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 23, 2024
July , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg)
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF
due February 3, 2027
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 value of each of the common stock of Bristol-Myers Squibb Company
and the SPDR® S&P® Biotech ETF, which we refer to as the Underlyings, is
greater than or equal to 60.00% of its Initial Value, which we refer to as an Interest Barrier. |
| · | The notes will be automatically called if the closing value of each Underlying on any Review Date (other than the first and final
Review Dates) is greater than or equal to its Initial Value. |
| · | The earliest date on which an automatic call may be initiated is January 29, 2025. |
| · | Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates. |
| · | Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings 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 July 31, 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)(2) |
Fees and Commissions (2)(3) |
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) With respect to notes sold to certain fee-based advisory
accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser, the price to the public will not be lower than
$976.50 per $1,000 principal amount note. J.P. Morgan Securities LLC, which we refer to as JPMS, and these broker-dealers will forgo any
selling commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement.
(3) With respect to notes sold to brokerage accounts, 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 $23.50 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
$964.00 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the
pricing supplement and will not be less than $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.
Underlyings:
The common stock
of Bristol-Myers Squibb Company, par value $0.10 per share (Bloomberg ticker: BMY) (the “Reference Stock”) and the SPDR®
S&P® Biotech ETF (Bloomberg ticker: XBI) (the “Fund”) (each of the Reference Stock and the Fund, an “Underlying”
and collectively, the “Underlyings”)
Contingent
Interest Payments: If the notes have not been automatically called and the closing value of each Underlying on any Review Date
is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to at least $25.00 (equivalent to a Contingent Interest Rate of at least 10.00% per annum, payable
at a rate of at least 2.50% per quarter) (to be provided in the pricing supplement).
If the closing value of either Underlying 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 10.00% per annum, payable at a rate of at least 2.50% per quarter (to
be provided in the pricing supplement)
Interest Barrier / Trigger Value: With
respect to each Underlying, 60.00% of its Initial Value
Pricing
Date: On or about July 29, 2024
Original
Issue Date (Settlement Date): On or about July 31, 2024
Review
Dates*: October 29, 2024, January 29, 2025, April 29, 2025, July 29, 2025, October 29, 2025, January 29, 2026, April 29, 2026,
July 29, 2026, October 29, 2026 and January 29, 2027 (final Review Date)
Interest
Payment Dates*: November 1, 2024, February 3, 2025, May 2, 2025, August 1, 2025, November 3, 2025, February 3, 2026, May 4,
2026, August 3, 2026, November 3, 2026 and the Maturity Date
Maturity
Date*: February 3, 2027
Call Settlement Date*: If
the notes are automatically called on any Review Date (other than the first and final Review Dates), the first Interest Payment Date immediately
following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Automatic Call:
If the closing value of each Underlying on any Review Date (other than
the first and final Review Dates) is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date,
payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of
each Underlying 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 automatically called and the Final Value of
either Underlying is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Underlying
Return)
If the notes have not been automatically called and the Final Value
of either Underlying 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.
Lesser Performing Underlying: The
Underlying with the Lesser Performing Underlying Return
Lesser Performing Underlying Return: The
lower of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing
value of that Underlying on the Pricing Date
Final
Value: With respect to each Underlying, the closing value of that Underlying on the final Review
Date
Stock
Adjustment Factor: The Stock Adjustment Factor is referenced in determining the closing value of the Reference Stock and is
set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events
affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The
Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further information.
Share
Adjustment Factor: The Share Adjustment Factor is referenced in determining the closing value of the Fund and is set equal
to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund.
See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information. |
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
Supplemental
Terms of the Notes
Any values of the Underlyings, 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
Payment in Connection with the First Review Date
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_002.jpg)
Payments in Connection with Review Dates (Other than
the First and Final Review Dates)
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_003.jpg)
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
Payment at Maturity If the Notes
Have Not Been Automatically Called
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_004.jpg)
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest Rate of 10.00%
per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual Contingent Interest
Rate will be provided in the pricing supplement and will be at least 10.00% per annum.
Number of Contingent
Interest Payments |
Total Contingent Interest
Payments |
10 |
$250.00 |
9 |
$225.00 |
8 |
$200.00 |
7 |
$175.00 |
6 |
$150.00 |
5 |
$125.00 |
4 |
$100.00 |
3 |
$75.00 |
2 |
$50.00 |
1 |
$25.00 |
0 |
$0.00 |
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
Hypothetical Payout Examples
The following examples illustrate payments on the notes
linked to two hypothetical Underlyings, assuming a range of performances for the hypothetical Lesser Performing Underlying on the Review
Dates. Each hypothetical payment set forth below assumes that the closing value of the Underlying that is not the Lesser Performing
Underlying on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth below
assume the following:
| · | an Initial Value for the Lesser Performing Underlying of 100.00; |
| · | an Interest Barrier and a Trigger Value for the Lesser Performing Underlying of 60.00 (equal to 60.00% of its hypothetical Initial
Value); and |
| · | a Contingent Interest Rate of 10.00% per annum (payable at a rate of 2.50% per quarter). |
The hypothetical Initial Value of the Lesser Performing
Underlying of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either Underlying.
The actual Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date and will be provided in the
pricing supplement. For historical data regarding the actual closing values of each Underlying, please see the historical information
set forth under “The Underlyings” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
Example 1 — Notes are automatically called
on the second Review Date.
Date |
Closing Value of Lesser
Performing Underlying |
Payment (per $1,000 principal amount note) |
First Review Date |
105.00 |
$25.00 |
Second Review Date |
110.00 |
$1,025.00 |
|
Total Payment |
$1,050.00 (5.00% return) |
Because the closing value of each Underlying on the
second Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, of $1,025.00 (or $1,000 plus the Contingent Interest Payment applicable to the second Review Date),
payable on the applicable Call Settlement Date. The notes are not automatically callable before the second Review Date, even though the
closing value of each Underlying on the first Review Date is greater than its Initial Value. When added to the Contingent Interest Payment
received with respect to the prior Review Date, the total amount paid, for each $1,000 principal amount note, is $1,050.00. No further
payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Underlying is greater than or equal to its Trigger Value.
Date |
Closing Value of Lesser
Performing Underlying |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$25.00 |
Second Review Date |
85.00 |
$25.00 |
Third through Ninth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
90.00 |
$1,025.00 |
|
Total Payment |
$1,075.00 (7.50% return) |
Because the notes have not been automatically called
and the Final Value of the Lesser Performing Underlying is greater than or equal to its Trigger Value, the payment at maturity, for each
$1,000 principal amount note, will be $1,025.00 (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 $1,075.00.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
Example
3 — Notes have NOT been automatically called and the Final Value of the Lesser Performing Underlying is less than its Trigger Value.
Date |
Closing Value of Lesser
Performing Underlying |
Payment (per $1,000 principal amount note) |
First Review Date |
40.00 |
$0 |
Second Review Date |
45.00 |
$0 |
Third through Ninth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
40.00 |
$400.00 |
|
Total Payment |
$400.00 (-60.00% return) |
Because the notes have not been automatically called,
the Final Value of the Lesser Performing Underlying is less than its Trigger Value and the Lesser Performing Underlying Return is -60.00%,
the payment at maturity will be $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value of either Underlying is less than its Trigger Value, you will lose
1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Underlying 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 automatically called,
we will make a Contingent Interest Payment with respect to a Review Date only if the closing value of each Underlying on that Review Date
is greater than or equal to its Interest Barrier. If the closing value of either Underlying 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 value of either Underlying
on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the term of the notes.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed
to you under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany
agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes.
We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co.
we are not expected to have sufficient resources to meet our obligations in
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
respect of the notes as they
come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on the notes, you may
have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information, see the accompanying
prospectus addendum.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES, |
regardless of any appreciation of either Underlying,
which may be significant. You will not participate in any appreciation of either Underlying.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked to a basket
composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by either of the Underlyings
over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively affect whether you
will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be offset or mitigated
by positive performance by the other Underlying.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING UNDERLYING. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of either Underlying is less
than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and
you will be fully exposed to any depreciation of the Lesser Performing Underlying.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the
term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments after
the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes
at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before
maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON EITHER UNDERLYING OR THE SECURITIES INCLUDED IN OR HELD BY THE FUND OR HAVE ANY RIGHTS WITH RESPECT
TO THE UNDERLYINGS OR THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE VALUE OF THAT
UNDERLYING 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.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes
because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These
costs include the selling commissions, if any, the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the
Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in
an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
if any, 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, if any, projected hedging profits, if any, estimated hedging costs and the values of the Underlyings. 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 Underlyings
| · | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — |
We have not independently verified any of the
information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the
Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether
contained in SEC filings or otherwise.
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — |
The calculation agent will not make an adjustment
in response to all events that could affect the Reference Stock. The calculation agent may make adjustments in response to events that
are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent
is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management risk, which
is the risk that the investment strategies of the 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 price of the shares of the Fund
and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund does not fully replicate its Underlying
Index (as defined under “The Underlyings” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of
its Underlying Index. All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying Index.
In addition, corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs) may impact the
variance between the performances of the Fund and its Underlying Index. Finally, because the shares of the Fund are traded on a securities
exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset
value per share of the Fund.
During periods of market volatility, securities
underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the
ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market
value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the
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 BIOTECHNOLOGY INDUSTRY WITH RESPECT TO THE FUND — |
All or
substantially all of the equity securities held by the Fund are issued by companies whose primary line of business is directly associated
with the biotechnology industry. 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 industry than a different investment linked to securities
of a more broadly diversified group of issuers. Biotechnology companies invest heavily in research and development, which may not
necessarily lead to commercially successful products. These companies are also subject to increased governmental regulation, which
may delay or inhibit the release of new products. Many biotechnology companies are dependent upon their ability to use and enforce
intellectual property rights and patents. Any impairment of these rights may have adverse financial consequences. Biotechnology
stocks, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Biotechnology companies
can be significantly affected by technological change and obsolescence, product liability lawsuits and consequential high insurance costs.
These factors could affect the biotechnology industry and could affect the value of the equity securities held by the Fund and the price
of the Fund during the term of the notes, which may adversely affect the value of your notes.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation
agent will make adjustments to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation
agent will not make an adjustment in response to all events that could affect the shares of the Fund. 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-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
The Underlyings
All information contained herein on the Reference Stock
and on Bristol-Myers Squibb Company is derived from publicly available sources, without independent verification. According to its publicly
available filings with the SEC, Bristol-Myers Squibb Company is engaged in the discovery, development, licensing, manufacturing, marketing,
distribution and sale of biopharmaceutical products. The common stock of Bristol-Myers Squibb Company, par value $0.10 per share (Bloomberg
ticker: BMY), is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed
on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Bristol-Myers Squibb Company in the accompanying
product supplement. Information provided to or filed with the SEC by Bristol-Myers Squibb Company pursuant to the Exchange Act can be
located by reference to the SEC file number 001-01136, and can be accessed through www.sec.gov. We do not make any representation that
these publicly available documents are accurate or complete.
The Fund is an exchange-traded fund of the SPDR®
Series Trust, a registered investment company, that seeks to provide investment results that, before fees and expenses, correspond generally
to the total return performance of an index derived from the biotechnology segment of a U.S. total market composite index, which we refer
to as the Underlying Index with respect to the Fund. The Underlying Index with respect to the Fund is currently the S&P Biotechnology
Select IndustryTM Index. The S&P Biotechnology Select IndustryTM Index is a modified equal-weight index that
is designed to measure the performance of the GICS® biotechnology sub-industry of the S&P Total Market Index. The S&P
Biotechnology Select IndustryTM Index may also include companies in the life sciences tools & services sub-industry of
the S&P Total Market Index. For additional information about the Fund, see “Fund Descriptions — The SPDR®
S&P Industry ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Underlying based on the weekly historical closing values from January 4, 2019 through July 19, 2024. The closing value of the
Reference Stock on July 22, 2024 was $42.67. The closing value of the Fund on July 22, 2024 was $98.89. We obtained the closing values
above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The
closing values of the Reference Stock above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits,
public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. The closing values of the Fund above and below may have
been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of either Underlying
on the Pricing Date or any Review Date. There can be no assurance that the performance of the Underlyings will result in the return of
any of your principal amount or the payment of any interest.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_005.jpg)
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_006.jpg)
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting
responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions
above and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a
position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a
withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate
under an applicable income tax treaty), unless income from your notes is effectively connected with your conduct of a trade or business
in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you
are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes in light of your particular circumstances.
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
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
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, if any, 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 sold to brokerage accounts 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, if any, 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
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
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 Underlyings”
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.
Supplemental
Plan of Distribution
With respect to notes sold to certain fee-based advisory
accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser, the price to the public will not be lower than
$976.50 per $1,000 principal amount note. JPMS and these broker-dealers will forgo any selling commissions related to these sales. See
“Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
With respect to notes sold to brokerage accounts, 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 $23.50 per $1,000 principal amount note. See “Plan of Distribution (Conflicts
of Interest)” in the accompanying product supplement.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus
addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Common Stock of Bristol-Myers Squibb Company and the SPDR® S&P® Biotech ETF |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063711/image_001.jpg) |
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