# EDGAR Filing Document

**Accession Number:** 0001665650
**File Stem:** 0001213900-26-064082
**Filing Date:** 2026-6
**Character Count:** 62212
**Document Hash:** e4246bfeb4cd9353e238175c0f67837f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001213900-26-064082.hdr.sgml**: 20260602

**ACCESSION NUMBER**: 0001213900-26-064082

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 3

**FILED AS OF DATE**: 20260602

**DATE AS OF CHANGE**: 20260602

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN CHASE & CO
- **CENTRAL INDEX KEY:** 0000019617
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **ORGANIZATION NAME:** 02 Finance
- **EIN:** 132624428
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-293684
- **FILM NUMBER:** 261055081

**BUSINESS ADDRESS:**
- **STREET 1:** 270 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** 2122706000

**MAIL ADDRESS:**
- **STREET 1:** 270 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** J P MORGAN CHASE & CO
- **DATE OF NAME CHANGE:** 20010102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CHASE MANHATTAN CORP /DE/
- **DATE OF NAME CHANGE:** 19960402

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CHEMICAL BANKING CORP
- **DATE OF NAME CHANGE:** 19920703
**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMorgan Chase Financial Co. LLC
- **CENTRAL INDEX KEY:** 0001665650
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **ORGANIZATION NAME:** 02 Finance
- **EIN:** 475462128
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-293684-01
- **FILM NUMBER:** 261055082

**BUSINESS ADDRESS:**
- **STREET 1:** 383 MADISON AVENUE
- **STREET 2:** FLOOR 21
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10179
- **BUSINESS PHONE:** (212) 270-6000

**MAIL ADDRESS:**
- **STREET 1:** 383 MADISON AVENUE
- **STREET 2:** FLOOR 21
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10179

**The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.**

**Subject to completion dated June 2, 2026**

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| | |
|:---|:---|
| **Pricing supplement**<br> *To prospectus dated April 17, 2026,* <br> *prospectus supplement dated April 17, 2026 and*<br> *product supplement no. 1-I dated April 17, 2026*<br> **JPMorgan Chase Financial Company LLC** | **Registration Statement Nos. 333-293684 and 333-293684-01<br> Dated June , 2026**<br> **Rule 424(b)(2)** |

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| | |
|:---|:---|
| Structured<br> Investments | &nbsp;&nbsp;&nbsp;**$**<br> **Callable Range Accrual Notes due June 5, 2031**<br> **Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.** |

---

**General**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· 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.** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The
 notes are designed for investors (a) who seek (i) periodic interest payments that for each
 Interest Period are at a variable Interest Rate based on an Interest Factor of 7.00% per
 annum for each calendar day that the Reference Rate is less than or equal to at least 5.25%,
 which we refer to as the Reference Rate Barrier and (ii) the return of their principal amount
 at maturity and (b) who are also willing to accept the risk that the notes will be called
 prior to the Maturity Date. **You will not benefit from any increase in the Reference Rate over the term of the notes.** If, on any calendar day, the Reference Rate is greater than
 the Reference Rate Barrier, no interest will accrue for that calendar day. The maximum Interest
 Rate for any Interest Period is limited to the Interest Factor, which is payable only if
 the Reference Rate is less than or equal to the Reference Rate Barrier on each calendar day
 during that Interest Period **. The actual Interest Rate for an Interest Period may be zero and your return for any such Interest Period over the term of the notes could be significantly less than the Interest Factor for that period.** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· At
 our option, we may redeem the notes, in whole but not in part, on any of the Redemption Dates
 specified below.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Minimum
 denominations of $10,000 and integral multiples of $1,000 in excess thereof.

**Key Terms**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Issuer: | JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Guarantor: | JPMorgan Chase & Co. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reference Rate: | &nbsp;&nbsp;10-Year Constant Maturity Treasury Rate determined as follows:<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· for any calendar day during an Interest Period from, and including, the first calendar day of that Interest Period to, and including, the sixth business day prior to the Interest Payment Date relating to that Interest Period, the rate that appears on the Bloomberg Screen H15T10Y Page at approximately 5:00 p.m., New York City time, on that day, as determined by the calculation agent, *provided* that if such rate does not so appear, then as determined in accordance with the relevant provisions as set forth under "The Underlyings — Base Rates — Constant Maturity Treasury Rate" in the accompanying product supplement; *provided* further that if that calendar day is not a U.S. Government Securities Business Day, the Reference Rate for that calendar day will be the Reference Rate determined with respect to the immediately preceding U.S. Government Securities Business Day; and<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· for any calendar day during an Interest Period beginning on and including the fifth business day prior to the Interest Payment Date relating to that Interest Period, the Reference Rate determined with respect to the first U.S. Government Securities Business Day preceding the fifth business day prior to that Interest Payment Date |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Payment at Maturity: | On the Maturity Date, we will pay you the principal amount of your notes *plus* any accrued and unpaid interest, *provided* that your notes are outstanding and have not previously been called on any Redemption Date. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Call Feature: | On the 5<sup>th</sup> calendar day of March, June, September and December of each year, beginning on June 5, 2027 and ending on March 5, 2031 (each, a "Redemption Date"), we may redeem your notes, in whole but not in part, at a price equal to the principal amount being redeemed *plus* any accrued and unpaid interest, subject to the Business Day Convention and the Interest Accrual Convention described below and in the accompanying product supplement. If we intend to redeem your notes, we will deliver notice to The Depository Trust Company on any business day after the Original Issue Date that is at least 5 business days before the applicable Redemption Date. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest: | We will pay you interest in arrears on each Interest Payment Date based on the applicable Interest Rate and the applicable Day Count Fraction, subject to the Interest Accrual Convention described below and in the accompanying product supplement. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest Periods: | The period beginning on and including the Original Issue Date and ending on but excluding the first Interest Payment Date, and each successive period beginning on and including an Interest Payment Date and ending on but excluding the next succeeding Interest Payment Date, subject to any earlier redemption and the Interest Accrual Convention described below and in the accompanying product supplement |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest Payment Dates: | Interest on the notes will be payable in arrears on the 5<sup>th</sup> calendar day of March, June, September and December of each year, beginning on September 5, 2026 to and including the Maturity Date (each, an "Interest Payment Date"), subject to any earlier redemption and the Business Day Convention and the Interest Accrual Convention described below and in the accompanying product supplement. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest Factor: | 7.00% per annum |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reference Rate Barrier: | At least 5.25%. The actual Reference Rate Barrier will be finalized on the Trade Date and provided in the pricing supplement. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pricing Date: | On or about June 2, 2026, subject to the Business Day Convention |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Original Issue Date: | On or about June 5, 2026, subject to the Business Day Convention (Settlement Date) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Maturity Date: | June 5, 2031, subject to the Business Day Convention |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other Key Terms: | See "Additional Key Terms" in this pricing supplement. |

---

**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-11 of the accompanying product supplement and "Selected Risk Considerations" beginning on page PS-3 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, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.

---

| | | | |
|:---|:---|:---|:---|
|  | **Price to Public (1)** | **Fees and Commissions (2)** | **Proceeds to Issuer** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Per note** | $1000 | $| $|
| &nbsp;&nbsp;&nbsp;&nbsp;**Total** | $| $| $|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the notes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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 $15.00 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 $973.30 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 $960.00 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.*

![](image_001.jpg)

**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. **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, 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):

&nbsp;&nbsp;&nbsp;&nbsp;· Product
 supplement no. 1-I dated April 17, 2026:

[http://www.sec.gov/Archives/edgar/data/19617/000121390026045203/ea0285802-07_424b2.pdf](http://www.sec.gov/Archives/edgar/data/19617/000121390026045203/ea0285802-07_424b2.pdf)

&nbsp;&nbsp;&nbsp;&nbsp;· Prospectus
 supplement and prospectus, each dated April 17, 2026:

[http://www.sec.gov/Archives/edgar/data/19617/000095010326005889/crt_dp245141-424b2.pdf](https://www.sec.gov/Archives/edgar/data/19617/000095010326005889/crt_dp245141-424b2.pdf)

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.

**Additional Key Terms**

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| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest Rate: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Notwithstanding anything to the contrary in the accompanying product supplement, with respect to each Interest Period, a variable rate per annum equal to:<br> (x) Interest Factor *times* (y) N/ACT<br> Where:<br> "N" = the total number of calendar days in the applicable Interest Period on which the Reference Rate is less than or equal to the Reference Rate Barrier ("accrual days"); and<br> "ACT" = the total number of calendar days in the applicable Interest Period.<br> ***With respect to each Interest Period, if, on any calendar day, the Reference Rate is greater than the Reference Rate Barrier, interest will accrue at a rate of 0.00% per annum for that calendar day*.** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Government Securities Business Day: | &nbsp;&nbsp;Any day except for a Saturday, a Sunday or a day on which the Securities Industry and Financial Markets Association recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Business Day Convention: | &nbsp;&nbsp;Following |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest Accrual Convention: | &nbsp;&nbsp;Unadjusted |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Day Count Convention: | &nbsp;&nbsp;30/360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CUSIP: | &nbsp;&nbsp;46660NCH4 |

---

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| | |
|:---|:---|
| &nbsp;&nbsp;**Callable Range Accrual Notes** | &nbsp;&nbsp;PS-2 |

---

**Selected Purchase Considerations**

&nbsp;&nbsp;&nbsp;&nbsp;· **PRESERVATION OF CAPITAL AT MATURITY OR UPON REDEMPTION** — Regardless of the performance of the
 Reference Rate, we will pay you at least the principal amount of your notes if you hold the
 notes to maturity or to the Redemption Date, if any, on which we elect to call the notes. **Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.'s ability to pay its obligations as they become due.** 

&nbsp;&nbsp;&nbsp;&nbsp;· **PERIODIC INTEREST PAYMENTS** — The notes offer periodic interest payments on each Interest
 Payment Date, subject to any earlier redemption. With respect to each Interest Period, your
 notes will pay a variable Interest Rate based on an Interest Factor of 7.00% per annum for
 each calendar day that the Reference Rate is less than or equal to the Reference Rate Barrier
 of at least 5.25% (to be provided in the pricing supplement). The maximum Interest Rate for
 any Interest Period is limited to the Interest Factor, which is payable only if the Reference
 Rate is less than or equal to the Reference Rate Barrier on each calendar day during that
 Interest Period. The yield on the notes may be less than the overall return you would receive
 from a conventional debt security that you could purchase today with the same maturity as
 the notes.

&nbsp;&nbsp;&nbsp;&nbsp;· **POTENTIAL PERIODIC REDEMPTION BY US AT OUR OPTION —** At our option, we may redeem the notes,
 in whole but not in part, on any of the Redemption Dates set forth on the cover of this pricing
 supplement, at a price equal to the principal amount being redeemed *plus* any accrued
 and unpaid interest, subject to the Business Day Convention and the Interest Accrual Convention
 described in this pricing supplement and in the accompanying product supplement. Any
 accrued and unpaid interest on the notes redeemed will be paid to the person who is the holder
 of record of these notes at the close of business on the business day immediately preceding
 the applicable Redemption Date. Even in cases where the notes are called before maturity,
 noteholders are not entitled to any fees or commissions described on the front cover of this
 pricing supplement.

&nbsp;&nbsp;&nbsp;&nbsp;· **RETURN DEPENDENT ON THE 10-YEAR CONSTANT MATURITY TREASURY RATE** — The Reference Rate refers to the yield on actively traded
 U.S. Treasury nominal/non-inflation-indexed securities adjusted to constant maturity of 10
 years. The Reference Rate is one of the market accepted indicators of longer-term interest
 rates. For more information about the Reference Rate, see "The Underlyings —
 Base Rates — Constant Maturity Treasury Rate" in the accompanying product supplement.
 The return on the notes is dependent on the Reference Rate as described under "Key
 Terms" in this pricing supplement.

&nbsp;&nbsp;&nbsp;&nbsp;· **TAX TREATMENT** — You should review carefully the section entitled "Material U.S.
 Federal Income Tax Consequences" in this pricing supplement and the section entitled
 "United States Federal Taxation" in the accompanying prospectus supplement and
 consult your tax adviser regarding the U.S. federal income tax consequences of an investment
 in the notes.

**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.

**Risks Relating to the Notes Generally**

&nbsp;&nbsp;&nbsp;&nbsp;· **WE MAY CALL YOUR NOTES PRIOR TO THEIR SCHEDULED MATURITY DATE** — We may choose to call
 the notes early or choose not to call the notes early on any Redemption Date in our sole
 discretion. If the notes are called early, you will receive the principal amount of your
 notes *plus* any accrued and unpaid interest to, but excluding, the applicable Redemption
 Date. The aggregate amount that you will receive through and including the applicable Redemption
 Date will be less than the aggregate amount that you would have received had the notes not
 been called early. If we call the notes early, your overall return may be less than the yield
 that the notes would have earned if you held your notes to maturity and you may not be able
 to reinvest your funds at the same rate as the original notes. We may choose to call the
 notes early, for example, if the expected interest payable on the notes is greater than the
 interest that would be payable on other instruments issued by JPMorgan Financial of comparable
 maturity, terms and credit rating trading in the market.

&nbsp;&nbsp;&nbsp;&nbsp;· **THE NOTES ARE NOT ORDINARY DEBT SECURITIES BECAUSE THE INTEREST RATE ON THE NOTES IS NOT FIXED BUT IS VARIABLE** — With respect to each Interest Period, the rate of interest paid
 by JPMorgan Financial on the notes is not fixed, but will vary depending on the daily fluctuations
 in the Reference Rate. Consequently, the return on the notes may be less than those otherwise
 payable on debt issued by us with similar maturities. Although the variable Interest Rate
 on the notes is determined by reference to the Reference Rate, the Interest Rate on the notes
 does not track the Reference Rate. You should consider, among other things, the overall annual
 percentage rate of interest to maturity as compared to other equivalent investment alternatives.

&nbsp;&nbsp;&nbsp;&nbsp;· **THE INTEREST RATE ON THE NOTES IS LIMITED BY THE INTEREST FACTOR** — Interest during
 any Interest Period will accrue at a rate per annum equal to the *product* of (1) the
 Interest Factor and (2) the accrual days *divided* by the number of calendar days in
 that Interest Period. The Interest Factor is 7.00% per annum. As a result, the Interest Rate
 for any Interest Period, will not exceed the Interest Factor, regardless of any decline of
 the Reference Rate, which may be significant.

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Callable Range Accrual Notes** | &nbsp;&nbsp;PS-3 |

---

&nbsp;&nbsp;&nbsp;&nbsp;· **THE INTEREST RATE ON THE NOTES DURING ANY OR ALL OF THE INTEREST PERIODS MAY BE ZERO** —
 Although the Interest Factor is 7.00% per annum, for every calendar day during any Interest
 Period where the Reference Rate is greater than the Reference Rate Barrier, no interest will
 accrue for that calendar day, and the Interest Rate for that Interest Period will be reduced.
 We cannot predict the factors that may cause the Reference Rate to be greater than the Reference
 Rate Barrier. If the Reference Rate is greater than the Reference Rate Barrier on each calendar
 day during any Interest Period, the Interest Rate for that Interest Period would be zero.
 In that event, you will not be compensated for any loss in value due to inflation and other
 factors relating to the value of money over time during that Interest Period.

&nbsp;&nbsp;&nbsp;&nbsp;· **YOUR RETURN ON THE NOTES IS LINKED TO THE REFERENCE RATE, WHICH MAY INCREASE SIGNIFICANTLY DURING THE TERM OF THE NOTES** — You will not benefit from any increase in the Reference
 Rate over the term of the notes. The Reference Rate may increase significantly during the
 term of the notes, as a result of the factors described under "— Risks Relating
 to the Reference Rate — The Reference Rate Will Be Affected by a Number of Factors
 and May Be Volatile" below. You should not invest in the notes if you do not understand
 the Reference Rate or longer-term interest rates in the United States.

&nbsp;&nbsp;&nbsp;&nbsp;· **CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.** — The notes
 are subject to our and JPMorgan Chase & Co.'s credit risks, and our and
 JPMorgan Chase & Co.'s credit ratings and credit spreads may adversely
 affect the market value of the notes. 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.

&nbsp;&nbsp;&nbsp;&nbsp;· **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 .

&nbsp;&nbsp;&nbsp;&nbsp;· **FOR PURPOSES OF DETERMINING THE REFERENCE RATE FOR ANY CALENDAR DAY DURING AN INTEREST PERIOD, THE REFERENCE RATE FOR ANY CALENDAR DAY BEGINNING ON AND INCLUDING THE FIFTH BUSINESS DAY PRIOR TO THE INTEREST PAYMENT DATE RELATING TO THAT INTEREST PERIOD WILL BE THE REFERENCE RATE DETERMINED WITH RESPECT TO THE FIRST U.S. GOVERNMENT SECURITIES BUSINESS DAY PRECEDING THE FIFTH BUSINESS DAY PRIOR TO THAT INTEREST PAYMENT DATE** — Because the Reference
 Rate for any calendar day during an Interest Period beginning on and including the fifth
 business day prior to the Interest Payment Date relating to that Interest Period will be
 the Reference Rate determined with respect to the first U.S. Government Securities Business
 Day preceding the fifth business day prior to that Interest Payment Date, if with respect
 to the first U.S. Government Securities Business Day preceding the fifth business day prior
 to that Interest Payment Date, the Reference Rate is greater than the Reference Rate Barrier,
 no interest will accrue in respect of any calendar days on or after that fifth business day
 to but excluding that Interest Payment Date even if any of those calendar days would have
 been an accrual day were the Reference Rate based on the actual Reference Rate with respect
 to that calendar day.

&nbsp;&nbsp;&nbsp;&nbsp;· **FLOATING RATE NOTES DIFFER FROM FIXED RATE NOTES** — The Interest Rate during an Interest
 Period will be variable and determined based on the number of calendar days during that Interest
 Period on which the Reference Rate is less than or equal to the Reference Rate Barrier, which
 may result in a return less than returns otherwise payable on notes issued by us with similar
 maturities. You should consider, among other things, the overall potential annual percentage
 rate of interest to maturity of the Notes as compared to other investment alternatives.

&nbsp;&nbsp;&nbsp;&nbsp;· **THE REPAYMENT OF PRINCIPAL APPLIES ONLY IF YOU HOLD THE NOTES TO MATURITY** — You should
 be willing to hold your notes to maturity. If you are able to sell your notes in the secondary
 market, if any, prior to maturity, you may have to sell them at a loss relative to your initial
 investment. If you hold the notes to maturity, JPMorgan Financial will repay your principal
 amount. The repayment of principal applies only if you hold your notes to maturity.

&nbsp;&nbsp;&nbsp;&nbsp;· **REINVESTMENT RISK** — If we redeem the notes, the term of the notes may be reduced and you will
 not receive interest payments after the applicable Redemption 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 in the event the
 notes are redeemed prior to the Maturity Date.

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Callable Range Accrual Notes** | &nbsp;&nbsp;PS-4 |

---

&nbsp;&nbsp;&nbsp;&nbsp;· **LACK OF LIQUIDITY** — The notes will not be listed on any securities exchange. JPMS intends
 to offer to purchase the notes in the secondary market but is not required to do so. Even
 if there is a secondary market, it may not provide enough liquidity to allow you to trade
 or sell the notes easily. Because other dealers are not likely to make a secondary
 market for the notes, 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.

&nbsp;&nbsp;&nbsp;&nbsp;· **THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT** —
 The final terms of the notes will be based on relevant market conditions when the terms of
 the notes are set and will be provided in the pricing supplement. In particular, each of
 the estimated value of the notes and the Reference Rate Barrier will be provided in the pricing
 supplement and each may be as low as the applicable minimum set forth on the cover of this
 pricing supplement. Accordingly, you should consider your potential investment in the notes
 based on the minimums for the estimated value of the notes and the Reference Rate Barrier.

**Risks Relating to Conflicts of Interest**

&nbsp;&nbsp;&nbsp;&nbsp;· **POTENTIAL CONFLICTS** — We and our affiliates play a variety of roles in connection with the
 issuance of the notes, including acting as calculation agent and as an agent of the offering
 of the notes, hedging our obligations under the notes and making the assumptions used to
 determine the pricing of the notes and the estimated value of the notes when the terms of
 the notes are set, which we refer to as the estimated value of the notes. For example, if
 on any calendar day, the Reference Rate cannot be determined by reference to the applicable
 Bloomberg page at approximately 5:00 p.m., New York City time, then the Reference Rate will
 be the 10-Year Constant Maturity Treasury Rate published by the Board of Governors of the
 Federal Reserve System (the "Federal Reserve") on its website on that day, *provided* that, if no such rate is published by the Federal Reserve on that day at approximately
 5:00 p.m., New York City time, then the Reference Rate will be the yield read directly from
 the daily par yield curve published by the United States Department of the Treasury on that
 day that the calculation agent determines to be comparable to the 10-Year Constant Maturity
 Treasury Rate formerly displayed on the applicable Bloomberg page. If neither of the foregoing
 is available by approximately 5:00 p.m., New York City time, on that day, then the calculation
 agent, after consulting such sources as it deems comparable to the applicable Bloomberg page,
 or any such source it deems reasonable, will determine the Reference Rate for that day in
 its sole discretion. In performing these duties, our and JPMorgan Chase & Co.'s
 economic interests and the economic interests of the calculation agent and other affiliates
 of ours are potentially adverse to your interests as an investor in the notes. In addition,
 our and JPMorgan Chase & Co.'s business activities, including hedging
 and trading activities for our and JPMorgan Chase & Co.'s own accounts
 or on behalf of customers, could cause our and JPMorgan Chase & Co.'s
 economic interests to be adverse to yours and could adversely affect any payment on the notes
 and the value of 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
 for additional information about these risks.

**Risks Relating to the Estimated Value and Secondary Market Prices of the Notes**

&nbsp;&nbsp;&nbsp;&nbsp;· **THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES** — The estimated value of the notes is only an estimate determined
 by reference to several factors. The original issue price of the notes will exceed the estimated
 value of the notes because costs associated with selling, structuring and hedging the notes
 are included in the original issue price of the notes. These costs include the selling commissions,
 the projected profits, if any, that our affiliates expect to realize for assuming risks inherent
 in hedging our obligations under the notes, 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.

&nbsp;&nbsp;&nbsp;&nbsp;· **THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS' ESTIMATES** — The estimated value of the notes is determined by
 reference to internal pricing models of our affiliates when the terms of the notes are set.
 This estimated value of the notes is based on market conditions and other relevant factors
 existing at that time and assumptions about market parameters, which can include volatility,
 interest rates and other factors. 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 the notes
 from you in secondary market transactions. See "The Estimated Value of the Notes"
 in this pricing supplement.

&nbsp;&nbsp;&nbsp;&nbsp;· **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

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| | |
|:---|:---|
| &nbsp;&nbsp;**Callable Range Accrual Notes** | &nbsp;&nbsp;PS-5 |

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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.

&nbsp;&nbsp;&nbsp;&nbsp;· **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. 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.
 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).

&nbsp;&nbsp;&nbsp;&nbsp;· **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. See the immediately following risk consideration for
 information about additional factors that will impact any secondary market prices of the
 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. See "— Risks Relating to the Notes Generally — Lack of Liquidity" above.

&nbsp;&nbsp;&nbsp;&nbsp;· **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 Reference Rate, including:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· any
 actual or potential change in our or JPMorgan Chase & Co.'s creditworthiness
 or credit spreads;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· customary
 bid-ask spreads for similarly sized trades;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· our
 internal secondary market funding rates for structured debt issuances;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the
 actual and expected volatility of the Reference Rate;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the
 time to maturity of the notes;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the
 likelihood, or expectation, that the notes will be redeemed by us, based on prevailing market
 interest rates or otherwise;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· interest
 and yield rates in the market generally, as well as the volatility of those rates; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a
 variety of other economic, financial, political, regulatory and judicial events.

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.

**Risks Relating to the Reference Rate**

&nbsp;&nbsp;&nbsp;&nbsp;· **THE REFERENCE RATE WILL BE AFFECTED BY A NUMBER OF FACTORS AND MAY BE VOLATILE** — The
 Reference Rate will depend on a number of factors, including, but not limited to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· supply
 and demand of U.S. Treasury notes with approximately 10 years remaining to maturity;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· sentiment
 regarding underlying strength in the U.S. and global economies;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· inflation
 and expectations concerning inflation;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· sentiment
 regarding credit quality in the U.S. and global credit markets;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· central
 bank policy regarding interest rates;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· performance
 of capital markets; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· any
 statements from public government officials regarding the cessation of the Reference Rate.

These and other factors may have a positive effect on the performance of the Reference Rate and a negative effect on the value of the notes in the secondary market.

&nbsp;&nbsp;&nbsp;&nbsp;· **THE REFERENCE RATE AND THE MANNER IN WHICH IT IS CALCULATED MAY CHANGE IN THE FUTURE** —
 There can be no assurance that the method by which the Reference Rate is calculated will
 continue in its current form. Any changes in the method of calculation could increase the
 Reference Rate.

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| | |
|:---|:---|
| &nbsp;&nbsp;**Callable Range Accrual Notes** | &nbsp;&nbsp;PS-6 |

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&nbsp;&nbsp;&nbsp;&nbsp;· **THE REFERENCE RATE MAY BE DETERMINED OR, IF IT IS DISCONTINUED OR CEASED TO BE PUBLISHED PERMANENTLY OR INDEFINITELY, REPLACED BY A SUCCESSOR OR SUBSTITUTE RATE** **， BY THE CALCULATION AGENT IN ITS SOLE DISCRETION** —
 If no Reference Rate appears on the Bloomberg Screen H15T10Y Page on a relevant day at approximately
 5:00 p.m., New York City time, then the Reference Rate will be the 10-Year Constant Maturity
 Treasury Rate published by the Federal Reserve on its website on that day. However, if no
 such rate is published by the Federal Reserve on that day at approximately 5:00 p.m., New
 York City time, then the Reference Rate will be the yield read directly from the daily par
 yield curve published by the United States Department of the Treasury on that day that the
 calculation agent determines to be comparable to the 10-Year Constant Maturity Treasury Rate
 formerly displayed on the applicable Bloomberg page. If neither of the foregoing is available
 by approximately 5:00 p.m., New York City time, on that day, then the calculation agent,
 after consulting such sources as it deems comparable to the applicable Bloomberg page, or
 any such source it deems reasonable, will determine the Reference Rate for that day in its
 sole discretion. Notwithstanding the foregoing, if the calculation agent determines in its
 sole discretion on or prior to the relevant calendar day that the Reference Rate has been
 discontinued or that rate has ceased to be published permanently or indefinitely, then the
 calculation agent will use as the Reference Rate for that day a substitute or successor rate
 that it has determined in its sole discretion, after consulting an investment bank of national
 standing in the United States (which may be an affiliate of ours) or any other source it
 deems reasonable, to be a commercially reasonable replacement rate. If the calculation agent
 has determined a substitute or successor rate in accordance with the foregoing, the calculation
 agent may determine in its sole discretion, after consulting an investment bank of national
 standing in the United States (which may be an affiliate of ours) or any other source it
 deems reasonable, the definitions of business day, U.S. Government Securities Business Day,
 Business Day Convention, Interest Accrual Convention and Day Count Convention and any other
 relevant methodology for calculating that substitute or successor rate, including any adjustment
 factor, spread and/or formula it determines is needed to make that substitute or successor
 rate comparable to the Reference Rate in a manner that is consistent with industry-accepted
 practices for that substitute or successor rate.

If, however, the calculation agent determines, in its sole discretion, that no substitute or successor rate is available on the relevant day, then the calculation agent will, after consulting any source or data it deems reasonable, determine the relevant value for the Reference Rate.

Any of the foregoing determinations or actions by the calculation agent could affect the value of the Reference Rate used on a calendar day during any Interest Period, which could adversely affect the return on and the market value of the notes.

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Callable Range Accrual Notes** | &nbsp;&nbsp;PS-7 |

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**Hypothetical Interest Payments for an Interest Period**

The following table illustrates the hypothetical Interest Rates at which interest would accrue on the notes for a quarterly Interest Period and the corresponding Interest Payments payable on the notes based on the total number of calendar days in that Interest Period on which the Reference Rate is less than or equal to the Reference Rate Barrier. The table assumes that each Interest Period contains 90 calendar days.

The following table reflects the Interest Factor of 7.00% per annum and assumes a hypothetical Reference Rate Barrier of 5.25%. The actual Reference Rate Barrier will be provided in the pricing supplement and will not be less than 5.25%. The actual amount of any Interest Payment you will receive with respect to each quarterly Interest Period over the term of the notes may be more or less than the amounts displayed in the table below.

The example below is for purposes of illustration only and would provide different results if different assumptions were made. The actual Interest Payment with respect to each quarterly Interest Period will depend on the actual number of calendar days in that Interest Period and the actual Reference Rate on each calendar day in that Interest Period. The applicable Interest Rate for each quarterly Interest Period will be determined on a per-annum basis but will apply only to that Interest Period.

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;N | &nbsp;&nbsp;Interest Rate <br> (annualized) | &nbsp;&nbsp;Interest Payment |
| 0 | 0.00000% | $0.0000 |
| 15 | 1.16667% | $2.9167 |
| 30 | 2.33333% | $5.8333 |
| 45 | 3.50000% | $8.7500 |
| 60 | 4.66667% | $11.6667 |
| 75 | 5.83333% | $14.5833 |
| 90 | 7.00000% | $17.5000 |

---

If, on any calendar day during an Interest Period, the Reference Rate is greater than the Reference Rate Barrier, interest will accrue at a rate of 0.00% per annum for that calendar day.

For example, if the Reference Rate is less than or equal to the Reference Rate Barrier on 45 calendar days during an Interest Period, the Interest Rate for that Interest Period will be calculated as follows:

7.00% × (45 / 90) = 3.50%

As a result, the Interest Payment payable on the Interest Payment Date relating to that Interest Period will be calculated as follows:

$1,000 × 3.50% × (90 / 360) = $8.75

The hypothetical payments on the notes shown above apply **only if you hold the notes for their entire term or until earlier redemption**. These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical payments shown above would likely be lower.

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| | |
|:---|:---|
| &nbsp;&nbsp;**Callable Range Accrual Notes** | &nbsp;&nbsp;PS-8 |

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**Historical Information**

The following graph sets forth the historical weekly performance of the Reference Rate from January 8, 2021 through May 29, 2026. The Reference Rate on May 29, 2026 was 4.45%. We obtained the levels of the Reference Rate above and below from Bloomberg Professional<sup>®</sup> service ("Bloomberg"), without independent verification.

The historical levels of the Reference Rate should not be taken as an indication of future performance, and no assurance can be given as to the level of the Reference Rate during the term of the notes. There can be no assurance that the performance of the Reference Rate will result in the payment of any Interest Payments.

![](image_002.jpg)

**Material U.S. Federal Income Tax Consequences**

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 Variable Rate Debt Instruments" and "— Program Securities Treated as Contingent Payment Debt Instruments" in the accompanying prospectus supplement.

It is unclear whether the notes should be treated for U.S. federal income tax purposes as "variable rate debt instruments" that pay a single variable rate, as described in the subsection of the accompanying prospectus supplement entitled "— Tax Consequences to U.S. Holders — Program Securities Treated as Debt Instruments — Program Securities Treated as Variable Rate Debt Instruments" ("Single Rate VRDIs"), or "contingent payment debt instruments," as described in the subsection of the accompanying prospectus supplement entitled "— Tax Consequences to U.S. Holders — Program Securities Treated as Debt Instruments — Program Securities Treated as Contingent Payment Debt Instruments" ("CPDIs"). We will determine how we intend to treat the notes based on market conditions as of the pricing date, and the final pricing supplement will give further information on this issue.

If the notes are treated as Single Rate VRDIs, as described in the accompanying prospectus supplement, interest would be taxable to you as ordinary interest income at the time it is accrued or received, in accordance with your method of tax accounting. Upon a sale, exchange or retirement of Single Rate VRDIs, you generally would recognize capital gain or loss equal to the difference between the amount realized on the sale, exchange or retirement (other than amounts attributable to accrued interest, which would be taxed as described above) and your tax basis in the Single Rate VRDIs that are sold, exchanged or retired. The deductibility of capital losses is subject to limitations. You should consult your tax adviser concerning the application of these rules.

If the notes are treated as CPDIs, as discussed in the accompanying prospectus supplement, 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, subject to certain adjustments to reflect the difference between the actual and "projected" amounts of any payments you receive during the year, with the result that your taxable income in any year may differ significantly from the interest payments, if any, you receive in that year. Upon sale or exchange (including at maturity or an earlier redemption) of a CPDI, you will recognize taxable income or loss equal to the difference between the

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| | |
|:---|:---|
| &nbsp;&nbsp;**Callable Range Accrual Notes** | &nbsp;&nbsp;PS-9 |

---

amount received from the sale or exchange and your adjusted basis in the CPDI, which generally will equal the cost thereof, increased by the amount of OID you have accrued in respect of the note (determined without regard to any of the adjustments described above), and decreased by the amount of any projected payments in respect of the CPDI through the date of the sale or exchange. 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. You should consult your tax adviser concerning the application of these rules. Purchasers who are not initial purchasers of CPDIs at their issue price should consult their tax advisers with respect to the tax consequences of an investment in CPDIs, including the treatment of the difference, if any, between the basis in their CPDIs and the CPDIs' adjusted issue price.

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.

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 "— Program Securities Treated as 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** 

If we treat the notes as CPDIs, 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, 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, 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. See "Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others' Estimates" in this pricing supplement.

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

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Callable Range Accrual Notes** | &nbsp;&nbsp;PS-10 |

---

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. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes. 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 "Selected Risk Considerations — 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 this pricing 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 that 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."

**Supplemental Use of Proceeds**

The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes. See "Hypothetical Interest Payments for an Interest Period" in this pricing supplement for an illustration of the risk-return profile of the notes and "Selected Purchase Considerations — Return Dependent on the 10-Year Constant Maturity Treasury Rate" 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, plus the fees, if any, paid for third-party data analytics and/or electronic platform services.

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| | |
|:---|:---|
| &nbsp;&nbsp;**Callable Range Accrual Notes** | &nbsp;&nbsp;PS-11 |

---