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 12, 2024
July , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index due July 23, 2029
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| · | The notes are designed for investors who seek a higher interest rate than the yield on a conventional debt security with the same
maturity issued by us. The notes will pay at least 8.55% per annum interest over the term of the notes, assuming no automatic call, payable
at a rate of at least 0.7125% per month. |
| · | The notes will be automatically called if the closing level of the MerQube US Large-Cap Vol Advantage Index, which we refer to as
the Index, on any Review Date (other than the final Review Date) is greater than or equal to the Initial Value. |
| · | The earliest date on which an automatic call may be initiated is January 21, 2025. |
| · | Investors should be willing to accept the risk of losing some or all of their principal and be willing to forgo dividend payments,
in exchange for Interest Payments. |
| · | The Index is subject to a 6.0% per annum daily deduction. This daily deduction will offset any appreciation of the futures contracts
included in the Index, will heighten any depreciation of those futures contracts and will generally be a drag on the performance of the
Index. The Index will trail the performance of an identical index without a deduction. See “Selected Risk Considerations —
Risks Relating to the Notes Generally — The Level of the Index Will Include a 6.0% per Annum Daily Deduction” in this pricing
supplement. |
| · | 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 $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about July 18, 2024 and are expected to settle on or about July 23, 2024. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement, “Risk Factors” beginning on page US-4 of the
accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-6 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any
representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated
dealers. In no event will these selling commissions exceed $9.00 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 $934.40 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 $910.00 per $1,000 principal amount note. See “The Estimated Value
of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, underlying supplement no. 5-II dated March 5, 2024
and the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Index: The MerQube US
Large-Cap Vol Advantage Index (Bloomberg ticker: MQUSLVA). The level of the Index reflects a deduction of 6.0% per annum that accrues
daily.
Interest
Payments: If the notes have not been automatically called, you will receive on each Interest Payment Date for each $1,000 principal
amount note an Interest Payment equal to at least $7.125 (equivalent to an Interest Rate of at least 8.55% per annum, payable at a rate
of at least 0.7125% per month) (to be provided in the pricing supplement).
Interest
Rate: At least 8.55% per annum, payable at a rate of at least 0.7125% per month (to be provided
in the pricing supplement)
Trigger Value: 50.00%
of the Initial Value
Pricing
Date: On or about July 18, 2024
Original
Issue Date (Settlement Date): On or about July 23, 2024
Review
Dates*: January 21, 2025, April 21, 2025, July 18, 2025, October 20, 2025, January 20, 2026, April 20, 2026, July 20, 2026,
October 19, 2026, January 19, 2027, April 19, 2027, July 19, 2027, October 18, 2027, January 18, 2028, April 18, 2028, July 18, 2028,
October 18, 2028, January 18, 2029, April 18, 2029 and July 18, 2029 (final Review Date)
Interest
Payment Dates*: August 22, 2024, September 23, 2024, October 23, 2024, November 21, 2024, December 23, 2024, January 24, 2025,
February 21, 2025, March 21, 2025, April 24, 2025, May 22, 2025, June 24, 2025, July 23, 2025, August 21, 2025, September 23, 2025, October
23, 2025, November 21, 2025, December 23, 2025, January 23, 2026, February 23, 2026, March 23, 2026, April 23, 2026, May 21, 2026, June
24, 2026, July 23, 2026, August 21, 2026, September 23, 2026, October 22, 2026, November 23, 2026, December 23, 2026, January 22, 2027,
February 23, 2027, March 23, 2027, April 22, 2027, May 21, 2027, June 24, 2027, July 22, 2027, August 23, 2027, September 23, 2027, October
21, 2027, November 23, 2027, December 23, 2027, January 21, 2028, February 24, 2028, March 23, 2028, April 21, 2028, May 23, 2028, June
23, 2028, July 21, 2028, August 23, 2028, September 21, 2028, October 23, 2028, November 24, 2028, December 21, 2028, January 23, 2029,
February 23, 2029, March 22, 2029, April 23, 2029, May 23, 2029, June 22, 2029 and the Maturity Date
Maturity
Date*: July 23, 2029
Call Settlement Date*:
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately
following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “Supplemental Terms of the Notes — Postponement of a Determination Date — Notes Linked
Solely to an Index” in the accompanying underlying supplement and “General Terms of Notes — Postponement of a Payment
Date” in the accompanying product supplement |
Automatic Call:
If the closing level of the Index on any Review Date (other than
the final Review Date) is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment for the Interest Payment Date occurring on the
applicable Call Settlement Date, payable on that Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
is greater than or equal to the Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Interest Payment applicable to the Maturity Date.
If the notes have not been automatically called and the Final Value
is less than the Trigger Value, your payment at maturity per $1,000 principal amount note, in addition to the Interest Payment applicable
to the Maturity Date, will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and the Final
Value is less than the Trigger Value, you will lose more than 50.00% of your principal amount at maturity and could lose all of your principal
amount at maturity.
Index Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing level of the Index on the Pricing Date
Final
Value: The closing level of the Index on the final Review Date
|
PS-1
| Structured Investments
Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index |
|
The MerQube
US Large-Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index (the “Index”)
was developed by MerQube (the “Index Sponsor” and “Index Calculation Agent”), in coordination with JPMS, and is
maintained by the Index Sponsor and is calculated and published by the Index Calculation Agent. The Index was established on February
11, 2022. An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS,
another of our affiliates, as a member of the board of directors of the Index Sponsor.
The Index attempts to provide a dynamic rules-based exposure
to an unfunded rolling position in E-mini® S&P 500® futures (the “Futures Contracts”), which
reference the S&P 500® Index, while targeting a level of implied volatility, with a maximum exposure to the Futures
Contracts of 500% and a minimum exposure to the Futures Contracts of 0%. The Index is subject to a 6.0% per annum daily deduction. The
S&P 500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity
markets. For more information about the Futures Contracts and the S&P 500® Index, see “Background on E-mini®
S&P 500® Futures” and “Background on the S&P 500® Index,” respectively, in the
accompanying underlying supplement.
On each weekly Index rebalance day, the exposure to the
Futures Contracts is set equal to (a) the 35% implied volatility target (the “target volatility”) divided by (b) the
one-week implied volatility of the SPDR® S&P 500® ETF Trust (the “SPY Fund”), subject to
a maximum exposure of 500%. For example, if the implied volatility of the SPY Fund is equal to 17.5%, the exposure to the Futures Contracts
will equal 200% (or 35% / 17.5%) and if the implied volatility of the SPY Fund is equal to 40%, the exposure to the Futures Contracts
will equal 87.5% (or 35% / 40%). The Index’s exposure to the Futures Contracts will be greater than 100% when the implied volatility
of the SPY Fund is below 35%, and the Index’s exposure to the Futures Contracts will be less than 100% when the implied volatility
of the SPY Fund is above 35%. In general, the Index’s target volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility feature were employed. No assurance can be provided that the volatility of the
Index will be stable at any time.
The investment objective of the SPY Fund is to provide
investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index.
For more information about the SPY Fund, see “Background on the SPDR® S&P 500® ETF Trust”
in the accompanying underlying supplement. The Index uses the implied volatility of the SPY Fund as a proxy for the volatility of the
Futures Contracts.
The 6.0% per annum daily deduction will
offset any appreciation of the Futures Contracts, will heighten any depreciation of the Futures Contracts and will generally be a drag
on the performance of the Index. The Index will trail the performance of an identical index without a deduction.
Holding the estimated value of the notes and market
conditions constant, the Interest Rate, the Trigger Value and the other economic terms available on the notes are more favorable to investors
than the terms that would be available on a hypothetical note issued by us linked to an identical index without a daily deduction. However,
there can be no assurance that any improvement in the terms of the notes derived from the daily deduction will offset the negative effect
of the daily deduction on the performance of the Index. The return on the notes may be lower than the return on a hypothetical note issued
by us linked to an identical index without a daily deduction.
The daily deduction and the volatility of the Index
(as influenced by the Index’s target volatility feature) are two of the primary variables that affect the economic terms of the
notes. Additionally, the daily deduction and volatility of the Index are two of the inputs our affiliates’ internal pricing models
use to value the derivative or derivatives underlying the economic terms of the notes for purposes of determining the estimated value
of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively reduce the value of the derivative
or derivatives underlying the economic terms of the notes. See “The Estimated Value of the Notes” and “Selected Risk
Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing supplement.
The Index is subject to risks associated with the
use of significant leverage. In addition, the Index may be significantly uninvested on any given day, and, in that case, will realize
only a portion of any gains due to appreciation of the Futures Contracts on that day. The index deduction is deducted daily at a rate
of 6.0% per annum, even when the Index is not fully invested.
No assurance can be given that the investment strategy
used to construct the Index will achieve its intended results or that the Index will be successful or will outperform any alternative
index or strategy that might reference the Futures Contracts.
For additional information about the Index, see “The
MerQube Vol Advantage Index Series” in the accompanying underlying supplement.
PS-2
| Structured Investments
Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index |
|
Supplemental
Terms of the Notes
The notes are not 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 Index, and any values derived therefrom,
included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment
will become effective without consent of the holders of the notes or any other party.
How the
Notes Work
Payments in Connection with Review Dates Preceding
the Final Review Date
Payment at Maturity If the Notes Have Not Been Automatically
Called
PS-3
| Structured Investments
Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index |
|
Total Interest Payments
The table below illustrates the hypothetical total
Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Interest Rate of 8.55% per annum,
depending on how many Interest Payments are made prior to automatic call or maturity. If the notes have not been automatically called,
the hypothetical total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the maximum amount
shown in the table below. The actual Interest Rate will be provided in the pricing supplement and will be at least 8.55% per annum (payable
at a rate of at least 0.7125% per month).
Number of Interest
Payments |
Total Interest Payments |
60 |
$427.500 |
57 |
$406.125 |
54 |
$384.750 |
51 |
$363.375 |
48 |
$342.000 |
45 |
$320.625 |
42 |
$299.250 |
39 |
$277.875 |
36 |
$256.500 |
33 |
$235.125 |
30 |
$213.750 |
27 |
$192.375 |
24 |
$171.000 |
21 |
$149.625 |
18 |
$128.250 |
15 |
$106.875 |
12 |
$85.500 |
9 |
$64.125 |
6 |
$42.750 |
PS-4
| Structured Investments
Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index |
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes
linked to a hypothetical Index, assuming a range of performances for the hypothetical Index on the Review Dates.
The hypothetical payments set forth below assume the
following:
| · | an Initial Value of 100.00; |
| · | a Trigger Value of 50.00 (equal to 50.00% of the hypothetical Initial Value); and |
| · | an Interest Rate of 8.55% per annum. |
The hypothetical Initial Value of 100.00 has been chosen
for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing level
of the Index on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing levels
of the Index, please see the historical information set forth under “Hypothetical Back-Tested Data and Historical Information”
in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
Example 1 — Notes are automatically called
on the first Review Date.
Date |
Closing Level |
|
First Review Date |
105.00 |
Notes are automatically called |
|
Total Payment |
$1,042.75 (4.275% return) |
Because the closing level of the Index
on the first Review Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, of $1,007.125 (or $1,000 plus the Interest Payment applicable to the corresponding Interest
Payment Date), payable on the applicable Call Settlement Date. When added to the Interest Payments received with respect to the prior
Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,042.75.
No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value is greater than or equal to the Trigger Value.
Date |
Closing Level |
|
First Review Date |
95.00 |
Notes NOT automatically called |
Second Review Date |
85.00 |
Notes NOT automatically called |
Third through Eighteenth Review Dates |
Less than Initial Value |
Notes NOT automatically called |
Final Review Date |
90.00 |
Notes NOT automatically called |
|
Total Payment |
$1,427.50 (42.75% return) |
Because the notes have not been automatically called
and the Final Value is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount note, will
be $1,007.125 (or $1,000 plus the Interest Payment applicable to the Maturity Date). When added to the Interest Payments received
with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,427.50.
Example 3 — Notes have NOT been automatically
called and the Final Value is less than the Trigger Value.
Date |
Closing Level |
|
First Review Date |
40.00 |
Notes NOT automatically called |
Second Review Date |
45.00 |
Notes NOT automatically called |
Third through Eighteenth Review Dates |
Less than Initial Value |
Notes NOT automatically called |
Final Review Date |
40.00 |
Notes NOT automatically called |
|
Total Payment |
$827.50 (-17.25% return) |
Because the notes have not been automatically called,
the Final Value is less than the Trigger Value and the Index Return is -60.00%, the payment at maturity will be $407.125 per $1,000 principal
amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] + $7.125 = $407.125
PS-5
| Structured Investments
Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index |
|
When added to the Interest Payments received
with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $827.50.
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product
supplement and underlying supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value is less than the Trigger Value, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances, you will
lose more than 50.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION — |
The Index is subject to a 6.0% per annum daily
deduction. The level of the Index will trail the value of an identically constituted synthetic portfolio that is not subject to any such
deduction.
The index deduction will place a significant
drag on the performance of the Index, potentially offsetting positive returns on the Index’s investment strategy, exacerbating negative
returns of its investment strategy and causing the level of the Index to decline steadily if the return of its investment strategy is
relatively flat. The Index will not appreciate unless the return of its investment strategy is sufficient to offset the negative effects
of the index deduction, and then only to the extent that the return of its investment strategy is greater than the index deduction. As
a result of the index deduction, the level of the Index may decline even if the return of its investment strategy is positive.
The daily deduction is one of the inputs our
affiliates’ internal pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes
of determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivatives underlying the economic terms of the notes. See “The Estimated Value of the Notes”
and “— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing supplement.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you
under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase &
Co., we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of JPMorgan
Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result,
we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary
of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources
to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are
unable to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information,
see the accompanying prospectus addendum.
PS-6
| Structured Investments
Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index |
|
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES, |
regardless of any appreciation of the Index,
which may be significant. You will not participate in any appreciation of the Index.
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value is less than the Trigger
Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully
exposed to any depreciation of the Index.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the
term of the notes may be reduced to as short as approximately six months and you will not receive any Interest Payments after the applicable
Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable
return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before maturity, you
are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500® INDEX OR HAVE
ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING THE INDEX. |
| · | THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE. |
| · | JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH
INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN THE FUTURE — |
Any research, opinions or recommendations could
affect the market value of the notes. Investors should undertake their own independent investigation of the merits of investing
in the notes, the Index and the futures contracts composing the Index.
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Interest Rate.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
An affiliate of ours currently has a 10% equity
interest in the Index Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as a member of the board of directors
of the Index Sponsor. The Index Sponsor can implement policies, make judgments or enact changes to the Index methodology that could negatively
affect the performance of the Index. The Index Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index.
Any of these actions could adversely affect the value of the notes. The Index Sponsor has no obligation to consider your interests in
calculating, maintaining or revising the Index, and we, JPMS, our other affiliates and our respective employees are under no obligation
to consider your interests as an investor in the notes in connection with the role of our affiliate as an owner of an equity interest
in the Index Sponsor or the role of an employee of JPMS as a member of the board of directors of the Index Sponsor.
In addition, JPMS worked with the Index Sponsor
in developing the guidelines and policies governing the composition and calculation of the Index. Although judgments, policies and determinations
concerning the Index were made by JPMS, JPMorgan Chase & Co., as the parent company of JPMS, ultimately controls JPMS. The policies
and judgments for which JPMS was responsible could have an impact, positive or negative, on the level of the Index and the value of your
notes. JPMS is under no
PS-7
| Structured Investments
Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index |
|
obligation to consider your interests as an investor in the
notes in its role in developing the guidelines and policies governing the Index or making judgments that may affect the level of the Index.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes
because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These
costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated
Value of the Notes” in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in
an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be
lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
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| Structured Investments
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Vol Advantage Index |
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Risks Relating to the Index
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, |
but JPMorgan Chase & Co. will not have any
obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500® Index.
| · | THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE FUTURES CONTRACTS
— |
No assurance can be given that the investment
strategy on which the Index is based will be successful or that the Index will outperform any alternative strategy that might be employed
with respect to the Futures Contracts.
| · | THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY — |
No assurance can be given that the Index will
maintain an annualized realized volatility that approximates its target volatility of 35%. The Index’s target volatility is a level
of implied volatility and therefore the actual realized volatility of the Index may be greater or less than the target volatility. On
each weekly Index rebalance day, the Index’s exposure to the Futures Contracts is set equal to (a) the 35% implied volatility target
divided by (b) the one-week implied volatility of the SPY Fund, subject to a maximum exposure of 500%. The Index uses the implied
volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts. However, there is no guarantee that the methodology
used by the Index to determine the implied volatility of the SPY Fund will be representative of the implied or realized volatility of
the Futures Contracts. The performance of the SPY Fund may not correlate with the performance of the Futures Contracts, particularly during
periods of market volatility. In addition, the volatility of the Futures Contracts on any day may change quickly and unexpectedly and
realized volatility may differ significantly from implied volatility. In general, over time, the realized volatilities of the SPY Fund
and the Futures Contracts have tended to be lower than their respective implied volatilities; however, at any time those realized volatilities
may exceed their respective implied volatilities, particularly during periods of market volatility. Accordingly, the actual annualized
realized volatility of the Index may be greater than or less than the target volatility, which may adversely affect the level of the Index
and the value of the notes.
| · | THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE — |
On a weekly Index rebalance day, the Index will
employ leverage to increase the exposure of the Index to the Futures Contracts if the implied volatility of the SPY Fund is below 35%,
subject to a maximum exposure of 500%. Under normal market conditions in the past, the SPY Fund has tended to exhibit an implied volatility
below 35%. Accordingly, the Index has generally employed leverage in the past, except during periods of elevated volatility. When leverage
is employed, any movements in the prices of the Futures Contracts will result in greater changes in the level of the Index than if leverage
were not used. In particular, the use of leverage will magnify any negative performance of the Futures Contracts, which, in turn, would
negatively affect the performance of the Index. Because the Index’s leverage is adjusted only on a weekly basis, in situations where
a significant increase in volatility is accompanied by a significant decline in the value of the Futures Contracts, the level of the Index
may decline significantly before the following Index rebalance day when the Index’s exposure to the Futures Contracts would be reduced.
| · | THE INDEX MAY BE SIGNIFICANTLY UNINVESTED — |
On a weekly Index rebalance day, the Index’s
exposure to the Futures Contracts will be less than 100% when the implied volatility of the SPY Fund is above 35%. If the Index’s
exposure to the Futures Contracts is less than 100%, the Index will not be fully invested, and any uninvested portion will earn no return.
The Index may be significantly uninvested on any given day, and will realize only a portion of any gains due to appreciation of the Futures
Contracts on any such day. The 6.0% per annum deduction is deducted daily, even when the Index is not fully invested.
| · | THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN EXPIRING FUTURES CONTRACT INCLUDED IN
THE INDEX — |
As the Futures Contracts included in the Index
come to expiration, they are replaced by Futures Contracts that expire three months later. This is accomplished by synthetically selling
the expiring Futures Contract and synthetically purchasing the Futures Contract that expires three months from that time. This process
is referred to as “rolling.” Excluding other considerations, if the market for the Futures Contracts is in “contango,”
where the prices are higher in the distant delivery months than in the nearer delivery months, the purchase of the later Futures Contract
would take place at a price that is higher than the price of the expiring Futures Contract, thereby creating a negative “roll yield.”
In addition, excluding other considerations, if the market for the Futures Contracts is in “backwardation,” where the prices
are lower in the distant delivery months than in the nearer delivery months, the purchase of the later Futures Contract would take place
at a price that is lower than the price of the expiring Futures Contract, thereby creating a positive “roll yield.” The presence
of contango in the market for the Futures Contracts could adversely affect the level of the Index and, accordingly, any payment on the
notes.
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| Structured Investments
Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index |
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| · | THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT “TOTAL RETURNS” — |
The
Index is an excess return index that does not reflect total returns. The return from investing in futures contracts derives from three
sources: (a) changes in the price of the relevant futures contracts (which is known as the “price return”); (b) any profit
or loss realized when rolling the relevant futures contracts (which is known as the “roll return”); and (c) any interest earned
on the cash deposited as collateral for the purchase of the relevant futures contracts (which is known as the “collateral return”).
The
Index measures the returns accrued from investing in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated with an investment in the Futures Contracts). By contrast, a total return index, in addition to reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e.,
the collateral return associated with an investment in the Futures Contracts). Investing in the notes will not generate the same return
as would be generated from investing in a total return index related to the Futures Contracts.
| · | CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES — |
The Index generally provides exposure to a
single futures contract on the S&P 500® Index that trades on the Chicago Mercantile Exchange. Accordingly, the notes
are less diversified than other funds, investment portfolios or indices investing in or tracking a broader range of products and, therefore,
could experience greater volatility. You should be aware that other indices may be more diversified than the Index in terms of both the
number and variety of futures contracts. You will not benefit, with respect to the notes, from any of the advantages of a diversified
investment and will bear the risks of a highly concentrated investment.
| · | THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY — |
The Index tracks the returns of futures contracts.
The price of a futures contract depends not only on the price of the underlying asset referenced by the futures contract, but also on
a range of other factors, including but not limited to changing supply and demand relationships, interest rates, governmental and regulatory
policies and the policies of the exchanges on which the futures contracts trade. In addition, the futures 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. These factors and others can cause the prices of futures contracts to be volatile.
| · | SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES — |
Futures markets like the Chicago Mercantile Exchange,
the market for the Futures Contracts, 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, futures exchanges
have regulations that limit the amount of fluctuation in some 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 price beyond the limit, or trading may be limited for a set period of time. Limit prices have the effect of
precluding trading in a particular contract or forcing the liquidation of contracts at potentially disadvantageous times or prices. These
circumstances could affect the level of the Index and therefore could affect adversely the value of your notes.
| · | THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY NOT BE READILY AVAILABLE — |
The official settlement price and intraday trading
prices of the Futures Contracts are calculated and published by the Chicago Mercantile Exchange and are used to calculate the levels of
the Index. Any disruption in trading of the Futures Contracts could delay the release or availability of the official settlement price
and intraday trading prices and may delay or prevent the calculation of the Index.
| · | CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY ADVERSELY AFFECT THE VALUE OF THE NOTES
— |
Futures exchanges require market participants
to post collateral in order to open and to keep open positions in futures contracts. If an exchange changes the amount of collateral required
to be posted to hold positions in the Futures Contracts, market participants may adjust their positions, which may affect the prices of
the Futures Contracts. As a result, the level of the Index may be affected, which may adversely affect the value of the notes.
| · | HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT TO INHERENT LIMITATIONS
— |
The hypothetical back-tested performance of
the Index set forth under “Hypothetical Back-Tested Data and Historical Information” in this pricing supplement is purely
theoretical and does not represent the actual historical performance of the Index and has not been verified by an independent third party.
Hypothetical back-tested performance measures have inherent limitations. Hypothetical back-tested performance is derived by means
of the retroactive application of a back-tested model that has been
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| Structured Investments
Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index |
|
designed with the benefit of hindsight. Alternative
modelling techniques might produce significantly different results and may prove to be more appropriate. Past performance, and especially
hypothetical back-tested performance, is not indicative of future results. This type of information has inherent limitations and
you should carefully consider these limitations before placing reliance on such information.
| o | THE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS. |
| o | HISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE PERFORMANCE OF THE INDEX DURING THE TERM OF
THE NOTES. |
Please
refer to the “Risk Factors” section of the accompanying underlying supplement for more details regarding the above-listed
and other risks.
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Vol Advantage Index |
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Hypothetical Back-Tested Data and Historical
Information
The following graph sets forth the hypothetical
back-tested performance of the Index based on the hypothetical back-tested weekly closing levels of the Index from January 4, 2019 through
February 4, 2022, and the historical performance of the Index based on the weekly historical closing levels of the Index from February
11, 2022 through July 5, 2024. The Index was established on February 11, 2022, as represented by the vertical line in the following graph.
All data to the left of that vertical line reflect hypothetical back-tested performance of the Index. All data to the right of that vertical
line reflect actual historical performance of the Index. The closing level of the Index on July 10, 2024 was 4,210.03.
We obtained the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without
independent verification.
The data for the
hypothetical back-tested performance of the Index set forth in the following graph are purely theoretical and do not represent the actual
historical performance of the Index. See “Selected Risk Considerations — Risks Relating to the Index — Hypothetical
Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations” above.
The hypothetical back-tested and historical closing levels
of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the
Index on the Pricing Date or any Review Date. There can be no assurance that the performance of the Index will result in the return of
any of your principal amount.
The hypothetical back-tested closing levels of the
Index have inherent limitations and have not been verified by an independent third party. These hypothetical back-tested closing levels
are determined by means of a retroactive application of a back-tested model designed with the benefit of hindsight. Hypothetical back-tested
results are neither an indicator nor a guarantee of future returns. No representation is made that an investment in the notes will or
is likely to achieve returns similar to those shown. Alternative modeling techniques or assumptions would produce different hypothetical
back-tested closing levels of the Index that might prove to be more appropriate and that might differ significantly from the hypothetical
back-tested closing levels of the Index set forth above.
Tax Treatment
You should
review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
no. 4-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, and on current market conditions, in determining
our reporting responsibilities we intend to treat the notes for U.S. federal income tax purposes as units each comprising: (x) a cash-settled
Put Option written by you that is terminated if an automatic call occurs and that, if not terminated, in circumstances where the payment
due at maturity is less than $1,000 (excluding accrued but unpaid interest), requires you to pay us an amount equal to that difference
and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your potential obligation under the Put Option, as more fully described
in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Units Each Comprising
a Put Option and a Deposit” in the accompanying product supplement, and in particular in the subsection thereof entitled “—
Notes with a Term of More than One Year.” By purchasing the notes, you agree (in the absence of an administrative determination
or judicial ruling to the contrary) to follow this treatment and the allocation described in the following paragraph. However, there are
other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes
could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S.
federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses on a number of issues,
the most relevant of which for investors in the notes are the character of income or loss
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Auto Callable Yield Notes Linked to the MerQube US Large-Cap
Vol Advantage Index |
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(including whether the Put Premium might be currently included as
ordinary income) and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax. While it
is not clear whether the notes would be viewed as similar to the typical prepaid forward contract described in the notice, it is possible
that any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect.
In determining
our reporting responsibilities, we intend to treat a portion of each Interest Payment equal to approximately 5.56% per annum times the
amount of the Deposit times the number of days in the applicable period divided by 365 as interest on the Deposit (so that the amount
allocated as interest on the Deposit will vary from Interest Payment to Interest Payment depending on the number of days in the applicable
period) and the remainder of each Interest Payment as Put Premium. Assuming that the treatment of the notes as units each comprising a
Put Option and a Deposit is respected, amounts treated as interest on the Deposit will be taxed as ordinary income, while the Put Premium
will not be taken into account prior to sale or settlement, including a settlement following an automatic call.
Section 871(m)
of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless
an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations.
Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have
a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an
“Underlying Security”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes
with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section
871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be
provided in the pricing supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m)
to the notes.
The discussions
above and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the Code. You should consult your tax adviser regarding all aspects of the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by the 2007 notice. Purchasers who are
not initial purchasers of notes at the issue price should also consult their tax advisers with respect to the tax consequences of an investment
in the notes, including possible alternative treatments, as well as the allocation of the purchase price of the notes between the Deposit
and the Put Option.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
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The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
The estimated value of the notes will be lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower Than the
Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any
secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is
intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The MerQube US
Large-Cap Vol Advantage Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying 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.
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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):
| · | Underlying supplement no. 5-II dated March 5, 2024: |
http://www.sec.gov/Archives/edgar/data/19617/000121390024020078/ea0200816-01_424b2.pdf
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.
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JP Morgan Chase (NYSE:JPM-M)
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