure to the Constituent is 0%, the Index will be uninvested, and its return will be limited to the notional cash return, minus the
Index Deduction of 0.95% per annum. If the notional cash return is less than 0.95% per annum during any period when the Index is uninvested,
the level of the Index will decline over that period. The level of the Constituent may increase significantly while the exposure of the
Index to the Constituent is 0%, but the Index will not benefit from any such increase. The Index Deduction is deducted daily at a rate
of 0.95% per annum, even when the Index provides no exposure to the Constituent.
| · | HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT TO INHERENT LIMITATIONS
— |
The hypothetical back-tested performance of
the Index set forth under “Hypothetical Back-Tested Data and Historical Information” in this pricing supplement is purely
theoretical and does not represent the actual historical performance of the Index and has not been verified by an independent third party.
Hypothetical back-tested performance measures have inherent limitations. 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. 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.
| · | THE CONSTITUENT OF THE INDEX MAY BE REPLACED BY A SUBSTITUTE INDEX IN CERTAIN EXTRAORDINARY EVENTS — |
Following the occurrence of certain extraordinary
events with respect to the Constituent, the Constituent may be replaced by a substitute index or the index calculation agent may cease
calculation and publication of the Index on a date determined by the index calculation agent. These extraordinary events generally include
events that could materially interfere with the ability of market participants to transact in, or events that could materially change
the underlying economic exposure of, positions with respect to the Index or the Constituent, where that material interference or change
is not acceptable to the index calculation agent. See “The J.P. Morgan Kronos+SM Index — Extraordinary Events”
in the accompanying underlying supplement for a summary of events that could trigger an extraordinary event.
You should realize that the changing of the
Constituent may affect the performance of the Index, and therefore, the return on the notes, as the replacement Constituent may perform
significantly better or worse than the original Constituent. Moreover, the policies of the sponsor of the substitute index concerning
the methodology and calculation of the substitute index, including decisions regarding additions, deletions or substitutions of the assets
underlying the substitute index, could affect the level of the substitute index and therefore the value of the notes. The amount payable
on the notes and their market value could also be affected if the sponsor of a substitute index discontinues or suspends calculation or
dissemination of the relevant index, in which
PS-10
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
case it may become difficult to determine the market value of
the notes. The sponsor of the substitute index will have no obligation to consider your interests in calculating or revising such substitute
index.
| · | The Notional Cash Return will be negatively affected if the underlying interest rate is
negative — |
The notional cash return is currently determined
by reference to the Effective Federal Funds Rate. If the Effective Federal Funds Rate becomes negative, when the exposure to the Constituent
is 0%, the notional cash return will have a negative effect on the performance of the Index and therefore the value of the notes.
| o | THE INDEX, WHICH WAS ESTABLISHED ON DECEMBER 22, 2020, HAS A LIMITED OPERATING HISTORY AND MAY PERFORM IN UNANTICIPATED WAYS. |
| o | THE 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 EFFECTIVE FEDERAL FUNDS RATE IS AFFECTED BY A NUMBER OF FACTORS AND MAY BE VOLATILE. |
| o | THE METHOD PURSUANT TO WHICH THE EFFECTIVE FEDERAL FUNDS RATE IS DETERMINED MAY CHANGE, AND ANY
SUCH CHANGE MAY ADVERSELY AFFECT THE VALUE OF THE NOTES. |
Please refer to the “Risk Factors”
section of the accompanying underlying supplement for more details regarding the above-listed and other risks.
PS-11
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
Hypothetical
Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested
performance of the Index based on the hypothetical back-tested weekly closing levels of the Index from January 4, 2019 through December
18, 2020, and the historical performance of the Index based on the weekly historical closing levels of the Index from December 24, 2020
through June 21, 2024. The U.S. equity markets were closed on December 25, 2020 in observance of the Christmas holiday. The Index was
established on December 22, 2020, as represented by the red vertical line in the following graph. All data to the left of that vertical
line reflect hypothetical back-tested performance of the Index. All data to the right of that vertical line reflect actual historical
performance of the Index. The closing level of the Index on June 26, 2024 was 261.29. We obtained the closing levels above and below from
the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The data for the hypothetical back-tested performance
of the Index set forth in the following graph are purely theoretical and do not represent the actual historical performance of the Index.
See “Selected Risk Considerations — Risks Relating to the Index — Hypothetical Back-Tested Data Relating to the Index
Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations” above.
The hypothetical back-tested and historical closing
levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level
of the Index on the Pricing Date or the Observation Date. There can be no assurance that the performance of the Index will result in the
return of any of your principal amount.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_003.jpg)
The hypothetical back-tested closing levels of the
Index have inherent limitations and have not been verified by an independent third party. These hypothetical back-tested closing levels
are determined by means of a retroactive application of a back-tested model designed with the benefit of hindsight. Hypothetical back-tested
results are neither an indicator nor a guarantee of future returns. No representation is made that an investment in the notes will or
is likely to achieve returns similar to those shown. Alternative modeling techniques or assumptions would produce different hypothetical
back-tested closing levels of the Index that might prove to be more appropriate and that might differ significantly from the hypothetical
back-tested closing levels of the 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. Although not expected, certain changes to the underlying Index (for example, changes to its components or calculation
methodology) might be treated as resulting in a “deemed” taxable exchange in which the
PS-12
| Structured Investments
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
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notes are treated as terminated and reissued for U.S. federal income
tax purposes. In that event, you might be required to recognize gain or loss with respect to the notes and your holding period for your
notes could be affected, among other adverse consequences. 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, the possibility of a deemed
taxable exchange, 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. The applicable Treasury regulations can deem non-U.S. investors to be receiving
dividend equivalents in respect of those underlying U.S. equities or indices even if no payments on the notes are directly traceable to
any such dividends.
Section 871(m)
generally applies to notes that substantially replicate the economic performance of one or more underlying securities, as determined generally
at the time of issuance, based on tests set forth in the applicable Treasury regulations. 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, generally as of the first business day of the calendar year in which the relevant issuance is priced (such an index,
a “Qualified Index”). JPMorgan Chase & Co. has determined that the Constituent is a Qualified Index for the
year 2024; accordingly, we will not treat Section 871(m) as applying to the notes. Section 871(m) is complex and its application may depend
on your particular circumstances. 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 instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or
PS-13
| Structured Investments
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Index |
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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 will be 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 Will Be 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 J.P. Morgan
Kronos+SM Index” 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.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
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, the accompanying product supplement and the accompanying
underlying 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.
PS-14
| Structured Investments
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Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
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):
| · | 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
Return Notes Linked to the J.P. Morgan Kronos+SM
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057437/image_001.jpg) |
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