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 22, 2024
July , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg)
JPMorgan Chase Financial Company LLC
Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares®
Silver Trust due February 3, 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 Energy Select Sector SPDR® Fund,
the VanEck® Gold Miners ETF and the iShares® Silver Trust, which we refer to as the Funds, is greater than
or equal to 60.00% of its Initial Value, which we refer to as an Interest Barrier. |
| · | The notes may be redeemed early, in whole but not in part, at our option on any of the Interest Payment Dates (other than the first,
second and final Interest Payment Dates). |
| · | The earliest date on which the notes may be redeemed early is November 1, 2024. |
| · | 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 29, 2024 and are expected to settle on or about August 1, 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 $7.25 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 $974.90 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 $950.00 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 Energy Select Sector SPDR® Fund (Bloomberg ticker: XLE), the VanEck®
Gold Miners ETF (Bloomberg ticker: GDX) and the iShares® Silver Trust (Bloomberg ticker: SLV)
Contingent
Interest Payments: If the notes have not been previously redeemed early 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 $8.375 (equivalent to a Contingent Interest Rate of at least 10.05%
per annum, payable at a rate of at least 0.8375% per month) (to be provided in the pricing supplement).
If the closing price of one share of any Fund on any Review Date is
less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: At least 10.05% per annum, payable at a rate of at least 0.8375% per month (to
be provided in the pricing supplement)
Interest Barrier / Trigger Value:
With respect to each Fund, 60.00% of its Initial Value
Pricing
Date: On or about July 29, 2024
Original
Issue Date (Settlement Date): On or about August 1, 2024
Review
Dates*: August 29, 2024, September 30, 2024, October 29, 2024, November 29, 2024, December 30, 2024, January 29, 2025, February
28, 2025, March 31, 2025, April 29, 2025, May 29, 2025, June 30, 2025, July 29, 2025, August 29, 2025, September 29, 2025, October 29,
2025, December 1, 2025, December 29, 2025 and January 29, 2026 (final Review Date)
Interest
Payment Dates*: September 4, 2024, October 3, 2024, November 1, 2024, December 4, 2024, January 3, 2025, February 3, 2025,
March 5, 2025, April 3, 2025, May 2, 2025, June 3, 2025, July 3, 2025, August 1, 2025, September 4, 2025, October 2, 2025, November 3,
2025, December 4, 2025, January 2, 2026 and the Maturity Date
Maturity
Date*: February 3, 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 Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Early Redemption:
We, at our election, may redeem the notes early, in whole but not in
part, on any of the Interest Payment Dates (other than the first, second and final Interest Payment Dates) at a price, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the immediately preceding
Review Date. If we intend to redeem your notes early, we will deliver notice to The Depository Trust Company, or DTC, at least three business
days before the applicable Interest Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early 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.
If the notes have not been redeemed early and the Final Value of any
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 × Least Performing Fund Return)
If the notes have not been redeemed early and the Final Value of any
Fund is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal
amount at maturity.
Least Performing Fund: The
Fund with the Least Performing Fund Return
Least Performing Fund Return: The
lowest 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
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
Supplemental
Terms of the Notes
The notes are not commodity futures contracts or swaps
and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”).
The notes are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument
exemption, that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities,
as set out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or
any regulation promulgated by the Commodity Futures Trading Commission.
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 and Second Review
Dates
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_002.jpg)
Payments in Connection with Review Dates (Other
than the First, Second and Final Review Dates)
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_003.jpg)
PS-2
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
Payment at Maturity If the Notes Have
Not Been Redeemed Early
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/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 10.05% per annum, depending on how many Contingent Interest Payments are made prior to early redemption or maturity. The actual Contingent
Interest Rate will be provided in the pricing supplement and will be at least 10.05% per annum (payable at a rate of at least 0.8375%
per month).
Number of Contingent
Interest Payments |
Total Contingent Interest
Payments |
18 |
$150.750 |
17 |
$142.375 |
16 |
$134.000 |
15 |
$125.625 |
14 |
$117.250 |
13 |
$108.875 |
12 |
$100.500 |
11 |
$92.125 |
10 |
$83.750 |
9 |
$75.375 |
8 |
$67.000 |
7 |
$58.625 |
6 |
$50.250 |
5 |
$41.875 |
4 |
$33.500 |
3 |
$25.125 |
2 |
$16.750 |
1 |
$8.375 |
0 |
$0.000 |
Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to three hypothetical Funds, assuming a range of performances for the hypothetical Least Performing Fund on the Review Dates. Each
hypothetical payment set forth below assumes that the closing price of one share of each Fund that is not the Least Performing Fund on
each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
PS-3
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
The hypothetical payments set forth below assume the
following:
| · | the notes have not been redeemed early; |
| · | an Initial Value for the Least Performing Fund of $100.00; |
| · | an Interest Barrier and a Trigger Value for the Least Performing Fund of $60.00 (equal to 60.00% of its hypothetical Initial Value);
and |
| · | a Contingent Interest Rate of 10.05% per annum. |
The hypothetical Initial Value of the Least Performing
Fund of $100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any 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 have NOT been redeemed early
and the Final Value of the Least Performing Fund is greater than or equal to its Trigger Value.
Date |
Closing Price of One Share
of Least Performing Fund |
Payment (per $1,000 principal amount note) |
First Review Date |
$95.00 |
$8.375 |
Second Review Date |
$85.00 |
$8.375 |
Third through Seventeenth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$90.00 |
$1,008.375 |
|
Total Payment |
$1,025.125 (2.5125% return) |
Because the notes have not been redeemed early and
the Final Value of the Least Performing Fund is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000 principal
amount note, will be $1,008.375 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date). 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 $1,025.125.
Example
2 — Notes have NOT been redeemed early and the Final Value of the Least Performing Fund is less than its Trigger Value.
Date |
Closing Price of One Share
of Least Performing Fund |
Payment (per $1,000 principal amount note) |
First Review Date |
$40.00 |
$0 |
Second Review Date |
$45.00 |
$0 |
Third through Seventeenth 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 redeemed early, the
Final Value of the Least Performing Fund is less than its Trigger Value and the Least 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. 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-4
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/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
| · | 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 redeemed early and the Final Value of any 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 Least Performing Fund is less than its Initial Value. Accordingly, under
these circumstances, you will lose more than 40.00% 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 redeemed early, we
will make a Contingent Interest Payment with respect to a Review Date 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 any Fund on that Review Date is less than
its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing price
of one share of any 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 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 any Fund,
which may be significant. You will not participate in any appreciation of any 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 any of the Funds over the term
of the notes 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 any other Fund.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING FUND. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of any Fund is less than
its Trigger Value and the notes have not been redeemed early, the benefit provided by the Trigger Value will terminate and you will be
fully exposed to any depreciation of the Least Performing Fund.
PS-5
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
| · | THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If we elect to redeem your notes early, the
term of the notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest Payments after
the applicable Interest Payment 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 we elect to redeem
your notes 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 ON THE VANECK® GOLD MINERS ETF AND THE SPDR®
S&P® REGIONAL BANKING ETF OR THE SECURITIES HELD BY THE VANECK® GOLD MINERS ETF AND THE SPDR®
S&P® REGIONAL BANKING ETF OR HAVE ANY RIGHTS WITH RESPECT TO ANY FUND OR THE SECURITIES OR COMMODITIES HELD BY ANY
FUND. |
| · | 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.
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.
In addition, the benchmark price of the iShares®
Silver Trust’s Underlying Commodity (as defined under “The Funds” below) is administered by the London Bullion Market
Association (“LBMA”) or an independent service provider appointed by the LBMA, and we are, or one of our affiliates is, a
price participant that contributes to the determination of that price. Furthermore, our affiliate is the custodian of the iShares®
Silver Trust. We and our affiliates will have no obligation to consider your interests as a holder of the notes in taking any actions
in connection with our roles as a price participant and a custodian that might affect the iShares® Silver Trust or the
notes.
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
PS-6
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
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 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
ENERGY SELECT SECTOR SPDR® FUND AND THE
VanEck® Gold Miners ETF —
|
The Energy
Select Sector SPDR® Fund and the VanEck® Gold Miners ETF 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 these 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 OR UNDERLYING COMMODITY, AS APPLICABLE, AS WELL AS THE NET ASSET VALUE PER SHARE — |
Each of the Energy Select Sector SPDR®
Fund and the VanEck® Gold Miners ETF 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 of the Energy
Select Sector SPDR® Fund and VanEck® Gold Miners ETF 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 of the Energy Select Sector SPDR® Fund and the VanEck® Gold Miners ETF and its Underlying Index.
In addition, corporate actions with respect to the equity securities underlying each of the Energy Select Sector SPDR®
Fund and the VanEck® Gold Miners ETF (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 of the Energy Select Sector SPDR® Fund and the
VanEck® Gold Miners ETF are traded on a securities exchange and are subject to market supply and investor demand, the market
value of one share of that Fund may differ from the net asset value per share of that Fund.
In addition, the iShares® Silver
Trust does not fully replicate the performance of its Underlying Commodity due to the fees and expenses charged by the iShares®
Silver Trust or by restrictions on access to the relevant Underlying Commodity due to other
PS-7
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
circumstances. The iShares® Silver Trust does
not generate any income, and as the iShares® Silver Trust regularly sells its Underlying Commodity to pay for ongoing expenses,
the amount of its Underlying Commodity represented by each share gradually declines over time. The iShares® Silver Trust
sells its Underlying Commodity to pay expenses on an ongoing basis irrespective of whether the trading price of the shares rises or falls
in response to changes in the price of its Underlying Commodity. The sale by the iShares® Silver Trust of its Underlying
Commodity to pay expenses at a time of low prices for its Underlying Commodity could adversely affect the value of the notes. Additionally,
there is a risk that part or all of the iShares® Silver Trust’s holdings in its Underlying Commodity could be lost,
damaged or stolen. Access to the iShares® Silver Trust’s Underlying Commodity could also be restricted by natural
events (such as an earthquake) or human actions (such as a terrorist attack). All of these factors may lead to a lack of correlation between
the performance of the iShares® Silver Trust and its Underlying Commodity. In addition, because the shares of the iShares®
Silver Trust are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of
the iShares® Silver Trust may differ from the net asset value per share of the iShares® Silver Trust.
During periods of market volatility, securities
underlying the Energy Select Sector SPDR® Fund and the VanEck® Gold Miners ETF or the Underlying Commodity
of the iShares® Silver Trust may be unavailable in the secondary market, market participants may be unable to calculate
accurately the net asset value per share of a Fund and the liquidity of a 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 or Underlying Commodity, as applicable,
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 ENERGY SECTOR WITH RESPECT TO THE ENERGY SELECT SECTOR SPDR®
FUND — |
All or
substantially all of the equity securities held by the Energy Select Sector SPDR® Fund are issued by companies whose primary
line of business is directly associated with the energy 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. Issuers in energy-related industries can be significantly affected
by fluctuations in energy prices and supply and demand of energy fuels. Markets for various energy-related commodities can have significant
volatility, and are subject to control or manipulation by large producers or purchasers. Companies in the energy sector may need to make
substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration
and production can be significantly affected by natural disasters as well as changes in exchange rates, interest rates, government regulation,
world events and economic conditions. These companies may be at risk for environmental damage claims. These factors could affect the energy
sector and could affect the value of the equity securities held by the Energy Select Sector SPDR® Fund and the price of
the Energy Select Sector SPDR® Fund during the term of the notes, which may adversely affect the value of your notes.
| · | RISKS ASSOCIATED WITH THE GOLD AND SILVER MINING INDUSTRIES WITH RESPECT TO THE VanEck®
Gold Miners ETF — |
All or substantially all of the equity securities
held by the VanEck® Gold Miners ETF are issued by companies whose primary line of business is directly associated with
the gold and/or silver mining industries. 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 these industries than a different investment linked
to securities of a more broadly diversified group of issuers. Investments related to gold and silver are considered speculative
and are affected by a variety of factors. Competitive pressures may have a significant effect on the financial condition of gold
and silver mining companies. Also, gold and silver mining companies are highly dependent on the price of gold and silver bullion,
respectively, but may also be adversely affected by a variety of worldwide economic, financial and political factors. The price
of gold and silver may fluctuate substantially over short periods of time, so the VanEck® Gold Miners ETF’s share
price may be more volatile than other types of investments. Fluctuation in the prices of gold and silver may be due to a number
of factors, including changes in inflation, changes in currency exchange rates and changes in industrial and commercial demand for metals
(including fabricator demand). Additionally, increased environmental or labor costs may depress the value of metal investments.
These factors could affect the gold and silver mining industries and could affect the value of the equity securities held by the VanEck®
Gold Miners ETF and the price of the VanEck® Gold Miners ETF during the term of the notes, which may adversely affect the
value of your notes.
PS-8
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE
VanEck® Gold Miners ETF — |
Some of
the equity securities held by the VanEck® Gold Miners ETF have been issued by non-U.S. companies. Investments in securities
linked to the value of such non-U.S. equity securities involve risks associated with the home countries and/or the securities markets
in the home countries of the issuers of those non-U.S. equity securities. Also, there is generally less publicly available information
about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the
SEC.
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE
VanEck® Gold Miners ETF — |
Because
the prices of the non-U.S. equity securities held by the VanEck® Gold Miners ETF are converted into U.S. dollars for purposes
of calculating the net asset value of and the VanEck® Gold Miners ETF, holders of the notes will be exposed to currency
exchange rate risk with respect to each of the currencies in which the non-U.S. equity securities held by and the VanEck®
Gold Miners ETF trade. With respect to and the VanEck® Gold Miners ETF, your net exposure will depend on the extent to
which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity securities held by the VanEck®
Gold Miners ETF denominated in each of those currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against
those currencies, the price of and the VanEck® Gold Miners ETF will be adversely affected and any payment on the notes
may be reduced.
| · | THE iSHARES® SILVER TRUST IS NOT AN INVESTMENT COMPANY OR COMMODITY POOL AND WILL NOT BE SUBJECT TO REGULATION UNDER
THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, OR THE COMMODITY EXCHANGE ACT — |
Accordingly, you will not benefit from any regulatory
protections afforded to persons who invest in regulated investment companies or commodity pools.
| · | THE NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH SILVER WITH RESPECT TO THE iSHARES® SILVER TRUST — |
The iShares® Silver Trust seeks
to reflect generally the performance of the price of silver, less the iShares® Silver Trust’s expenses and liabilities.
The price of silver is primarily affected by global demand for and supply of silver. Silver prices can fluctuate widely and may be affected
by numerous factors. These include general economic trends, increases in silver hedging activity by silver producers, significant changes
in attitude by speculators and investors in silver, technical developments, substitution issues and regulation, as well as specific factors
including industrial and jewelry demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar
(the currency in which the price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales
by producers, global or regional political or economic events and production costs and disruptions in major silver-producing countries,
such as Mexico, China and Peru. The demand for and supply of silver affect silver prices, but not necessarily in the same manner as supply
and demand affect the prices of other commodities. The supply of silver consists of a combination of new mine production and existing
stocks of bullion and fabricated silver held by governments, public and private financial institutions, industrial organizations and private
individuals. In addition, the price of silver has on occasion been subject to very rapid short-term changes due to speculative activities.
From time to time, above-ground inventories of silver may also influence the market. The major end uses for silver include industrial
applications, jewelry and silverware. It is not possible to predict the aggregate effect of all or any combination of these factors.
| · | THERE ARE RISKS RELATING TO COMMODITIES TRADING ON THE LBMA WITH RESPECT TO THE iSHARES® SILVER TRUST — |
The iShares® Silver Trust seeks
to reflect generally the performance of the price of silver, less the iShares® Silver Trust’s expenses and liabilities.
The price of silver is determined by the LBMA or an independent service provider appointed by the LBMA. The LBMA is a self-regulatory
association of bullion market participants. Although all market-making members of the LBMA are supervised by the Bank of England and are
required to satisfy a capital adequacy test, the LBMA itself is not a regulated entity. If the LBMA should cease operations, or if bullion
trading should become subject to a value added tax or other tax or any other form of regulation currently not in place, the role of the
LBMA silver price as a global benchmark for the value of silver may be adversely affected. The LBMA is a principals’ market, which
operates in a manner more closely analogous to an over-the-counter physical commodity market than regulated futures markets, and certain
features of U.S. futures contracts are not present in the context of LBMA trading. For example, there are no daily price limits on the
LBMA which would otherwise restrict fluctuations in the prices of LBMA contracts. In a declining market, it is possible that prices would
continue to decline without limitation within a trading day or over a period of trading days. The LBMA may alter, discontinue or suspend
calculation or dissemination of the LBMA silver price, which could adversely affect the value of the notes. The LBMA, or an independent
service provider appointed by the LBMA, will have no obligation to consider your interests in calculating or revising the LBMA silver
price.
PS-9
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
| · | SINGLE COMMODITY PRICES TEND TO BE MORE VOLATILE THAN, AND MAY NOT CORRELATE WITH, THE PRICES OF COMMODITIES GENERALLY —
|
The iShares® Silver Trust is
linked to a single commodity and not to a diverse basket of commodities or a broad-based commodity index. The iShares®
Silver Trust’s Underlying Commodity may not correlate to the price of commodities generally and may diverge significantly from the
prices of commodities generally. As a result, the notes carry greater risk and may be more volatile than notes linked to the prices of
more commodities or a broad-based commodity index.
| · | 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.
PS-10
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
The Funds
The Energy 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 Energy Select Sector Index, which we refer to as the Underlying Index with respect to the
Energy Select Sector SPDR® Fund. The Energy Select Sector Index is a capped modified market capitalization-based index
that measures the performance of the GICS® energy sector of the S&P 500® Index, which currently
includes companies in the following industries: oil, gas & consumable fuels; and energy equipment & services. For additional information
about the Energy Select Sector SPDR® Fund, see “Fund Descriptions — The Select Sector SPDR® Funds”
in the accompanying underlying supplement.
The VanEck® Gold Miners ETF is an exchange-traded
fund of the VanEck® ETF Trust, a registered investment company, that seeks to replicate as closely as possible, before
fees and expenses, the price and yield performance of the NYSE Arca Gold Miners Index, which we refer to as the Underlying Index with
respect to the VanEck® Gold Miners ETF. The NYSE Arca Gold Miners Index is a modified market capitalization weighted index
composed of publicly traded companies involved primarily in the mining of gold or silver. For additional information about the VanEck®
Gold Miners ETF, see “Fund Descriptions — The VanEck® ETFs” in the accompanying underlying supplement.
The iShares® Silver Trust is an investment
trust sponsored by iShares® Delaware Trust Sponsor LLC. The iShares® Silver Trust seeks to reflect generally
the performance of the price of silver, less the iShares® Silver Trust’s expenses and liabilities. The assets of
the iShares® Silver Trust consists primarily of silver held by a custodian on behalf of the iShares® Silver
Trust. We refer to silver as the Underlying Commodity with respect to the iShares® Silver Trust. For additional information
about the iShares® Silver Trust, see “Fund Descriptions — The iShares® Silver Trust” 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 July 12, 2024. The closing
price of one share of the Energy Select Sector SPDR® Fund on July 18, 2024
was $93.39. The closing price of one share of the VanEck® Gold Miners ETF on July 18, 2024 was $37.87. The closing price
of one share of the iShares® Silver Trust on July 18, 2024 was $27.20. 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
any 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/1665650/000101376224000386/image_005.jpg)
PS-11
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_006.jpg)
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_007.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.
PS-12
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
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 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
PS-13
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
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 “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.
PS-14
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/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-15
| Structured Investments
Contingent Interest Notes Linked to the Least Performing of
the Energy Select Sector SPDR® Fund, the VanEck® Gold Miners ETF and the iShares® Silver
Trust |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224000386/image_001.jpg) |
JP Morgan Chase (NYSE:JPM-M)
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