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 17, 2024
PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01
Dated July , 2024 |
JPMorgan Chase Financial Company LLC Trigger Callable Contingent Yield Notes
(daily coupon observation and six-month initial non-call period)
Linked to the least performing of the Russell 2000® Index,
the S&P 500® Index and the EURO STOXX 50® Index due on or about January 24, 2028
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Trigger Callable Contingent Yield Notes are unsecured and unsubordinated
debt securities issued by JPMorgan Chase Financial Company LLC (“JPMorgan Financial”), the payment on which is fully and unconditionally
guaranteed by JPMorgan Chase & Co. (each, a “Note” and collectively, the “Notes”) linked to the
least performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50®
Index (each, an “Underlying” and together the “Underlyings”). If the closing level of each Underlying is equal
to or greater than its Coupon Barrier on each day during a Quarterly Observation Period, JPMorgan Financial will make a Contingent Coupon
payment with respect to that Quarterly Observation Period. If the closing level of any Underlying is less than its Coupon Barrier on any
day during a Quarterly Observation Period, no Contingent Coupon payment will be made. JPMorgan Financial may, at its election, call the
Notes early on any Quarterly Observation End Date (after an initial six-month non-call period and other than the Final Valuation Date)
regardless of the closing level of any Underlying on that Quarterly Observation End Date. If JPMorgan Financial elects to call the Notes
prior to maturity, JPMorgan Financial will pay the principal amount plus any Contingent Coupon for the Quarterly Observation Period
ending on the applicable Quarterly Observation End Date and no further amounts will be owed to you. If JPMorgan Financial does not elect
to call the Notes prior to maturity and the Final Value of each Underlying is equal to or greater than its Downside Threshold (which is
the same level as its Coupon Barrier), JPMorgan Financial will make a cash payment at maturity equal to the principal amount of your Notes,
in addition to any Contingent Coupon with respect to the final Quarterly Observation Period. If JPMorgan Financial does not elect to call
the Notes prior to maturity and the Final Value of any Underlying is less than its Downside Threshold, JPMorgan Financial will pay you
less than the full principal amount, if anything, at maturity, resulting in a loss of your principal amount that is proportionate to the
decline in the closing level of the Underlying with the Lowest Underlying Return (the “Least Performing Underlying”) from
its Initial Value to its Final Value. Investing in the Notes involves significant risks. You may lose some or all of your principal
amount at maturity. You may receive few or no quarterly Contingent Coupons during the term of the Notes. You will be exposed to the market
risk of each Underlying on each day of the Quarterly Observation Periods and on the Final Valuation Date and any decline in the level
of one Underlying may negatively affect your return and will not be offset or mitigated by a lesser decline or any potential increase
in the levels of the other Underlyings. Generally, a higher Contingent Coupon Rate is associated with a greater risk of loss. The contingent
repayment of principal applies only if you hold the Notes to maturity. Any payment on the Notes, including any repayment of principal,
is subject to the creditworthiness of JPMorgan Financial, as issuer of the Notes, and the creditworthiness of JPMorgan Chase & Co.,
as guarantor of the Notes. If JPMorgan Financial and JPMorgan Chase & Co. were to default on their payment obligations,
you may not receive any amounts owed to you under the Notes and you could lose your entire investment.
| q | Contingent Coupon: If the closing level of each Underlying
is equal to or greater than its Coupon Barrier on each day during a Quarterly Observation Period, JPMorgan Financial will make a Contingent
Coupon payment with respect to that Quarterly Observation Period. JPMorgan Financial will not pay you the Contingent Coupon for any Quarterly
Observation Period in which the closing level of any Underlying on any day during that Quarterly Observation Period is less than its
Coupon Barrier. |
| q | Issuer Callable: JPMorgan Financial may, at its election,
call the Notes on any Quarterly Observation End Date (after an initial six-month non-call period and other than the Final Valuation Date),
regardless of the closing level of any Underlying on that Quarterly Observation End Date, and pay you the principal amount plus
any Contingent Coupon otherwise due for the Quarterly Observation Period ending on that Quarterly Observation End Date. If the Notes
are called, no further payments will be made after the Call Settlement Date. |
| q | Downside Exposure with Contingent Repayment of Principal
Amount at Maturity: If by maturity the Notes have not been called and each Underlying closes at or above its Downside Threshold on
the Final Valuation Date, JPMorgan Financial will pay you the principal amount per Note at maturity, in addition to any Contingent Coupon
with respect to the final Quarterly Observation Period. If any Underlying closes below its Downside Threshold on the Final Valuation
Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount
that is proportionate to the decline in the closing level of the Least Performing Underlying from its Initial Value to its Final Value.
The contingent repayment of principal applies only if you hold the Notes until maturity. Any payment on the Notes, including any repayment
of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. |
Trade Date1 |
July 19, 2024 |
Original Issue Date (Settlement Date)1 |
July 24, 2024 |
Quarterly Observation End Dates2 |
Quarterly (callable beginning January 21, 2025)
(see page 5) |
Final Valuation Date2 |
January 19, 2028 |
Maturity Date2 |
January 24, 2028 |
| 1 | Expected. In the event that we
make any change to the expected Trade Date and Settlement Date, the Quarterly Observation End Dates, the Final Valuation Date and/or
the Maturity Date will be changed so that the stated term of the Notes remains the same. |
| 2 | Subject to postponement in the
event of a market disruption event and as described under “General Terms of Notes — Postponement of a Payment Date”
and “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings” in
the accompanying product supplement or early acceleration in the event of a change-in-law event as described under “General Terms
of Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement and “Key Risks — Risks
Relating to the Notes Generally — We May Accelerate Your Notes If a Change-in-Law Event Occurs” in this pricing supplement |
THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS.
JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE DOWNSIDE
MARKET RISK SIMILAR TO THE LEAST PERFORMING UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT
OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE
THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS”
BEGINNING ON PAGE 7 OF THIS PRICING SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING ON PAGE S-2 OF THE ACCOMPANYING PROSPECTUS
SUPPLEMENT, IN ANNEX A TO THE ACCOMPANYING PROSPECTUS ADDENDUM AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-12 OF THE ACCOMPANYING
PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY
AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES
WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We are offering Trigger Callable Contingent Yield Notes linked to the
least performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50®
Index. The Notes are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof. The Contingent
Coupon Rate and the Initial Value, Downside Threshold and Coupon Barrier for each Underlying will be finalized on the Trade Date and provided
in the pricing supplement. The actual Contingent Coupon Rate is expected to be, but will not be less than, the minimum Contingent Coupon
Rate listed below, but you should be willing to invest in the Notes if the Contingent Coupon Rate were set equal to that minimum Contingent
Coupon Rate.
Underlying |
Contingent Coupon Rate |
Initial Value |
Downside Threshold* |
Coupon Barrier* |
CUSIP / ISIN |
Russell 2000® Index (Bloomberg Ticker: RTY) |
At least 9.85% per annum |
• |
70% of the Initial Value |
70% of the Initial Value |
48131G493 / US48131G4938 |
S&P 500® Index (Bloomberg Ticker: SPX) |
• |
70% of the Initial Value |
70% of the Initial Value |
EURO STOXX 50® Index (Bloomberg Ticker: SX5E) |
• |
70% of the Initial Value |
70% of the Initial Value |
*Rounded to three decimal places for the Russell 2000®
Index and rounded to two decimal places for the S&P 500® Index and the EURO STOXX 50® Index
See “Additional Information about JPMorgan Financial,
JPMorgan Chase & Co. and the Notes” in this pricing supplement. The Notes will have the terms specified in the prospectus
and the prospectus supplement, each dated April 13, 2023, the prospectus addendum dated June 3, 2024, product supplement no. UBS-1-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023 and this pricing supplement. The terms of the Notes as set forth
in this pricing supplement, to the extent they differ or conflict with those set forth in the accompanying product supplement, will supersede
the terms set forth in that product 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 prospectus, the accompanying prospectus supplement, the accompanying prospectus addendum, the accompanying
product supplement and the accompanying underlying supplement. Any representation to the contrary is a criminal offense.
|
Price to Public(1) |
Fees and Commissions(2) |
Proceeds to Issuer |
Offering of Notes |
Total |
Per Note |
Total |
Per Note |
Total |
Per Note |
Notes linked to the least performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index |
|
$10 |
|
$0.15 |
|
$9.85 |
| (1) | See “Supplemental Use of
Proceeds” in this pricing supplement for information about the components of the price to public of the Notes. |
| (2) | UBS Financial Services Inc.,
which we refer to as UBS, will receive selling commissions from us that will not exceed $0.15 per $10 principal amount Note. See “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental Plan of
Distribution” in this pricing supplement. |
If the Notes priced today and assuming a Contingent
Coupon Rate equal to the minimum Contingent Coupon Rate listed above, the estimated value of the Notes would be approximately $9.582 per
$10 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 $9.20 per $10 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
Information about JPMorgan Financial, JPMorgan Chase & Co. and 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 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.
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, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Notes
For purposes of the accompanying product supplement, each of
the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index is an “Index.”
Any values of the Underlyings, and any values derived therefrom,
included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the Notes. Notwithstanding anything to the contrary in the indenture governing the Notes, that amendment
will become effective without consent of the holders of the Notes or any other party.
Investor
Suitability
The Notes may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside
market risk as an investment in the Least Performing Underlying.
t You
are willing to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on the Final
Valuation Date and understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser decline or any
potential increase in the levels of the other Underlyings.
t You
accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
t You
understand and accept that you will not participate in any appreciation in the level of any Underlying and that your potential return
is limited to the Contingent Coupons.
t You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the
levels of the Underlyings.
t You
would be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the minimum Contingent Coupon Rate indicated on
the cover hereof (the actual Contingent Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement and is
expected to be, but will not be less than, the minimum Contingent Coupon Rate listed on the cover).
t You
do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the stocks included in the Underlyings.
t You
are able and willing to invest in Notes that may be called early (after an initial six-month non-call period) at JPMorgan Financial’s
election and you are otherwise able and willing to hold the Notes to maturity.
t You
accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on the price,
if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
t You
understand and accept the risks associated with the Underlyings.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes,
and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any
amounts due to you including any repayment of principal. |
|
The Notes may not be suitable for you if, among other considerations:
t You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
cannot tolerate a loss of all or a substantial portion of your investment or are unwilling to make an investment that may have the same
downside market risk as an investment in the Least Performing Underlying.
t You
are unwilling to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on the Final
Valuation Date or do not understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser decline
or any potential increase in the levels of the other Underlyings.
t You
require an investment designed to provide a full return of principal at maturity.
t You
do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
t You
seek an investment that participates in the full appreciation in the level of any or all Underlyings or that has unlimited return potential.
t You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in
the levels of the Underlyings.
t You
would not be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the minimum Contingent Coupon Rate indicated
on the cover hereof (the actual Contingent Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement and
is expected to be, but will not be less than, the minimum Contingent Coupon Rate listed on the cover).
t You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and
credit ratings.
t You
seek guaranteed current income from this investment or prefer to receive the dividends paid on the stocks included in the Underlyings.
t You
are unable or unwilling to invest in Notes that may be called early (after an initial six-month non-call period) at JPMorgan Financial’s
election, or you are otherwise unable or unwilling to hold the Notes to maturity or you seek an investment for which there will be an
active secondary market.
t You
do not understand or accept the risks associated with the Underlyings.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes,
including any repayment of principal. |
The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability of an
investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks” section
of this pricing supplement, the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product
supplement and Annex A to the accompanying prospectus addendum for risks related to an investment in the Notes. For more information on
the Underlyings, please see the sections titled “The Russell 2000® Index,” “The S&P 500®
Index” and “The EURO STOXX 50® Index” below.
Issuer: |
|
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
|
JPMorgan Chase & Co. |
Issue Price: |
|
$10 per Note |
Underlyings: |
|
Russell 2000® Index
S&P 500® Index
EURO STOXX 50® Index |
Principal Amount: |
|
$10 per Note (subject to a minimum purchase of 100 Notes or $1,000) |
Term1: |
|
3.5 years, unless called earlier at the election of JPMorgan Financial |
Issuer Call Feature: |
|
JPMorgan Financial may elect to call the Notes on any Quarterly Observation End Date (after an initial six-month non-call period and other than the Final Valuation Date), regardless of the closing level of any Underlying on that Quarterly Observation End Date. If the Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount plus any Contingent Coupon otherwise due for the Quarterly Observation Period ending on the applicable Quarterly Observation End Date, and no further payments will be made on the Notes. Before JPMorgan Financial elects to call the Notes on a Quarterly Observation End Date, JPMorgan Financial will deliver written notice to The Depository Trust Company (“DTC”) on or before that Quarterly Observation End Date. |
Contingent Coupon: |
|
If the closing level of each Underlying is equal to or greater
than its Coupon Barrier on each day during a Quarterly Observation Period, we will pay you the Contingent Coupon for that Quarterly Observation
Period on the relevant Coupon Payment Date.
If the closing level of any Underlying is less than its Coupon
Barrier on any day during a Quarterly Observation Period, the Contingent Coupon for that Quarterly Observation Period will not accrue
or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
Each Contingent Coupon will be a fixed amount based on equal
quarterly installments at the Contingent Coupon Rate, which is a per annum rate. You should be willing to invest in the Notes if the
Contingent Coupon Rate were set equal to the minimum Contingent Coupon Rate set forth in “Contingent Coupon Rate” below.
Contingent Coupon payments on the Notes are not guaranteed.
We will not pay you the Contingent Coupon for any Quarterly Observation Period in which the closing level of any Underlying on any day
during that Quarterly Observation Period is less than its Coupon Barrier. |
Quarterly Observation Period: |
|
With respect to each Coupon Payment Date, the period from but excluding the second immediately preceding Quarterly Observation End Date (or, in the case of the first Coupon Payment Date, from but excluding the Pricing Date) to and including the immediately preceding Quarterly Observation End Date. |
Contingent Coupon Rate: |
|
At least 9.85% per annum. The actual Contingent Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, 9.85% per annum. |
Contingent Coupon payments: |
|
At least $0.2463 per $10 principal amount Note. The actual Contingent Coupon payments will be based on the Contingent Coupon Rate and finalized on the Trade Date and provided in the pricing supplement. |
|
Coupon Payment Dates2: |
|
As specified under the “Coupon Payment Dates / Call Settlement Dates (if called)” column of the table under “Quarterly Observation Periods, Quarterly Observation End Dates and Coupon Payment Dates” below |
|
Call Settlement Dates2: |
|
First Coupon Payment Date following the applicable Quarterly Observation End Date |
|
Payment at Maturity (per $10 Note): |
|
If JPMorgan Financial does not elect to call the Notes
and the Final Value of each Underlying is equal to or greater than its Downside Threshold, we will pay you a cash payment at maturity
per $10 principal amount Note equal to $10 plus any Contingent Coupon otherwise due on the Maturity Date.
If JPMorgan Financial does not elect to call the Notes and
the Final Value of any Underlying is less than its Downside Threshold, we will pay you a cash payment at maturity that is less than
$10 per $10 principal amount Note, equal to:
$10 × (1 + Least Performing Underlying
Return)
In this scenario, you will be exposed to the decline of the
Least Performing Underlying and you will lose some or all of your principal at maturity in an amount proportionate to the negative Underlying
Return of the Least Performing Underlying. |
|
Underlying Return: |
|
With respect to each Underlying:
Final Value – Initial Value
Initial Value |
|
Least Performing Underlying: |
|
The Underlying with the Lowest Underlying Return |
|
Least Performing Underlying Return: |
|
The lowest of the Underlying Returns of the Underlyings |
|
Initial Value: |
|
With respect to each Underlying, the closing level of that Underlying on the Trade Date |
|
Final Value: |
|
With respect to each Underlying, the closing level of that Underlying on the Final Valuation Date |
|
Downside Threshold3: |
|
With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement |
|
Coupon Barrier3: |
|
With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement |
|
| 1 | See footnote 1 under “Key
Dates” on the front cover. |
| 2 | See footnote 2 under “Key
Dates” on the front cover. |
| 3 | Rounded to three decimal places
for the Russell 2000® Index and rounded to two decimal places for the S&P 500® Index and the EURO STOXX
50® Index. |
Investment Timeline |
|
|
|
Trade Date |
|
The closing level of each Underlying (Initial Value) is observed, the Downside Threshold and the Coupon Barrier of each Underlying are determined and the Contingent Coupon Rate is finalized. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062205/image_001.jpg) |
|
|
Quarterly
(callable by JPMorgan Financial
at its election after an initial six-month non-call period): |
|
If the closing level of each Underlying is equal to or greater
than its Coupon Barrier on each day during a Quarterly Observation Period, JPMorgan Financial will pay you a Contingent Coupon on the
related Coupon Payment Date.
JPMorgan Financial may, at its election and upon written notice
to DTC, call the Notes on any Quarterly Observation End Date (after an initial six-month non-call period and other than the Final Valuation
Date), regardless of the closing level of any Underlying on that Quarterly Observation End Date. If JPMorgan Financial elects to call
the Notes, JPMorgan Financial will pay you a cash payment per Note equal to the principal amount plus any Contingent Coupon otherwise
due for the applicable Quarterly Observation Period, and no further payments will be made on the Notes. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062205/image_002.jpg) |
|
Maturity Date |
|
The Final Value of each
Underlying is determined as of the Final Valuation Date.
If JPMorgan Financial does not elect to call the Notes
and the Final Value of each Underlying is equal to or greater than its Downside Threshold, we will pay you a cash payment at maturity
per $10 principal amount Note equal to $10 plus any Contingent Coupon otherwise due on the Maturity Date.
If JPMorgan Financial does not elect to call the Notes and
the Final Value of any Underlying is less than its Downside Threshold, we will pay you a cash payment at maturity that is less than
$10 per $10 principal amount, equal to:
$10 × (1 + Least Performing Underlying
Return) per Note
In this scenario, you will be exposed
to the decline of the Least Performing Underlying and you will lose some or all of your principal at maturity in an amount proportionate
to the negative Underlying Return of the Least Performing Underlying |
|
|
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME
OR ALL OF YOUR PRINCIPAL AMOUNT AT MATURITY. YOU MAY RECEIVE FEW OR NO QUARTERLY CONTINGENT COUPONS DURING THE TERM OF THE NOTES. YOU
WILL BE EXPOSED TO THE MARKET RISK OF EACH UNDERLYING ON EACH DAY OF THE QUARTERLY OBSERVATION PERIODS AND ON THE FINAL VALUATION DATE
AND ANY DECLINE IN THE LEVEL OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND WILL NOT BE OFFSET OR MITIGATED BY A LESSER DECLINE
OR ANY POTENTIAL INCREASE IN THE LEVELS OF THE OTHER UNDERLYINGS. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT
TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.
WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE
INVESTMENT.
Quarterly
Observation Periods, Quarterly Observation End Dates and Coupon Payment Dates
Quarterly Observation Periods Ending on the
Following Quarterly Observation End Dates* |
Coupon Payment Dates /
Call Settlement Dates (if called) |
October 21, 2024 |
October 24, 2024 |
January 21, 2025 |
January 24, 2025 |
April 22, 2025 |
April 25, 2025 |
July 21, 2025 |
July 24, 2025 |
October 20, 2025 |
October 23, 2025 |
January 20, 2026 |
January 23, 2026 |
April 20, 2026 |
April 23, 2026 |
July 20, 2026 |
July 23, 2026 |
October 19, 2026 |
October 22, 2026 |
January 19, 2027 |
January 22, 2027 |
April 19, 2027 |
April 22, 2027 |
July 19, 2027 |
July 22, 2027 |
October 19, 2027 |
October 22, 2027 |
January 19, 2028** (the Final Valuation Date) |
January 24, 2028** (the Maturity Date) |
*The Notes are not callable at JPMorgan Financial’s election
until the second Quarterly Observation End Date, January 21, 2025.
**The Notes are not callable at JPMorgan
Financial’s election on the Final Valuation Date. Thus, the Maturity Date is not a Call Settlement Date.
Each of the Quarterly Observation End Dates, and therefore the Coupon
Payment Dates, is 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.
What
Are the Tax Consequences of the Notes?
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. In determining our reporting responsibilities
we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Coupons as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons”
in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that
this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt.
Sale, Exchange or Redemption of a Note. Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including upon early redemption or redemption at maturity), you should
recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes,
which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated as ordinary income, consistent
with the position referred to above). This gain or loss should be short-term capital gain or loss unless you hold the Notes for more than
one year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser of the
Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes between the time your
right to a Contingent Coupon is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary income equal
to the Contingent Coupon. Although uncertain, it is possible that proceeds received from the sale or exchange of your Notes prior to a
Quarterly Observation End Date but that can be attributed to an expected Contingent Coupon payment could be treated as ordinary income.
You should consult your tax adviser regarding this issue.
As described above, 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 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 in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of
income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the
instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the
Notes, possibly with retroactive effect. 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 the
U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented
by the notice described above.
Non-U.S. Holders — Tax Considerations. The U.S.
federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a position that Contingent
Coupons are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), it is expected that withholding agents
will (and we, if we are the withholding agent, intend to) withhold on any Contingent Coupon paid to a Non-U.S. Holder generally at a rate
of 30% or at a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision. We
will not be required to pay any additional amounts with respect to amounts withheld. In order to claim an exemption from, or a reduction
in, the 30% withholding tax, a Non-U.S. Holder of the Notes must comply with certification requirements to establish that it is not a
U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should
consult your tax adviser regarding the tax treatment of the Notes, including the possibility of obtaining a refund of any withholding
tax and the certification requirement described above.
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.
In the event of any withholding on the Notes, we will not be
required to pay any additional amounts with respect to amounts so withheld.
Key
Risks
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in any or all of the Underlyings. These risks are explained in more detail in the
“Risk Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to
the accompanying prospectus addendum. We also urge you to consult your investment, legal, tax, accounting and other advisers before you
invest in the Notes.
Risks Relating to the Notes Generally
| t | Your Investment in the Notes May Result in a Loss — The Notes differ from ordinary debt securities in that JPMorgan Financial
will not necessarily repay the full principal amount of the Notes. If JPMorgan Financial does not elect to call the Notes and the closing
level of any Underlying has declined below its Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation
of the Least Performing Underlying from its Initial Value to its Final Value. In this case, JPMorgan Financial will repay less than the
full principal amount at maturity, resulting in a loss of principal that is proportionate to the negative Underlying Return of the Least
Performing Underlying. Under these circumstances, you will lose 1% of your principal for every 1% that the Final Value of the Least Performing
Underlying is less than its Initial Value and could lose your entire principal amount. As a result, your investment in the Notes may not
perform as well as an investment in a security that does not have the potential for full downside exposure to any Underlying. |
| t | Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. — The Notes are unsecured and unsubordinated
debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed by
JPMorgan Chase & Co. The Notes will rank pari passu with all of our other unsecured and unsubordinated obligations,
and the related guarantee JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase & Co.’s
other unsecured and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Notes, including any repayment of principal, depends on the ability of JPMorgan Financial
and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial
and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms
of the Notes and you could lose your entire investment. |
| t | As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and 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. |
| t | We May Accelerate Your Notes If a Change-in-Law Event Occurs — Upon the announcement or occurrence of legal or regulatory
changes that the calculation agent determines are likely to interfere with your or our ability to transact in or hold the Notes or our
ability to hedge or perform our obligations under the Notes, we may, in our sole and absolute discretion, accelerate the payment on your
Notes and pay you an amount determined in good faith and in a commercially reasonable manner by the calculation agent. If the payment
on your Notes is accelerated, your investment may result in a loss and you may not be able to reinvest your money in a comparable investment.
Please see “General Terms of Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement for
more information. |
| t | You Are Not Guaranteed Any Contingent Coupons — We will not necessarily make periodic coupon payments on the Notes. If
the closing level of any Underlying is less than its Coupon Barrier on any day during a Quarterly Observation Period, we will not pay
you the Contingent Coupon for that Quarterly Observation Period and the Contingent Coupon that would otherwise be payable will not be
accrued and will be lost. This will be the case even if the closing levels of the other Underlyings are greater than or equal to their
respective Coupon Barriers on each day during that Quarterly Observation Period, and even if the closing level of that Underlying was
higher than its Coupon Barrier on every other day during the Quarterly Observation Period. If the closing level of any Underlying is less
than its Coupon Barrier on any day during each Quarterly Observation Period, we will not pay you any Contingent Coupon during the term
of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon coincides with a period
of greater risk of principal loss on your Notes. |
| t | Return on the Notes Limited to the Sum of Any Contingent Coupons and You Will Not Participate in Any Appreciation of Any Underlying
— The return potential of the Notes is limited to the specified Contingent Coupon Rate, regardless of the appreciation of any
Underlying, which may be significant. In addition, the total return on the Notes will vary based on the number of Quarterly Observation
Periods during which the requirements for a Contingent Coupon have been met prior to maturity or JPMorgan Financial electing to call the
Notes. Further, if JPMorgan Financial elects to call the Notes, you will not receive any Contingent Coupons or any other payments in respect
of any Quarterly Observation Periods after the Call Settlement Date. If JPMorgan Financial does not elect to call the Notes, you may be
subject to the risk of decline in the level of each Underlying, even though you are not able to participate in any potential appreciation
of any Underlying. As a result, the return on an investment in the Notes could be less than the return on a hypothetical direct investment
in any Underlying. In addition, if JPMorgan Financial does not elect to call the Notes and the Final Value of any Underlying is below
its Downside Threshold, you will lose some or all of your principal amount and the overall return on the Notes may be less than the amount
that would be paid on a conventional debt security of JPMorgan Financial of comparable maturity. |
| t | Because the Notes Are
Linked to the Least Performing Underlying, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining a Significant Loss
on Your Investment at Maturity Than If the Notes Were Linked to a Single Underlying — The risk that you will not receive any
Contingent Coupons and lose some or all of your initial investment in the Notes at maturity is greater if you invest in the Notes as
opposed to substantially similar securities that are linked to the performance of a single Underlying or to two Underlyings. With three
Underlyings, it is more likely that the closing level of an Underlying will be less than its Coupon Barrier on any day during the Quarterly
Observation Periods or less than its Downside Threshold on the Final Valuation Date. Therefore, it is more likely that you will not receive
any Contingent Coupons and that you will suffer a significant loss on your investment at maturity. In addition, the performance of the
Underlyings may not be correlated or may be negatively correlated. |
The lower the correlation between any two
of the Underlyings, the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside Threshold on
any day during a Quarterly Observation Period or the Final Valuation Date, respectively, and with three Underlyings there is a greater
potential that one pair of Underlyings will have low or negative correlation.
In addition, for each additional Underlying
to which the Notes are linked, there is a greater potential for one pair of Underlyings to have low or negative correlation. Therefore,
the greater the number of Underlyings, the greater the potential for missed Contingent Coupons and for a loss of principal at maturity.
Although the correlation of the Underlyings’ performance may change over the term of the Notes, the Contingent Coupon Rate is determined,
in part, based on the correlation of the Underlyings’ performance, as calculated using internal models of our affiliates at the
time when the terms of the Notes are finalized. A higher Contingent Coupon Rate is generally associated with lower correlation of
the Underlyings and/or a greater number of Underlyings, which reflects a greater potential for missed Contingent Coupons and for a loss
of principal at maturity. The correlations referenced in setting the terms of the Notes are calculated using internal models of our affiliates
and are not derived from the returns of the Underlyings over the period set forth under “Correlation of the Underlyings” below.
In addition, other factors and inputs other than correlation may impact how the terms of the Notes are set and the performance of the
Notes.
| t | You Are Exposed to the Risk of Decline in the Level of Each Underlying — Your return on the Notes and your payment at
maturity, if any, is not linked to a basket consisting of the Underlyings. If JPMorgan Financial does not elect to call the Notes, your
payment at maturity is contingent upon the performance of each individual Underlying such that you will be equally exposed to the risks
related to each of the Underlyings. In addition, the performance of the Underlyings may not be correlated. Poor performance by any of
the Underlyings over the term of the Notes may negatively affect whether you will receive a Contingent Coupon on any Coupon Payment Date
and your payment at maturity and will not be offset or mitigated by positive performance by any of the other Underlyings. Accordingly,
your investment is subject to the risk of decline in the value of each Underlying. |
| t | Your Payment at Maturity Will Be Determined by the Least Performing Underlying — Because the payment at maturity will
be determined based on the performance of the Least Performing Underlying, you will not benefit from the performance of any of the other
Underlyings. Accordingly, if JPMorgan Financial does not elect to call the Notes and the Final Value of any Underlying is less than
its Downside Threshold, you will lose some or all of your principal amount at maturity, even if the Final Value of either or both of the
other Underlyings is greater than or equal to its Initial Value. |
| t | Contingent Repayment of Principal Applies Only If You Hold the Notes to Maturity — If you are able to sell your Notes
in the secondary market, if any, prior to maturity, you may have to sell them at a loss relative to your initial investment even if the
closing levels of all of the Underlyings are above their respective Downside Thresholds. If by maturity the Notes have not been called,
either JPMorgan Financial will repay you the full principal amount per Note, with or without the Contingent Coupon, or, if any Underlying
closes below its Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything,
at maturity, resulting in a loss on your principal amount that is proportionate to the decline in the closing level of the Least Performing
Underlying from its Initial Value to its Final Value. This contingent repayment of principal applies only if you hold your Notes to maturity. |
| t | A Higher Contingent Coupon Rate and/or a Lower Coupon Barrier and/or Downside Threshold May Reflect Greater Expected Volatility
of the Underlyings, Which Is Generally Associated with a Greater Risk of Loss — Volatility is a measure of the degree of variation
in the levels of the Underlyings over a period of time. The greater
the expected volatilities of the Underlyings at the time the terms of the Notes are set, the greater the expectation is at that time that
the level of an Underlying could close below its Coupon Barrier on any day during any Quarterly Observation Period, resulting in the loss
of one or more, or all, Contingent Coupon payments, or below its Downside Threshold on the Final Valuation Date, resulting in the loss
of a significant portion or all of your principal at maturity. In
addition, the economic terms of the Notes, including the Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold, are based,
in part, on the expected volatilities of the Underlyings at the time the terms of the Notes are set, where higher expected volatilities
will generally be reflected in a higher Contingent Coupon Rate than the fixed rate we would pay on conventional debt securities of the
same maturity and/or on otherwise comparable securities and/or a lower Coupon Barrier and/or a lower Downside Threshold as compared to
otherwise comparable securities. Accordingly, a higher Contingent
Coupon Rate will generally be indicative of a greater risk of loss while a lower Coupon Barrier or Downside Threshold does not necessarily
indicate that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity.
You should be willing to accept the downside market risk of each Underlying and the potential loss of some or all of your principal at
maturity. |
| t | Call and Reinvestment Risk — JPMorgan Financial may, in its sole discretion, elect to call the Notes on any Quarterly
Observation End Date (after an initial six-month non-call period and other than the Final Valuation Date), regardless of the closing level
of any Underlying on that Quarterly Observation End Date. If JPMorgan Financial elects to call your Notes early, you will no longer have
the opportunity to receive any Contingent Coupons after the applicable Call Settlement Date. The second Quarterly Observation End Date,
and the first potential date on which JPMorgan Financial may elect to call the Notes, occurs after approximately six months and therefore
you may not have the opportunity to receive any Contingent Coupons after approximately six months. In the event JPMorgan Financial elects
to call the Notes, there is no guarantee that you will 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. |
It is more likely that JPMorgan Financial
will elect to call the Notes prior to maturity when the expected interest payable on the Notes is greater than the interest that would
be payable on other instruments issued by JPMorgan Financial of comparable maturity, terms and credit rating trading in the market. The
greater likelihood of JPMorgan Financial calling the Notes in that environment increases the risk that you will not be able to reinvest
the proceeds from the called Notes in an equivalent investment with a similar interest rate. JPMorgan Financial is less likely to call
the Notes prior to maturity when the expected interest payable on the Notes is less than the interest that would be payable on other comparable
instruments issued by JPMorgan Financial, which includes when the level of any of the Underlyings is less than its Coupon Barrier. Therefore,
the Notes are more likely to remain outstanding when the expected interest payable on the Notes is less than what would be payable on
other comparable instruments and when your risk of not receiving a Contingent Coupon is relatively higher.
| t | Each Quarterly Contingent Coupon Is Based on the Closing Levels of the Underlyings on Each Day During the Applicable Quarterly
Observation Period — Whether a Contingent Coupon will be payable with respect to a Quarterly Observation Period will be based
solely on the closing levels of the Underlyings on each day during that Quarterly Observation Period. If the closing level of any Underlying
on any day during a Quarterly Observation Period is less than its Coupon Barrier, you will not receive any Contingent Coupon with respect
to that Quarterly Observation Period. As a result, a Contingent Coupon for a Quarterly Observation Period may be lost after the first
day of such period, but you will not know whether you will receive a Contingent Coupon for a Quarterly Observation Period until the end
of the related period. |
| t | Investing in the Notes Is Not Equivalent to Investing in the Stocks Composing the Underlyings — Investing in the Notes
is not equivalent to investing in the stocks included in the Underlyings. As an investor in the Notes, you will not have any ownership
interest or rights in the stocks included in the Underlyings, such as voting rights, dividend payments or other distributions. |
| t | We Cannot Control Actions by the Sponsor of Any Underlying and That Sponsor Has No Obligation
to Consider Your Interests — We and our affiliates are not affiliated with the sponsor of any Underlying and have no ability
to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating
to the calculation of that Underlying. The sponsor of each Underlying is not involved in this Note offering in any way and has no obligation
to consider your interest as an owner of the Notes in taking any actions that might affect the market value of your Notes. |
| t | Your Return on the Notes Will Not Reflect Dividends on the Stocks Composing the Underlyings — Your return on the Notes
will not reflect the return you would realize if you actually owned the stock included in the Underlyings and received the dividends on
the stock included in the Underlyings. This is because the calculation agent will determine whether a Contingent Coupon is payable and,
if the Notes are not called, will calculate the amount payable to you at maturity of the Notes by reference to the closing level of each
Underlying on each day during the relevant Quarterly Observation Period and the Final Valuation Date, respectively, without taking into
consideration the value of dividends on the stock included in that Underlying. |
| t | No Assurances That the Investment View Implicit in the Notes Will Be Successful — While the Notes are structured to provide
for Contingent Coupons if each Underlying does not close below its Coupon Barrier on any day during the Quarterly Observation Periods,
we cannot assure you of the economic environment during the term or at maturity of your Notes. |
| t | 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. |
| t | Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax adviser
about your tax situation. |
| t | The Final Terms and Valuation of the Notes Will Be Finalized on the Trade Date and 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 finalized on the Trade Date and provided in the pricing supplement. In particular, each of the estimated value of
the Notes and the Contingent Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement, and each may be as
low as the applicable minimum set forth on the cover of this pricing supplement. Accordingly, you should consider your potential investment
in the Notes based on the minimums for the estimated value of the Notes and the Contingent Coupon Rate. |
Risks Relating to Conflicts of Interest
| t | 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 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. |
| t | Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS, UBS or their
affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Notes,
and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy or hold
the Underlyings and could affect the level of an Underlying, and therefore the market value of the Notes. |
| t | Potential JPMorgan Financial Impact on the Level of an Underlying — Trading or transactions by JPMorgan Financial or its
affiliates in an Underlying and/or over-the-counter options, futures or other instruments with returns linked to the performance of an
Underlying may adversely affect the level of that Underlying and, therefore, the market value of the Notes. |
Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes
| t | 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. |
| t | 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. |
| t | 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. |
| t | 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). |
| t | 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 factor for information about additional factors that will impact any secondary market
prices of the Notes. |
The Notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See “— Risks Relating to
the Notes Generally — Lack of Liquidity” above.
| t | Many Economic and Market Factors Will Impact the Value of the Notes — As described under “The Estimated Value of
the Notes” in this pricing supplement, the Notes can be thought of as securities that combine a fixed-income debt component with
one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments will also
influence the terms of the Notes at issuance and their value in the secondary market. Accordingly, 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 levels of the Underlyings, including: |
| t | any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads; |
| t | customary bid-ask spreads for similarly sized trades; |
| t | our internal secondary market funding rates for structured debt
issuances; |
| t | the actual and expected volatility in the levels of the Underlyings; |
| t | the time to maturity of the Notes; |
| t | whether the closing level of any Underlying has been, or is expected to be, less than its Coupon Barrier on any day during any Quarterly
Observation Period and whether the Final Value of any Underlying is expected to be less than its Downside Threshold; |
| t | the dividend rates on the equity securities underlying the Underlyings; |
| t | the actual and expected positive or negative correlation between any two of the Underlyings, or the actual or expected absence of
any such correlation; |
| t | interest and yield rates in the market generally; |
| t | the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity
securities included in the EURO STOXX 50® Index trade and the correlation among those rates and the levels of the EURO
STOXX 50® Index; and |
| t | a variety of other economic, financial, political, regulatory
and judicial events. |
Additionally, independent pricing vendors and/or
third party broker-dealers may publish a price for the Notes, which may also be reflected on customer account statements. This price may
be different (higher or lower) than the price of the Notes, if any, at which JPMS may be willing to purchase your Notes in the secondary
market.
Risks Relating to the Underlyings
| t | JPMorgan Chase & Co. Is Currently One of the Companies that Make Up the S&P 500® Index —
JPMorgan Chase & Co. is currently one of the companies that make up the S&P 500® Index. JPMorgan
Chase & Co. will not have any obligation to consider your interests as a holder of the Notes in taking any corporate action
that might affect the value of the S&P 500® Index and the Notes. |
| t | An Investment in the Notes Is Subject to Risks Associated with Small Capitalization Stocks with Respect to the Russell
2000® Index — The equity securities included in the Russell 2000®
Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile
than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market,
trade and competitive conditions relative to larger companies. These companies tend to be less well-established than large market capitalization
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. |
| t | Non-U.S. Securities Risk with
Respect to the EURO STOXX 50® Index — The equity securities included in the EURO STOXX 50® Index
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 securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility
in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is
generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are
subject to the reporting requirements of the SEC. |
| t | No Direct Exposure to Fluctuations in Foreign Exchange Rates with
Respect to the EURO STOXX 50® Index — The value of your Notes will not be adjusted for exchange rate fluctuations
between the U.S. dollar and the currencies upon which the equity securities included in the EURO STOXX 50® Index are based,
although any currency fluctuations could affect the performance of the EURO STOXX 50® Index. Therefore, if the applicable
currencies appreciate or depreciate relative to the U.S. dollar over the term of the Notes, you will not receive any additional payment
or incur any reduction in any payment on the Notes. |
Hypothetical
Examples
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on
a Coupon Payment Date, upon an issuer-elected call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering
of the Notes, with the assumptions set forth below.* We cannot predict the closing level of any Underlying on any day during the term
of the Notes, including on any day during any Quarterly Observation Period or on the Final Valuation Date. You should not take these examples
as an indication or assurance of the expected performance of the Notes. Numbers in the examples below have been rounded for ease of analysis.
In these examples, we refer to the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50®
Index as the “RTY Index,” the “SPX Index” and the “SX5E Index,” respectively.
Principal Amount: |
$10.00 |
Term: |
3.5 years (unless earlier called) |
Hypothetical Initial Value: |
100.000 for the RTY Index, 100.00 for the SPX Index and 100.00 for the SX5E Index |
Hypothetical Contingent Coupon Rate: |
9.85% per annum (or 2.463% per quarter) |
Quarterly Observation Periods/Quarterly
Observation End Dates: |
Quarterly |
Hypothetical Downside Threshold: |
70.000 for the RTY Index, 70.00 for the SPX Index and 70.00 for the SX5E Index (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying) |
Hypothetical Coupon Barrier: |
70.000 for the RTY Index, 70.00 for the SPX Index and 70.00 for the SX5E Index (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying) |
| * | Terms used for purposes of these hypothetical examples may not
represent the actual Contingent Coupon Rate, Initial Values, Coupon Barriers or Downside Thresholds. The actual Contingent Coupon Rate
will be finalized on the Trade Date and provided in the pricing supplement. The hypothetical Initial Values of 100.000 for the RTY Index,
100.00 for the SPX Index and 100.00 for the SX5E Index have been chosen for illustrative purposes only and may not represent a likely
actual Initial Value for any Underlying. The actual Initial Value and resulting Downside Threshold and Coupon Barrier of each Underlying
will be based on the closing level of that Underlying on the Trade Date. For historical data regarding the actual closing levels of the
Underlyings, please see the historical information set forth under the sections titled “The Russell 2000® Index,”
“The S&P 500® Index” and “The EURO STOXX 50® Index” below. |
The examples below are purely hypothetical. These examples
are intended to illustrate (a) the effect of an issuer-elected call, (b) how the payment of a Contingent Coupon with respect to any Quarterly
Observation Period will depend on whether the closing level of any Underlying is less than its Coupon Barrier on any day during that Quarterly
Observation Period, (c) how the value of the payment at maturity on the Notes will depend on whether the Final Value of any Underlying
is less than its Downside Threshold and (d) how the total return on the Notes may be less than the total return on a direct investment
in any or all Underlyings in certain scenarios. The “total return” as used in this pricing supplement is the number, expressed
as a percentage, that results from comparing the total payments per $10.00 principal amount Note over the term of the Notes to the $10.00
initial issue price.
Example 1 — JPMorgan Financial Elects to Call the Notes
on the Second Quarterly Observation End Date
Quarterly Observation
Period |
|
Lowest Closing
Level During
Applicable
Quarterly
Observation Period |
|
Payment (per Note) |
First Quarterly Observation Period |
|
RTY Index: 105.000
SPX Index: 110.00
SX5E Index: 45.00 |
|
Notes NOT callable. Closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date. |
Second Quarterly Observation Period |
|
RTY Index: 105.000
SPX Index: 110.00
SX5E Index: 90.00 |
|
Issuer elects to call the Notes.
Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon
of $0.2463 on Call Settlement Date.
|
Total Payments (per $10.00 Note): |
|
Payment on Call Settlement Date: |
$10.2463 ($10.00 + $0.2463) |
|
|
Total: |
$10.2463 |
|
|
Total Return: |
2.463% |
On the second Quarterly Observation End Date, JPMorgan Financial
elects to call the Notes. Because the closing level of each Underlying is above its applicable Coupon Barrier on each day during the second
Quarterly Observation Period (the Quarterly Observation End Date of which is approximately six months after the Trade Date and is the
first Quarterly Observation End Date on which the Notes are callable), JPMorgan Financial will pay you on the Call Settlement Date $10.2463
per $10.00 principal amount Note, which is equal to your principal amount plus the Contingent Coupon due on the Coupon Payment
Date that is also the Call Settlement Date. No further amounts will be owed to you under the Notes.
However, because the closing level of at least one Underlying
was less than its Coupon Barrier on at least one day during the first Quarterly Observation Period, JPMorgan Financial will not pay any
Contingent Coupon on the Coupon Payment Date following the first Quarterly Observation Period. Accordingly, JPMorgan Financial will have
paid a total of $10.2463 per $10.00 principal amount Note for a 2.463% total return over the shortened six (6) month term of the Notes.
Example 2 — Notes Are NOT Called and the Final Value
of Each Underlying Is Above Its Downside Threshold
Quarterly
Observation
Period |
|
Lowest Closing
Level During
Applicable
Quarterly
Observation
Period |
|
Final Value |
|
Payment (per Note) |
First Quarterly Observation Period |
|
RTY Index:
115.000
SPX Index:
110.00
SX5E Index:
105.00 |
|
N/A |
|
Notes NOT callable. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2463 on first Coupon Payment Date. |
Second Quarterly Observation Period |
|
RTY Index:
80.000
SPX Index:
80.00
SX5E Index:
90.00 |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2463 on second Coupon Payment Date. |
Third to Thirteenth Quarterly Observation Periods |
|
Various (at least one Underlying below Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the third to thirteenth Coupon Payment Dates. |
Fourteenth Quarterly Observation Period (the final Quarterly Observation Period) |
|
RTY Index:
110.000
SPX Index:
85.00
SX5E Index:
80.00 |
|
RTY Index:
110.000
SPX Index:
90.00
SX5E Index:
85.00 |
|
Notes NOT callable. Final Value of each Underlying above its Downside Threshold and closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer repays principal plus pays Contingent Coupon of $0.2463 on Maturity Date. |
Total Payments (per $10.00 Note): |
|
Payment at Maturity: |
$10.2463 ($10.00 + $0.2463) |
|
|
Prior Contingent Coupons: |
$0.4926 ($0.2463 × 2) |
|
|
Total: |
$10.7389 |
|
|
Total Return: |
7.389% |
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal to its Downside Threshold
and the closing level of each Underlying is greater than or equal to its Coupon Barrier on each day during the final Quarterly Observation
Period, JPMorgan Financial will pay you on the Maturity Date $10.2463 per $10.00 principal amount Note, which is equal to your principal
amount plus the Contingent Coupon due on the Coupon Payment Date that is also the Maturity Date.
In addition, because the closing level of each Underlying was
greater than or equal to its Coupon Barrier on each day during the first and second Quarterly Observation Periods, JPMorgan Financial
will pay the Contingent Coupon of $0.2463 on the first and second Coupon Payment Dates. However, because the closing level of at least
one Underlying was less than its Coupon Barrier on at least one day during each of the third through thirteenth Quarterly Observation
Periods, JPMorgan Financial will not pay any Contingent Coupon on the Coupon Payment Date following the applicable Quarterly Observation
Period. Accordingly, JPMorgan Financial will have paid a total of $10.7389 per $10.00 principal amount Note for a 7.389% total return
over the term of the Notes.
Example 3 — Notes Are NOT Called and the Final Value
of Each Underlying Is Above Its Downside Threshold
Quarterly
Observation
Period |
|
Lowest Closing
Level During
Applicable
Quarterly
Observation
Period |
|
Final Value |
|
Payment (per Note) |
First Quarterly Observation Period |
|
RTY Index: 115.000
SPX Index: 110.00
SX5E Index: 105.00 |
|
N/A |
|
Notes NOT callable. Closing level
of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2463
on first Coupon Payment Date.
|
Second Quarterly Observation Period |
|
RTY Index: 80.000
SPX Index: 80.00
SX5E Index: 90.00 |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2463 on second Coupon Payment Date. |
Third to Thirteenth Quarterly Observation Periods |
|
Various (at least one Underlying below Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the third to thirteenth Coupon Payment Dates. |
Fourteenth Quarterly Observation Period (the final Quarterly Observation Period) |
|
RTY Index:
90.000
SPX Index:
80.00
SX5E Index:
60.00 |
|
RTY Index:
110.000
SPX Index:
90.00
SX5E Index:
80.00 |
|
Notes NOT callable. Final Value of each Underlying above its Downside Threshold but closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer repays principal but does not pay Contingent Coupon. |
Total Payments (per $10.00 Note): |
|
Payment at Maturity: |
$10.00 |
|
|
Prior Contingent Coupons: |
$0.4926 ($0.2463 × 2) |
|
|
Total: |
$10.4926 |
|
|
Total Return: |
4.926% |
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal to its Downside Threshold
but the closing level of at least one Underlying is less than its Coupon Barrier on at least one day during the final Quarterly Observation
Period, JPMorgan Financial will pay you on the Maturity Date $10.00 per $10.00 principal amount Note, which is equal to your principal
amount, but JPMorgan Financial will not pay any Contingent Coupon on the Maturity Date.
In addition, because the closing level of each Underlying was greater
than or equal to its Coupon Barrier on each day during the first and second Quarterly Observation Periods, JPMorgan Financial will pay
the Contingent Coupon of $0.2463 on the first and second Coupon Payment Dates. However, because the closing level of at least one Underlying
was less than its Coupon Barrier on at least one day during each of the third through thirteenth Quarterly Observation Periods, JPMorgan
Financial will not pay any Contingent Coupon on the Coupon Payment Date following the applicable Quarterly Observation Period. Accordingly,
JPMorgan Financial will have paid a total of $10.4926 per $10.00 principal amount Note for a 4.926% total return over the term of the
Notes.
Example 4 — Notes Are NOT Called and the Final Value of Any Underlying
Is Below Its Downside Threshold
Quarterly
Observation
Period |
|
Lowest Closing
Level During
Applicable
Quarterly
Observation
Period |
|
Final Value |
|
Payment (per Note) |
First Quarterly Observation Period |
|
RTY Index: 40.000
SPX Index:
45.00
SX5E Index:
30.00 |
|
N/A |
|
Notes NOT callable. Closing level of each Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date. |
Second to Thirteenth Quarterly Observation Periods |
|
Various (at least one Underlying below Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the second to thirteenth Coupon Payment Dates. |
Fourteenth Quarterly Observation Period (the final Quarterly Observation Period) |
|
RTY Index:
45.000
SPX Index:
100.00
SX5E Index:
80.00 |
|
RTY Index:
45.000
SPX Index:
110.00
SX5E Index:
80.00 |
|
Notes NOT callable. Closing level of RTY Index below its Downside Threshold; Issuer DOES NOT pay Contingent Coupon on Maturity Date, and Issuer will repay less than the principal amount resulting in a loss proportionate to the decline of the Least Performing Underlying. |
Total Payments (per $10.00 Note): |
|
Payment at Maturity: |
$4.50 |
|
|
Prior Contingent Coupons: |
$0.00 |
|
|
Total: |
$4.50 |
|
|
Total Return: |
-55.00% |
In this example, the Issuer does not elect to call the Notes and the
Notes remain outstanding until maturity. Because the Final Value of at least one Underlying is less than its Downside Threshold on the
Final Valuation Date, at maturity, JPMorgan Financial will pay you a total of $4.50 per $10.00 principal amount, for a -55.00% total return
on the Notes, calculated as follows:
$10.00 × (1 + Least Performing Underlying
Return)
Step 1: Determine the Underlying Return of each Underlying:
Underlying Return of the RTY Index:
Final Value – Initial Value |
= |
45.000 – 100.000 |
= -55.00% |
Initial Value |
100.000 |
Underlying Return of the SPX Index:
Final Value – Initial Value |
= |
110.00 – 100.00 |
= 10.00% |
Initial Value |
100.00 |
Underlying Return of the SX5E Index:
Final Value – Initial Value |
= |
80.00 – 100.00 |
= -20.00% |
Initial Value |
100.00 |
Step 2: Determine the Least Performing Underlying. The RTY Index
is the Underlying with the lowest Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10.00 × (1 + Least Performing Underlying
Return) = $10.00 × (1 + -55.00%) = $4.50
In addition, because the closing level of at least one Underlying is
less than its Coupon Barrier on at least one day during each Quarterly Observation Period, JPMorgan Financial will not pay any Contingent
Coupons over the term of the Notes. Accordingly, JPMorgan Financial will have paid a total of $4.50 per $10.00
principal amount Note for a -55.00% total return over the term of the Notes.
The hypothetical returns and hypothetical payments on the
Notes shown above apply only if you hold the Notes for their entire term or until called. 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.
The
Underlyings
Included on the following pages is a brief description of the
Underlyings. This information has been obtained from publicly available sources, without independent verification. We obtained the closing
levels information set forth below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. You should not take the historical levels of any Underlying as an indication of future performance.
The
Russell 2000® Index
The Russell 2000® Index consists of the middle
2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest
2,000 companies included in the Russell 3000® 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 Russell 2000® Index,
see the information set forth under “Equity Index Descriptions — The Russell Indices” in the accompanying underlying
supplement.
Historical Information Regarding the Russell 2000®
Index
The graph below illustrates the daily performance of the Russell
2000® Index from January 2, 2014 through July 16, 2024, based on information from Bloomberg, without independent verification.
The closing level of the Russell 2000® Index on July 16, 2024 was 2,263.674. The actual Initial Value of the Russell 2000®
Index will be the closing level of the Russell 2000® Index on the Trade Date. We obtained the closing levels of the Russell
2000® Index above and below from Bloomberg, without independent verification.
The dotted line represents a hypothetical Downside Threshold
and Coupon Barrier of 1,584.572, equal to 70% of the closing level of the Russell 2000® Index on July 16, 2024. The actual
Downside Threshold and Coupon Barrier will be based on the closing level of the Russell 2000® Index on the Trade Date (the
Initial Value) and will each equal 70% of the Initial Value of the Russell 2000® Index.
Past performance of the Russell 2000® Index
is not indicative of the future performance of the Russell 2000® Index.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062205/image_003.jpg)
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 the information set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
Historical Information Regarding the S&P 500®
Index
The graph below illustrates the daily performance of the S&P
500® Index from January 2, 2014 through July 16, 2024, based on information from Bloomberg, without independent verification.
The closing level of the S&P 500® Index on July 16, 2024 was 5,667.20. The actual Initial Value of the S&P 500®
Index will be the closing level of the S&P 500® Index on the Trade Date. We obtained the closing levels of the S&P
500® Index above and below from Bloomberg, without independent verification.
The dotted line represents a hypothetical Downside Threshold
and Coupon Barrier of 3,967.04, equal to 70% of the closing level of the S&P 500® Index on July 16, 2024. The actual
Downside Threshold and Coupon Barrier will be based on the closing level of the S&P 500® Index on the Trade Date (the
Initial Value) and will each equal 70% of the Initial Value of the S&P 500® Index.
Past performance of the S&P 500® Index
is not indicative of the future performance of the S&P 500® Index.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062205/image_004.jpg)
The
EURO STOXX 50® Index
The EURO STOXX 50® Index consists of 50 component stocks
of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX® are the intellectual
property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which
are used under license. The Notes based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted
by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors shall have any liability with respect thereto For
additional information about the STOXX Benchmark Indices, see the information set forth under “Equity Index Descriptions —
The STOXX Benchmark Indices” in the accompanying underlying supplement.
Historical Information Regarding the EURO STOXX 50®
Index
The graph below illustrates the daily performance of the EURO STOXX
50® Index from January 2, 2014 through July 16, 2024, based on information from Bloomberg, without independent verification.
The closing level of the EURO STOXX 50® Index on July 16, 2024 was 4,947.83. The actual Initial Value of the EURO STOXX
50® Index will be the closing level of the EURO STOXX 50® Index on the Trade Date. We obtained the closing
levels of the EURO STOXX 50® Index above and below from Bloomberg, without independent verification.
The dotted line represents a hypothetical Downside Threshold and Coupon
Barrier of 3,463.48, equal to 70% of the closing level of the EURO STOXX 50® Index on July 16, 2024. The actual Downside
Threshold and Coupon Barrier will be based on the closing level of the EURO STOXX 50® Index on the Trade Date (the Initial
Value) and will each equal 70% of the Initial Value of the EURO STOXX 50® Index.
Past performance of the EURO STOXX 50® Index is
not indicative of the future performance of the EURO STOXX 50® Index.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062205/image_005.jpg)
Correlation
of the Underlyings
The graph below illustrates the daily performance of the Russell
2000® Index, the S&P 500® Index and the EURO STOXX 50® Index from January 2, 2014 through
July 16, 2024. For comparison purposes, each Underlying has been normalized to have a closing level of 100.00 on January 2, 2014 by dividing
the closing level of that Underlying on each day by the closing level of that Underlying on January 2, 2014 and multiplying by 100.00.
We obtained the closing levels used to determine the normalized closing levels set forth below from Bloomberg, without independent verification.
Past performance of the Underlyings is not indicative
of the future performance of the Underlyings.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062205/image_006.jpg)
The correlation of a pair of Underlyings represents a statistical measurement
of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing and direction.
The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation (i.e.,
the value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant), 0 indicating
no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings) and -1.0 indicating
perfect negative correlation (i.e., as the value of one Underlying increases, the value of the other Underlying decreases and the
ratio of their returns has been constant).
The closer the relationship of the returns of a pair of Underlyings
over a given period, the more positively correlated those Underlyings are. The graph above illustrates the historical performance of each
of the Underlyings relative to the other Underlyings over the time period shown and provides an indication of how close the relative performance
of one Underlying has historically been to another.
The lower (or more negative) the correlation between two Underlyings,
the less likely it is that those Underlyings will move in the same direction and, therefore, the greater the potential for one of those
Underlyings to close below its Coupon Barrier or Downside Threshold on any day during a Quarterly Observation Period or the Final Valuation
Date, respectively. This is because the less positively correlated a pair of Underlyings are, the greater the likelihood that at
least one of the Underlyings will decrease in value. However, even if two Underlyings have a higher positive correlation, one or
both of those Underlyings might close below its Coupon Barrier or Downside Threshold on any day during a Quarterly Observation Period
or the Final Valuation Date, respectively, as both of those Underlyings may decrease in value together.
In addition, for each additional Underlying to which the Notes are
linked, there is a greater potential for one pair of Underlyings to have low or negative correlation. Therefore, the greater the number
of Underlyings, the greater the potential for missed Contingent Coupons and for a loss of principal at maturity. Although the correlation
of the Underlyings’ performance may change over the term of the Notes, the Contingent Coupon Rate is determined, in part, based
on the correlations of the Underlyings’ performance calculated using internal models of our affiliates at the time when the terms
of the Notes are finalized. A higher Contingent Coupon Rate is generally associated with lower correlation of the Underlyings and/or
a greater number of Underlyings, which reflects a greater potential for missed Contingent Coupons and for a loss of principal at maturity.
The correlations referenced in setting the terms of the Notes are calculated using internal models of our affiliates and are not
derived from the returns of the Underlyings over the period set forth above. In addition, other factors and inputs other than correlation
may impact how the terms of the Notes are set and the performance of the Notes.
Supplemental
Plan of Distribution
We and JPMorgan Chase & Co. have agreed to indemnify
UBS and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to
make relating to these liabilities as described in the prospectus supplement and the prospectus. We will agree that UBS may sell all or
a part of the Notes that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to purchase
the Notes in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and JPMS and/or
an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental
Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying product supplement.
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 values 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 “Key Risks — 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 “Key Risks — 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 UBS, 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 “Key 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”
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 “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary
Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition, we generally
expect that some of the costs included in the original issue price of the Notes will be partially paid back to you in connection with
any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to
be up to five months. The length of any such initial period reflects secondary market volumes for the Notes, 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 “Key Risks — Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account
Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The Notes are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the Notes. See “Hypothetical Examples” in this pricing supplement
for an illustration of the risk-return profile of the Notes and “The Underlyings” in this pricing supplement for a description
of the market exposure provided by the Notes.
The original issue price of the Notes is equal to the estimated
value of the Notes plus the selling commissions paid to UBS, 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.
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