The information in this preliminary pricing supplement is
not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these securities
in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated August 19,
2024
JPMorgan Chase Financial Company LLC |
August 2024 |
|
Preliminary Pricing Supplement |
|
Registration Statement Nos. 333-270004 and 333-270004-01 |
|
Dated August , 2024 |
|
Filed pursuant to Rule 424(b)(2) |
Structured Investments
Opportunities in U.S. Equities
Dual Directional Buffered PLUS Based on the Performance
of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside
SecuritiesSM
Principal at Risk Securities
Fully and Unconditionally Guaranteed by
JPMorgan Chase & Co.
The Dual Directional Buffered PLUS, or Buffered PLUS, will pay no interest
and provide a minimum payment at maturity of only 10.00% of the stated principal amount. At maturity, if the ETF Shares have appreciated
in price, investors will receive the stated principal amount of their investment plus leveraged upside performance of the ETF Shares,
subject to a maximum upside payment at maturity. If the ETF Shares have declined in price but by no more than the specified buffer amount,
investors will receive at maturity the stated principal amount of their investment plus an unleveraged positive return equal to the absolute
value of the percentage decline, which will effectively be limited to a positive 10% return. However, if the ETF Shares have declined
by more than the buffer amount, at maturity investors will lose the benefit of the absolute return feature and will lose 1% for every
1% decline beyond the specified buffer amount, subject to the minimum payment at maturity of 10.00% of the stated principal amount. Investors
may lose up to 90.00% of the stated principal amount of the Buffered PLUS at maturity. The Buffered PLUS are for investors who seek
an equity-based return and who are willing to risk their principal and forgo current income and upside above the maximum upside payment
at maturity in exchange for the leverage, absolute return and buffer features that in each case apply only to a limited range of performance
of the ETF Shares. Despite its name, there is no guarantee that the iShares®
Global Clean Energy ETF will provide exposure to companies that exhibit positive or favorable clean energy characteristics. If the
clean energy characteristics of the iShares® Global Clean
Energy ETF are a factor in your decision to invest in the Buffered PLUS, you should consult with your legal or other advisers before making
an investment in the Buffered PLUS. The Buffered PLUS are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company
LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.,
issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program. Any payment on the Buffered PLUS is subject to the
credit risk of JPMorgan Financial, as issuer of the Buffered PLUS, and the credit risk of JPMorgan Chase & Co., as guarantor
of the Buffered PLUS.
SUMMARY TERMS |
Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
ETF Shares: |
Shares of the iShares® Global Clean Energy ETF (Bloomberg ticker: ICLN UQ Equity) |
Aggregate principal amount: |
$ |
Payment at maturity: |
If the final share price is greater than the initial share price, for each $1,000 stated principal amount Buffered PLUS, |
|
$1,000 + leveraged upside payment |
|
In no event will the payment at maturity exceed the maximum upside payment at maturity. |
|
If the final share price is equal to the initial share price or is less than the initial share price but has decreased from the initial share price by an amount less than or equal to the buffer amount of 10.00%, for each $1,000 stated principal amount Buffered PLUS, |
|
$1,000 + ($1,000 × absolute share return)
In this scenario, you will receive a 1% positive return on the Buffered
PLUS for each 1% negative return of the ETF Shares. In no event will this amount exceed the stated principal amount plus $100.00. |
|
If the final share price is less than the initial share price and has decreased from the initial share price by an amount greater than the buffer amount of 10.00%, for each $1,000 stated principal amount Buffered PLUS, |
|
($1,000 × share performance factor) + $100.00 |
|
This amount will be less than the stated principal amount of $1,000 per Buffered PLUS. However, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., under no circumstances will the Buffered PLUS pay less than $100.00 per Buffered PLUS at maturity. |
Leveraged upside payment: |
$1,000 × leverage factor × share percent change |
Share percent change: |
(final share price – initial share price) / initial share price |
Leverage factor: |
150% |
Absolute share return: |
The absolute value of the share percent change. For example, a -5% share percent change will result in a +5% absolute share return. |
Buffer amount: |
10.00% |
Share performance factor: |
final share price / initial share price |
Maximum upside payment at maturity: |
At least $1,310.00 (at least 131.00% of the stated principal amount) per Buffered PLUS. The actual maximum upside payment at maturity will be provided in the pricing supplement and will not be less than $1,310.00 per Buffered PLUS. |
Pricing date: |
August , 2024 (expected to price on or about August 30, 2024) |
Original issue date (settlement date): |
September , 2024 (3 business days after the pricing date) |
Valuation date*: |
August 31, 2026 |
Maturity date*: |
September 3, 2026 |
Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
|
Terms continued on the following page |
Commissions and issue price: |
Price to public(1) |
Fees and commissions |
Proceeds to issuer |
Per Buffered PLUS |
$1,000.00 |
$20.00(2) |
$975.00 |
|
|
$5.00(3) |
|
Total |
$ |
$ |
$ |
| (1) | See “Additional Information about the Buffered PLUS — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the Buffered PLUS. |
| (2) | JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Smith
Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $20.00 per $1,000 stated
principal amount Buffered PLUS. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
| (3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each $1,000
stated principal amount Buffered PLUS. |
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying
— Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement
If the Buffered PLUS priced today and assuming a maximum upside
payment at maturity equal to the minimum listed above, the estimated value of the Buffered PLUS would be approximately $952.00 per $1,000
stated principal amount Buffered PLUS. The estimated value of the Buffered PLUS on the pricing date will be provided in the pricing supplement
and will not be less than $930.00 per $1,000 stated principal amount Buffered PLUS. See “Additional Information about the Buffered
PLUS — The estimated value of the Buffered PLUS” in this document for additional information.
Investing in the Buffered PLUS involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Risk Factors” beginning on page 7 of this
document.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the Buffered PLUS or passed upon the accuracy
or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and
prospectus addendum. Any representation to the contrary is a criminal offense.
The Buffered PLUS 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.
You should read this document together with the related
product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum, each of which can be accessed via
the hyperlinks below. Please also see “Additional Information about the Buffered PLUS” at the end of this document.
Product supplement no. 4-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
Underlying supplement no. 1-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
Prospectus supplement and prospectus, each dated April
13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
Prospectus addendum dated June 3, 2024: http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of the MSCI Emerging Markets Index due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Terms continued from previous page:
Minimum payment at maturity: |
$100.00 per Buffered PLUS (10.00% of the stated principal amount) |
Stated principal amount: |
$1,000 per Buffered PLUS |
Issue price: |
$1,000 per Buffered PLUS (see “Commissions and issue price” above) |
Initial share price: |
The closing price of one ETF Share on the pricing date |
Final share price: |
The closing price of one ETF Share on the valuation date |
Share adjustment factor: |
The share adjustment factor is referenced in determining the closing price of one ETF Share and is set initially at 1.0 on the pricing date. The share adjustment factor is subject to adjustment in the event of certain events affecting the ETF Shares. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement. |
CUSIP / ISIN: |
48135TJZ7 / US48135TJZ75 |
Listing: |
The Buffered PLUS will not be listed on any securities exchange. |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Buffered Performance Leveraged Upside Securities
Principal at Risk Securities
The Dual Directional Buffered PLUS Based on the Performance of
the iShares® Global Clean Energy ETF due September 3, 2026 (the “Buffered PLUS”) can be used:
§ | As an alternative to direct exposure to the ETF Shares that
enhances returns for a certain range of potential positive performance of the ETF Shares. |
§ | To potentially achieve similar levels of upside exposure
to the ETF Shares as a direct investment, subject to the maximum upside payment at maturity, while using fewer dollars by taking advantage
of the leverage factor. |
§ | To provide an unleveraged positive return in the event of
a decline of the ETF Shares but only if the decline is less than or equal to the buffer amount. |
§ | To obtain a buffer against a specified level of negative
performance of the ETF Shares. |
Maturity: |
Approximately 2 years |
Leverage factor: |
150% |
Buffer amount: |
10.00% |
Maximum upside payment at maturity: |
At least $1,310.00 (at least 131.00% of the stated principal amount) per Buffered PLUS (to be provided in the pricing supplement) |
Minimum payment at maturity: |
$100.00 per Buffered PLUS. Investors may lose up to 90.00% of the stated principal amount of the Buffered PLUS at maturity. |
Supplemental Terms of the Buffered PLUS
For purposes of the accompanying product
supplement, the iShares® Global Clean Energy ETF is a “Fund.”
Any values of the ETF Shares, and any values derived therefrom,
included in this document may be corrected, in the event of manifest error or inconsistency, by amendment of this document and the corresponding
terms of the Buffered PLUS. Notwithstanding anything to the contrary in the indenture governing the Buffered PLUS, that amendment will
become effective without consent of the holders of the Buffered PLUS or any other party.
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
Buffered PLUS offer leveraged exposure to an underlying asset, which
may be equities, commodities and/or currencies, and the opportunity, through the absolute return feature, to earn a positive return at
maturity for a limited range of negative performance of the underlying asset. If the underlying asset has decreased in value by more than
the specified buffer amount, investors are exposed to the negative performance of the underlying asset, subject to the minimum payment
at maturity. At maturity, if the underlying asset has appreciated, investors will receive the stated principal amount of their investment
plus leveraged upside performance of the underlying asset, subject to the maximum upside payment at maturity. At maturity, if the
underlying asset has depreciated but by no more than the specified buffer amount, investors will receive the stated principal amount of
their investment plus an unleveraged positive return equal to the absolute value of the percentage decline in the underlying asset,
which will effectively be limited to a positive 10% return. However, at maturity, if the underlying asset has depreciated by more than
the buffer amount, the investor will lose the benefit of the absolute return feature and will lose 1% for every 1% decline beyond the
specified buffer amount. Investors may lose up to 90.00% of the stated principal amount of the Buffered PLUS at maturity.
Leveraged Performance |
The Buffered PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the ETF Shares. |
Upside Scenario |
The ETF Shares increase in price and, at maturity, the Buffered PLUS pay the stated principal amount of $1,000 plus a return equal to 150% of the share percent change, subject to the maximum upside payment at maturity of at least $1,310.00 (at least 131.00% of the stated principal amount) per Buffered PLUS. The actual maximum upside payment at maturity will be provided in the pricing supplement. |
Absolute Return Scenario |
The final share price is equal to the initial share price or is less than initial share price but has decreased from the initial share price by an amount less than or equal to the buffer amount of 10.00%. In this case, the securities pay a 1% positive return for each 1% negative return of the ETF Shares. For example, if the final index value is 5% less than the initial share price, the Buffered PLUS will provide a total positive return of 5% at maturity. The maximum return you may receive in this scenario is a positive 10% return at maturity. |
Downside Scenario |
The ETF Shares decline in price by more than 10.00% and, at maturity, the Buffered PLUS pay an amount that is less than the stated principal amount by an amount that is proportionate to the percentage decline of the final share price from the initial share price, plus the buffer amount of 10.00%. (Example: if the ETF Shares decrease in price by 30%, the Buffered PLUS will pay an amount that is less than the stated principal amount by 30% plus the buffer amount of 10.00%, or $800.00 per Buffered PLUS.) The minimum payment at maturity is $100.00 per Buffered PLUS, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Buffered PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on the
Buffered PLUS based on the following terms:
Stated principal amount: |
$1,000 per Buffered PLUS |
Leverage factor: |
150% |
Hypothetical maximum upside payment at maturity: |
$1,310.00 (131.00% of the stated principal amount) per Buffered PLUS (which represents the lowest hypothetical maximum upside payment at maturity)* |
Minimum payment at maturity: |
$100.00 per Buffered PLUS |
*
The actual maximum upside payment at maturity will be provided in the pricing supplement and will not be less than $1,310.00 per
Buffered PLUS. |
Buffered PLUS Payoff Diagram |
|
How it works
| § | Upside Scenario. If the final share price is
greater than the initial share price, for each $1,000 principal amount Buffered PLUS investors will receive the $1,000 stated principal
amount plus a return equal to 150% of the appreciation of the ETF Shares over the term of the Buffered PLUS, subject to the maximum
upside payment at maturity. Under the hypothetical terms of the Buffered PLUS, an investor will realize the hypothetical maximum upside
payment at maturity at a final share price of approximately 120.66667% of the initial share price. |
| § | Absolute Return Scenario. If the final share
price is equal to the initial share price or is less than or equal to the initial share price but has decreased from the initial share
price by an amount less than or equal to the buffer amount of 10.00%, investors will receive a 1% positive return on the securities for
each 1% negative return of the ETF Shares. |
| § | For example, if the ETF Shares declines 5%, investors will receive a 5% return, or $1,050.00 per Buffered PLUS. |
| § | The maximum return you may receive in this scenario is a positive 10% return at maturity. |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | Downside Scenario. If the final share price
is less than the initial share price and has decreased from the initial share price by an amount greater than the buffer amount of 10.00%,
investors will receive an amount that is less than the stated principal amount by an amount proportionate to the percentage decrease of
the final share price from the initial share price, plus the buffer amount of 10.00%. The minimum payment at maturity is $100.00 per Buffered
PLUS. |
| § | For example, if the ETF Shares depreciates 50.00%, investors will lose 40.00% of their principal and receive only $600.00 per Buffered
PLUS at maturity, or 60.00% of the stated principal amount. |
The hypothetical returns and hypothetical payments
on the Buffered PLUS shown above apply only if you hold the Buffered PLUS for their entire term. These hypotheticals do not reflect
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the Buffered PLUS. For further discussion of these
and other risks, you should read the sections entitled “Risk Factors” of the accompanying prospectus supplement and the accompanying
product supplement and in Annex A to the accompanying prospectus addendum. We urge you to consult your investment, legal, tax, accounting
and other advisers in connection with your investment in the Buffered PLUS.
Risks Relating to the Buffered
PLUS Generally
| § | Buffered PLUS do not pay interest and you could lose up to 90.00% of your
principal at maturity. The terms of the Buffered PLUS differ from those of ordinary debt securities in that the Buffered PLUS
do not pay interest and provide a minimum payment at maturity of only 10.00% of your principal, subject to the credit risks of JPMorgan
Financial and JPMorgan Chase & Co. If the final share price has declined by an amount greater than the buffer amount of
10.00% from the initial share price, you will lose the benefit of the absolute return feature and you will instead receive for each Buffered
PLUS that you hold a payment at maturity that is less than the stated principal amount of each Buffered PLUS by an amount proportionate
to the decline in the price of the ETF Shares, plus $100.00 per Buffered PLUS. Accordingly, you could lose up to 90.00% of your
principal. |
| § | The appreciation potential of the Buffered PLUS if the ETF Shares have
appreciated is limited by the maximum upside payment at maturity. The appreciation potential of
the Buffered PLUS is limited by the maximum upside payment at maturity of at least $1,310.00 (at least 131.00% of the stated principal
amount) per Buffered PLUS. The actual maximum upside payment at maturity will be provided in the pricing supplement. Because the maximum
upside payment at maturity will be limited to at least 131.00% of the stated principal amount for the Buffered PLUS, any increase in the
final share price by more than approximately
20.66667% (if the maximum upside payment at maturity is set at 131.00% of the stated principal amount) will not further increase the return
on the Buffered PLUS. |
| § | Your maximum downside gain on the Buffered PLUS is limited by the buffer
amount. If the final share price is
less than the initial share price but has decreased
from the initial share price by an amount less than
or equal to the buffer amount, you will receive at maturity $1,000 plus a return equal to the absolute share return, which will
reflect a 1% positive return for each 1% negative return on the ETF Shares, subject to an effective limit of 10%. Because you will
not receive a positive return if the ETF Shares have declined below the buffer amount, your maximum payment at maturity if the ETF Shares
depreciate will be $1,100.00 per Buffered PLUS. |
| § | The Buffered PLUS are subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit
ratings or credit spreads may adversely affect the market value of the Buffered PLUS. Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the Buffered PLUS. Any actual or anticipated decline in our or JPMorgan
Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined
by the market for taking that credit risk is likely to adversely affect the market value of the Buffered PLUS. If we and JPMorgan Chase & Co.
were to default on our payment obligations, you may not receive any amounts owed to you under the Buffered PLUS and you could lose your
entire investment. |
| § | As a finance subsidiary, JPMorgan Financial has no independent operations
and has limited assets. As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond
the issuance and administration of our securities and the collection of intercompany obligations. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to
make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are
dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the Buffered PLUS. 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 Buffered PLUS as they come due. If JPMorgan Chase & Co.
does not make payments to us and we are unable to make payments on the Buffered PLUS, 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. |
| § | Secondary trading may be limited. The
Buffered PLUS will not be listed on a securities exchange. There may be little or no secondary market for the Buffered PLUS. Even if there
is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Buffered PLUS easily.
JPMS may act as |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
a market maker for the Buffered PLUS, but is not required to
do so. Because we do not expect that other market makers will participate significantly in the secondary market for the Buffered PLUS,
the price at which you may be able to trade your Buffered PLUS is likely to depend on the price, if any, at which JPMS
is willing to buy the Buffered PLUS. If at any time JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the Buffered PLUS.
| § | The final terms and estimated valuation of the Buffered PLUS will be provided in the pricing
supplement. The final terms of the Buffered PLUS will be provided in the pricing supplement. In particular, each of the
estimated value of the Buffered PLUS and the maximum upside payment at maturity will be provided in the pricing supplement and each may
be as low as the applicable minimum set forth on the cover of this document. Accordingly, you should consider your potential investment
in the Buffered PLUS based on the minimums for the estimated value of the Buffered PLUS and the maximum upside payment at maturity. |
| § | The tax consequences of an investment in the Buffered PLUS are uncertain. There is no direct legal authority as to the proper
U.S. federal income tax characterization of the Buffered PLUS, and we do not intend to request a ruling from the IRS. The IRS might not
accept, and a court might not uphold, the treatment of the Buffered PLUS described in “Additional Information about the Buffered
PLUS ― Additional Provisions ― Tax considerations” in this document and in “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement. If the IRS were successful in asserting an alternative treatment for the Buffered PLUS, the timing
and character of any income or loss on the Buffered PLUS could differ materially and adversely from our description herein. In addition,
in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue
income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or
loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to
withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very
generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Buffered PLUS,
possibly with retroactive effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the Buffered PLUS, including possible alternative treatments and the issues presented by this notice. |
Risks Relating to Conflicts of Interest
| § | Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the Buffered PLUS and other
affiliates of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the Buffered PLUS, including acting as calculation agent
and as an agent of the offering of the Buffered PLUS, hedging our obligations under the Buffered PLUS and making the assumptions used
to determine the pricing of the Buffered PLUS and the estimated value of the Buffered PLUS, which we refer to as the estimated value of
the Buffered PLUS. 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 Buffered
PLUS. The calculation agent will determine the initial share price and
the final share price and will calculate the amount
of payment you will receive at maturity. Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence
of market disruption events, the selection of a successor to the ETF Shares or calculation of the final share price in
the event of a discontinuation of the ETF Shares, and any anti-dilution adjustments, may affect the payment to you at maturity. |
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 Buffered
PLUS and the value of the Buffered PLUS. It is possible that hedging or trading activities of ours or our affiliates in connection with
the Buffered PLUS could result in substantial returns for us or our affiliates while the value of the Buffered PLUS declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information
about these risks.
| § | Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the Buffered
PLUS. The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect
to the Buffered PLUS on or prior to the pricing date and
prior to maturity could |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
adversely affect the value of the ETF Shares and, as a result,
could decrease the amount an investor may receive on the Buffered PLUS at maturity. Any of these hedging or trading activities on or prior
to the pricing date could potentially affect the initial share price and, therefore, could potentially increase the level that the final
share price must reach before you receive a payment at maturity that exceeds the issue price of the Buffered
PLUS or so that you do not suffer a loss on your initial investment in the Buffered PLUS. Additionally, these hedging or trading
activities during the term of the Buffered PLUS, including
on the valuation date, could adversely affect the final share price and, accordingly, the payment to you at maturity. It is possible that
these hedging or trading activities could result in substantial returns for us or our affiliates while the value of the Buffered PLUS
declines.
Risks Relating to the Estimated
Value and Secondary Market Prices of the Buffered PLUS
| § | The estimated value of the Buffered PLUS will be lower than the original
issue price (price to public) of the Buffered PLUS. The estimated value of the Buffered PLUS is
only an estimate determined by reference to several factors. The original issue price of the Buffered PLUS will exceed the estimated value
of the Buffered PLUS because costs associated with selling, structuring and hedging the Buffered PLUS are included in the original issue
price of the Buffered PLUS. These costs include the selling commissions, the structuring fee, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the Buffered PLUS and the estimated cost of
hedging our obligations under the Buffered PLUS. See “Additional Information about the Buffered PLUS — The estimated value
of the Buffered PLUS” in this document. |
| § | The estimated value of the Buffered PLUS does not represent future values
of the Buffered PLUS and may differ from others’ estimates. The estimated value of the Buffered
PLUS is determined by reference to internal pricing models of our affiliates. This estimated value of the Buffered PLUS is based on market
conditions and other relevant factors existing at the time of pricing 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 Buffered PLUS
that are greater than or less than the estimated value of the Buffered PLUS. 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 Buffered PLUS could change
significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy the Buffered
PLUS from you in secondary market transactions. See “Additional Information about the Buffered PLUS — The estimated value
of the Buffered PLUS” in this document. |
| § | The estimated value of the Buffered PLUS is derived by reference to an
internal funding rate. The internal funding rate used in the determination of the estimated value
of the Buffered PLUS 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 Buffered PLUS as well as the higher issuance, operational and ongoing liability management costs of the
Buffered PLUS 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 Buffered PLUS. The use of an internal funding rate and any potential changes to that rate may
have an adverse effect on the terms of the Buffered PLUS and any secondary market prices of the Buffered PLUS. See “Additional Information
about the Buffered PLUS — The estimated value of the Buffered PLUS” in this document. |
| § | The value of the Buffered PLUS as published by JPMS (and which may be reflected
on customer account statements) may be higher than the then-current estimated value of the Buffered PLUS for a limited time period.
We generally expect that some of the costs included in the original issue price of the Buffered PLUS
will be partially paid back to you in connection with any repurchases of your Buffered PLUS by JPMS in an amount that will decline to
zero over an initial predetermined period. These costs can include selling commissions, the structuring fee, projected hedging profits,
if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances.
See “Additional Information about the Buffered PLUS — Secondary market prices of the Buffered PLUS” in this document
for additional information relating to this initial period. Accordingly, the estimated value of your Buffered PLUS during this initial
period may be lower than the value of the Buffered PLUS as published by JPMS (and which may be shown on your customer account statements). |
| § | Secondary market prices of the Buffered PLUS will likely be lower than the original issue price of the Buffered PLUS.
Any secondary market prices of the Buffered PLUS will likely be lower than the original issue price of the Buffered PLUS 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, the structuring fee, projected hedging profits, if |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
any, and estimated hedging costs that are included in the original
issue price of the Buffered PLUS. As a result, the price, if any, at which JPMS will be willing to buy Buffered PLUS 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 Buffered PLUS.
The Buffered PLUS are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Buffered PLUS to maturity. See “— Risks Relating
to the Buffered PLUS Generally — Secondary trading may be limited” above.
| § | Secondary market prices of the Buffered PLUS will be impacted by many economic
and market factors. The secondary market price of the Buffered PLUS 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, structuring fee, projected
hedging profits, if any, estimated hedging costs and the closing price of one share of the ETF Shares, including: |
| o | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| o | customary bid-ask spreads for similarly sized trades; |
| o | our internal secondary market funding rates for structured debt issuances; |
| o | the actual and expected volatility of the ETF Shares; |
| o | the time to maturity of the Buffered PLUS; |
| o | the dividend rates on the ETF Shares and the equity securities underlying the ETF Shares; |
| o | interest and yield rates in the market generally; |
| o | the exchange rates and the volatility of the exchange rates
between the U.S. dollar and each of the currencies in which the non-U.S. equity securities underlying the ETF Shares trade and the correlation
among those rates and the price of one ETF Share; |
| o | the occurrence of certain events to the ETF Shares that may
or may not require an adjustment to the share adjustment factor; and |
| o | 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 Buffered PLUS, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Buffered PLUS, if any, at which JPMS may be willing to purchase your
Buffered PLUS in the secondary market.
Risks Relating to the ETF Shares
| § | Investing in the Buffered PLUS is not equivalent to investing in the ETF Shares. Investing in the Buffered PLUS is not equivalent
to investing in the ETF Shares, the index tracked by the ETF Shares, which we refer to as the underlying index, or the stocks underlying
the ETF Shares or the underlying index. Investors in the Buffered PLUS will not have voting rights or rights to receive dividends or other
distributions or any other rights with respect to the ETF Shares, the reference index or the stocks held by the ETF Shares or the underlying
index. |
| § | Adjustments to the ETF Shares or the underlying index could adversely affect the value of the Buffered PLUS. Those responsible
for calculating and maintaining the ETF Shares and the underlying index, can add, delete or substitute the components of the ETF Shares
or the underlying index, or make other methodological changes that could change the value of the ETF Shares or the underlying index. Any
of these actions could adversely affect the price of the ETF Shares and, consequently, the value of the Buffered PLUS. |
| § | There are risks associated with the ETF Shares. Although the
ETF Shares are listed for trading on a securities exchange and a number of similar products have been traded on various securities exchanges
for varying periods of time, there is no assurance that an active trading market will continue for the ETF Shares or that there will be
liquidity in the trading market. The ETF Shares are subject to management risk, which is the risk that the investment strategy of the
investment adviser to the ETF Shares, the |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
implementation of which is subject to a number of constraints,
may not produce the intended results. These constraints could adversely affect the market price of the ETF Shares and, consequently, the
value of the Buffered PLUS.
| § | The performance and market value of the ETF Shares, particularly during
periods of market volatility, may not correlate with the performance of the underlying index as well as the net asset value per ETF Share.
The iShares® Global Clean Energy ETF does not fully replicate the underlying index and may hold securities different from
those included in the underlying index. In addition, the performance of the ETF Shares will reflect additional transaction costs and fees
that are not included in the calculation of the underlying index. All of these factors may lead to a lack of correlation between the performance
of the ETF Shares and the underlying index. In addition, corporate actions with respect to the equity securities underlying the ETF Shares
(such as mergers and spin-offs) may impact the variance between the performances of the ETF Shares and the underlying index. Finally,
because the ETF Shares are traded on a securities exchange and are subject to market supply and investor demand, the market value of one
ETF Share may differ from the net asset value per ETF Share. |
During periods of market volatility, securities
underlying the ETF Shares may be unavailable in the secondary market, market participants may be unable to calculate accurately the net
asset value per ETF Share and the liquidity of the ETF Shares may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem ETF Shares. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell ETF Shares. As a result, under these circumstances, the market value
of ETF Shares may vary substantially from the net asset value per ETF Share. For all of the foregoing reasons, the performance of the
ETF Shares may not correlate with the performance of the underlying index as well as its net asset value per ETF Share, which could materially
and adversely affect the value of the securities in the secondary market and/or reduce any payment on the securities.
| § | There are risks associated with the clean energy sector. All
or substantially all of the equity securities held by the iShares® Global Clean Energy ETF are issued by companies whose
primary line of business is directly associated with the clean energy sector. As a result, the value of the Buffered PLUS may be subject
to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than
a different investment linked to securities of a more broadly diversified group of issuers. The risks of investing in the clean energy
sector include the risks of focusing investments in the water, energy and environmental sectors, and adverse developments in these sectors
may significantly affect the price of the ETF Shares. Clean energy companies may be highly dependent upon government subsidies, contracts
with government entities and the successful development of new and proprietary technologies. In addition, seasonal weather conditions,
fluctuations in the supply of and demand for clean energy products, changes in energy prices, international political events, the success
of project development and tax and other governmental regulatory policies may cause fluctuations in the performance of clean energy companies
and the prices of their securities. Weak demand for the companies’ products or services or for clean energy products and services
in general, may adversely affect the ETF Shares’ performance. Obsolescence of existing technology, short product cycles, legislation
resulting in more strict government regulations and enforcement policies, falling prices and profits, energy conservation, the supply
of, and demand for, oil and gas, the price of oil and gas, competition from new market entrants and general economic conditions can significantly
affect the clean energy sector. The clean energy sector is relatively nascent and under-researched in comparison to more established and
mature sectors, and should therefore be regarded as having greater investment risk. Therefore, shares of companies in this sector maybe
more volatile and, historically, have been more volatile than shares of companies operating in other, more established industries. In
addition, certain methods used to value companies involved in the alternative power and power technology sectors, particularly those companies
that have not yet traded profitably, have not been in widespread use for a significant period of time. As a result, the use of these valuation
methods may serve to increase further the volatility of certain alternative power and power technology company share prices. These factors
could affect the clean energy sector |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
and could affect the value of the equity securities held by
the iShares® Global Clean Energy ETF and the price of one ETF Share during the term of the Buffered PLUS, which may adversely
affect the value of your Buffered PLUS.
| § | The Buffered PLUS are subject to risks associated with securities issued by non-U.S. companies.
Some of the equity securities underlying the ETF Shares 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, and generally non-U.S.
companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different
from those applicable to U.S. reporting companies. |
| § | The Buffered PLUS are subject to currency exchange risk.
Because the prices of the non-U.S. equity securities underlying the ETF Shares are converted into
U.S. dollars for the purposes of calculating the net asset value of the ETF Shares, holders
of the Buffered PLUS will be exposed to currency exchange rate risk with respect to the currencies in which the non-U.S. equity securities
underlying the ETF Shares are traded. Your net exposure will depend on the extent to which
the currencies in which the non-U.S. equity securities underlying the ETF Shares are traded
strengthen or weaken against the U.S. dollar. If the U.S. dollar strengthens against the currencies in which the non-U.S. equity securities
underlying the ETF Shares are traded, the net asset value of the ETF Shares will
be adversely affected and the amount we pay you at maturity may be reduced. Of particular importance to potential currency exchange risk
are: |
| o | existing and expected rates of inflation; |
| o | existing and expected interest rate levels; |
| o | the balance of payments in the countries issuing those currencies
and the United States and between each country and its major trading partners; |
| o | political, civil or military unrest in the countries issuing
those currencies and the United States; and |
| o | the extent of government surpluses or deficits in the countries
issuing those currencies and the United States. |
All
of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries issuing
those currencies and the United States and other countries important to international trade and finance.
| § | The Buffered PLUS entail emerging markets risk. Some of the equity securities underlying the ETF Shares have been issued by
non-U.S. companies located in emerging markets countries. Countries with emerging markets may have relatively unstable governments,
may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets,
and may have less protection of property rights than more developed countries. The economies of countries with emerging markets
may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme
and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be unable
to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. |
| § | Recent executive orders may adversely affect the performance of the ETF Shares. Pursuant to recent executive orders,
U.S. persons are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain companies that are
determined to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities that are
derivative of, or are designed to provide investment exposure to, those securities. The sponsor of the underlying index has recently
removed the equity securities of a small number of companies from the index from which the constituents of the underlying index are drawn
in response to these executive orders. If the issuer of any of the equity |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
securities held by the iShares® Global Clean
Energy ETF is in the future designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly,
which would adversely affect the performance of the ETF Shares. In addition, under these circumstances, each of the sponsor of the
underlying index and the iShares® Global Clean Energy ETF is expected to remove the equity securities of that company from
the underlying index and the iShares® Global Clean Energy ETF, respectively. Any changes to the composition of the
iShares® Global Clean Energy ETF in response to these executive orders could adversely affect the performance of the ETF
Shares.
| § | Governmental legislative and regulatory actions, including sanctions, could adversely affect your investment in the Buffered PLUS.
Governmental legislative and regulatory actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government,
could prohibit or otherwise restrict persons from holding the Buffered PLUS or the ETF Shares, or engaging in transactions in them, and
any such action could adversely affect the value of the Buffered PLUS or the ETF Shares. These legislative and regulatory actions
could result in restrictions on the Buffered PLUS. You may lose a significant portion or all of your initial investment in the Buffered
PLUS if you are forced to divest the Buffered PLUS due to the government mandates, especially if such divestment must be made at a time
when the value of the Buffered PLUS has declined |
| § | The
anti-dilution protection for the ETF Shares is limited. The calculation agent will make adjustments
to the share adjustment factor for certain events affecting the ETF Shares. However, the calculation agent will not make an adjustment
in response to all events that could affect the ETF Shares. If an event occurs that does not require the calculation agent to make
an adjustment, the value of the Buffered PLUS may be materially and adversely affected.
|
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® Global Clean Energy ETF
Overview
The iShares® Global Clean Energy ETF is an exchange-traded
fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of global equities in the clean energy sector, which we refer to as the Underlying Index with respect to the iShares®
Global Clean Energy ETF. The Underlying Index with respect to the iShares® Global Clean Energy ETF is currently the S&P
Global Clean Energy IndexTM. Information provided to or filed with the SEC by iShares® Trust pursuant to the
Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to the SEC file numbers 333-92935 and 811-09729,
respectively, through the SEC’s website at http://www.sec.gov. For additional information about the iShares® Global
Clean Energy ETF, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying supplement.
Despite its name, there is no guarantee that the iShares®
Global Clean Energy ETF will provide exposure to companies that exhibit positive or favorable clean energy characteristics. If the
clean energy characteristics of the Shares® Global Clean Energy ETF are a factor in your decision to invest in the Buffered
PLUS, you should consult with your legal or other advisers before making an investment in the Buffered PLUS.
Information as of market close on August 16, 2024:
Bloomberg Ticker Symbol: |
ICLN |
52 Week High (on 8/29/2024): |
$16.54 |
Current Closing Level: |
$14.17 |
52 Week Low (on 10/30/2023): |
$12.86 |
52 Weeks Ago (on 8/16/2023): |
$16.17 |
|
|
The following table sets forth the published high and low closing
prices, as well as end-of-quarter closing prices, of the ETF Shares for each quarter in the period from January 1, 2019 through August
16, 2024. The closing price of one ETF Share on August 16, 2024 was $14.17. The associated graph following the table shows the closing
prices of one ETF Share for each day in the same period. We obtained the closing price information above and in the table and graph below
from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing prices
may have been adjusted by Bloomberg for actions taken relating to the ETF Shares, such as stock splits. The historical closing prices
of the ETF Shares should not be taken as an indication of future performance, and no assurance can be given as to the closing price of
one ETF Share on the valuation date.
iShares® Global Clean Energy ETF |
High |
Low |
Period End |
2019 |
|
|
|
First Quarter |
$9.95 |
$8.25 |
$9.76 |
Second Quarter |
$10.65 |
$9.80 |
$10.64 |
Third Quarter |
$11.39 |
$10.38 |
$10.90 |
Fourth Quarter |
$11.81 |
$10.55 |
$11.75 |
2020 |
|
|
|
First Quarter |
$14.24 |
$8.33 |
$9.55 |
Second Quarter |
$12.96 |
$9.19 |
$12.52 |
Third Quarter |
$18.49 |
$12.68 |
$18.49 |
Fourth Quarter |
$28.29 |
$19.08 |
$28.24 |
2021 |
|
|
|
First Quarter |
$33.41 |
$22.27 |
$24.30 |
Second Quarter |
$24.62 |
$20.71 |
$23.46 |
Third Quarter |
$23.79 |
$21.65 |
$21.65 |
Fourth Quarter |
$25.79 |
$20.44 |
$21.17 |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® Global Clean Energy ETF |
High |
Low |
Period End |
2022 |
|
|
|
First Quarter |
$21.52 |
$17.57 |
$21.52 |
Second Quarter |
$22.08 |
$16.82 |
$19.05 |
Third Quarter |
$23.61 |
$18.81 |
$19.09 |
Fourth Quarter |
$21.27 |
$17.54 |
$19.85 |
2023 |
|
|
|
First Quarter |
$21.36 |
$18.32 |
$19.78 |
Second Quarter |
$19.91 |
$17.78 |
$18.40 |
Third Quarter |
$19.04 |
$14.59 |
$14.62 |
Fourth Quarter |
$15.73 |
$12.86 |
$15.57 |
2024 |
|
|
|
First Quarter |
$15.39 |
$13.42 |
$13.98 |
Second Quarter |
$15.08 |
$13.02 |
$13.32 |
Third Quarter (through August 16, 2024) |
$14.41 |
$13.26 |
$14.17 |
iShares®
Global Clean Energy ETF Historical Performance – Daily Closing Prices
January 2, 2019 to August
16, 2024 |
|
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
This document relates only
to the Buffered PLUS offered hereby and does not relate to the ETF Shares. We have derived all disclosures contained in this document
regarding the iShares® Global Clean Energy ETF from the publicly available documents described in the first paragraph under
this “iShares® Global Clean Energy ETF Overview” section, without independent verification. In connection
with the offering of the Buffered PLUS, neither we nor the agent has participated in the preparation of such documents or made any due
diligence inquiry with respect to the iShares® Global Clean Energy ETF. Neither we nor the agent makes any representation
that such publicly available documents or any other publicly available information regarding the iShares® Global Clean
Energy ETF is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof
(including events that would affect the accuracy or completeness of the publicly available documents described in the first paragraph
under this “iShares® Global Clean Energy ETF Overview” section) that would affect the trading price of the
ETF Shares (and therefore the price of the ETF Shares at the time the Buffered PLUS are priced) have been publicly disclosed. Subsequent
disclosure of any such events or the disclosure of or failure to disclose material future events concerning the iShares®
Global Clean Energy ETF could affect the value received at maturity with respect to the Buffered PLUS and therefore the trading prices
of the Buffered PLUS.
Neither we nor any of our
affiliates makes any representation to you as to the performance of the ETF Shares.
The S&P Global Clean
Energy IndexTM. The S&P Global Clean Energy IndexTM is a modified market capitalization-weighted index
that is designed to measure the performance of companies in global clean energy related businesses from both developed and emerging markets,
with a target constituent count of 100. For additional information about the S&P Global Clean Energy IndexTM, see the information
set forth under “Fund Descriptions — The iShares® ETFs in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information about the Buffered PLUS
Please read this information in conjunction with the terms on the
front cover of this document.
Additional Provisions: |
Postponement of maturity date: |
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Buffered PLUS will be postponed to the third business day following the valuation date as postponed. |
Minimum ticketing size: |
$1,000 / 1 Buffered PLUS |
Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
Calculation agent: |
JPMS |
The estimated value of the Buffered PLUS: |
The estimated value of the Buffered PLUS set forth on the
cover of this document 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 Buffered PLUS, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the Buffered PLUS. The estimated value of the Buffered PLUS does not represent a minimum price at which
JPMS would be willing to buy your Buffered PLUS in any secondary market (if any exists) at any time. The internal funding rate used in
the determination of the estimated value of the Buffered PLUS 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 Buffered PLUS as well as the higher issuance, operational
and ongoing liability management costs of the Buffered PLUS 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 Buffered PLUS. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the Buffered PLUS and any secondary market
prices of the Buffered PLUS. For additional information, see “Risk Factors — Risks Relating to the Estimated Value and Secondary
Market Prices of the Buffered PLUS — The estimated value of the Buffered PLUS is derived by reference to an internal funding rate”
in this document. The value of the derivative or derivatives underlying the economic terms of the Buffered PLUS 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 Buffered
PLUS on the pricing date is based on market conditions and other relevant factors and assumptions existing at that time. See “Risk
Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Buffered PLUS — The estimated value of
the Buffered PLUS does not represent future values of the Buffered PLUS and may differ from others’ estimates” in this document.
The estimated value of the Buffered PLUS will be lower than the
original issue price of the Buffered PLUS because costs associated with selling, structuring and hedging the Buffered PLUS are included
in the original issue price of the Buffered PLUS. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the Buffered PLUS and the estimated cost of hedging our obligations under the Buffered PLUS. Because hedging our
obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the Buffered
PLUS may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Buffered PLUS —
The estimated value of the Buffered PLUS will be lower than the original issue price (price to public) of the Buffered PLUS” in
this |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
document. |
Secondary market prices of the Buffered PLUS: |
For information about factors that will impact any secondary market prices of the Buffered PLUS, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Buffered PLUS — Secondary market prices of the Buffered PLUS will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the Buffered PLUS will be partially paid back to you in connection with any repurchases of your Buffered PLUS by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the Buffered PLUS. The length of any such initial period reflects the structure of the Buffered PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Buffered PLUS and when these costs are incurred, as determined by our affiliates. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Buffered PLUS — The value of the Buffered PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the Buffered PLUS for a limited time period.” |
Tax considerations: |
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.
federal income tax consequences of owning and disposing of the Buffered PLUS.
Based on current market conditions, in the opinion
of our special tax counsel, it is reasonable to treat your Buffered PLUS as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, subject to the possible application of the “constructive ownership” rules, the gain
or loss on your Buffered PLUS should be treated as long-term capital gain or loss if you hold your Buffered PLUS for more than a year,
whether or not you are an initial purchaser of the Buffered PLUS at the issue price. The Buffered PLUS could be treated as “constructive
ownership transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the Buffered
PLUS that would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain”
(as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued
for tax purposes at a constant yield over your holding period for the Buffered PLUS. Our special tax counsel has not expressed an opinion
with respect to whether the constructive ownership rules apply to the Buffered PLUS. Accordingly, U.S. Holders should consult their tax
advisers regarding the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment of
the Buffered PLUS described above, in which case the timing and character of any income or loss on your Buffered PLUS could be materially
and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax
treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors
in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including
the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property
to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the constructive ownership regime described
above. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Buffered
PLUS, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the Buffered PLUS, including the potential application of the constructive ownership rules, possible alternative treatments and the
issues presented by this notice.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on
dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or
indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice
excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
we expect that Section 871(m) will not apply to the PLUS with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. |
Supplemental use of proceeds and hedging: |
The Buffered PLUS are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the Buffered PLUS. See “How the Buffered PLUS
Work” in this document for an illustration of the risk-return profile of the Buffered PLUS and “iShares® Global
Clean Energy ETF Overview” in this document for a description of the market exposure provided by the Buffered PLUS.
The original issue price of the Buffered PLUS is equal
to the estimated value of the Buffered PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and
the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the Buffered PLUS, plus the estimated cost of hedging our obligations under the Buffered PLUS. |
Benefit plan investor considerations: |
See “Benefit Plan Investor Considerations” in the accompanying product supplement. |
Supplemental notice to investors: |
The Buffered PLUS may cause you to become subject to short position disclosure requirements if they confer a financial advantage on you in the event of a decrease in the price or value of any relevant shares under Regulation (EU) No. 236/2012 (the “Short Selling Regulation”). This will occur if the short position represented by the short exposure provided by the Buffered PLUS, when combined with other long and short positions you may hold, causes you to cross a relevant net short position disclosure threshold under the Short Selling Regulation. It is your responsibility to monitor your net short positions and to comply with the obligations applicable to you under the Short Selling Regulation. You should consult with your own legal and regulatory advisers regarding the Buffered PLUS should you have any concerns about these requirements. |
Supplemental plan of distribution: |
Subject to regulatory constraints, JPMS intends to
use its reasonable efforts to offer to purchase the Buffered PLUS in the secondary market, but is not required to do so. JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition,
Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each Buffered PLUS.
We or our affiliate 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 Buffered
PLUS 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 and hedging” above and “Use of Proceeds and Hedging” in the accompanying
product supplement. |
Where you can find more information: |
You may revoke your offer to purchase the Buffered
PLUS at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the Buffered PLUS prior to their issuance. In the event of any changes to the terms of the
Buffered PLUS, 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 document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these Buffered
PLUS are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement.
This document, together with the documents listed below,
contains the terms of the Buffered PLUS 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,
stand-alone 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 Buffered PLUS involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Buffered PLUS.
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):
• Product supplement no. 4-I dated April 13,
2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
|
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Performance of the iShares® Global Clean Energy ETF due September 3, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
• Underlying supplement
no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
• Prospectus supplement and prospectus, each
dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
• Prospectus addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Financial.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley. |
JP Morgan Alerian MLP (AMEX:AMJ)
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