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 August 6,
2024
August , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Capped Dual Directional Buffered Equity Notes Linked
to the Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select
Sector SPDR® Fund due September 18, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| · | The notes are designed for investors who seek a capped, unleveraged exposure to any appreciation (with a Maximum Upside Return of
at least 12.90%), or a capped, unleveraged return equal to the absolute value of any depreciation (up to the Buffer Amount of 15.00%),
of the least performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select
Sector SPDR® Fund, which we refer to as the Underlyings, at maturity. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose up to 85.00% of their principal amount
at maturity. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| · | Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about August 13, 2024 and are expected to settle on or about August 16, 2024. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-4 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any
representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated
dealers. In no event will these selling commissions exceed $4.00 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
$978.90 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the
pricing supplement and will not be less than $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.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023, the prospectus and prospectus supplement, each dated April 13, 2023,
and the prospectus addendum dated June 3, 2024
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Underlyings:
The S&P 500® Index (Bloomberg ticker: SPX) and the Dow Jones Industrial Average®
(Bloomberg ticker: INDU) (each of the S&P 500® Index and the Dow Jones Industrial Average®, an “Index”
and collectively, the “Indices”) and the Utilities Select Sector SPDR® Fund (Bloomberg ticker: XLU) (the “Fund”)
(each of the Indices and the Fund, an “Underlying” and collectively, the “Underlyings”)
Maximum Upside Return:
At least 12.90% (corresponding to a maximum payment at maturity if the Least Performing Underlying Return is positive of at least $1,129.00
per $1,000 principal amount note) (to be provided in the pricing supplement)
Buffer Amount: 15.00%
Pricing
Date: On or about August 13, 2024
Original
Issue Date (Settlement Date): On or about August 16, 2024
Observation
Date*: September 15, 2025
Maturity
Date*: September 18, 2025
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity:
If the Final Value of each Underlying is greater than its Initial Value,
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying
Return), subject to the Maximum Upside Return
If (i) the Final Value of one or more Underlyings is greater than its Initial
Value and the Final Value of the other Underlying or Underlyings is equal to its Initial Value or is less than its Initial Value by up
to the Buffer Amount or (ii) the Final Value of each Underlying is equal to its Initial Value or is less than its Initial Value by up
to the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Underlying Return of
the Least Performing Underlying)
This payout formula results in an effective cap of 15.00% on your return
at maturity if the Least Performing Underlying Return is negative. Under these limited circumstances, your maximum payment at maturity
is $1,150.00 per $1,000 principal amount note.
If the Final Value of any Underlying is less than its Initial Value
by more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Least Performing Underlying
Return + Buffer Amount)]
If the Final Value of any Underlying is less than its Initial Value by
more than the Buffer Amount, you will lose some or most of your principal amount at maturity.
Absolute Underlying Return: With
respect to each Underlying, the absolute value of its Underlying Return. For example, if the Underlying Return of an Underlying is -5%,
its Absolute Underlying Return will equal 5%.
Least Performing Underlying: The
Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The
lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing
value of that Underlying on the Pricing Date
Final
Value: With respect to each Underlying, the closing value of that Underlying on the Observation
Date
Share
Adjustment Factor: The Share Adjustment Factor is referenced in determining the closing value of the Fund and is set equal
to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund.
See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
Supplemental Terms
of the Notes
Any values of the Underlyings, and any values derived
therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this
pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes,
that amendment will become effective without consent of the holders of the notes or any other party.
Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to three hypothetical Underlyings. The “total return” as used in
this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal
amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
| · | an Initial Value for the Least Performing Underlying of 100.00; |
| · | a Maximum Upside Return of 12.90%; and |
| · | a Buffer Amount of 15.00%. |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any Underlying.
The actual Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date and will be provided in the
pricing supplement. For historical data regarding the actual closing values of each Underlying, please see the historical information
set forth under “The Underlyings” in this pricing supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value of the Least
Performing Underlying |
Least Performing
Underlying Return |
Absolute Underlying
Return of the Least
Performing Underlying |
Total Return on the
Notes |
Payment at Maturity |
180.00 |
80.00% |
N/A |
12.90% |
$1,129.00 |
165.00 |
65.00% |
N/A |
12.90% |
$1,129.00 |
150.00 |
50.00% |
N/A |
12.90% |
$1,129.00 |
140.00 |
40.00% |
N/A |
12.90% |
$1,129.00 |
130.00 |
30.00% |
N/A |
12.90% |
$1,129.00 |
120.00 |
20.00% |
N/A |
12.90% |
$1,129.00 |
112.90 |
12.90% |
N/A |
12.90% |
$1,129.00 |
110.00 |
10.00% |
N/A |
10.00% |
$1,100.00 |
105.00 |
5.00% |
N/A |
5.00% |
$1,050.00 |
101.00 |
1.00% |
N/A |
1.00% |
$1,010.00 |
100.00 |
0.00% |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
5.00% |
5.00% |
$1,050.00 |
90.00 |
-10.00% |
10.00% |
10.00% |
$1,100.00 |
85.00 |
-15.00% |
15.00% |
15.00% |
$1,150.00 |
80.00 |
-20.00% |
N/A |
-5.00% |
$950.00 |
70.00 |
-30.00% |
N/A |
-15.00% |
$850.00 |
60.00 |
-40.00% |
N/A |
-25.00% |
$750.00 |
50.00 |
-50.00% |
N/A |
-35.00% |
$650.00 |
40.00 |
-60.00% |
N/A |
-45.00% |
$550.00 |
30.00 |
-70.00% |
N/A |
-55.00% |
$450.00 |
20.00 |
-80.00% |
N/A |
-65.00% |
$350.00 |
10.00 |
-90.00% |
N/A |
-75.00% |
$250.00 |
0.00 |
-100.00% |
N/A |
-85.00% |
$150.00 |
PS-2
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a range of Least Performing Underlying Returns. There can be no assurance that the performance of the Least
Performing Underlying will result in the return of any of your principal amount in excess of $150.00 per $1,000 principal amount note,
subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co
How the Notes
Work
Underlying Appreciation Upside Scenario:
If the Final Value of each Underlying is greater than
its Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Least Performing Underlying
Return, subject to the Maximum Upside Return of at least 12.90%. Assuming a hypothetical Maximum Upside Return of 12.90%, an investor
will realize the maximum upside payment at maturity at a Final Value of the Least Performing Underlying of 112.90% or more of its Initial
Value.
| · | If the closing value of the Least Performing Underlying increases 10.00%, investors will receive at maturity a return equal to 10.00%,
or $1,100.00 per $1,000 principal amount note. |
| · | Assuming a hypothetical Maximum Upside Return of 12.90%, if the closing value of the Least Performing Underlying increases 50.00%,
investors will receive at maturity a return equal to the 12.90% Maximum Upside Return, or $1,129.00 per $1,000 principal amount note,
which is the maximum payment at maturity if the Least Performing Underlying Return is positive. |
Underlying Par or Underlying Depreciation Upside
Scenario:
If (i) the Final Value of one or more Underlyings is
greater than its Initial Value and the Final Value of the other Underlying or Underlyings is equal to its Initial Value or is less than
its Initial Value by up to the Buffer Amount of 15.00% or (ii) the Final Value of each Underlying is equal to its Initial Value or is
less than its Initial Value by up to the Buffer Amount of 15.00%, investors will receive at maturity the $1,000 principal amount plus
a return equal to the Absolute Underlying Return of the Least Performing Underlying.
| · | For example, if the closing value of the Least Performing Underlying declines 10.00%, investors will receive at maturity a return
equal to 10.00%, or $1,100.00 per $1,000 principal amount note. |
Downside Scenario:
If the Final Value of any Underlying is less than its
Initial Value by more than the Buffer Amount of 15.00%, investors will lose 1% of the principal amount of their notes for every 1% that
the Final Value of the Least Performing Underlying is less than its Initial Value by more than the Buffer Amount.
| · | For example, if the closing value of the Least Performing Underlying declines 60.00%, investors will lose 45.00% of their principal
amount and receive only $550.00 per $1,000 principal amount note at maturity, calculated as follows: |
$1,000 +
[$1,000 × (-60.00% + 15.00%)] = $550.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
PS-3
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the Final Value of any Underlying is less than its Initial Value by more than 15.00%, you will lose 1% of the principal amount of your
notes for every 1% that the Final Value of the Least Performing Underlying is less than its Initial Value by more than 15.00%. Accordingly,
under these circumstances, you will lose up to 85.00% of your principal amount at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM UPSIDE RETURN IF THE LEAST PERFORMING UNDERLYING RETURN IS POSITIVE, |
regardless of the appreciation of any Underlying,
which may be significant.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER AMOUNT IF THE LEAST PERFORMING UNDERLYING RETURN IS NEGATIVE — |
Because the payment at maturity will not reflect
the Absolute Underlying Return of the Least Performing Underlying if its Final Value is less than its Initial Value by more than the Buffer
Amount, the Buffer Amount is effectively a cap on your return at maturity if the Least Performing Underlying Return is negative. The maximum
payment at maturity if the Least Performing Underlying Return is negative is $1,150.00 per $1,000 principal amount note.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you
under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase &
Co., we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of JPMorgan
Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result,
we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary
of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources
to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are
unable to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information,
see the accompanying prospectus addendum.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked to a
basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by any of the
Underlyings over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive
performance by any other Underlying.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUND OR THOSE SECURITIES. |
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.
PS-4
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Maximum Upside Return.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes
because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These
costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated
Value of the Notes” in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in
an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be
lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
PS-5
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
| · | 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 values of the Underlyings. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Underlyings
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDICES, |
but JPMorgan Chase & Co.
will not have any obligation to consider your interests in taking any corporate action that might affect the level of either index.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management risk, which
is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject to a number
of constraints, may not produce the intended results. These constraints could adversely affect the market price of the shares of the Fund
and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund does not fully replicate its Underlying
Index (as defined under “The Underlyings” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of
its Underlying Index. All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying Index.
In addition, corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs) may impact the
variance between the performances of the Fund and its Underlying Index. Finally, because the shares of the Fund are traded on a securities
exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset
value per share of the Fund.
During periods of market volatility, securities
underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the
ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market
value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | RISKS ASSOCIATED WITH THE UTILITIES SECTOR WITH RESPECT TO THE FUND — |
All or substantially all of the equity securities
held by the Fund are issued by companies whose primary line of business is directly associated with the utilities sector. As a result,
the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory
occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.
Utility companies are affected by supply and demand, operating costs, government regulation, environmental factors, liabilities for environmental
damage and general civil liabilities and rate caps or rate changes. Although rate changes of a regulated utility usually fluctuate
in approximate correlation with financing costs, due to political and regulatory factors, rate changes ordinarily occur only following
a delay after the changes in financing costs. This factor will tend to favorably affect a regulated utility company’s earnings
and dividends in times of decreasing costs, but conversely, will tend to adversely affect earnings and dividends when costs are rising.
The value of regulated utility equity securities may tend to have an inverse relationship to the movement of interest rates. Certain
utility companies have experienced full or partial deregulation in recent years. These utility companies are frequently more similar
to industrial companies in that they are subject to greater competition and have been permitted by regulators to diversify outside of
their original geographic regions and their traditional lines of business. These opportunities may permit certain utility companies
to earn more than their traditional regulated rates of return. Some companies, however, may be forced to defend their core business
and may be less profitable. In addition, natural disasters, terrorist attacks, government intervention or other factors may render
a utility company’s equipment unusable or obsolete and negatively impact profitability. Among the risks that may affect utility
companies are the following: risks of increases in fuel and other operating costs; the high cost of borrowing to finance capital construction
during inflationary periods; restrictions on
PS-6
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
operations and increased costs and delays associated with
compliance with environmental and nuclear safety regulations; and the difficulties involved in obtaining natural gas for resale or fuel
for generating electricity at reasonable prices. Other risks include those related to the construction and operation of nuclear
power plants, the effects of energy conservation and the effects of regulatory changes. These factors could affect the utilities
sector and could affect the value of the equity securities held by the Fund and the price of the Fund during the term of the notes, which
may adversely affect the value of your notes.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment
in response to all events that could affect the shares of the Fund. If an event occurs that does not require the calculation agent to
make an adjustment, the value of the notes may be materially and adversely affected.
PS-7
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
The Underlyings
The S&P 500® Index consists of stocks
of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
The Dow Jones Industrial Average® consists
of 30 common stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones Industrial
Average®, see “Equity Index Descriptions — The Dow Jones Industrial Average®” in the accompanying
underlying supplement.
The Fund is an exchange-traded fund of the Select Sector
SPDR® Trust, a registered investment company, that seeks to provide investment results that, before expenses, correspond
generally to the price and yield performance of publicly traded equity securities of companies in the Utilities Select Sector Index, which
we refer to as the Underlying Index with respect to the Fund. The Utilities Select Sector Index is a capped modified market capitalization-based
index that measures the performance of the GICS® utilities sector of the S&P 500® Index, which currently
includes companies in the following industries: electric utilities; water utilities; multi-utilities; independent power and renewable
electricity producers; and gas utilities. For additional information about the Fund, see “Fund Descriptions — The Select Sector
SPDR® Funds” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Underlying based on the weekly historical closing values from January 4, 2019 through August 2, 2024. The closing value of the
S&P 500® Index on August 2, 2024 was 5,346.56. The closing value of the Dow Jones Industrial Average®
on August 2, 2024 was 39,737.26. The closing value of the Fund on August 2, 2024 was $74.22. We obtained the closing values above and
below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
values of the Fund above and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying on
the Pricing Date or the Observation Date. There can be no assurance that the performance of the Underlyings will result in the return
of any of your principal amount in excess of $150.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co.
PS-8
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
Tax Treatment
In determining
our reporting responsibilities, we intend to treat the notes for U.S. federal income tax purposes as “open transactions” that
are not debt instruments, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement
no. 4-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment,
but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income
or loss on the notes could be materially and adversely affected.
No statutory,
judicial or administrative authority directly addresses the characterization of the notes (or similar instruments) for U.S. federal income
tax purposes, and no ruling is being requested from the IRS with respect to their proper characterization and treatment. Assuming that
“open transaction” treatment is respected, subject to the possible application of the “constructive ownership”
rules described below, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more
than a year, whether or not you are an initial purchaser of the notes at the issue price. However, the IRS or a court may not respect
the treatment of the notes as “open transactions,” in which case the timing and character of any income or loss on the notes
could be materially and adversely affected. For instance, the notes could be treated as contingent payment debt instruments, in which
case the gain on your notes would be treated as ordinary income and you would be required to accrue original issue discount on your notes
in each taxable year at the “comparable yield,” as determined by us, although we will not make any payment with respect to
the notes until maturity.
PS-9
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
In addition,
assuming that “open transaction” treatment is respected, the notes could be treated as “constructive ownership transactions”
within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would otherwise be long-term
capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would be treated
as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over
your holding period for the notes. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership
rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive
ownership rules.
In addition,
in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue
income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or
loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to
withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime described above.
While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly
with retroactive effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including the potential application of the constructive ownership rules, possible alternative treatments and the issues
presented by this notice.
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 Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
PS-10
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
The estimated value of the notes will be lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower Than the
Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any
secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is
intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Underlyings”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus
addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the notes.
PS-11
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
PS-12
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the
Least Performing of the S&P 500® Index, the Dow Jones Industrial Average® and the Utilities Select Sector
SPDR® Fund |
|
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