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 22, 2024
|
Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 4-I dated April 13, 2023 and
underlying supplement no. 1-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 |
$
Yield Notes Linked to the S&P 500® Index due August 22, 2025
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
General
| · | The
notes will pay a coupon of at least 8.00% over the term of the note, payable on the Maturity Date. |
| · | 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 the coupon payment at maturity. |
| · | 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. |
| Index: |
The S&P 500® Index (Bloomberg ticker: SPX) |
| Payment at Maturity: |
If the Ending Index Level 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 Coupon.
If the Ending Index Level is less than the Trigger Value, your payment
at maturity per $1,000 principal amount note, in addition to the Coupon, will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the Ending Index Level is less than the Trigger Value, you will
lose more than 15.00% of your principal amount (not considering interest payments) at maturity and could lose all of your principal amount
at maturity. |
| Coupon: |
On the Maturity Date, you will receive for each $1,000 principal amount note, a Coupon payment equal to at least $80.00. |
| Coupon Rate: |
At least 8.00%, payable on the Maturity Date. |
| Trigger Value: |
85.00% of the Index Strike Level, which is 4,679.25 |
| Index Return: |
(Ending Index Level – Index Strike
Level)
Index Strike Level |
|
| Index Strike Level: |
5,505.00 which was the closing level of the Index on the Strike Date. The Index Strike Level is not determined by reference to the closing level of the Index on the Pricing Date. |
| Ending Index Level: |
The closing level of the Index on the Valuation Date |
| Strike Date: |
July 19, 2024 |
| Pricing Date: |
On or about July 22, 2024 |
| Original Issue Date: |
On or about July 25, 2024 (Settlement Date) |
| Valuation Date*: |
August 19, 2025 |
| Coupon Payment Date/Maturity Date*: |
August 22, 2025 |
| CUSIP: |
48135PQC8 |
| * | Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single
Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement |
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-3 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 $10.42 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 $985.90 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 $970.00 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.
Additional Terms Specific to the
Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes, of
which these notes are a part, the accompanying prospectus addendum, and the more detailed information contained in the accompanying product
supplement and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains
the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying
prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
| | |
| JPMorgan Structured Investments — | PS- 1 |
| Yield Notes Linked to the S&P 500® Index | |
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate payments on the
notes linked to a hypothetical Index, assuming a range of performances for the hypothetical Index on the Valuation Date. In addition,
the hypothetical payments set forth below assume an Index Strike Level of 100.00, a Trigger Value of 85.00 (equal to 85.00% of the hypothetical
Index Strike Level) and a Coupon Rate of 8.00%. The hypothetical Index Strike Level of 100.00 has been chosen for illustrative purposes
only and does not represent the actual Index Strike Level. For historical data regarding the actual closing levels of the Index, please
see the historical information set forth under “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 — The Ending Index Level is greater
than or equal the Trigger Value.
| Date |
Closing Level of the Index |
|
| Valuation Date |
90.00 |
Ending Index Level is greater than or equal the Trigger Value |
| |
Total Payment |
$1,080.00 (8.00% return) |
Because the Ending Index Level is greater than or equal
to the Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,080.00 (or $1,000 plus the Coupon
payment).
Example 2 — The Ending Index Level is less than
the Trigger Value.
| Date |
Closing Level of the Index |
|
| Valuation Date |
50.00 |
Ending Index Level is less than the Trigger Value |
| |
Total Payment |
$580.00 (-42.00% return) |
Because the Ending Index Level is less than the Trigger
Value and the Index Return is -50.00%, the payment at maturity will be $580.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)]
+ $80.00 = $580.00
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 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 Purchase Considerations
| · | COUPON PAYMENT AT MATURITY — The notes offer
the potential to earn a Coupon payment of at least $80.00 per $1,000 principal amount note 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. |
| · | THE NOTES DO NOT GUARANTEE
THE RETURN OF YOUR PRINCIPAL — We will pay you your principal back at maturity only if the Ending Index Level is greater than
or equal to the Trigger Value. However, if the Ending Index Level is less than the Trigger Value, you will lose some or all of the principal
amount of your notes (not considering interest payments) at maturity. |
| · | RETURN LINKED TO THE S&P
500® INDEX — The S&P 500® Index consists of stocks of 500 companies selected to provide
a performance benchmark for the U.S. equity markets. For additional information about the S&P 500® Index, see
“Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement. |
| · | TAX TREATMENT —
This discussion supplements and, to the extent inconsistent therewith, supersedes the discussion in the accompanying product supplement
under “Material U.S. Federal Income Tax Consequences.” |
Due to the lack of any controlling legal
authority, there is substantial uncertainty regarding the U.S. federal tax consequences of an investment in the notes. In the opinion
of our counsel, Latham & Watkins LLP, it is reasonable under current law to treat the notes for U.S. federal income tax purposes as
a cash-settled put option (the “Put Option”) written by you with respect to the underlying shares, secured by a cash deposit
equal to the stated principal amount of the note (the “Deposit”). However, our counsel has advised us that it is unable to
conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative treatments are possible that could
materially affect the timing and character of income or loss you recognize on the notes. Moreover, our counsel’s opinion is based
on market conditions as of the date of this preliminary pricing supplement and is subject to confirmation on the Trade Date.
Under this treatment:
| · | a portion of each coupon paid with respect to the notes
will be attributable to interest on the Deposit; and |
| · | the remainder will represent premium attributable to your
grant of the Put Option (“Put Premium”); |
| | |
| JPMorgan Structured Investments — | PS- 2 |
| Yield Notes Linked to the S&P 500® Index | |
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”.
We will specify in the final pricing supplement
the portion of each coupon that we will allocate to interest on the Deposit and to Put Premium, respectively.
We do not plan to request a ruling from
the IRS regarding the treatment of the notes, and the IRS or a court might not agree with the treatment described herein. For example,
the entire coupon could be treated as ordinary income at the time received or accrued.
Alternatively, the notes might be determined
to be contingent payment debt instruments, in which case the tax consequences of ownership and disposition of the notes, including the
timing and character of income recognized, might be materially and adversely affected. Moreover, the U.S. Treasury Department and the
IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
In addition, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, 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 advisor regarding possible alternative tax
treatments of the notes and potential changes in applicable law.
Non-U.S. Holders. Subject to the
discussion below and in the accompanying product supplement, in general, we currently do not intend to treat coupons paid to a Non-U.S.
Holder (as defined in the accompanying product supplement) of the notes as subject to U.S. federal withholding tax, provided that the
Non-U.S. Holder complies with applicable certification requirements to establish the Non-U.S. Holder’s status as a non-United States
person. However, it is possible that the IRS could assert that such payments are subject to U.S. withholding tax, or that we or another
withholding agent may otherwise determine that withholding is required, in which case we or the other withholding agent may withhold at
a rate of up to 30% on such payments.
Moreover, as discussed in the accompanying
product supplement, Section 871(m) of the Internal Revenue Code generally imposes a 30% withholding tax 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. Treasury regulations under Section 871(m), as modified by an IRS notice, exclude from their scope financial instruments
issued prior to January 1, 2027 that do not have a “delta” of one with respect to any U.S. equity. Based on the terms of the
notes and representations provided by us as of the date of this preliminary pricing supplement, our counsel is of the opinion that the
notes should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect
to any U.S. equity and, therefore, should not be subject to withholding tax under Section 871(m). However, the final determination regarding
the treatment of the notes under Section 871(m) will be made as of the Trade Date for the notes and it is possible that the notes will
be subject to withholding tax under Section 871(m) based on circumstances on that date.
A determination that the notes are not subject
to Section 871(m) is not binding on the IRS, and the IRS may disagree with this determination. Moreover, Section 871(m) is complex and
its application may depend on your particular circumstances, including your other transactions. You should consult your tax advisor regarding
the potential application of Section 871(m) to the notes.
Withholding under legislation commonly referred
to as “FATCA” may (to the extent of the Deposit or to the extent that the notes are recharacterized as debt instruments) apply
to amounts treated as interest on the Deposit (or otherwise paid with respect to the notes), as well as to payments of gross proceeds
of a taxable disposition, including redemption at maturity, of a note, although under proposed regulations (the preamble to which specifies
that taxpayers are permitted to rely on them pending finalization), no withholding will apply to payments of gross proceeds (other than
any amount treated as interest). You should consult your tax adviser regarding the potential application of FATCA to the notes.
We will not be required to pay any additional
amounts with respect to U.S. federal withholding taxes.
You should read the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement.
You should also consult your tax advisor
regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the notes and any tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Selected Risk Considerations
An investment in the notes
involves significant risks. Investing in the notes is not equivalent to investing directly in the Index or any of the component securities
of the Index. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement
and product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE
NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. If the Ending Index Level is less than the
Trigger Value, you will lose 1% of the principal amount of your |
| | |
| JPMorgan Structured Investments — | PS- 3 |
| Yield Notes Linked to the S&P 500® Index | |
notes
for every 1% that the Ending Index Level is less than the Index Strike Level. Accordingly, under these circumstances, you will lose more
than 15.00% of your principal amount (not considering interest payments) at maturity and could 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. |
| · | NO PERIODIC INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS —
As a holder of the notes, you will not receive periodic interest payments, and you will not have voting rights or rights to receive cash
dividends or other distributions or other rights that holders of the securities included in the Index would have. |
| · | AS A FINANCE SUBSIDIARY,
JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany
agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes.
We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co.
we are not expected to have sufficient resources to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co.
does not make payments to us and we are unable to make payments on the notes, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co. For more information, see the accompanying prospectus addendum. |
| · | THE APPRECIATION POTENTIAL
OF THE NOTES IS LIMITED TO THE COUPON PAYMENT PAID AT MATURITY, REGARDLESS OF ANY APPRECIATION OF THE INDEX, WHICH MAY BE SIGNIFICANT.
YOU WILL NOT PARTICIPATE IN ANY APPRECIATION OF THE INDEX OVER THE TERM OF THE NOTES. |
| · | THE BENEFIT PROVIDED BY
THE TRIGGER VALUE MAY TERMINATE ON THE VALUATION DATE — If the Ending Index Level is less than the Trigger Value, the benefit
provided by the Trigger Value will terminate and you will be fully exposed to any depreciation of 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. |
| · | LACK OF LIQUIDITY
— 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 Coupon Rate. |
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. |
| | |
| JPMorgan Structured Investments — | PS- 4 |
| Yield Notes Linked to the S&P 500® Index | |
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE
VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market
conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend
rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are greater
than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change,
and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other
things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and
other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
See “The Estimated Value of the Notes” in this pricing supplement. |
| · | 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 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 “— 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 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.
Risks Relating to the Index
| · | JPMORGAN CHASE & CO.
IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX — JPMorgan Chase & Co. is currently one of
the companies that make up the Index, but JPMorgan Chase & Co. will have no obligation to consider your interests as a holder
of the notes in taking any corporate action that might affect the value of the Index. |
| | |
| JPMorgan Structured Investments — | PS- 5 |
| Yield Notes Linked to the S&P 500® Index | |
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 4, 2019 through July 19, 2024. The closing level
of the Index on July 19, 2024 was 5,505.00.
We obtained the closing levels of the Index above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical
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 the Valuation Date. There can be no assurance that the performance of the Index will result in the
return of any of your principal amount. Any payment at maturity is subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
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. 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.
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
| | |
| JPMorgan Structured Investments — | PS- 6 |
| Yield Notes Linked to the S&P 500® Index | |
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 “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 the S&P 500® 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.
Supplemental Terms of the Notes
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.
| | |
| JPMorgan Structured Investments — | PS- 7 |
| Yield Notes Linked to the S&P 500® Index | |
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