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 9, 2026
July , 2026 Registration Statement Nos. 333-293684 and 333-293684-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 3-I dated April 17, 2026, underlying supplement no. 5-I dated April 17, 2026 and the prospectus and
prospectus supplement, each dated April 17, 2026
JPMorgan Chase Financial Company LLC
Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol
Advantage Index due July 17, 2036
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
• The notes are designed for investors who seek early exit prior to maturity at a premium if, on any Review Date, the
closing level of the MerQube US Tech+ Vol Advantage Index, which we refer to as the Index, is at or above the Call
Value.
• The earliest date on which an automatic call may be initiated is July 16, 2029.
• Investors should be willing to forgo interest and dividend payments, while seeking full repayment of principal at maturity.
• The Index is subject to a 6.0% per annum daily deduction, and the performance of the Invesco QQQ TrustSM,
Series 1 (the “QQQ Fund”) is subject to a notional financing cost. These deductions will offset any appreciation
of the components of the Index, will heighten any depreciation of those components and will generally be a drag
on the performance of the Index. The Index will trail the performance of an identical index without such
deductions. See “Selected Risk Considerations — Risks Relating to the Notes Generally — The Level of the
Index Will Include a 6.0% per Annum Daily Deduction” and “Selected Risk Considerations — Risks Relating to
the Notes Generally — The Level of the Index Will Include the Deduction of a Notional Financing Cost” in this
pricing supplement.
• The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
• Minimum denominations of $1,000 and integral multiples thereof
• The notes are expected to price on or about July 14, 2026 and are expected to settle on or about July 17, 2026.
• CUSIP: 46661C2N5
Investing in the notes involves a number of risks. See “Risk Factors” beginning on page S-2 of the accompanying
prospectus supplement, “Risk Factors” beginning on page PS-12 of the accompanying product supplement, “Risk
Factors” beginning on page US-4 of the accompanying underlying supplement and “Selected Risk Considerations”
beginning on page PS-9 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 and prospectus. 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 $20.00 per
$1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
If the notes priced today, the estimated value of the notes would be approximately $908.40 per $1,000 principal amount
note. The estimated value of the notes, when the terms of the notes are set, will be provided in the pricing supplement
and will not be less than $900.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this
pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency
and are not obligations of, or guaranteed by, a bank.
PS-1 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, a direct, wholly
owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The MerQube US Tech+ Vol Advantage Index (Bloomberg
ticker: MQUSTVA). The level of the Index reflects a deduction of
6.0% per annum that accrues daily, and the performance of the QQQ
Fund is subject to a notional financing cost that accrues daily.
Call Value: 100.00% of the Initial Value
Pricing Date: On or about July 14, 2026
Original Issue Date (Settlement Date): On or about July 17, 2026
Review Dates*: July 16, 2029, August 14, 2029, September 14,
2029, October 15, 2029, November 14, 2029, December 14, 2029,
January 14, 2030, February 14, 2030, March 14, 2030, April 15,
2030, May 14, 2030, June 14, 2030, July 15, 2030, August 14,
2030, September 16, 2030, October 14, 2030, November 14, 2030,
December 16, 2030, January 14, 2031, February 14, 2031, March
14, 2031, April 14, 2031, May 14, 2031, June 16, 2031, July 14,
2031, August 14, 2031, September 15, 2031, October 14, 2031,
November 14, 2031, December 15, 2031, January 14, 2032,
February 17, 2032, March 15, 2032, April 14, 2032, May 14, 2032,
June 14, 2032, July 14, 2032, August 16, 2032, September 14,
2032, October 14, 2032, November 15, 2032, December 14, 2032,
January 14, 2033, February 14, 2033, March 14, 2033, April 14,
2033, May 16, 2033, June 14, 2033, July 14, 2033, August 15,
2033, September 14, 2033, October 14, 2033, November 14, 2033,
December 14, 2033, January 17, 2034, February 14, 2034, March
14, 2034, April 14, 2034, May 15, 2034, June 14, 2034, July 14,
2034, August 14, 2034, September 14, 2034, October 16, 2034,
November 14, 2034, December 14, 2034, January 16, 2035,
February 14, 2035, March 14, 2035, April 16, 2035, May 14, 2035,
June 14, 2035, July 16, 2035, August 14, 2035, September 14,
2035, October 15, 2035, November 14, 2035, December 14, 2035,
January 14, 2036, February 14, 2036, March 14, 2036, April 14,
2036, May 14, 2036, June 16, 2036 and July 14, 2036 (final
Review Date)
Call Settlement Dates*: July 19, 2029, August 17, 2029,
September 19, 2029, October 18, 2029, November 19, 2029,
December 19, 2029, January 17, 2030, February 20, 2030, March
19, 2030, April 18, 2030, May 17, 2030, June 20, 2030, July 18,
2030, August 19, 2030, September 19, 2030, October 17, 2030,
November 19, 2030, December 19, 2030, January 17, 2031,
February 20, 2031, March 19, 2031, April 17, 2031, May 19, 2031,
June 20, 2031, July 17, 2031, August 19, 2031, September 18,
2031, October 17, 2031, November 19, 2031, December 18, 2031,
January 20, 2032, February 20, 2032, March 18, 2032, April 19,
2032, May 19, 2032, June 17, 2032, July 19, 2032, August 19,
2032, September 17, 2032, October 19, 2032, November 18, 2032,
December 17, 2032, January 20, 2033, February 17, 2033, March
17, 2033, April 19, 2033, May 19, 2033, June 17, 2033, July 19,
2033, August 18, 2033, September 19, 2033, October 19, 2033,
November 17, 2033, December 19, 2033, January 20, 2034,
February 17, 2034, March 17, 2034, April 19, 2034, May 18, 2034,
June 20, 2034, July 19, 2034, August 17, 2034, September 19,
2034, October 19, 2034, November 17, 2034, December 19, 2034,
January 19, 2035, February 20, 2035, March 19, 2035, April 19,
2035, May 17, 2035, June 20, 2035, July 19, 2035, August 17,
2035, September 19, 2035, October 18, 2035, November 19, 2035,
December 19, 2035, January 17, 2036, February 20, 2036, March
19, 2036, April 17, 2036, May 19, 2036, June 20, 2036 and the
Maturity Date
Maturity Date*: July 17, 2036
Automatic Call:
If the closing level of the Index on any Review Date is greater than or
equal to the Call 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 Call Premium Amount 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, you will receive the
principal amount of your notes at maturity.
If the notes have not been automatically called, you are entitled to
repayment of principal in full at maturity, subject to the credit risks of
JPMorgan Financial and JPMorgan Chase & Co.
Initial Value: The closing level of the Index on the Pricing Date
Final Value: The closing level of the Index on the final Review Date
* Subject to postponement in the event of a market disruption event
and as described under “Supplemental Terms of the Notes —
Postponement of a Determination Date — Notes Linked Solely to an
Index” in the accompanying underlying supplement and “General
Terms of Notes — Postponement of a Payment Date” in the
accompanying product supplement
PS-2 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
Key Terms Relating to the Call Premium Amounts
Call Premium Amount: The Call Premium Amount with respect to
each Review Date is set forth below:
• first Review Date:
at least 36.00% × $1,000
• second Review Date:
at least 37.00% × $1,000
• third Review Date:
at least 38.00% × $1,000
• fourth Review Date:
at least 39.00% × $1,000
• fifth Review Date:
at least 40.00% × $1,000
• sixth Review Date:
at least 41.00% × $1,000
• seventh Review Date:
at least 42.00% × $1,000
• eighth Review Date:
at least 43.00% × $1,000
• ninth Review Date:
at least 44.00% × $1,000
• tenth Review Date:
at least 45.00% × $1,000
• eleventh Review Date:
at least 46.00% × $1,000
• twelfth Review Date:
at least 47.00% × $1,000
• thirteenth Review Date:
at least 48.00% × $1,000
• fourteenth Review Date:
at least 49.00% × $1,000
• fifteenth Review Date:
at least 50.00% × $1,000
• sixteenth Review Date:
at least 51.00% × $1,000
• seventeenth Review Date:
at least 52.00% × $1,000
• eighteenth Review Date:
at least 53.00% × $1,000
• nineteenth Review Date:
at least 54.00% × $1,000
• twentieth Review Date:
at least 55.00% × $1,000
• twenty-first Review Date:
at least 56.00% × $1,000
• twenty-second Review Date:
at least 57.00% × $1,000
• twenty-third Review Date:
at least 58.00% × $1,000
• twenty-fourth Review Date:
at least 59.00% × $1,000
• twenty-fifth Review Date:
at least 60.00% × $1,000
• twenty-sixth Review Date:
at least 61.00% × $1,000
• twenty-seventh Review Date:
at least 62.00% × $1,000
• twenty-eighth Review Date:
at least 63.00% × $1,000
• twenty-ninth Review Date:
at least 64.00% × $1,000
• thirtieth Review Date:
at least 65.00% × $1,000
• thirty-first Review Date:
at least 66.00% × $1,000
• thirty-second Review Date:
at least 67.00% × $1,000
• thirty-third Review Date:
at least 68.00% × $1,000
• thirty-fourth Review Date:
at least 69.00% × $1,000
• thirty-fifth Review Date:
at least 70.00% × $1,000
• thirty-sixth Review Date:
at least 71.00% × $1,000
• thirty-seventh Review Date:
at least 72.00% × $1,000
• thirty-eighth Review Date:
at least 73.00% × $1,000
• thirty-ninth Review Date:
at least 74.00% × $1,000
• fortieth Review Date:
at least 75.00% × $1,000
• forty-first Review Date:
at least 76.00% × $1,000
• forty-second Review Date:
at least 77.00% × $1,000
• forty-third Review Date:
at least 78.00% × $1,000
• forty-fourth Review Date:
at least 79.00% × $1,000
• forty-fifth Review Date:
at least 80.00% × $1,000
• forty-sixth Review Date:
at least 81.00% × $1,000
• forty-seventh Review Date:
at least 82.00% × $1,000
• forty-eighth Review Date:
at least 83.00% × $1,000
• forty-ninth Review Date:
at least 84.00% × $1,000
• fiftieth Review Date:
at least 85.00% × $1,000
• fifty-first Review Date:
at least 86.00% × $1,000
• fifty-second Review Date:
at least 87.00% × $1,000
• fifty-third Review Date:
at least 88.00% × $1,000
• fifty-fourth Review Date:
at least 89.00% × $1,000
• fifty-fifth Review Date:
at least 90.00% × $1,000
• fifty-sixth Review Date:
at least 91.00% × $1,000
• fifty-seventh Review Date:
at least 92.00% × $1,000
• fifty-eighth Review Date:
at least 93.00% × $1,000
• fifty-ninth Review Date:
at least 94.00% × $1,000
• sixtieth Review Date:
at least 95.00% × $1,000
• sixty-first Review Date:
at least 96.00% × $1,000
• sixty-second Review Date:
at least 97.00% × $1,000
• sixty-third Review Date:
at least 98.00% × $1,000
• sixty-fourth Review Date:
at least 99.00% × $1,000
• sixty-fifth Review Date:
at least 100.00% × $1,000
• sixty-sixth Review Date:
at least 101.00% × $1,000
• sixty-seventh Review Date:
at least 102.00% × $1,000
• sixty-eighth Review Date:
at least 103.00% × $1,000
• sixty-ninth Review Date:
at least 104.00% × $1,000
• seventieth Review Date:
at least 105.00% × $1,000
• seventy-first Review Date:
at least 106.00% × $1,000
• seventy-second Review Date:
at least 107.00% × $1,000
• seventy-third Review Date:
at least 108.00% × $1,000
• seventy-fourth Review Date:
at least 109.00% × $1,000
• seventy-fifth Review Date:
at least 110.00% × $1,000
• seventy-sixth Review Date:
at least 111.00% × $1,000
• seventy-seventh Review Date:
at least 112.00% × $1,000
• seventy-eighth Review Date:
at least 113.00% × $1,000
• seventy-ninth Review Date:
at least 114.00% × $1,000
• eightieth Review Date:
at least 115.00% × $1,000
• eighty-first Review Date:
at least 116.00% × $1,000
• eighty-second Review Date:
at least 117.00% × $1,000
• eighty-third Review Date:
at least 118.00% × $1,000
• eighty-fourth Review Date:
at least 119.00% × $1,000
• final Review Date:
at least 120.00% × $1,000
(in each case, to be provided in the pricing supplement)
PS-3 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
The MerQube US Tech+ Vol Advantage Index
The MerQube US Tech+ Vol Advantage Index (the “Index”) was developed by MerQube (the “Index Sponsor” and “Index Calculation
Agent”), in coordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the Index Calculation
Agent. The Index was established on June 22, 2021. An affiliate of ours currently has an approximately 10% equity interest in the
Index Sponsor, and an employee of JPMS, another of our affiliates, is a member of the board of directors of the Index Sponsor.
Since February 9, 2024 (the “Amendment Effective Date”), the underlying asset to which the Index is linked (the “Underlying Asset”)
has been an unfunded position in the QQQ Fund, calculated as the excess of the total return of the QQQ Fund over a notional financing
cost. Prior to the Amendment Effective Date, the Underlying Asset was an unfunded rolling position in E-Mini Nasdaq-100 futures (the
“Futures Contracts”).
The investment objective of the QQQ Fund is to seek to track the investment results, before fees and expenses, of the Nasdaq-100
Index®. For more information about the QQQ Fund and the Nasdaq-100 Index®, see “Background on the Invesco QQQ TrustSM, Series
1” and “Background on the Nasdaq-100 Index®,” respectively, in the accompanying underlying supplement.
The Index attempts to provide a dynamic rules-based exposure to the Underlying Asset, while targeting a level of implied volatility, with
a maximum exposure to the Underlying Asset of 500% and a minimum exposure to the Underlying Asset of 0%. The Index is subject to
a 6.0% per annum daily deduction, and the performance of the Underlying Asset is subject to a notional financing cost deducted daily.
On each weekly Index rebalance day, the exposure to the Underlying Asset is set equal to (a) the 35% implied volatility target (the
“target volatility”) divided by (b) the one-week implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. For
example, if the implied volatility of the QQQ Fund is equal to 17.5%, the exposure to the Underlying Asset will equal 200% (or 35% /
17.5%) and if the implied volatility of the QQQ Fund is equal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% /
40%). The Index’s exposure to the Underlying Asset will be greater than 100% when the implied volatility of the QQQ Fund is below
35%, and the Index’s exposure to the Underlying Asset will be less than 100% when the implied volatility of the QQQ Fund is above
35%. In general, the Index’s target volatility feature is expected to result in the volatility of the Index being more stable over time than if
no target volatility feature were employed. No assurance can be provided that the volatility of the Index will be stable at any time. The
Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatility of the Underlying Asset.
The Index tracks the performance of the QQQ Fund, with distributions, if any, notionally reinvested, less the daily deduction of a
notional financing cost. The notional financing cost is intended to approximate the cost of maintaining a position in the QQQ Fund
using borrowed funds at a rate of interest equal to SOFR plus a fixed spread of 0.50% per annum. SOFR, the Secured Overnight
Financing Rate, is intended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. The
Index is an “excess return” index and not a “total return” index because, as part of the calculation of the level of the Index, the
performance of the QQQ Fund is reduced by the notional financing cost. The notional financing cost has been deducted from the
performance of the QQQ Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notional financing cost will offset any appreciation of the Underlying Asset, will heighten
any depreciation of the Underlying Asset and will generally be a drag on the performance of the Index. The Index will trail the
performance of an identical index without such deductions.
Holding the estimated value of the notes and market conditions constant, the Call Premium Amounts and the other economic terms
available on the notes are more favorable to investors than the terms that would be available on a hypothetical note issued by us linked
to an identical index without a daily deduction. However, there can be no assurance that any improvement in the terms of the notes
derived from the daily deduction will offset the negative effect of the daily deduction on the performance of the Index. The return on the
notes may be lower than the return on a hypothetical note issued by us linked to an identical index without a daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index’s target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatility of the Index are two of the inputs our
affiliates’ internal pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes of
determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivatives underlying the economic terms of the notes. See “The Estimated Value of the Notes”
and “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing
supplement.
The Index is subject to risks associated with the use of significant leverage. The notional financing cost deducted daily will
be magnified by any leverage provided by the Index. In addition, the Index may be significantly uninvested on any given day,
and, in that case, will realize only a portion of any gains due to appreciation of the Underlying Asset on that day. The index
deduction is deducted daily at a rate of 6.0% per annum, even when the Index is not fully invested.
PS-4 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
No assurance can be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successful or will outperform any alternative index or strategy that might reference the Underlying Asset.
For additional information about the Index, see “The MerQube Vol Advantage Index Series” in the accompanying underlying
supplement.
PS-5 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
How the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically Called
Call Premium Amount
The table below illustrates the hypothetical Call Premium Amount per $1,000 principal amount note for each Review Date based on the
minimum Call Premium Amounts set forth under “Key Terms Relating to the Call Premium Amounts — Call Premium Amount” above.
The actual Call Premium Amounts will be provided in the pricing supplement and will not be less than the minimum Call Premium
Amounts set forth under “Key Terms Relating to the Call Premium Amounts — Call Premium Amount.”
Review Date
Call Premium Amount
First
$360.00
Second
$370.00
Third
$380.00
Fourth
$390.00
Fifth
$400.00
Sixth
$410.00
The notes will be automatically called on the applicable Call Settlement Date and you will
receive (a) $1,000 plus (b) the Call Premium Amount applicable to that Review Date.
No further payments will be made on the notes.
Review Dates
Automatic Call
The closing level of the
Index is greater than or
equal to the Call Value.
The closing level of the
Index is less than the
Call Value.
Call
Value
Compare the closing level of the Index to the Call Value on each Review Date until any earlier automatic call.
The notes will not be automatically called. Proceed to the next Review Date, if any.
No Automatic Call
Final Review Date
The notes have not
been automatically
called. Proceed to the
payment at maturity.
Payment at Maturity
You will receive the principal amount of your notes.
PS-6 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
Review Date
Call Premium Amount
Seventh
$420.00
Eighth
$430.00
Ninth
$440.00
Tenth
$450.00
Eleventh
$460.00
Twelfth
$470.00
Thirteenth
$480.00
Fourteenth
$490.00
Fifteenth
$500.00
Sixteenth
$510.00
Seventeenth
$520.00
Eighteenth
$530.00
Nineteenth
$540.00
Twentieth
$550.00
Twenty-First
$560.00
Twenty-Second
$570.00
Twenty-Third
$580.00
Twenty-Fourth
$590.00
Twenty-Fifth
$600.00
Twenty-Sixth
$610.00
Twenty-Seventh
$620.00
Twenty-Eighth
$630.00
Twenty-Ninth
$640.00
Thirtieth
$650.00
Thirty-First
$660.00
Thirty-Second
$670.00
Thirty-Third
$680.00
Thirty-Fourth
$690.00
Thirty-Fifth
$700.00
Thirty-Sixth
$710.00
Thirty-Seventh
$720.00
Thirty-Eighth
$730.00
Thirty-Ninth
$740.00
Fortieth
$750.00
Forty-First
$760.00
Forty-Second
$770.00
Forty-Third
$780.00
Forty-Fourth
$790.00
Forty-Fifth
$800.00
Forty-Sixth
$810.00
Forty-Seventh
$820.00
Forty-Eighth
$830.00
Forty-Ninth
$840.00
Fiftieth
$850.00
Fifty-First
$860.00
Fifty-Second
$870.00
Fifty-Third
$880.00
Fifty-Fourth
$890.00
Fifty-Fifth
$900.00
Fifty-Sixth
$910.00
Fifty-Seventh
$920.00
Fifty-Eighth
$930.00
Fifty-Ninth
$940.00
Sixtieth
$950.00
Sixty-First
$960.00
Sixty-Second
$970.00
Sixty-Third
$980.00
PS-7 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
Review Date
Call Premium Amount
Sixty-Fourth
$990.00
Sixty-Fifth
$1,000.00
Sixty-Sixth
$1,010.00
Sixty-Seventh
$1,020.00
Sixty-Eighth
$1,030.00
Sixty-Ninth
$1,040.00
Seventieth
$1,050.00
Seventy-First
$1,060.00
Seventy-Second
$1,070.00
Seventy-Third
$1,080.00
Seventy-Fourth
$1,090.00
Seventy-Fifth
$1,100.00
Seventy-Sixth
$1,110.00
Seventy-Seventh
$1,120.00
Seventy-Eighth
$1,130.00
Seventy-Ninth
$1,140.00
Eightieth
$1,150.00
Eighty-First
$1,160.00
Eighty-Second
$1,170.00
Eighty-Third
$1,180.00
Eighty-Fourth
$1,190.00
Final
$1,200.00
PS-8 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked to a hypothetical Index, assuming a range of performances for the
hypothetical Index on the Review Dates.
In addition, the hypothetical payments set forth below assume the following:
• an Initial Value of 100.00;
• a Call Value of 100.00 (equal to 100.00% of the hypothetical Initial Value); and
• the Call Premium Amounts are equal to the minimum Call Premium Amounts set forth under “Key Terms Relating to the Call
Premium Amounts — Call Premium Amount” above.
The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial
Value. The actual Initial Value will be the closing level of the Index on the Pricing Date and will be provided in the pricing supplement.
For historical data regarding the actual closing levels of the Index, please see the historical information set forth under “Hypothetical
Back-Tested Data and Historical Information” in this pricing supplement.
Each hypothetical 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 first Review Date.
Date
Closing Level
First Review Date
110.00
Notes are automatically called
Total Payment
$1,360.00 (36.00% return)
Because the closing level of the Index on the first Review Date is greater than or equal to the Call Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, of $1,360.00 (or $1,000 plus the Call Premium Amount applicable to
the first Review Date), payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes are automatically called on the final Review Date.
Date
Closing Level
First Review Date
90.00
Notes NOT automatically called
Second Review Date
75.00
Notes NOT automatically called
Third through Eighty-
Fourth Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
240.00
Notes are automatically called
Total Payment
$2,200.00 (120.00% return)
Because the closing level of the Index on the final Review Date is greater than or equal to the Call Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, of $2,200.00 (or $1,000 plus the Call Premium Amount applicable to
the final Review Date), payable on the applicable Call Settlement Date, which is the Maturity Date.
Example 3 — Notes have NOT been automatically called.
Date
Closing Level
First Review Date
90.00
Notes NOT automatically called
Second Review Date
85.00
Notes NOT automatically called
Third through Eighty-
Fourth Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
75.00
Notes NOT automatically called
Total Payment
$1,000.00 (0.00% return)
Because the notes have not been automatically called, the payment at maturity, for each $1,000 principal amount note, will be
$1,000.00.
PS-9 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
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, product supplement and underlying supplement.
Risks Relating to the Notes Generally
• IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED, THE NOTES WILL NOT PAY MORE THAN THE PRINCIPAL
AMOUNT AT MATURITY —
If the notes have not been automatically called, you will receive only the principal amount of your notes at maturity, and you will not
be compensated for any loss in value due to inflation and other factors relating to the value of money over time.
• THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION —
The Index is subject to a 6.0% per annum daily deduction. As a result, the level of the Index will trail the value of an identically
constituted synthetic portfolio that is not subject to any such deduction.
This deduction will place a significant drag on the performance of the Index, potentially offsetting positive returns on the Index’s
investment strategy, exacerbating negative returns of its investment strategy and causing the level of the Index to decline steadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of its investment strategy is
sufficient to offset the negative effects of this deduction, and then only to the extent that the return of its investment strategy is
greater than this deduction. As a result of this deduction, the level of the Index may decline even if the return of its investment
strategy is otherwise positive.
The daily deduction is one of the inputs our affiliates’ internal pricing models use to value the derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimated value of the notes set forth on the cover of this pricing
supplement. The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See “The Estimated Value of the Notes” and “— Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes” in this pricing supplement.
• THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST —
Since the Amendment Effective Date, the performance of the Underlying Asset has been subject to a notional financing cost
deducted daily. The notional financing cost is intended to approximate the cost of maintaining a position in the QQQ Fund using
borrowed funds at a rate of interest equal to the daily SOFR rate plus a fixed spread. The actual cost of maintaining a position in
the QQQ Fund at any time may be less than the notional financing cost. As a result of this deduction, the level of the Index will trail
the value of an identically constituted synthetic portfolio that is not subject to any such deduction.
• 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 ACTIVITIES AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent activities 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 an 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 “Risk Factors — Holders of securities issued by JPMorgan Financial may be subject to losses if JPMorgan Chase
& Co. were to enter into a resolution” in the accompanying prospectus supplement.
PS-10 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
• THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of the Index, which may be significant. You will not participate in any appreciation of the Index.
• 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 three years. There is no
guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return 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.
• THE NOTES DO NOT PAY INTEREST.
• YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY
RIGHTS WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES.
• JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE —
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the merits of investing in the notes, the Index and the components of the Index.
• LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
• THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
You should consider your potential investment in the notes based on the minimums for the estimated value of the notes and the
Call Premium Amounts.
Risks Relating to Conflicts of Interest
• POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase &
Co.’s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading
activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product
supplement.
An affiliate of ours currently has an approximately 10% equity interest in the Index Sponsor, and an employee of JPMS, another of
our affiliates, is a member of the board of directors of the Index Sponsor. The Index Sponsor can implement policies, make
judgments or enact changes to the Index methodology that could negatively affect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the value of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates and our respective employees are under no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the role of
an employee of JPMS as a member of the board of directors of the Index Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimately controls JPMS. The policies and judgments for which JPMS was
responsible could have an impact, positive or negative, on the level of the Index and the value of your notes. JPMS is under no
obligation to consider your interests as an investor in the notes in its role in developing the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
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
PS-11 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
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, the estimated cost of hedging our
obligations under the notes and the fees, if any, paid for third-party data analytics and/or electronic platform services. See “The
Estimated Value of the Notes” in this pricing supplement.
• THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
See “The Estimated Value of the Notes” in this pricing supplement.
• THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may
be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income
instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
• THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by
JPMS (and which may be shown on your customer account statements).
• SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other
things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and,
also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, estimated hedging
costs and fees, if any, paid for third-party data analytics and/or electronic platform services 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. Furthermore, if you sell your notes, you will likely be charged
a commission for secondary market transactions, or the price will likely reflect a dealer discount and/or fees for use of an electronic
platform to facilitate secondary market activity. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
• SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which
may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for
the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be
impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Index
• THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS
NO OBLIGATION TO CONSIDER YOUR INTERESTS —
The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute the components of
the Index or make other methodological changes that could affect the level of the Index. The Index Sponsor has no obligation to
consider your interests in calculating or revising the Index.
PS-12 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
• THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET —
No assurance can be given that the investment strategy on which the Index is based will be successful or that the Index will
outperform any alternative strategy that might be employed with respect to the Underlying Asset.
• THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY —
No assurance can be given that the Index will maintain an annualized realized volatility that approximates its target volatility of
35%. The Index’s target volatility is a level of implied volatility and therefore the actual realized volatility of the Index may be
greater or less than the target volatility. On each weekly Index rebalance day, the Index’s exposure to the Underlying Asset is set
equal to (a) the 35% implied volatility target divided by (b) the one-week implied volatility of the QQQ Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatility of the Underlying
Asset. However, there is no guarantee that the methodology used by the Index to determine the implied volatility of the QQQ Fund
will be representative of the realized volatility of the QQQ Fund. The volatility of the Underlying Asset on any day may change
quickly and unexpectedly and realized volatility may differ significantly from implied volatility. In general, over time, the realized
volatility of the QQQ Fund has tended to be lower than its implied volatility; however, at any time that realized volatility may exceed
its implied volatility, particularly during periods of market volatility. Accordingly, the actual annualized realized volatility of the Index
may be greater than or less than the target volatility, which may adversely affect the level of the Index and the value of the notes.
• THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE —
On a weekly Index rebalance day, the Index will employ leverage to increase the exposure of the Index to the Underlying Asset if
the implied volatility of the QQQ Fund is below 35%, subject to a maximum exposure of 500%. Under normal market conditions in
the past, the QQQ Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leverage in the past, except during periods of elevated volatility. When leverage is employed, any movements in the prices of the
Underlying Asset will result in greater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage will magnify any negative performance of the Underlying Asset, which, in turn, would negatively affect the performance of
the Index. Because the Index’s leverage is adjusted only on a weekly basis, in situations where a significant increase in volatility is
accompanied by a significant decline in the price of the Underlying Asset, the level of the Index may decline significantly before the
following Index rebalance day when the Index’s exposure to the Underlying Asset would be reduced. In addition, the notional
financing cost deducted daily will be magnified by any leverage provided by the Index.
• THE INDEX MAY BE ADVERSELY AFFECTED BY A “VOLATILITY DRAG” EFFECT —
If the Index is not consistently successful in increasing exposure to the Underlying Asset in advance of increases in the value of the
Underlying Asset and reducing exposure to the Underlying Asset in advance of declines in the value of the Underlying Asset, then
the Index is also expected to be subject to a “volatility drag” effect, which will exacerbate the decline that results from having highly
leveraged exposure to the declines in the value of the Underlying Asset. The decay effect would result from the fact that the Index
resets the leveraged exposure to the Underlying Asset on a weekly basis and would manifest any time the value of the Underlying
Asset moves in one direction prior to a reset and another direction following the reset. The decay effect would result because
resetting leverage after an increase but in advance of a decline would cause the Index to have increased exposure to that decline,
and resetting leverage following a decline but in advance of an increase would cause the Index to have decreased exposure to that
increase. The more this fact pattern repeats, the lower the performance of the Index would be relative to the performance of the
Underlying Asset. As a consequence of this effect, if the value of the Underlying Asset falls but later returns to its original value,
the Index may not fully recover from the loss at the same time. Under these circumstances, the Underlying Asset may need to
appreciate, perhaps significantly, above its original value in order for the Index to fully recover from the loss.
• THE INDEX MAY BE SIGNIFICANTLY UNINVESTED —
On a weekly Index rebalance day, the Index’s exposure to the Underlying Asset will be less than 100% when the implied volatility
of the QQQ Fund is above 35%. If the Index’s exposure to the Underlying Asset is less than 100%, the Index will not be fully
invested, and any uninvested portion will earn no return. The Index may be significantly uninvested on any given day, and will
realize only a portion of any gains due to appreciation of the Underlying Asset on any such day. The 6.0% per annum deduction is
deducted daily, even when the Index is not fully invested.
• AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES —
Some of the equity securities held by the QQQ Fund are 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 of the issuers of those non-U.S. equity
securities. The prices of securities issued by non-U.S. companies may be affected by political, economic, financial and social
PS-13 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
factors in the home countries of those issuers, or global regions, including changes in government, economic and fiscal policies
and currency exchange laws.
• THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND —
The QQQ Fund is subject to management risk, which is the risk that the investment strategies of the QQQ 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 QQQ Fund and, consequently, the value of the notes.
• THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE QQQ FUND’S UNDERLYING INDEX AS WELL AS
THE NET ASSET VALUE PER SHARE —
The QQQ Fund does not fully replicate its underlying index and may hold securities different from those included in its underlying
index. In addition, the performance of the QQQ 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 QQQ Fund
and its underlying index. In addition, corporate actions with respect to the equity securities underlying the QQQ Fund (such as
mergers and spin-offs) may impact the variance between the performances of the QQQ Fund and its underlying index. Finally,
because the shares of the QQQ Fund are traded on a securities exchange and are subject to market supply and investor demand,
the market value of one share of the QQQ Fund may differ from the net asset value per share of the QQQ Fund.
During periods of market volatility, securities underlying the QQQ Fund may be unavailable in the secondary market, market
participants may be unable to calculate accurately the net asset value per share of the QQQ Fund and the liquidity of the QQQ
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 QQQ Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market
participants are willing to buy and sell shares of the QQQ Fund. As a result, under these circumstances, the market value of
shares of the QQQ Fund may vary substantially from the net asset value per share of the QQQ Fund. For all of the foregoing
reasons, the performance of the QQQ Fund may not correlate with the performance of its underlying index as well as the net asset
value per share of the QQQ Fund, which could materially and adversely affect the value of the notes in the secondary market
and/or reduce any payment on the notes.
• HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS, AND THE HISTORICAL AND HYPOTHETICAL BACK-TESTED
PERFORMANCE OF THE INDEX ARE NOT INDICATIONS OF ITS FUTURE PERFORMANCE —
The hypothetical back-tested performance of the Index set forth under “Hypothetical Back-Tested Data and Historical Information”
in this pricing supplement is purely theoretical and does not represent the actual historical performance of the Index and has not
been verified by an independent third party. Hypothetical back-tested performance measures have inherent limitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed with the benefit of hindsight. Alternative modelling techniques might produce significantly different results and may prove
to be more appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results.
This type of information has inherent limitations, and you should carefully consider these limitations before placing reliance on such
information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No
assurance can be provided that the QQQ Fund is an appropriate substitute for the Futures Contracts. This replacement may
adversely affect the performance of the Index and the value of the notes, as the QQQ Fund, subject to a notional financing cost,
may perform worse, perhaps significantly worse, than the Futures Contracts. The Index lacks any operating history with the QQQ
Fund as the Underlying Asset prior to the Amendment Effective Date and may perform in unanticipated ways. Investors in the
notes should bear this difference in mind when evaluating the historical and hypothetical back-tested performance shown in this
pricing supplement.
• OTHER KEY RISK:
o THE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS.
Please refer to the “Risk Factors” section of the accompanying underlying supplement for more details regarding the above-listed
and other risks.
PS-14 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January 8, 2021 through June 18, 2021, and the historical performance of the Index based on the
weekly historical closing levels of the Index from June 25, 2021 through July 2, 2026. The Index was established on June 22, 2021, as
represented by the vertical line in the following graph. All data to the left of that vertical line reflect hypothetical back-tested
performance of the Index. All data to the right of that vertical line reflect actual historical performance of the Index. The closing level of
the Index on July 6, 2026 was 14,444.84. We obtained the closing levels above and below from the Bloomberg Professional® service
(“Bloomberg”), without independent verification.
The data for the hypothetical back-tested performance of the Index set forth in the following graph are purely theoretical and do not
represent the actual historical performance of the Index. See “Selected Risk Considerations — Risks Relating to the Index —
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations,
and the Historical and Hypothetical Back-Tested Performance of the Index Are Not Indications of Its Future Performance” above.
The hypothetical back-tested and historical closing levels of the Index should not be taken as an indication of future performance, and
no assurance can be given as to the closing level of the Index on the Pricing Date or any Review Date. There can be no assurance
that the performance of the Index will result in a payment at maturity in excess of your principal amount, subject to the credit risks of
JPMorgan Financial and JPMorgan Chase & Co.
The hypothetical back-tested closing levels of the Index have inherent limitations and have not been verified by an independent third
party. These hypothetical back-tested closing levels are determined by means of a retroactive application of a back-tested model
designed with the benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guarantee of future returns. No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling
techniques or assumptions would produce different hypothetical back-tested closing levels of the Index that might prove to be more
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
Tax Treatment
There is uncertainty regarding the U.S. federal income tax consequences of an investment in the notes due to the lack of governing
authority. You should review carefully the section entitled “United States Federal Taxation,” and in particular the subsection thereof
entitled “— Tax Consequences to U.S. Holders — Program Securities Treated as Debt Instruments — Program Securities Treated as
Contingent Payment Debt Instruments,” in the accompanying prospectus supplement. Based on current market conditions, we intend
to treat the notes for U.S. federal income tax purposes as “contingent payment debt instruments.” Assuming this treatment is
respected, as discussed in that subsection, unlike a traditional debt instrument that provides for periodic payments of interest at a single
fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt of stated interest, you generally
will be required to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable yield,” as determined by
us, although we will not make any payment with respect to the notes except upon an automatic call or at maturity. Upon sale or
exchange (including an automatic call or at maturity), you will recognize taxable income or loss equal to the difference between the
amount received from the sale or exchange and your adjusted basis in the note, which generally will equal the cost thereof, increased
PS-15 | Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index
by the amount of OID you have accrued in respect of the note. You generally must treat any income as interest income and any loss as
ordinary loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject
to limitations. Special rules may apply if any payment in excess of the principal amount of your note is treated as becoming fixed prior
to maturity. You should consult your tax adviser concerning the application of these rules. The discussions herein and in the
accompanying prospectus supplement do not address the consequences to taxpayers subject to special tax accounting rules under
Section 451(b) of the Code. Purchasers who are not initial purchasers of notes at their issue price should consult their tax advisers with
respect to the tax consequences of an investment in notes, including the treatment of the difference, if any, between the basis in their
notes and the notes’ adjusted issue price.
Because our intended treatment of the notes as CPDIs is based on current market conditions, we may determine an alternative
treatment is more appropriate based on circumstances at the time of pricing. Our ultimate determination will be binding on you, unless
you properly disclose to the IRS an alternative treatment. Also, the IRS may challenge the treatment of the notes as CPDIs. If we
determine not to treat the notes as CPDIs, or if the IRS successfully challenges the treatment of the notes as CPDIs, then the notes will
be treated as debt instruments that are not CPDIs and, unless treated as issued with less than a specified de minimis amount of original
issue discount, could (depending on the facts at the time of pricing) require the accrual of original issue discount as ordinary interest
income based on a yield to maturity different from (and possibly higher than) the comparable yield. Accordingly, under this treatment,
your annual taxable income from (and adjusted tax basis in) the notes could be higher or lower than if the notes were treated as CPDIs,
and any loss recognized upon a disposition of the notes (including upon maturity) would be capital loss, the deductibility of which is
subject to limitations. Accordingly, this alternative treatment could result in adverse tax consequences to you.
Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, we expect that Section 871(m) will
not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with
this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you
enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential application
of Section 871(m) will be provided in the pricing supplement for the notes. You should consult your tax adviser regarding the potential
application of Section 871(m) to the notes.
The discussions in the preceding paragraphs, when read in combination with the section entitled “United States Federal Taxation” (and
in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Program Securities Treated as Debt Instruments
— Program Securities Treated as Contingent Payment Debt Instruments”) in the accompanying prospectus supplement, to the extent
they reflect statements of law, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax
consequences of owning and disposing of the notes.
Comparable Yield and Projected Payment Schedule
We will determine the comparable yield for the notes and will provide that comparable yield and the related projected payment schedule
(or information about how to obtain them) in the pricing supplement for the notes, which we will file with the SEC. Although it is not
entirely clear how the comparable yield and projected payment schedule should be determined when a debt instrument may be
redeemed by the issuer prior to maturity, we will determine the comparable yield based upon the term to maturity of the notes assuming
no early redemption occurs and a variety of other factors, including actual market conditions and our borrowing costs for debt
instruments of comparable maturities at the time of issuance. The comparable yield and projected payment schedule are
determined solely to calculate the amount on which you will be taxed with respect to the notes in each year and are neither a
prediction nor a guarantee of what the actual yield or timing of the payment or payments will be.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the
notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at
any time. The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied
funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference
may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance,
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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, the estimated cost of hedging our obligations under the notes and the fees, if any,
paid for third-party data analytics and/or electronic platform services. Because hedging our obligations entails risk and may be
influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in
a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or
unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower
Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices of the notes, see “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many
economic and market factors” in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs, our internal secondary market funding rates for
structured debt issuances and the fees paid for third-party data analytics and/or electronic platform services. 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 MerQube US Tech+ Vol Advantage Index” in this pricing supplement for a description of the market
exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
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in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes, plus the fees, if any, paid
for third-party data analytics and/or electronic platform services.
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, and the more detailed information
contained in the accompanying product supplement and the accompanying underlying supplement. This pricing supplement, together
with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as
well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for
implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among
other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying
product supplement and the accompanying underlying supplement, 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):
• Product supplement no. 3-I dated April 17, 2026:
• Underlying supplement no. 5-I dated April 17, 2026:
• Prospectus supplement and prospectus, each dated April 17, 2026:
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.