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
8, 2024 |
Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 2-I dated April 13, 2023 and
prospectus addendum dated June 3, 2024
|
Registration Statement Nos. 333-270004 and 333-270004-01
Dated July , 2024
Rule 424(b)(2)
|
JPMorgan
Chase Financial Company LLC |
Structured
Investments |
$
Digital Contingent Buffered Notes Linked to a WTI
Crude Oil Futures Contract due August 20, 2025
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co. |
General
| · | The
notes are designed for investors who seek a fixed return of 15.00% if the Ending Contract Price of the Commodity Futures Contract is
greater than or equal to the Initial Contract Price or is less than the Initial Contract Price by up to the Contingent Buffer Percentage
of at least 27.80%. |
| · | Investors
should be willing to forgo interest payments and be willing to lose some or all of their principal if the Ending Contract Price is less
than the Initial Contract Price by more than the Contingent Buffer Percentage. |
| · | The
notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| · | Minimum
denominations of $10,000 and integral multiples of $1,000 in excess thereof |
Key Terms
Issuer: |
JPMorgan
Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan
Chase & Co. |
Commodity
Futures Contract: |
The
first nearby month futures contract for WTI crude oil (Bloomberg ticker: CL1) traded on the New York Mercantile Exchange (the “NYMEX”)
or, on any day that falls on the last trading day of such contract (all pursuant to the rules of the NYMEX), the second nearby month
futures contract for WTI crude oil (Bloomberg ticker: CL2) traded on the NYMEX |
Payment
at Maturity: |
If the
Ending Contract Price is greater than or equal to the Initial Contract Price or is less than the Initial Contract Price by up to
the Contingent Buffer Percentage, at maturity you will receive a cash payment that provides you with a return per $1,000 principal
amount note equal to the Contingent Digital Return. Accordingly, under these circumstances, your payment at maturity per
$1,000 principal amount note will be calculated as follows: |
$1,000
+ ($1,000 × Contingent Digital Return) |
If the
Ending Contract Price is less than the Initial Contract Price by more than the Contingent Buffer Percentage, at maturity you will
lose 1% of the principal amount of your notes for every 1% that the Ending Contract Price is less than the Initial Contract Price. Under
these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|
$1,000 + ($1,000 × Contract Return)
In no event, however, will the payment at maturity be less than
$0. |
|
If
the Ending Contract Price is less than the Initial Contract Price by more than the Contingent Buffer Percentage, assuming a Contingent
Buffer Percentage of 27.80%, you will lose more than 27.80% of your principal amount at maturity and may lose all of your principal
amount at maturity. |
Contingent
Digital Return: |
15.00%,
which reflects the maximum return on the notes. Accordingly, the maximum payment at maturity per $1,000 principal amount
note is $1,150.00. |
Contingent
Buffer Percentage: |
At
least 27.80%. The actual Contingent Buffer Percentage will be provided in the pricing supplement and will not be less
than 27.80%. |
Contract
Return: |
Ending Contract Price – Initial Contract Price
Initial Contract Price |
Initial
Contract Price: |
The
Contract Price on the Pricing Date |
Ending
Contract Price: |
The
Contract Price on the Observation Date |
Contract
Price: |
On
any day, the official settlement price per barrel on the NYMEX of the first nearby month futures contract for WTI crude oil, stated
in U.S. dollars, provided that if that day falls on the last trading day of such futures contract (all pursuant to the rules
of the NYMEX), then the second nearby month futures contract for WTI crude oil, as made public by the NYMEX and displayed on the
Bloomberg Professional® service (“Bloomberg”) under the symbol “CL1” or “CL2,”
as applicable, on that day |
Pricing
Date: |
On
or about July 12, 2024 |
Original
Issue Date: |
On
or about July 17, 2024 (Settlement Date) |
Observation
Date†: |
August
15, 2025 |
Maturity
Date†: |
August
20, 2025 |
CUSIP: |
48133W7J1 |
| † | 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 Commodity
or Commodity Futures Contract” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement or early acceleration in
the event of a commodity hedging disruption event as described under “General Terms
of Notes — Consequences of a Commodity Hedging Disruption Event — Acceleration
of the Notes” in the accompanying product supplement and in “Selected Risk Considerations
— Risks Relating to the Notes Generally — We May Accelerate Your Notes If a Commodity
Hedging Disruption Event Occurs” in this pricing supplement |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the
contrary is a criminal offense.
|
Price
to Public (1) |
Fees
and Commissions (2) |
Proceeds
to Issuer |
Per
note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement
for information about the components of the price to public of the notes. |
| (2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent
for JPMorgan Financial, will pay all of the selling commissions it receives from us to other
affiliated or unaffiliated dealers. In no event will these selling commissions exceed $10.00
per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement. |
If the notes priced today, the
estimated value of the notes would be approximately $968.40 per $1,000 principal amount note. The estimated value of the notes, when
the terms of the notes are set, will be provided in the pricing supplement and will not be less than $960.00 per $1,000 principal amount
note. See “The Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit
Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024059859/image_001.jpg)
Additional Terms Specific to the
Notes
You may revoke your offer to purchase the notes at any
time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with the
accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes, of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all
other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials
of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the
accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, as
the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Product supplement no. 2-I dated April 13, 2023: |
http://www.sec.gov/Archives/edgar/data/19617/000121390023029567/ea151907_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 pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
Supplemental Terms of the Notes
For purposes of the notes offered by this pricing supplement:
(1) the consequences
of a commodity hedging disruption event are described under “General Terms of Notes — Consequences of a Commodity Hedging
Disruption Event — Acceleration of the Notes” in the accompanying product supplement; and
(2) the Observation
Date is a “Determination Date” as described in the accompanying product supplement and is subject to postponement as described
under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying —
Notes Linked to a Single Commodity or Commodity Futures Contract” in the accompanying product supplement.
The notes are not commodity futures contracts or swaps and
are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The notes are
offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption,
that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, as set
out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation
promulgated by the Commodity Futures Trading Commission.
Any values of the Commodity Futures Contract, and any values
derived therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment
of this pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture
governing the notes, that amendment will become effective without consent of the holders of the notes or any other party.
JPMorgan Structured Investments — | PS-1 |
Contingent Buffered Notes Linked to a WTI Crude Oil Futures Contract | |
What Is the Total Return on the
Notes at Maturity, Assuming a Range of Performances for the Commodity Futures Contract?
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement
is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.
Each hypothetical total return or payment at maturity set forth below assumes an Initial Contract Price of $100 and a Contingent Buffer
Percentage of 27.80% and reflects the Contingent Digital Return of 15.00%. The actual Contingent Buffer Percentage will be provided in
the pricing supplement and will not be less than 27.80%.
The hypothetical Initial Contract Price of $100 has
been chosen for illustrative purposes only and may not represent a likely actual Initial Contract Price. The actual Initial Contract
Price will be the Contract Price on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the
actual Contract Prices, please see the historical information set forth under “Historical Information” in this pricing supplement.
Each hypothetical total return or payment at maturity
set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser
of the notes. The numbers appearing in the following table and in the examples below have been rounded for ease of analysis.
Ending
Contract
Price |
Contract
Return |
Total
Return |
$180.00
|
80.00% |
15.00% |
$170.00
|
70.00% |
15.00% |
$160.00
|
60.00% |
15.00% |
$150.00
|
50.00% |
15.00% |
$140.00
|
40.00% |
15.00% |
$130.00
|
30.00% |
15.00% |
$120.00
|
20.00% |
15.00% |
$115.00
|
15.00% |
15.00% |
$110.00
|
10.00% |
15.00% |
$105.00
|
5.00% |
15.00% |
$102.50
|
2.50% |
15.00% |
$100.00
|
0.00% |
15.00% |
$97.50
|
-2.50% |
15.00% |
$95.00
|
-5.00% |
15.00% |
$90.00
|
-10.00% |
15.00% |
$80.00
|
-20.00% |
15.00% |
$72.20 |
-27.80% |
15.00% |
$72.19 |
-27.81% |
-27.81% |
$70.00 |
-30.00% |
-30.00% |
$60.00 |
-40.00% |
-40.00% |
$50.00 |
-50.00% |
-50.00% |
$40.00
|
-60.00% |
-60.00% |
$30.00
|
-70.00% |
-70.00% |
$20.00
|
-80.00% |
-80.00% |
$10.00
|
-90.00% |
-90.00% |
$0.00
|
-100.00% |
-100.00% |
JPMorgan Structured Investments — | PS-2 |
Contingent Buffered Notes Linked to a WTI Crude Oil Futures Contract | |
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the payment at
maturity in different hypothetical scenarios is calculated.
Example 1: The price of the Commodity Futures Contract
increases from the Initial Contract Price of $100 to an Ending Contract Price of $105.
Because the Ending Contract Price of $105 is greater
than the Initial Contract Price of $100, regardless of the Contract Return, the investor receives a payment at maturity of $1,150.00
per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 15.00%)
= $1,150.00
Example 2: The price of the Commodity Futures Contract
decreases from the Initial Contract Price of $100 to an Ending Contract Price of $72.20.
Although the Contract Return is negative, because the
Ending Contract Price of $72.20 is less than the Initial Contract Price of $100 by up to the Contingent Buffer Percentage of 27.80%,
the investor receives a payment at maturity of $1,150.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 15.00%)
= $1,150.00
Example 3: The price of the Commodity Futures Contract
increases from the Initial Contract Price of $100 to an Ending Contract Price of $140.
Because the Ending Contract Price of $140 is greater
than the Initial Contract Price of $100 and although the Contract Return of 40% exceeds the Contingent Digital Return of 15.00%, the
investor is entitled to only the Contingent Digital Return and receives a payment at maturity of $1,150.00 per $1,000 principal amount
note, calculated as follows:
$1,000 + ($1,000 × 15.00%)
= $1,150.00
Example 4: The price of the Commodity Futures Contract
decreases from the Initial Contract Price of $100 to an Ending Contract Price of $40.
Because the Ending Contract Price of $40 is less than
the Initial Contract Price of $100 by more than the Contingent Buffer Percentage of 27.80% and the Contract Return is -60%, the investor
receives a payment at maturity of $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -60%)
= $400.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
JPMorgan Structured Investments — | PS-3 |
Contingent Buffered Notes Linked to a WTI Crude Oil Futures Contract | |
Selected Purchase Considerations
| · | FIXED
APPRECIATION POTENTIAL — If the Ending Contract Price is greater than or equal
to the Initial Contract Price or is less than the Initial Contract Price by up to the Contingent
Buffer Percentage, you will receive a fixed return equal to the Contingent Digital Return
of 15.00% at maturity, which also reflects the maximum return on the notes at maturity. Because
the notes are our unsecured and unsubordinated obligations, the payment of which is fully
and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the
notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase
& Co.’s ability to pay its obligations as they become due. |
| · | LIMITED
PROTECTION AGAINST LOSS — We will pay you at least your principal back at maturity
if the Ending Contract Price is greater than or equal to the Initial Contract Price or is
less than the Initial Contract Price by up to the Contingent Buffer Percentage of at least
27.80%. The actual Contingent Buffer Percentage will be provided in the pricing supplement
and will not be less than 27.80%. If the Ending Contract Price is less than the Initial Contract
Price by more than the Contingent Buffer Percentage, for every 1% that the Ending Contract
Price is less than the Initial Contract Price, you will lose an amount equal to 1% of the
principal amount of your notes. Under these circumstances, assuming a Contingent Buffer Percentage
of 27.80%, you will lose more than 27.80% of your principal amount at maturity and may lose
all of your principal amount at maturity. |
| · | RETURN
LINKED TO A WTI CRUDE OIL FUTURES CONTRACT —
The
return on the notes is linked to the official settlement price per barrel on the NYMEX of
the first nearby month (or, in some circumstances, in the second nearby month) futures contract
for WTI crude oil, stated in U.S. dollars as made public by the NYMEX and displayed on the
applicable Bloomberg page. For additional information about the Commodity Futures Contract,
see the information set forth under “The Underlyings — Commodity Futures Contracts”
in the accompanying product supplement. |
| · | TAX
TREATMENT — You should review carefully the section entitled “Material U.S.
Federal Income Tax Consequences” in the accompanying product supplement no. 2-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 notes. |
Based on current market conditions, in the
opinion of our special tax counsel it is reasonable to treat the notes 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, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold
your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a
court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and
adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses 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 notes, possibly with retroactive effect. 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 this notice.
JPMorgan Structured Investments — | PS-4 |
Contingent Buffered Notes Linked to a WTI Crude Oil Futures Contract | |
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Commodity Futures Contract or in any exchange-traded or over-the-counter
instruments based on, or other instruments linked to, any of the foregoing. 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.
Risks Relating to the Notes Generally
| · | YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return
of principal. The return on the notes at maturity is dependent on the performance of the
Commodity Futures Contract and will depend on whether, and the extent to which, the Contract
Return is positive or negative. Your investment will be exposed to a loss if the Ending Contract
Price is less than the Initial Contract Price by more than the Contingent Buffer Percentage.
In this case, for every 1% that the Ending Contract Price is less than the Initial Contract
Price, you will lose an amount equal to 1% of the principal amount of your notes. Under these
circumstances, assuming a Contingent Buffer Percentage of 27.80%, you will lose more than
27.80% of your principal amount at maturity and may lose all of your principal amount at
maturity. |
| · | YOUR
MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN — If the
Ending Contract Price is greater than or equal to the Initial Contract Price or is less than
the Initial Contract Price by up to the Contingent Buffer Percentage, for each $1,000 principal
amount note, you will receive at maturity $1,000 plus an additional return equal to
the Contingent Digital Return, regardless of the appreciation in the Commodity Futures Contract,
which may be significant. |
| · | YOUR
ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE
— If the Ending Contract Price is less than the Initial Contract Price by more than
the Contingent Buffer Percentage, you will not be entitled to receive the Contingent Digital
Return at maturity. Under these circumstances, assuming a Contingent Buffer Percentage of
27.80%, you will lose more than 27.80% of your principal amount at maturity and may lose
all of your principal amount at maturity. |
| · | CREDIT
RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — The notes are subject
to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase &
Co.’s credit ratings and credit spreads may adversely affect the market value of the
notes. Investors are dependent on our and JPMorgan Chase & Co.’s ability
to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase
& Co.’s creditworthiness or credit spreads, as determined by the market for taking
that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan
Chase & Co. were to default on our payment obligations, you may not receive any amounts
owed to you under the notes and you could lose your entire investment. |
| · | AS
A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
— As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our
securities and the collection of intercompany obligations. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase &
Co. or under other intercompany agreements. As a result, we are dependent upon payments from
JPMorgan Chase & Co. to meet our obligations under the notes. We are not a key operating
subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase
& Co. we are not expected to have sufficient resources to meet our obligations in respect
of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and
we are unable to make payments on the notes, you may have to seek payment under the related
guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with
all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information,
see the accompanying prospectus addendum. |
| · | THE
BENEFIT PROVIDED BY THE CONTINGENT BUFFER PERCENTAGE MAY TERMINATE ON THE OBSERVATION DATE
— If the Ending Contract Price is less than the Initial Contract Price by more
than the Contingent Buffer Percentage, the benefit provided by the Contingent Buffer Percentage
will terminate and you will be fully exposed to any depreciation of the Commodity Futures
Contract from the Initial Contract Price to the Ending Contract Price. |
| · | OWNING
THE NOTES IS NOT THE SAME AS OWNING WTI CRUDE OIL FUTURES CONTRACTS — The return
on your notes will not reflect the return you would realize if you actually purchased WTI
crude oil futures contracts or exchange-traded or over-the-counter instruments based on WTI
crude oil futures contracts. You will not have any rights that holders of such assets or
instruments have. |
| · | WE
MAY ACCELERATE YOUR NOTES IF A COMMODITY HEDGING DISRUPTION EVENT OCCURS — If we
or our affiliates are unable to effect transactions necessary to hedge our obligations under
the notes due to a commodity hedging disruption event, 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 Commodity Hedging Disruption Event — Acceleration of the Notes” in the accompanying
product supplement for more information. |
| · | NO
INTEREST PAYMENTS — As a holder of the notes, you will not receive any interest
payments. |
| · | 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 |
JPMorgan Structured Investments — | PS-5 |
Contingent Buffered Notes Linked to a WTI Crude Oil Futures Contract | |
market for the notes, the price at which you may be able to
trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes.
| · | THE
FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
The final terms of the notes will be based on relevant market conditions when the terms of
the notes are set and will be provided in the pricing supplement. In particular, each of
the estimated value of the notes and the Contingent Buffer Percentage will be 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
Buffer Percentage. |
Risks Relating
to Conflicts of Interest
| · | POTENTIAL
CONFLICTS — We and our affiliates play a variety of roles in connection with the
issuance of the notes, including acting as calculation agent and as an agent of the offering
of the notes, hedging our obligations under the notes and making the assumptions used to
determine the pricing of the notes and the estimated value of the notes when the terms of
the notes are set, which we refer to as the estimated value of the notes. In performing these
duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests
as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business
activities, including hedging and trading activities, could cause our and JPMorgan Chase
& Co.’s economic interests to be adverse to yours and could adversely affect any
payment on the notes and the value of the notes. It is possible that hedging or trading activities
of ours or our affiliates in connection with the notes could result in substantial returns
for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product
supplement for additional information about these risks. |
Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes
| · | THE
ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC)
OF THE NOTES — The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes will exceed the estimated
value of the notes because costs associated with selling, structuring and hedging the notes
are included in the original issue price of the notes. These costs include the selling commissions,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes and the estimated cost of hedging our obligations
under the notes. See “The Estimated Value of the Notes” in this pricing supplement. |
| · | THE
ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES — The estimated value of the notes is determined by
reference to internal pricing models of our affiliates when the terms of the notes are set.
This estimated value of the notes is based on market conditions and other relevant factors
existing at that time and assumptions about market parameters, which can include volatility,
interest rates and other factors. Different pricing models and assumptions could provide
valuations for the notes that are greater than or less than the estimated value of the notes.
In addition, market conditions and other relevant factors in the future may change, and any
assumptions may prove to be incorrect. On future dates, the value of the notes could change
significantly based on, among other things, changes in market conditions, our or JPMorgan
Chase & Co.’s creditworthiness, interest rate movements and other relevant factors,
which may impact the price, if any, at which JPMS would be willing to buy notes from you
in secondary market transactions. See “The Estimated Value of the Notes” in this
pricing supplement. |
| · | THE
ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may
differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based
on, among other things, our and our affiliates’ view of the funding value of the notes
as well as the higher issuance, operational and ongoing liability management costs of the
notes in comparison to those costs for the conventional fixed income instruments of JPMorgan
Chase & Co. This internal funding rate is based on certain market inputs and assumptions,
which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes
to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement. |
| · | THE
VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
— We generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your
notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some
circumstances, estimated hedging costs and our internal secondary market funding rates for
structured debt issuances. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly,
the estimated value of your notes during this initial period may be lower than the value
of the notes as published by JPMS (and which may be shown on your customer account statements). |
| · | SECONDARY
MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
— Any secondary market prices of the notes will likely be lower than the original
issue price of the notes because, among other things, secondary market prices take into account
our internal secondary market funding rates for structured debt issuances and, also, because
secondary market prices may exclude selling commissions, projected hedging profits, if any,
and estimated hedging costs that are included in the original issue price of the notes. As
a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary
market transactions, if at all, is likely to |
JPMorgan Structured Investments — | PS-6 |
Contingent Buffered Notes Linked to a WTI Crude Oil Futures Contract | |
be lower than the original issue price. Any sale by you prior
to the Maturity Date could result in a substantial loss to you. See the immediately following risk consideration for information about
additional factors that will impact any secondary market prices of the notes.
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.
| · | SECONDARY
MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of
economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the Contract
Price, including: |
| · | any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or
credit spreads; |
| · | customary
bid-ask spreads for similarly sized trades; |
| · | our
internal secondary market funding rates for structured debt issuances; |
| · | the
actual and expected volatility in the Contract Price of the Commodity Futures Contract; |
| · | the
time to maturity of the notes; |
| · | supply
and demand trends for WTI crude oil or the exchange-traded futures contracts on that commodity; |
| · | interest
and yield rates in the market generally; and |
| · | a
variety of other economic, financial, political, regulatory, geographical, agricultural,
meteorological 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 Commodity Futures Contract
| · | COMMODITY
FUTURES CONTRACTS ARE SUBJECT TO UNCERTAIN LEGAL AND REGULATORY REGIMES —
Commodity futures contracts are subject to legal and regulatory regimes that may change
in ways that could adversely affect our ability to hedge our obligations under the notes
and affect the price of the Commodity Futures Contract. Any future regulatory changes
may have a substantial adverse effect on the value of your notes. Additionally, in
October 2020, the U.S. Commodity Futures Trading Commission adopted rules to establish revised
or new position limits on 25 agricultural, metals and energy commodity derivatives contracts.
The limits apply to a person’s combined position in the specified 25 futures contracts
and options on futures (“core referenced futures contracts”), futures and options
on futures directly or indirectly linked to the core referenced futures contracts, and economically
equivalent swaps. These rules came into effect on January 1, 2022 for covered futures
and options on futures contracts and on January 1, 2023 for covered swaps. The rules
may reduce liquidity in the exchange-traded market for those commodity-based futures contracts,
which may, in turn, have an adverse effect on any payments on the notes. Furthermore,
we or our affiliates may be unable as a result of those restrictions to effect transactions
necessary to hedge our obligations under the notes resulting in a commodity hedging disruption
event, in which case we may, in our sole and absolute discretion, accelerate the payment
on your notes. See “— Risks Relating to the Notes Generally — We
May Accelerate Your Notes If a Commodity Hedging Disruption Event Occurs” above. |
| · | PRICES
OF COMMODITY FUTURES CONTRACTS ARE CHARACTERIZED BY HIGH AND UNPREDICTABLE VOLATILITY
— Market prices of commodity futures contracts tend to be highly volatile and may fluctuate
rapidly based on numerous factors, including the factors that affect the price of the commodity
underlying the Commodity Futures Contract. See “— The Market Price of WTI Crude
Oil Will Affect the Value of the Notes” below. The Contract Price is subject to variables
that may be less significant to the values of traditional securities, such as stocks and
bonds. These variables may create additional investment risks that cause the value of the
notes to be more volatile than the values of traditional securities. As a general matter,
the risk of low liquidity or volatile pricing around the maturity date of a commodity futures
contract is greater than in the case of other futures contracts because (among other factors)
a number of market participants take physical delivery of the underlying commodities. Many
commodities are also highly cyclical. The high volatility and cyclical nature of commodity
markets may render such an investment inappropriate as the focus of an investment portfolio. |
| · | THE
MARKET PRICE OF WTI CRUDE OIL WILL AFFECT THE VALUE OF THE NOTES — Because the
notes are linked to the performance of the Contract Price of the Commodity Futures Contract,
we expect that generally the market value of the notes will depend in part on the market
price of WTI crude oil. The price of WTI crude oil is primarily affected by the global demand
for and supply of crude oil, but is also influenced significantly from time to time by speculative
actions and by currency exchange rates. Crude oil prices are volatile and subject to dislocation.
Demand for refined petroleum products by consumers, as well as the agricultural, manufacturing
and transportation industries, affects the price of crude oil. Crude oil’s end-use
as a refined product is often as transport fuel, industrial fuel and in-home heating fuel.
Potential for substitution in most areas exists, although considerations, including relative
cost, often limit substitution levels. Because the precursors of demand for petroleum products
are linked to economic activity, demand will tend to reflect economic conditions. Demand
is also influenced by government regulations, such as environmental or consumption policies.
In addition to general economic activity and demand, prices for crude oil are affected by
political events, labor activity and, in particular, direct government intervention (such
as embargos) or supply disruptions in major oil producing regions of the world. These events
tend to affect oil prices worldwide, regardless of the location of the event. Supply for
crude oil may increase or decrease depending on many factors. These include production decisions
by the Organization of the Petroleum Exporting Countries (“OPEC”) and other crude
oil producers. Crude oil prices are determined with significant influence by OPEC. OPEC has
the potential to influence oil prices worldwide because its |
JPMorgan Structured Investments — | PS-7 |
Contingent Buffered Notes Linked to a WTI Crude Oil Futures Contract | |
members possess a significant portion of the world’s
oil supply. In the event of sudden disruptions in the supplies of oil, such as those caused by war (e.g., Russia’s invasion
of Ukraine and resulting sanctions), natural events, accidents or acts of terrorism, prices of oil futures contracts could become extremely
volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example, upon a cessation of hostilities
that may exist in countries producing oil, the introduction of new or previously withheld supplies into the market or the introduction
of substitute products or commodities. Crude oil prices may also be affected by short-term changes in supply and demand because of trading
activities in the oil market and seasonality (e.g., weather conditions such as hurricanes). It is not possible to predict the
aggregate effect of all or any combination of these factors.
| · | A
DECISION BY THE NYMEX TO INCREASE MARGIN REQUIREMENTS FOR WTI CRUDE OIL FUTURES CONTRACTS
MAY AFFECT THE CONTRACT PRICE — If the NYMEX increases the amount of collateral
required to be posted to hold positions in the futures contracts on WTI crude oil (i.e.,
the margin requirements), market participants who are unwilling or unable to post additional
collateral may liquidate their positions, which may cause the Contract Price to decline significantly. |
| · | THE
NOTES DO NOT OFFER DIRECT EXPOSURE TO COMMODITY SPOT PRICES — The Commodity Futures
Contract reflects the price of a futures contract, not a physical commodity (or its spot
price). The price of a futures contract reflects the expected value of the commodity upon
delivery in the future, whereas the spot price of a commodity reflects the immediate delivery
value of the commodity. A variety of factors can lead to a disparity between the expected
future price of a commodity and the spot price at a given point in time, such as the cost
of storing the commodity for the term of the futures contract, interest charges incurred
to finance the purchase of the commodity and expectations concerning supply and demand for
the commodity. The price movements of a futures contract are typically correlated with the
movements of the spot price of the referenced commodity, but the correlation is generally
imperfect and price movements in the spot market may not be reflected in the futures market
(and vice versa). Accordingly, the notes may underperform a similar investment that is linked
only to commodity spot prices. |
| · | SINGLE
COMMODITY FUTURES CONTRACT PRICES TEND TO BE MORE VOLATILE THAN, AND MAY NOT CORRELATE WITH,
THE PRICES OF COMMODITIES GENERALLY — The notes are not linked to a diverse basket
of commodities, commodity futures contracts or a broad-based commodity index. The prices
of the Commodity Futures Contract may not correlate to the price of commodities or commodity
futures contracts generally and may diverge significantly from the prices of commodities
or commodity futures contracts generally. Because the notes are linked to a single commodity
futures contract, they carry greater risk and may be more volatile than notes linked to the
prices of multiple commodities or commodity futures contracts or a broad-based commodity
index. |
| · | SUSPENSION
OR DISRUPTIONS OF MARKET TRADING IN THE COMMODITY MARKETS AND RELATED FUTURES MARKETS MAY
ADVERSELY AFFECT THE CONTRACT PRICE, AND THEREFORE THE VALUE OF THE NOTES — The
commodity markets are subject to temporary distortions or other disruptions due to various
factors, including the lack of liquidity in the markets, the participation of speculators
and government regulation and intervention. In addition, U.S. futures exchanges and some
foreign exchanges have regulations that limit the amount of fluctuation in futures contract
prices that may occur during a single day. These limits are generally referred to as “daily
price fluctuation limits” and the maximum or minimum price of a contract on any given
day as a result of these limits is referred to as a “limit price.” Once the limit
price has been reached in a particular contract, no trades may be made at a different price.
Limit prices have the effect of precluding trading in a particular contract or forcing the
liquidation of contracts at disadvantageous times or prices. These circumstances could adversely
affect the Contract Price of the Commodity Futures Contract and, therefore, the value of
your notes. |
JPMorgan Structured Investments — | PS-8 |
Contingent Buffered Notes Linked to a WTI Crude Oil Futures Contract | |
Historical Information
The following graph sets forth the historical performance
of the Commodity Futures Contract based on the weekly historical Contract Prices of the Commodity Futures Contract from January 4, 2019
through July 5, 2024. The Contract Price of the Commodity Futures Contract on July 5, 2024 was $83.16. We obtained the Contract Prices
of the Commodity Futures Contract above and below from Bloomberg, without independent verification.
The historical Contract
Prices should not be taken as an indication of future performance, and no assurance can be given as to the Contract Price on the
Pricing Date or the Observation Date. There can be no assurance that the performance of the Commodity
Futures Contract will result in the return of any of your principal amount.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024059859/image_002.jpg)
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover
of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued
by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in
comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on
the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived
by Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the
economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the
traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from
Others’ Estimates” in this pricing supplement.
The estimated value of the notes will be lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the
projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes
and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced
by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss.
We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
JPMorgan Structured Investments — | PS-9 |
Contingent Buffered Notes Linked to a WTI Crude Oil Futures Contract | |
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Considerations — 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 the shorter of six months and one-half of the stated term of the notes. The length of any
such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging
activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes
as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value
of the Notes for a Limited Time Period.”
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Commodity Futures Contract?” and “Hypothetical Examples of Amount Payable at Maturity”
in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations —
Return Linked to a WTI Crude Oil Futures Contract” in this pricing supplement for a description of the market exposure provided
by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
JPMorgan Structured Investments — | PS-10 |
Contingent Buffered Notes Linked to a WTI Crude Oil Futures Contract | |
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