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 June 27, 2024
July , 2024 |
Registration Statement Nos.
333-270004 and 333-270004-01; Rule 424(b)(2)
|
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/image_001.jpg)
JPMorgan
Chase Financial Company LLC
Structured Investments
Capped Notes Linked to the S&P 500®
Index due August 5, 2026
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
| ● | The notes are designed for investors who seek exposure to any appreciation of the S&P 500® Index over the term
of the notes up to a maximum return of at least 14.00% at maturity. |
| ● | Investors should be willing to forgo interest and dividend payments, while seeking full repayment of principal at maturity. |
| ● | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| ● | Minimum denominations of $1,000 and integral multiples thereof |
| ● | The notes 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-12 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-4 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 $976.70 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. 3-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.
Index:
The S&P 500® Index
(Bloomberg ticker: SPX)
Participation Rate: 100.00%
Maximum
Amount: At least $140.00 per $1,000 principal amount note
(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*: July
31, 2026
Maturity Date*: August
5, 2026
* 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 a Single Underlying
— Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement |
|
Payment at Maturity:
At maturity, you will receive a cash
payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount, which may be zero and will not be greater
than the Maximum Amount.
You are entitled to repayment
of principal in full at maturity, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Additional Amount:
The Additional
Amount payable at maturity per $1,000 principal amount note will equal:
$1,000 ×
Index Return × Participation Rate,
provided that the Additional Amount will not be less than zero or greater than the Maximum Amount.
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
Capped Notes Linked to the S&P 500®
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/image_001.jpg) |
Supplemental
Terms of the Notes
Any value of any underlier, 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
payment at maturity on the notes linked to a hypothetical Index. The hypothetical payments set forth below assume the following:
| ● | an Initial Value of 100.00; |
| ● | a Participation Rate of 100.00%; and |
| ● | a Maximum Amount of $140.00 per $1,000 principal amount note. |
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 “The Index” 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 |
Additional Amount |
Payment at Maturity |
200.00 |
100.00% |
$140.00 |
$1,140.00 |
190.00 |
90.00% |
$140.00 |
$1,140.00 |
180.00 |
80.00% |
$140.00 |
$1,140.00 |
170.00 |
70.00% |
$140.00 |
$1,140.00 |
160.00 |
60.00% |
$140.00 |
$1,140.00 |
150.00 |
50.00% |
$140.00 |
$1,140.00 |
140.00 |
40.00% |
$140.00 |
$1,140.00 |
130.00 |
30.00% |
$140.00 |
$1,140.00 |
120.00 |
20.00% |
$140.00 |
$1,140.00 |
114.00 |
14.00% |
$140.00 |
$1,140.00 |
110.00 |
10.00% |
$100.00 |
$1,100.00 |
105.00 |
5.00% |
$50.00 |
$1,050.00 |
101.00 |
1.00% |
$10.00 |
$1,010.00 |
100.00 |
0.00% |
N/A |
$1,000.00 |
95.00 |
-5.00% |
N/A |
$1,000.00 |
90.00 |
-10.00% |
N/A |
$1,000.00 |
80.00 |
-20.00% |
N/A |
$1,000.00 |
70.00 |
-30.00% |
N/A |
$1,000.00 |
60.00 |
-40.00% |
N/A |
$1,000.00 |
50.00 |
-50.00% |
N/A |
$1,000.00 |
40.00 |
-60.00% |
N/A |
$1,000.00 |
30.00 |
-70.00% |
N/A |
$1,000.00 |
20.00 |
-80.00% |
N/A |
$1,000.00 |
10.00 |
-90.00% |
N/A |
$1,000.00 |
0.00 |
-100.00% |
N/A |
$1,000.00 |
PS-2
| Structured Investments
Capped Notes Linked to the S&P 500®
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/image_001.jpg) |
The following graph demonstrates the hypothetical payments
at maturity on the notes for a sub-set of Index Returns detailed in the table above (-50% to 100%). There can be no assurance that the
performance of the Index will result in a payment at maturity in excess of $1,000.00 per $1,000 principal amount note, subject to the
credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the
Notes Work
Upside Scenario:
If the Final Value is greater than the Initial Value,
investors will receive at maturity the $1,000 principal amount plus the Additional Amount, which is equal to $1,000 times
the Index Return times the Participation Rate of 100.00% and which will not be greater than the Maximum Amount of at least $140.00
per $1,000 principal amount note. Assuming a hypothetical Maximum Amount of $140.00 per $1,000 principal amount note, an investor will
realize the maximum payment at maturity at a Final Value of 114.00% or more of the Initial Value.
| ● | If the closing level of the Index increases 5.00%, investors will receive at maturity a 5.00% return, or $1,050.00 per $1,000 principal
amount note. |
| ● | Assuming a hypothetical Maximum Amount of $140.00 per $1,000 principal amount note, if the closing level of the Index increases 50.00%,
investors will receive at maturity a return equal to 14.00%, or $1,140.00 per $1,000 principal amount note, which is the maximum payment
at maturity. |
Par Scenario:
If the Final Value is equal to the Initial Value or is
less than the Initial Value, the Additional Amount will be zero and investors will receive at maturity the principal amount of their notes.
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
PS-3
| Structured Investments
Capped Notes Linked to the S&P 500®
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/image_001.jpg) |
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
| ● | THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY —
If the Final Value is less than or equal to the Initial Value, you will receive only the principal amount of your notes at maturity, and
you will not be compensated for any loss in value due to inflation and other factors relating to the value of money over time. |
| ● | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM AMOUNT,
regardless of any appreciation of the Index, which may be significant. |
| ● | 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 INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
| ● | LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. |
| ● | 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 Maximum
Amount. |
Risks Relating to Conflicts of Interest
| ● | POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s
economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities
of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product
supplement. |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| ● | THE ESTIMATED VALUE OF THE NOTES 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. |
PS-4
| Structured Investments
Capped Notes Linked to the S&P 500®
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/image_001.jpg) |
| ● | 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. |
Risks Relating to the Index
| ● | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might
affect the level of the S&P 500® Index. |
PS-5
| Structured Investments
Capped Notes Linked to the S&P 500®
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/image_001.jpg) |
The Index
The S&P 500® Index consists of stocks
of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 4, 2019 through June 21, 2024. The closing level
of the Index on June 26, 2024 was 5,477.90. We obtained the closing levels above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification.
The 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 a payment at maturity in excess of
your principal amount, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Historical Performance of the
S&P 500® Index
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/image_003.jpg)
Source: Bloomberg |
Tax Treatment
There is uncertainty regarding the U.S. federal income
tax consequences of an investment in the notes due to the lack of governing authority. You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences,” and in particular the subsection thereof entitled “Tax Consequences
to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent Payment Debt Instruments” in
the accompanying product supplement no. 3-I. Based on current market conditions, we intend to treat the notes for U.S. federal income
tax purposes as “contingent payment debt instruments.” Assuming this treatment is respected, as discussed in that subsection,
unlike a traditional debt instrument that provides for periodic payments of interest at a single fixed rate, with respect to which a cash-method
investor generally recognizes income only upon receipt of stated interest, you generally will be required to accrue original issue discount
(“OID”) on your notes in each taxable year at the “comparable yield,” as determined by us, although we will not
make any payment with respect to the notes until maturity. Upon sale or exchange (including at maturity), you will recognize taxable income
or loss equal to the difference between the amount received from the sale or exchange and your adjusted basis in the note, which generally
will equal the cost thereof, increased by the amount of OID you have accrued in respect of the note. You generally must treat any income
as interest income and any loss as ordinary loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility
of capital losses is subject to limitations. Special rules may apply if the amount payable at maturity is treated as becoming fixed prior
to maturity. You should consult your tax adviser concerning the application of these rules. The discussions herein and in the accompanying
product supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code.
Purchasers who are not initial purchasers of notes at their issue price should consult their tax advisers with respect to the tax consequences
of an investment in notes, including the treatment of the difference, if any, between the basis in their notes and the notes’ adjusted
issue price.
Because our intended treatment of the notes as CPDIs
is based on current market conditions, we may determine an alternative treatment is more appropriate based on circumstances at the time
of pricing. Our ultimate determination will be binding on you, unless you properly disclose to the IRS an alternative treatment. Also,
the IRS may challenge the treatment of the notes as CPDIs. If we
PS-6
| Structured Investments
Capped Notes Linked to the S&P 500®
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/image_001.jpg) |
determine not to treat the notes as CPDIs, or if the
IRS successfully challenges the treatment of the notes as CPDIs, then the notes will be treated as debt instruments that are not CPDIs
and, unless treated as issued with less than a specified de minimis amount of original issue discount, could (depending on the facts at
the time of pricing) require the accrual of original issue discount as ordinary interest income based on a yield to maturity different
from (and possibly higher than) the comparable yield. Accordingly, under this treatment, your annual taxable income from (and adjusted
tax basis in) the notes could be higher or lower than if the notes were treated as CPDIs, and any loss recognized upon a disposition of
the notes (including upon maturity) would be capital loss, the deductibility of which is subject to limitations. Accordingly, this alternative
treatment could result in adverse tax consequences to you.
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 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.
The discussions in the preceding paragraphs, when read
in combination with the section entitled “Material U.S. Federal Income Tax Consequences” (and in particular the subsection
thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated
as Contingent Payment Debt Instruments”) in the accompanying product supplement, to the extent they reflect statements of law, constitute
the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing
of the notes.
Comparable
Yield and Projected Payment Schedule
We will determine the comparable yield for the notes
and will provide that comparable yield and the related projected payment schedule (or information about how to obtain them) in the pricing
supplement for the notes, which we will file with the SEC. The comparable yield for the notes will be determined based upon a variety
of factors, including actual market conditions and our borrowing costs for debt instruments of comparable maturities at the time of issuance.
The comparable yield and projected payment schedule are determined solely to calculate the amount on which you will be taxed with respect
to the notes in each year and are neither a prediction nor a guarantee of what the actual yield will be.
The 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.
PS-7
| Structured Investments
Capped Notes Linked to the S&P 500®
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/image_001.jpg) |
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 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 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 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.
PS-8
| Structured Investments
Capped Notes Linked to the S&P 500®
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/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):
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-9
| Structured Investments
Capped Notes Linked to the S&P 500®
Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024057962/image_001.jpg) |
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