The information in this preliminary pricing
supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to
buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated July 10, 2024
Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 3-I dated April 13, 2023,
underlying supplement no. 1-I dated April 13, 2023 and
prospectus addendum dated June 3, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01
Dated July 2024 , 2024
Rule 424(b)(2)
|
| JPMorgan Chase Financial Company LLC |
Structured
Investments |
$
Capped Notes Linked to the S&P 500®
Index due July 14, 2026
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co. |
General
| · | The notes are designed for investors who seek exposure to
any appreciation of the S&P 500® Index over the term of the notes, up to a maximum return of at least 18.65%* at maturity. |
| · | Investors should be willing to forgo interest and dividend
payments, while seeking repayment of at least 95.00% of principal 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. |
| · | Minimum denominations of $10,000 and integral multiples of
$1,000 in excess thereof |
Key Terms
| Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| Index: |
The S&P 500® Index (Bloomberg ticker: SPX) |
| Payment at Maturity: |
If the Ending Index Level is greater than the Index Strike Level, at
maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount, which may
be zero and will not be greater than the Maximum Amount.
If the Ending Index Level is equal to or less than the Index Strike Level,
your payment at maturity will be calculated as follows:
$1,000 + ($1,000 × Index Return)
In no event, however, will the payment at maturity be less than $950.00 per
$1,000 principal amount note.
If the Ending Index Level is less than the Index Strike Level, you
will lose up to 5.00% of your principal amount at maturity.
You are entitled to repayment of at least $950.00 per $1,000 principal
amount note at maturity, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. |
| Additional Amount: |
The Additional Amount payable at maturity per $1,000 principal amount
note will equal:
$1,000 × Index Return × Participation
Rate,
provided that the Additional Amount will not be greater than the Maximum
Amount. |
| Maximum Amount: |
At least $186.50 per $1,000 principal amount note*.
* The actual Maximum Amount will be provided in the pricing supplement
and will not be less than $186.50 per $1,000 principal amount note. |
| Participation Rate: |
100.00% |
| Index Return: |
(Ending Index Level – Index Strike
Level)
Index Strike Level |
| Index Strike Level: |
5,576.98, which was the closing level of the Index on the Strike Date. The Index Strike Level is not determined by reference to the closing level of the Index on the Pricing Date. |
| Ending Index Level: |
The closing level of the Index on the Valuation Date |
| Strike Date: |
July 9, 2024 |
| Pricing Date: |
On or about July 10, 2024 |
| Original Issue Date: |
On or about July 15, 2024 (Settlement Date) |
| Valuation Date*: |
July 9, 2026 |
| Maturity Date*: |
July 14, 2026 |
| CUSIP: |
48135PHA2 |
| * | 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 a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity
Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
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-12 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any
representation to the contrary is a criminal offense.
| |
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
| Per note |
$1,000 |
$ |
$ |
| Total |
$ |
$ |
$ |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public
of the notes. |
| (2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions
it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $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 $981.20 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 $970.00 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.
Additional Terms Specific to the
Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes, of
which these notes are a part, the accompanying prospectus addendum, and the more detailed information contained in the accompanying product
supplement and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains
the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying
prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
| JPMorgan Structured Investments — | PS- 1 |
| Capped Notes Linked to the S&P 500® Index | |
What Is the Total Return on the
Notes at Maturity, Assuming a Range of Performances for the Index?
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes. 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.
Each hypothetical total return or payment at maturity set forth below assumes an Index Strike Level of 100.00 and a Maximum Amount of
$186.50 per $1,000 principal amount note, and reflects the Participation Rate of 100.00%. The hypothetical Initial Index Level of 100.00
has been chosen for illustrative purposes only and does not represent the actual Initial Index Level. The actual Maximum Amount will be
provided in the pricing supplement. Each hypothetical total return or 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 in the examples below have been rounded for ease of analysis.
Ending
Index Level |
Index
Return |
Additional
Amount |
Payment at
Maturity |
Total
Return |
| 180.00 |
80.00% |
$186.50 |
$1,186.50 |
18.65% |
| 170.00 |
70.00% |
$186.50 |
$1,186.50 |
18.65% |
| 160.00 |
60.00% |
$186.50 |
$1,186.50 |
18.65% |
| 150.00 |
50.00% |
$186.50 |
$1,186.50 |
18.65% |
| 140.00 |
40.00% |
$186.50 |
$1,186.50 |
18.65% |
| 130.00 |
30.00% |
$186.50 |
$1,186.50 |
18.65% |
| 120.00 |
20.00% |
$186.50 |
$1,186.50 |
18.65% |
| 118.65 |
18.65% |
$186.50 |
$1,186.50 |
18.65% |
| 110.00 |
10.00% |
$100.00 |
$1,100.00 |
10.00% |
| 105.00 |
5.00% |
$50.00 |
$1,050.00 |
5.00% |
| 102.50 |
2.50% |
$25.00 |
$1,025.00 |
2.50% |
| 100.00 |
0.00% |
N/A |
$1,000.00 |
0.00% |
| 97.50 |
-2.50% |
N/A |
$975.00 |
-2.50% |
| 95.00 |
-5.00% |
N/A |
$950.00 |
-5.00% |
| 90.00 |
-10.00% |
N/A |
$950.00 |
-5.00% |
| 80.00 |
-20.00% |
N/A |
$950.00 |
-5.00% |
| 70.00 |
-30.00% |
N/A |
$950.00 |
-5.00% |
| 60.00 |
-40.00% |
N/A |
$950.00 |
-5.00% |
| 50.00 |
-50.00% |
N/A |
$950.00 |
-5.00% |
| 40.00 |
-60.00% |
N/A |
$950.00 |
-5.00% |
| 30.00 |
-70.00% |
N/A |
$950.00 |
-5.00% |
| 20.00 |
-80.00% |
N/A |
$950.00 |
-5.00% |
| 10.00 |
-90.00% |
N/A |
$950.00 |
-5.00% |
| 0.00 |
-100.00% |
N/A |
$950.00 |
-5.00% |
| JPMorgan Structured Investments — | PS- 2 |
| Capped Notes Linked to the S&P 500® Index | |
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the payment at
maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases from
the Index Strike Level of 100.00 to an Ending Index Level of 105.00.
Because the Ending Index Level of 105.00 is greater
than the Index Strike Level of 100.00 and the Index Return is 5.00%, the investor receives an Additional Amount equal to $50.00 per $1,000
principal amount note, calculated as follows:
$1,000 × 5.00% × 100.00%
= $50.00
Accordingly, the total Payment at Maturity will be $1,050.00
per $1,000 principal amount note.
Example 2: The level of the Index decreases from
the Index Strike Level of 100.00 to an Ending Index Level of 97.50.
Because the Ending Index Level of 97.50 is less than
the Index Strike Level of 100.00, the Payment at Maturity will be $975.00 per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × -2.50%)
= $975.00
Example 3: The level of the Index increases from
the Index Strike Level of 100.00 to an Ending Index Level of 150.00.
Because the Ending Index Level of 150.00 is greater
than the Index Strike Level of 100.00 and the Index Return of 50.00% exceeds the maximum return of 18.65%, the investor receives the Maximum
Amount of $186.50 per $1,000 principal amount note, calculated as follows:
$1,000 × 18.65% × 186.50%
= $186.50
Accordingly, the total Payment at Maturity will be $1,186.50
per $1,000 principal amount note.
Example 4: The level of the Index decreases from
the Index Strike Level of 100.00 to an Ending Index Level of 90.00.
Because the Ending Index Level of 90.00 is less than
the Index Strike Level of 100.00, and although the Index Return is -10.00%, the Payment at Maturity will be $950.00 per $1,000 principal
amount note, calculated as follows:
$1,000 + ($1,000 × -10.00%)
= $900.00
In no event, however, will the Payment at Maturity be
less than $950.00 per $1,000 principal amount note.
Total Payment at Maturity = $950.00
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 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.
| JPMorgan Structured Investments — | PS- 3 |
| Capped Notes Linked to the S&P 500® Index | |
Selected Purchase Considerations
| · | CAPPED APPRECIATION POTENTIAL
— The notes provide exposure to any appreciation of the Index, up to the maximum return of at least 18.65%. The actual maximum payment
at maturity will be provided in the pricing supplement and will not be less than $1,186.50 per $1,000 principal amount note. 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. |
| · | RETURN LINKED TO THE S&P
500® INDEX — 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. |
| · | TAX TREATMENT —
There is uncertainty regarding the U.S. federal income tax consequences of an investment in the notes due to the lack of governing authority.
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection
thereof entitled “Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent
Payment Debt Instruments” in the accompanying product supplement no. 3-I. Notwithstanding that the notes do not provide for the
full repayment of their principal amount at or prior to maturity, our special tax counsel, Latham & Watkins LLP, is of the opinion
that the notes should be treated for U.S. federal income tax purposes as debt instruments. Based on current market conditions, we intend
to treat the notes for U.S. federal income tax purposes as “contingent payment debt instruments.” Assuming this treatment
is respected, as discussed in that subsection, unlike a traditional debt instrument that provides for periodic payments of interest at
a single fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt of stated interest, you
generally will be required to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable
yield,” as determined by us, although we will not make any payment with respect to the notes until maturity. Upon sale or exchange
(including at maturity), you will recognize taxable income or loss equal to the difference between the amount received from the sale or
exchange and your adjusted basis in the note, which generally will equal the cost thereof, increased by the amount of OID you have accrued
in respect of the note. You generally must treat any income as interest income and any loss as ordinary loss to the extent of previous
interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject to limitations. Special rules may
apply if the Additional Amount is treated as becoming fixed prior to maturity. You should consult your tax adviser concerning the application
of these rules. The discussions herein and in the accompanying product supplement do not address the consequences to taxpayers subject
to special tax accounting rules under Section 451(b) of the Code. Purchasers who are not initial purchasers of notes at their issue price
should consult their tax advisers with respect to the tax consequences of an investment in notes, including the treatment of the difference,
if any, between the basis in their notes and the notes’ adjusted issue price. |
Because our intended treatment of
the notes as CPDIs is based on current market conditions, we may determine an alternative treatment is more appropriate based on circumstances
at the time of pricing. Our ultimate determination will be binding on you, unless you properly disclose to the IRS an alternative treatment.
Also, the IRS may challenge the treatment of the notes as CPDIs. If we determine not to treat the notes as CPDIs, or if the IRS successfully
challenges the treatment of the notes as CPDIs, then the notes should be treated as debt instruments that are not CPDIs and, unless treated
as issued with less than a specified de minimis amount of original issue discount, could (depending on the facts at the time of pricing)
require the accrual of original issue discount as ordinary interest income based on a yield to maturity different from (and possibly higher
than) the comparable yield. Accordingly, under this treatment, your annual taxable income from (and adjusted tax basis in) the notes could
be higher or lower than if the notes were treated as CPDIs, and any loss recognized upon a disposition of the notes (including upon maturity)
would be capital loss, the deductibility of which is subject to limitations. Accordingly, this alternative treatment could result in adverse
tax consequences to you.
Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty
applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S.
equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments
linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent
IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with
respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes with regard to
Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex
and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an
Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing
supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
| JPMorgan Structured Investments — | PS- 4 |
| Capped Notes Linked to the S&P 500® Index | |
The discussions in the preceding paragraphs,
when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences” (and in particular the
subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes
Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, to the extent they reflect statements of
law, constitute the full opinion of Latham & Watkins LLP regarding the material U.S. federal income tax consequences of owning and
disposing of the notes.
| · | COMPARABLE YIELD AND PROJECTED PAYMENT SCHEDULE — We will
determine the comparable yield for the notes and will provide that comparable yield, and the related projected payment schedule, in the
pricing supplement for the notes, which we will file with the SEC. If the notes had been issued on July 9, 2024 and we had determined
the comparable yield on that date, it would have been an annual rate of 5.60%, compounded semiannually. The actual comparable yield that
we will determine for the notes may be higher or lower than 5.60%, and will depend upon a variety of factors, including actual market
conditions and our borrowing costs for debt instruments of comparable maturities. Neither the comparable yield nor the projected payment
schedule constitutes a representation by us regarding the actual amount of the payment that we will make on the notes. |
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index. 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
| · | THE NOTES MAY NOT PAY MORE THAN 95.00% OF THE PRINCIPAL AMOUNT AT
MATURITY — If the Ending Index Level is less than the Index Strike Level, you will lose 1% of the principal amount of your notes
for every 1% that the Ending Index Level is less than the Index Strike Level, provided that the payment at maturity will not be less than
$950.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. Accordingly,
under these circumstances, you will lose up to 5.00% of your principal amount at maturity and you will not be compensated for any loss
in value due to inflation and other factors relating to the value of money over time. |
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM AMOUNT
— If the Ending Index Level is greater than the Index Strike Level, for each $1,000 principal amount
note, you will receive at maturity $1,000 plus an Additional Amount that will not exceed the Maximum Amount of $186.50 per $1,000
principal amount note, regardless of the appreciation of the Index, which may be significant. |
| · | 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. |
| · | NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a
holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or
other distributions or other rights that holders of the securities included in the Index would have. |
| · | 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. |
| · | 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. |
| · | 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 Upside Leverage Factor will be provided in the pricing supplement and each may be as low as the |
| JPMorgan Structured Investments — | PS- 5 |
| Capped Notes Linked to the S&P 500® Index | |
minimums for the estimated value of the notes and the
Maximum Amount 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 Maximum Amount.
Risks Relating to Conflicts of Interest
| · | 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. 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, 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
| · | 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 — 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, dividend
rates, 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 notes from you in secondary market transactions.
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.
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. 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 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. See the immediately following risk
consideration for information about additional factors that will impact any secondary market prices of the notes. |
| JPMorgan Structured Investments — | PS- 6 |
| Capped Notes Linked to the S&P 500® Index | |
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 “— Lack of Liquidity” below.
| · | SECONDARY MARKET PRICES
OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
projected hedging profits, if any, estimated hedging costs and the level of the Index. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the
secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Index
| · | JPMORGAN CHASE & CO.
IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX — JPMorgan Chase & Co. is currently one of
the companies that make up the Index, but JPMorgan Chase & Co. will have no obligation to consider your interests as a holder
of the notes in taking any corporate action that might affect the value of the Index. |
| JPMorgan Structured Investments — | PS- 7 |
| Capped Notes Linked to the S&P 500® Index | |
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 4, 2019 through July 5, 2024. The closing level of
the Index on July 9, 2024 was 5,576.98.
We obtained the closing levels of the Index above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical
levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level
of the Index on the Pricing Date or the Valuation Date. There can be no assurance that the performance of the Index will result in a payment
at maturity in excess of your principal amount, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
The 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. 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 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. 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 “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
| JPMorgan Structured Investments — | PS- 8 |
| Capped Notes Linked to the S&P 500® Index | |
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 “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amount Payable at Maturity” in this pricing
supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Linked
to the S&P 500® Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Supplemental Terms of the Notes
Any values of the Index, 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.
| JPMorgan Structured Investments — | PS- 9 |
| Capped Notes Linked to the S&P 500® Index | |
JP Morgan Chase (NYSE:JPM-M)
Historical Stock Chart
From Oct 2024 to Nov 2024
JP Morgan Chase (NYSE:JPM-M)
Historical Stock Chart
From Nov 2023 to Nov 2024
