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 3, 2024
July , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg)
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF
due July 9, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| · | The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review
Date for which the closing price of one share of each of the Utilities Select Sector SPDR®
Fund and the iShares® 20+ Year Treasury Bond ETF,
which we refer to as the Funds, is greater than or equal to 80.00% of its Initial Value, which we refer to as an Interest Barrier. |
| · | If the closing price of one share of either Fund is greater than or equal to its Interest Barrier on any Review Date, investors will
receive, in addition to the Contingent Interest Payment with respect to that Review Date, any previously unpaid Contingent Interest Payments
for prior Review Dates. |
| · | The notes will be automatically called if the closing price of one share of each Fund on any Review Date (other than the first, second,
third and final Review Dates) is greater than or equal to its Initial Value. |
| · | The earliest date on which an automatic call may be initiated is July 3, 2025. |
| · | Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates. |
| · | Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments. |
| · | 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 Funds. Payments on the notes are linked to the performance of each
of the Funds individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about July 3, 2024 and are expected to settle on or about July 9, 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 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 |
$ |
$ |
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 $4.00 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
$988.00 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 $970.00 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. 1-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.
Funds:
The Utilities Select Sector SPDR® Fund (Bloomberg ticker: XLU) and the iShares®
20+ Year Treasury Bond ETF (Bloomberg ticker: TLT)
Contingent
Interest Payments: If the notes have not been automatically called and the closing price of one share of each Fund on any Review
Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal
amount note a Contingent Interest Payment equal to at least $25.00 (equivalent to a Contingent Interest Rate of at least 10.00% per annum,
payable at a rate of at least 2.50% per quarter) (to be provided in the pricing supplement), plus any previously unpaid Contingent
Interest Payments for any prior Review Dates.
If the Contingent Interest Payment is not paid on any Interest Payment
Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing price of one share of each
Fund on the Review Date related to that later Interest Payment Date is greater than or equal to its Interest Barrier. You will not receive
any unpaid Contingent Interest Payments if the closing price of one share of either Fund on each subsequent Review Date is less than its
Interest Barrier.
Contingent
Interest Rate: At least 10.00% per annum, payable at a rate of at least 2.50% per quarter (to
be provided in the pricing supplement)
Interest Barrier / Trigger Value: With
respect to each Fund, 80.00% of its Initial Value
Pricing
Date: On or about July 3, 2024
Original
Issue Date (Settlement Date): On or about July 9, 2024
Review
Dates*: October 3, 2024, January 3, 2025, April 3, 2025, July 3, 2025, October 3, 2025, January 5, 2026, April 6, 2026 and
July 6, 2026 (final Review Date)
Interest
Payment Dates*: October 8, 2024, January 8, 2025, April 8, 2025, July 9, 2025, October 8, 2025, January 8, 2026, April 9, 2026
and the Maturity Date
Maturity
Date*: July 9, 2026
Call Settlement Date*: If
the notes are automatically called on any Review Date (other than the first, second, third and final Review Dates), the first Interest
Payment Date immediately following that Review Date
* 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 price of one share of each Fund on any Review Date (other
than the first, second, third and final Review Dates) is greater than or equal to its Initial 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 Contingent Interest Payment applicable
to that Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable
Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of each
Fund is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date plus (c) any previously
unpaid Contingent Interest Payments for any prior Review Dates.
If the notes have not been automatically called and the Final Value of either
Fund is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Fund Return)
If the notes have not been automatically called and the Final Value of
either Fund is less than its Trigger Value, you will lose more than 20.00% of your principal amount at maturity and could lose all of
your principal amount at maturity.
Lesser Performing Fund: The
Fund with the Lesser Performing Fund Return
Lesser Performing Fund Return: The
lower of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Fund, the closing price
of one share of that Fund on the Pricing Date
Final
Value: With respect to each Fund, the closing price of one share of that Fund on the final
Review Date
Share
Adjustment Factor: With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing price of
one share of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment
upon the occurrence of certain events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments”
in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
Supplemental
Terms of the Notes
Any values of the Funds, 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.
How the
Notes Work
Payments in Connection with the First, Second and
Third Review Dates
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_002.jpg)
Payments in Connection with Review Dates (Other than
the First, Second, Third and Final Review Dates)
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_003.jpg)
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
Payment at Maturity If the Notes
Have Not Been Automatically Called
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_004.jpg)
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest Rate of 10.00%
per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual Contingent Interest
Rate will be provided in the pricing supplement and will be at least 10.00% per annum (payable at a rate of at least 2.50% per quarter).
Number of Contingent
Interest Payments |
Total Contingent Interest
Payments |
8 |
$200.00 |
7 |
$175.00 |
6 |
$150.00 |
5 |
$125.00 |
4 |
$100.00 |
3 |
$75.00 |
2 |
$50.00 |
1 |
$25.00 |
0 |
$0.00 |
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
Hypothetical Payout Examples
The following examples illustrate payments on the notes
linked to two hypothetical Funds, assuming a range of performances for the hypothetical Lesser Performing Fund on the Review Dates. Each
hypothetical payment set forth below assumes that the closing price of one share of the Fund that is not the Lesser Performing Fund on
each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth below
assume the following:
| · | an Initial Value for the Lesser Performing Fund of $100.00; |
| · | an Interest Barrier and a Trigger Value for the Lesser Performing Fund of $80.00 (equal to 80.00% of its hypothetical Initial Value);
and |
| · | a Contingent Interest Rate of 10.00% per annum. |
The hypothetical Initial Value of the Lesser Performing
Fund of $100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either Fund. The
actual Initial Value of each Fund will be the closing price of one share of that Fund on the Pricing Date and will be provided in the
pricing supplement. For historical data regarding the actual closing prices of one share of each Fund, please see the historical information
set forth under “The Funds” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
Example 1 — Notes are automatically called
on the fourth Review Date.
Date |
Closing Price of One Share of
Lesser Performing Fund |
Payment (per $1,000 principal amount note) |
First Review Date |
$105.00 |
$25.00 |
Second Review Date |
$115.00 |
$25.00 |
Third Review Date |
$105.00 |
$25.00 |
Fourth Review Date |
$110.00 |
$1,025.00 |
|
Total Payment |
$1,100.00 (10.00% return) |
Because the closing price of one share of each Fund
on the fourth Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, of $1,025.00 (or $1,000 plus the Contingent Interest Payment applicable to the fourth Review
Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the fourth Review Date, even though
the closing price of one share of each Fund on each of the first, second and third Review Dates is greater than its Initial Value. When
added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,100.00. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Fund is greater than or equal to its Trigger Value.
Date |
Closing Price of One Share of
Lesser Performing Fund |
Payment (per $1,000 principal amount note) |
First Review Date |
$95.00 |
$25.00 |
Second Review Date |
$85.00 |
$25.00 |
Third through Seventh Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$90.00 |
$1,150.00 |
|
Total Payment |
$1,200.00 (20.00% return) |
Because the notes have not been automatically called
and the Final Value of the Lesser Performing Fund is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000
principal amount note, will be $1,150.00 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date plus
the unpaid Contingent Interest Payments for any prior Review Dates). When added to the Contingent Interest Payments received with respect
to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,200.00.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
Example
3 — Notes have NOT been automatically called and the Final Value of the Lesser Performing Fund is less than its Trigger Value.
Date |
Closing Price of One Share of
Lesser Performing Fund |
Payment (per $1,000 principal amount note) |
First Review Date |
$40.00 |
$0 |
Second Review Date |
$45.00 |
$0 |
Third through Seventh Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$40.00 |
$400.00 |
|
Total Payment |
$400.00 (-60.00% return) |
Because the notes have not been automatically called,
the Final Value of the Lesser Performing Fund is less than its Trigger Value and the Lesser Performing Fund Return is -60.00%, the payment
at maturity will be $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term 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 either Fund is less than its Trigger Value, you will lose 1% of
the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Fund is less than its Initial Value. Accordingly,
under these circumstances, you will lose more than 20.00% of your principal amount at maturity and could lose all of your principal amount
at maturity.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the notes have not been automatically called,
we will make a Contingent Interest Payment with respect to a Review Date (and we will pay you any previously unpaid Contingent Interest
Payments for any prior Review Dates) only if the closing price of one share of each Fund on that Review Date is greater than or equal
to its Interest Barrier. If the closing price of one share of either Fund on that Review Date is less than its Interest Barrier, no Contingent
Interest Payment will be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payments if the closing
price of one share of either Reference Stock on each subsequent Review Date is less than its Interest Barrier. Accordingly, if the closing
price of one share of either Fund on each Review Date is less than its Interest Barrier, you will not receive any interest payments over
the term of the notes.
| · | 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
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
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 APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST
PAYMENTS THAT MAY BE PAID OVER THE TERM OF THE NOTES, |
regardless of any appreciation of either Fund,
which may be significant. You will not participate in any appreciation of either Fund.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH FUND — |
Payments on the notes are not linked to a basket
composed of the Funds and are contingent upon the performance of each individual Fund. Poor performance by either of the Funds over the
term of the notes may result in the notes not being automatically called on a Review Date, may negatively affect whether you will receive
a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive
performance by the other Fund.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING FUND. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of either Fund is less than
its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will
be fully exposed to any depreciation of the Lesser Performing Fund.
| · | 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 and you will not receive any Contingent Interest Payments after
the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes
at a comparable return and/or with a comparable interest rate 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.
| · | YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON EITHER FUND OR THE SECURITIES HELD BY EITHER FUND OR HAVE ANY RIGHTS WITH
RESPECT TO EITHER FUND OR THOSE SECURITIES. |
| · | ANY PAYMENT ON THE NOTES WILL BE DETERMINED BY REFERENCE ONLY TO THE PRICE PERFORMANCES OF THE FUNDS — |
Any payment on the notes is based only on the
price performances of the Funds, which do not include dividends or other distributions on the Funds or the securities held by the Funds.
The magnitude of this lost dividend or distribution yield may be particularly significant with respect to the iShares®
20+ Year Treasury Bond ETF. The iShares® 20+ Year Treasury Bond ETF is a bond fund and, as with any bond fund, distributions
of interest payments on the bonds held by the iShares® 20+ Year Treasury Bond ETF would be expected to make up a significant
portion of the overall yield on a direct investment in the iShares® 20+ Year Treasury Bond ETF. The notes will not reflect
distributions of interest payments on the bonds held by the iShares® 20+ Year Treasury Bond ETF and, therefore, will not
reflect the interest component of the yield on the iShares® 20+ Year Treasury Bond ETF. As a result, the performance of
the iShares® 20+ Year Treasury Bond ETF as measured for purposes of the notes may be significantly less than the return
that a direct investor in the iShares® 20+ Year Treasury Bond ETF would realize.
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE PRICE
OF ONE SHARE OF THAT FUND IS VOLATILE. |
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 Contingent Interest Rate.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
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.
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 prices of one share of the Funds. 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
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
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 Funds
| · | THERE ARE RISKS ASSOCIATED WITH THE FUNDS — |
The Funds are subject to management risk, which
is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation of which is subject to
a number of constraints, may not produce the intended results. These constraints could adversely affect the market prices of the shares
of the Funds and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
Each Fund does not fully replicate its Underlying
Index (as defined under “The Funds” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of each Fund will reflect additional transaction costs and fees that are not included in the calculation
of its Underlying Index. All of these factors may lead to a lack of correlation between the performance of each Fund and its Underlying
Index. In addition, corporate actions with respect to the equity securities underlying the Utilities Select Sector SPDR® Fund
(such as mergers and spin-offs) may impact the variance between the performances of that Fund and its Underlying Index. Finally, because
the shares of each Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value of
one share of each Fund may differ from the net asset value per share of that Fund.
During periods of market volatility, securities
underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances, the market
value of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the
performance of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of that
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | RISKS ASSOCIATED WITH THE UTILITIES SECTOR WITH RESPECT TO THE UTILITIES SELECT SECTOR SPDR® FUND — |
All or substantially all of the equity securities
held by the Utilities Select Sector SPDR® Fund are issued by companies whose primary line of business is directly associated
with the utilities sector. As a result, the value of the notes may be subject to greater volatility and be more adversely affected
by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more
broadly diversified group of issuers. Utility companies are affected by supply and demand, operating costs, government regulation,
environmental factors, liabilities for environmental damage and general civil liabilities and rate caps or rate changes. Although
rate changes of a regulated utility usually fluctuate in approximate correlation with financing costs, due to political and regulatory
factors, rate changes ordinarily occur only following a delay after the changes in financing costs. This factor will tend to favorably
affect a regulated utility company’s earnings and dividends in times of decreasing costs, but conversely, will tend to adversely
affect earnings and dividends when costs are rising. The value of regulated utility equity securities may tend to have an inverse
relationship to the movement of interest rates. Certain utility companies have experienced full or partial deregulation in recent
years. These utility companies are frequently more similar to industrial companies in that they are subject to greater competition
and have been permitted by regulators to diversify outside of their original geographic regions and their traditional lines of business.
These opportunities may permit certain utility companies to earn more than their traditional regulated rates of return. Some companies,
however, may be forced to defend their core business and may be less profitable. In addition, natural disasters, terrorist attacks,
government intervention or other factors may render a utility company’s equipment unusable or obsolete and negatively impact profitability.
Among the risks that may affect utility companies are the following: risks of increases in fuel and other operating costs; the high cost
of borrowing to finance capital construction during inflationary periods; restrictions on operations and increased costs and delays associated
with compliance with environmental and nuclear safety regulations; and the difficulties involved in obtaining natural gas for resale or
fuel for generating electricity at reasonable prices. Other risks include those related to the construction and operation of nuclear
power plants, the effects of energy conservation and the effects of regulatory changes. These factors could affect the utilities
sector and could affect the value of the equity securities held by the Utilities Select Sector SPDR® Fund and the price
of the Utilities Select Sector SPDR® Fund during the term of the notes, which may adversely affect the value of your notes.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
| · | THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING INTEREST RATE-RELATED RISKS, WITH
RESPECT TO THE ISHARES® 20+ YEAR TREASURY BOND ETF — |
The iShares® 20+ Year Treasury
Bond ETF attempts to track the performance of an index composed of U.S. Treasury bonds. Investing in the notes that provide exposure to
the iShares® 20+ Year Treasury Bond ETF, which primarily holds bonds, differs significantly from investing directly in
bonds to be held to maturity, as the value of the iShares® 20+ Year Treasury Bond ETF changes, at times significantly,
during each trading day based upon the current market prices of the underlying bonds. The market prices of these bonds are volatile and
significantly influenced by a number of factors, particularly the duration of the underlying bonds, the yields on these bonds as compared
to current market interest rates and the actual or perceived credit quality of the U.S. government.
In general, fixed-income instruments are significantly
affected by changes in current market interest rates. As interest rates rise, the prices of fixed-income instruments are likely to decrease,
and as interest rate fall, the price of fixed-income securities are likely to increase. Securities with longer durations tend to be more
sensitive to interest rate changes, usually making them more volatile than securities with shorter durations. As a result, rising interest
rates may cause the value of the long-dated bonds underlying the iShares® 20+ Year Treasury Bond ETF to decline, possibly
significantly, which would adversely affect the value of the notes.
Interest rates are subject to volatility due
to a variety of factors, including:
| · | sentiment regarding underlying strength or weakness in the U.S. economy and global economies; |
| · | expectations regarding the level of price inflation; |
| · | sentiment regarding credit quality in the U.S. and global credit markets; |
| · | Federal Reserve policies regarding interest rates; and |
| · | the performance of U.S. and foreign capital markets. |
| · | THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING CREDIT RISK, WITH RESPECT TO THE
ISHARES® 20+ YEAR TREASURY BOND ETF — |
The iShares® 20+ Year Treasury
Bond ETF attempts to track the performance of an index composed of U.S. Treasury bonds. The prices of the bonds underlying the iShares®
20+ Year Treasury Bond ETF are significantly influenced by the creditworthiness of the U.S. government. The bonds underlying the iShares®
20+ Year Treasury Bond ETF may have their credit ratings downgraded, or their credit spreads may widen significantly. Following a ratings
downgrade or the widening of credit spreads, the bonds underlying the iShares® 20+ Year Treasury Bond ETF may suffer significant
and rapid price declines. There can be no assurance that some or all of the factors that contributed to that credit crisis will not depress
the price, perhaps significantly, of the bonds underlying the iShares® 20+ Year Treasury Bond ETF, which would adversely
affect the value of the notes.
| · | THE VALUE OF THE NOTES MAY BE INFLUENCED BY UNPREDICTABLE CHANGES IN THE MARKETS AND ECONOMIES OF THE UNITED STATES WITH RESPECT
TO THE ISHARES® 20+ YEAR TREASURY BOND ETF — |
The value of the iShares® 20+
Year Treasury Bond ETF that attempts to track the performance of an index composed of U.S. Treasury bonds may be influenced by unpredictable
changes, or expectations of changes, in the U.S. market. Changes in the U.S. government that may influence the value of the notes include:
| · | economic performance, including any financial or economic crises and changes in the gross domestic product, the principal sectors,
inflation, employment and labor, and prevailing prices and wages; |
| · | the monetary system, including the monetary policy, the exchange rate policy, the economic and tax policies, banking regulation, credit
allocation and exchange controls; |
| · | the external sector, including the amount and types of foreign trade, the geographic distribution of trade, the balance of payments,
and reserves and exchange rates; |
| · | public finance, including the budget process, any entry into or termination of any economic or monetary agreement or union, the prevailing
accounting methodology, the measures of fiscal balance, revenues and expenditures, and any government enterprise or privatization program;
and |
| · | public debt, including external debt, debt service and the debt record. |
These factors interrelate in complex ways, and
the effect of one factor on the market value of the bonds underlying the iShares® 20+ Year Treasury Bond ETF may offset
or enhance the effect of another factor. Changes in the value of the iShares® 20+ Year Treasury Bond ETF may adversely
affect any payment on the notes.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
| · | THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will
not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
The Funds
The Utilities Select Sector SPDR® Fund
is an exchange-traded fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide investment
results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies
in the Utilities Select Sector Index, which we refer to as the Underlying Index with respect to the Utilities Select Sector SPDR®
Fund. The Utilities Select Sector Index is a capped modified market capitalization-based index that measures the performance of the GICS®
utilities sector of the S&P 500® Index, which currently includes companies in the following industries: electric utilities;
water utilities; multi-utilities; independent power and renewable electricity producers; and gas utilities. For additional information
about the Utilities Select Sector SPDR® Fund, see “Fund Descriptions — The Select Sector SPDR®
Funds” in the accompanying underlying supplement.
The iShares® 20+ Year Treasury Bond
ETF is an exchange-traded fund of iShares® Trust, a registered investment company, that seeks to track the investment results,
before fees and expenses, of an index composed of U.S. Treasury bonds with remaining maturities greater than twenty years, which is currently
the ICE U.S. Treasury 20+ Year Bond Index. The ICE U.S. Treasury 20+ Year Bond Index measures the performance of the U.S. dollar-denominated,
fixed-rate U.S. Treasury market that have a remaining maturity greater than or equal to twenty years. For additional information about
the iShares® 20+ Year Treasury Bond ETF, see “Fund Descriptions — The iShares® 20+ Year Treasury
Bond ETF” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Fund based on the weekly historical closing prices of one share of each Fund from January 4, 2019 through June 28, 2024. The closing
price of one share of the Utilities Select Sector SPDR® Fund on July 2, 2024 was $68.02. The closing price of one share
of the iShares® 20+ Year Treasury Bond ETF on July 2, 2024 was $90.61. We obtained the closing prices above and below from
the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing prices above
and below may have been adjusted by Bloomberg for actions taken by the Funds, such as stock splits.
The historical closing prices of one share of each
Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
either Fund on the Pricing Date or any Review Date. There can be no assurance that the performance of the Funds will result in the return
of any of your principal amount or the payment of any interest.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_005.jpg)
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_006.jpg)
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting
responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially 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
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. 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 affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions
above and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the Code. 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 the notice described above.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a
position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), it
is expected that withholding agents will (and we, if we are the withholding agent, intend to) withhold on any Contingent Interest Payment
paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under an “other
income” or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld. In order to
claim an exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the notes must comply with certification requirements
to establish that it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are
a Non-U.S. Holder, you should consult your tax adviser regarding the tax treatment of the notes, including the possibility of obtaining
a refund of any withholding tax and the certification requirement described above.
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, we expect that Section 871(m) will 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
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
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.
If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement for
the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
In the event of any
withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
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 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
PS-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
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 “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Funds”
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 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):
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-13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Utilities Select Sector SPDR® Fund and the iShares® 20+ Year Treasury Bond ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024058971/image_001.jpg) |
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