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
| July , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Yield Notes Linked to the Least Performing
of the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the
Invesco QQQ TrustSM, Series 1 due July 16, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| · | The notes are designed for investors who seek a higher interest rate than the yield on a conventional debt security with the same
maturity issued by us. The notes will pay at least 8.00% per annum interest over the term of the notes, assuming no automatic call, payable
at a rate of at least 0.66667% per month. |
| · | The notes will be automatically called if the closing price of one share of each of the SPDR® Dow Jones Industrial
AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco QQQ TrustSM, Series 1, which we
refer to as the Funds, on any Review Date (other than the final Review Date) is greater than or equal to its Initial Value. |
| · | The earliest date on which an automatic call may be initiated is July 14, 2025. |
| · | Investors should be willing to accept the risk of losing some or all of their principal and be willing to forgo dividend payments,
in exchange for Interest Payments. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| · | Payments on the notes are not linked to a basket composed of the Funds. Payments on the notes are linked to the performance of each
of the Funds individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about July 12, 2024 and are expected to settle on or about July 17, 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
$987.00 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the
pricing supplement and will not be less than $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.
Funds: The
SPDR® Dow Jones Industrial AverageSM ETF Trust (Bloomberg ticker: DIA), the iShares® Russell
2000 ETF (Bloomberg ticker: IWM) and the Invesco QQQ TrustSM, Series 1 (Bloomberg ticker: QQQ)
Interest
Payments: If the notes have not been automatically called, you will receive on each Interest Payment Date for each $1,000 principal
amount note an Interest Payment equal to at least $6.6667 (equivalent to an Interest Rate of at least 8.00% per annum, payable at a rate
of at least 0.66667% per month) (to be provided in the pricing supplement).
Interest
Rate: At least 8.00% per annum, payable at a rate of at least 0.66667% per month (to be provided
in the pricing supplement)
Trigger Value: With respect
to each Fund, 65.00% of its Initial Value
Pricing
Date: On or about July 12, 2024
Original
Issue Date (Settlement Date): On or about July 17, 2024
Review
Dates*: July 14, 2025, October 13, 2025, January 12, 2026, April 13, 2026 and July 13, 2026 (final Review Date)
Interest
Payment Dates*: August 15, 2024, September 17, 2024, October 17, 2024, November 15, 2024, December 17, 2024, January 16, 2025,
February 18, 2025, March 17, 2025, April 17, 2025, May 15, 2025, June 17, 2025, July 17, 2025, August 15, 2025, September 17, 2025, October
16, 2025, November 17, 2025, December 17, 2025, January 15, 2026, February 18, 2026, March 17, 2026, April 16, 2026, May 15, 2026, June
17, 2026 and the Maturity Date
Maturity
Date*: July 16, 2026
Call Settlement Date*: If
the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately
following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Automatic Call:
If the closing price of one share of each Fund on any Review Date (other
than the final Review Date) is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment for the Interest Payment Date occurring
on the applicable Call Settlement Date, payable on that Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of each
Fund is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the Interest Payment applicable to the Maturity Date.
If the notes have not been automatically called and the Final Value of any
Fund is less than its Trigger Value, your payment at maturity per $1,000 principal amount note, in addition to the Interest Payment applicable
to the Maturity Date, will be calculated as follows:
$1,000 + ($1,000 × Least Performing Fund Return)
If the notes have not been automatically called and the Final Value of
any Fund is less than its Trigger Value, you will lose more than 35.00% of your principal amount at maturity and could lose all of your
principal amount at maturity.
Least Performing Fund: The
Fund with the Least Performing Fund Return
Least Performing Fund Return: The
lowest of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Fund, the closing price
of one share of that Fund on the Pricing Date
Final
Value: With respect to each Fund, the closing price of one share of that Fund on the final
Review Date
Share
Adjustment Factor: With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing price of
one share of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment
upon the occurrence of certain events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments”
in the accompanying product supplement for further information.
|
|
PS-1
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
Supplemental
Terms of the Notes
Any values of the Funds, and any values derived therefrom,
included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment
will become effective without consent of the holders of the notes or any other party.
How the
Notes Work
Payments in Connection with Review Dates Preceding
the Final Review Date
Payment at Maturity If the Notes
Have Not Been Automatically Called
|
PS-2
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
Total Interest Payments
The table below illustrates the hypothetical total
Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Interest Rate of 8.00% per annum,
depending on how many Interest Payments are made prior to automatic call or maturity. If the notes have not been automatically called,
the hypothetical total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the maximum amount
shown in the table below. The actual Interest Rate will be provided in the pricing supplement and will be at least 8.00% per annum (payable
at a rate of at least 0.66667% per month).
Number of Interest
Payments |
Total Interest Payments |
| 24 |
$160.00 |
| 21 |
$140.00 |
| 18 |
$120.00 |
| 15 |
$100.00 |
| 12 |
$80.00 |
Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to three hypothetical Funds, assuming a range of performances for the hypothetical Least Performing Fund on the Review Dates. Each
hypothetical payment set forth below assumes that the closing price of one share of the Fund that is not the Least Performing Fund on
each Review Date is greater than or equal to its Initial Value.
In addition, the hypothetical payments set forth below
assume the following:
| · | an Initial Value for the Least Performing Fund of $100.00; |
| · | a Trigger Value for the Least Performing Fund of $65.00 (equal to 65.00% of its hypothetical Initial Value); and |
| · | an Interest Rate of 8.00% per annum. |
The hypothetical Initial Value of the Least Performing
Fund of $100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any Fund. The actual
Initial Value of each Fund will be the closing price of one share of that Fund on the Pricing Date and will be provided in the pricing
supplement. For historical data regarding the actual closing prices of one share of each Fund, please see the historical information set
forth under “The Funds” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
Example 1 — Notes are automatically called
on the first Review Date.
| Date |
Closing Price of One Share of
Least Performing Fund |
|
| First Review Date |
$105.00 |
Notes are automatically called |
| |
Total Payment |
$1,080.00 (8.00% return) |
Because the closing price of one share of each Fund
on the first Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, of $1,006.6667 (or $1,000 plus the Interest Payment applicable to the corresponding Interest
Payment Date), payable on the applicable Call Settlement Date. When added to the Interest Payments received with respect to the
prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,080.00. No further payments will
be made on the notes.
|
PS-3
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Fund is greater than or equal to its Trigger Value.
| Date |
Closing Price of One Share of
Least Performing Fund |
|
| First Review Date |
$95.00 |
Notes NOT automatically called |
| Second Review Date |
$90.00 |
Notes NOT automatically called |
| Third through Fourth Review Dates |
Less than Initial Value |
Notes NOT automatically called |
| Final Review Date |
$80.00 |
Final Value of the Least Performing Fund is greater than or equal to its Trigger Value |
| |
Total Payment |
$1,160.00 (16.00% return) |
Because the notes have not been automatically called
and the Final Value of the Least Performing Fund is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000
principal amount note, will be $1,006.6667 (or $1,000 plus the Interest Payment applicable to the Maturity Date). When added to
the Interest Payments received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount
note, is $1,160.00.
Example 3 — Notes have NOT been automatically
called and the Final Value of the Least Performing Fund is less than its Trigger Value.
| Date |
Closing Price of One Share of
Least Performing Fund |
|
| First Review Date |
$40.00 |
Notes NOT automatically called |
| Second Review Date |
$45.00 |
Notes NOT automatically called |
| Third through Fourth Review Dates |
Less than Initial Value |
Notes NOT automatically called |
| Final Review Date |
$40.00 |
Final Value of the Least Performing Fund is less than its Trigger Value |
| |
Total Payment |
$560.00 (-4.40% return) |
Because the notes have not been automatically called,
the Final Value of the Least Performing Fund is less than its Trigger Value and the Least Performing Fund Return is -60.00%, the payment
at maturity will be $406.6667 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] + $6.6667 = $406.6667
When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $560.00.
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value of any Fund is less than its Trigger Value, you will lose 1% of the
principal amount of your notes for every 1% that the Final Value of the Least Performing Fund is less than its Initial Value. Accordingly,
under these circumstances, you will lose more than 35.00% of your principal amount at maturity and could lose all of your principal amount
at maturity.
|
PS-4
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
| · | 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.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES, |
regardless of any appreciation of any Fund,
which may be significant. You will not participate in any appreciation of any Fund.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH FUND — |
Payments on the notes are not linked to a basket
composed of the Funds and are contingent upon the performance of each individual Fund. Poor performance by any of the Funds over the term
of the notes may result in the notes not being automatically called on a Review Date, may negatively affect your payment at maturity and
will not be offset or mitigated by positive performance by any other Fund.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING FUND. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of any Fund is less than
its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will
be fully exposed to any depreciation of the Least Performing Fund.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the
term of the notes may be reduced to as short as approximately one year and you will not receive any Interest Payments after the applicable
Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable
return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before maturity, you
are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON ANY FUND OR THE SECURITIES HELD BY ANY FUND OR HAVE ANY RIGHTS WITH RESPECT TO ANY FUND OR THOSE
SECURITIES. |
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE PRICE OF ONE SHARE OF THAT
FUND IS VOLATILE. |
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Interest Rate.
|
PS-5
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
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.
| · | 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 prices of one share of the Funds. 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
|
PS-6
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
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 Funds
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE SPDR® DOW JONES INDUSTRIAL AVERAGESM
ETF TRUST AND ITS UNDERLYING INDEX, |
but JPMorgan Chase & Co. will not have any
obligation to consider your interests in taking any corporate action that might affect the price of one share of the SPDR®
Dow Jones Industrial AverageSM ETF Trust or the level of its Underlying Index (as defined under “The Funds” below).
| · | THERE ARE RISKS ASSOCIATED WITH THE FUNDS — |
The Funds are subject to management risk, which
is the risk that the investment strategies of the applicable 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 prices of the shares
of the Funds and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
Each Fund does not fully replicate its Underlying
Index (as defined under “The Funds” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of each 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 each Fund and its Underlying
Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs) may impact
the variance between the performances of that Fund and its Underlying Index. Finally, because the shares of each Fund are traded on a
securities exchange and are subject to market supply and investor demand, the market value of one share of each Fund may differ from the
net asset value per share of that Fund.
During periods of market volatility, securities
underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances, the market
value of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the
performance of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of that
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE iSHARES®
RUSSELL 2000 ETF — |
Small capitalization companies may be less able
to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are
less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price
pressure under adverse market conditions.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE INVESCO QQQ TRUSTSM, SERIES 1 — |
Some of the equity securities held by the Invesco
QQQ TrustSM, Series 1 have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S.
equity securities involve risks associated with the home countries of the issuers of those non-U.S. equity securities.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will
not make an adjustment in response to all events that could affect the shares of the Funds. 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
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
The Funds
The SPDR® Dow Jones Industrial AverageSM
ETF Trust is an exchange-traded fund that seeks to provide investment results that, before expenses, generally correspond to the price
and yield performance of the Dow Jones Industrial Average®, which we refer to as the Underlying Index with respect to the
SPDR® Dow Jones Industrial AverageSM ETF Trust. 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 SPDR®
Dow Jones Industrial AverageSM ETF Trust, see “Fund Descriptions — The SPDR® Dow Jones Industrial
AverageSM ETF Trust” in the accompanying underlying supplement.
The iShares® Russell 2000 ETF is an
exchange-traded fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before
fees and expenses, of an index composed of small-capitalization U.S. equities, which we refer to as the Underlying Index with respect
to the iShares® Russell 2000 ETF. The Underlying Index for the iShares® Russell 2000 ETF is currently the
Russell 2000® Index. The Russell 2000® Index is designed to track the performance of the small capitalization
segment of the U.S. equity market. For additional information about the iShares® Russell 2000 ETF, see “Fund Descriptions
— The iShares® ETFs” in the accompanying underlying supplement.
The Invesco QQQ TrustSM, Series 1 is an exchange-traded
fund that seeks to track the investment results, before fees and expenses, of the Nasdaq-100 Index®, which we refer to
as the Underlying Index with respect to the Invesco QQQ TrustSM, Series 1. The Nasdaq-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The Nasdaq Stock Market based on market
capitalization. For additional information about the Invesco QQQ TrustSM, Series 1, see “Fund Descriptions — The
Invesco QQQ TrustSM, Series 1” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Fund based on the weekly historical closing prices of one share of each Fund from January 4, 2019 through July 5, 2024. The closing
price of one share of the SPDR® Dow Jones Industrial AverageSM ETF Trust on July 9, 2024 was $392.94. The closing
price of one share of the iShares® Russell 2000 ETF on July 9, 2024 was $201.40. The closing price of one share of the
Invesco QQQ TrustSM, Series 1 on July 9, 2024 was $497.77. We obtained the closing prices above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The closing prices above and below may
have been adjusted by Bloomberg for actions taken by the Funds, such as stock splits.
The historical closing prices of one share of each
Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
any Fund on the Pricing Date or any Review Date. There can be no assurance that the performance of the Funds will result in the return
of any of your principal amount.
|
PS-8
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. Based on the advice of Davis Polk & Wardwell
LLP, our special tax counsel, and on current market conditions, in determining our reporting responsibilities we intend to treat the notes
for U.S. federal income tax purposes as units each comprising: (x) a cash-settled Put Option written by you that is terminated if an automatic
call occurs and that, if not terminated, in circumstances where the payment due at maturity is less than $1,000 (excluding accrued but
unpaid interest), requires you to pay us an amount equal to that difference and (y) a Deposit of $1,000 per $1,000 principal amount note
to secure your potential obligation under the Put Option, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Units Each Comprising a Put Option and a Deposit” in the accompanying
product supplement, and in particular in the subsection thereof entitled “— Notes with a Term of More than One Year.”
By purchasing the notes, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to follow this
treatment and the allocation described in the following paragraph. However, 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. 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 on a number of issues, the most relevant of which for investors in the notes
are the character of income or loss (including whether the Put Premium might be currently included as ordinary income) and the degree,
if any, to which income realized by non-U.S. investors should be subject to withholding tax. While it is not clear whether the notes would
be viewed as similar to the typical prepaid forward contract described in the notice, it is possible that any Treasury regulations or
other guidance promulgated after
|
PS-9
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect.
In determining our reporting responsibilities, we intend
to treat a portion of each Interest Payment equal to approximately 5.68% per annum times the amount of the Deposit times the number of
days in the applicable period divided by 365 as interest on the Deposit (so that the amount allocated as interest on the Deposit will
vary from Interest Payment to Interest Payment depending on the number of days in the applicable period) and the remainder of each Interest
Payment as Put Premium. Assuming that the treatment of the notes as units each comprising a Put Option and a Deposit is respected, amounts
treated as interest on the Deposit will be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale
or settlement, including a settlement following an automatic call.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on
dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or
indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice
excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement for
the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The discussions above and in the accompanying product
supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. You
should consult your tax adviser regarding all aspects of the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the
issue price should also consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible
alternative treatments, as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or
|
PS-10
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
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 “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Funds”
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
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
|
PS-12
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the SPDR® Dow Jones Industrial AverageSM ETF Trust, the iShares® Russell 2000 ETF and the Invesco
QQQ TrustSM, Series 1 |
|
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