The information in this preliminary pricing supplement is
not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these securities
in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated August 1,
2024
PRICING
SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01
Dated August , 2024 |
|
JPMorgan Chase Financial Company LLC Trigger In-Digital Notes
Linked to a Brent Crude Oil Futures Contract due on or about December
1, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Trigger
In-Digital Notes, which we refer to as the “Notes,” are unsecured and unsubordinated debt securities issued by JPMorgan
Chase Financial Company LLC (“JPMorgan Financial”), the payment on which is fully and unconditionally guaranteed by JPMorgan
Chase & Co., with a return linked to the performance of the first nearby month futures contract for Brent crude oil traded on
ICE Futures Europe (Bloomberg ticker: CO1) or, on any day that falls on the last trading day of such contract (all pursuant to the
rules of ICE Futures Europe), the second nearby month futures contract for Brent crude oil (Bloomberg ticker: CO2) (the “Underlying”).
If the Final Value is greater than or equal to the Digital Barrier (which is equal to the Downside Threshold), JPMorgan Financial
will repay your principal amount at maturity and pay a return equal to the Digital Return. The Digital Return will be finalized
on the Trade Date and provided in the pricing supplement and is expected to be between 10.00% and 12.00%. However, if the Final
Value is less than the Downside Threshold, JPMorgan Financial will repay less than your principal amount at maturity, if anything,
resulting in a loss of principal that is proportionate to the negative Underlying Return. In this case, you will have full
downside exposure to the Underlying from the Initial Value to the Final Value and could lose all of your principal amount. In
no event, however, will the payment at maturity be less than $0. Investing in the Notes involves significant risks.
You may lose some or all of your principal amount. The Notes will not pay interest. The contingent repayment
of principal and the Digital Return apply only if you hold the Notes to maturity. Any payment on the Notes, including any repayment
of principal, is subject to the creditworthiness of JPMorgan Financial, as issuer of the Notes, and the creditworthiness of JPMorgan
Chase & Co., as guarantor of the Notes. If JPMorgan Financial and JPMorgan Chase & Co. were to default on their payment
obligations, you may not receive any amounts owed to you under the Notes and you could lose your entire investment. |
| q | Digital
Return Feature — If the Final Value is greater than or equal to the Digital Barrier
(which is equal to the Downside Threshold) on the Final Valuation Date, JPMorgan Financial
will repay your principal amount at maturity and pay a return equal to the Digital Return,
regardless of any appreciation of the Underlying. However, if the Final Value is less than
the Downside Threshold, investors will be exposed to the negative Underlying Return at maturity. |
| q | Downside
Exposure — If the Final Value is less than the Downside Threshold (which is equal
to the Digital Barrier), JPMorgan Financial will repay less than your principal amount at
maturity, if anything, resulting in a loss of principal that is proportionate to the negative
Underlying Return. In no event, however, will the payment at maturity be less than $0.
You may lose some or all of your principal. The contingent repayment of principal applies
only if you hold the Notes to maturity. Any payment on the Notes, including any repayment
of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase
& Co. |
Trade
Date1 |
August
9, 2024 |
Original Issue
Date (Settlement Date)1 |
August 14,
2024 |
Final Valuation
Date2 |
November
25, 2025 |
Maturity Date2 |
December
1, 2025 |
1 |
Expected.
In the event that we make any change to the expected Trade Date and Settlement Date, the Final Valuation Date and/or the Maturity
Date will be changed so that the stated term of the Notes remains the same. |
2 |
Subject
to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Commodity or Commodity Futures
Contract” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
or early acceleration in the event of a commodity hedging disruption event as described under “General Terms of Notes —
Consequences of a Commodity Hedging Disruption Event — Acceleration of the Notes” in the accompanying product supplement
and in “Key Risks — Risks Relating to the Notes Generally — We May Accelerate Your Notes If a Commodity Hedging
Disruption Event Occurs” in this pricing supplement |
THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS.
JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE DOWNSIDE
MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF
JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO NOT UNDERSTAND
OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY
RISKS” BEGINNING ON PAGE 6 OF THIS PRICING SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING ON PAGE S-2 OF THE ACCOMPANYING
PROSPECTUS SUPPLEMENT, IN ANNEX A TO THE ACCOMPANYING PROSPECTUS ADDENDUM AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-11
OF THE ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES,
COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE
NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We
are offering Trigger In-Digital Notes linked to a Brent Crude Oil Futures Contract. The Notes are offered at a minimum
investment of $1,000 in denominations of $10 and integral multiples thereof. The Digital Return, Initial Value, Digital Barrier
and Downside Threshold will be finalized on the Trade Date and provided in the pricing supplement. The actual Digital
Return will not be less than the bottom of the range listed below, but you should be willing to invest in the Notes if the Digital
Return were set equal to the bottom of that range. |
Underlying |
Digital
Return |
Initial
Value |
Digital
Barrier* |
Downside
Threshold* |
CUSIP |
ISIN |
Brent
Crude Oil Futures Contract (Bloomberg ticker: CO1 or CO2) |
10.00%
to 12.00% |
$• |
65%
of the
Initial Value |
65%
of the
Initial Value |
48131G634 |
US48131G6347 |
* Rounded to two decimal places
See “Additional Information about JPMorgan Financial, JPMorgan
Chase & Co. and the Notes” in this pricing supplement. The Notes will have the terms specified in the prospectus and the prospectus
supplement, each dated April 13, 2023, the prospectus addendum dated June 3, 2024, product supplement no. 2-I dated April 13, 2023 and
this pricing supplement. The terms of the Notes as set forth in this pricing supplement, to the extent they differ or conflict with
those set forth in the accompanying product supplement, will supersede the terms set forth in that product supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying prospectus, the accompanying prospectus supplement, the accompanying prospectus addendum and the accompanying
product supplement. Any representation to the contrary is a criminal offense.
|
Price
to Public1 |
Fees
and Commissions2 |
Proceeds
to Issuer |
Offering
of Notes |
Total |
Per
Note |
Total |
Per
Note |
Total |
Per
Note |
Notes Linked to
a Brent Crude Oil Futures Contract |
|
$10 |
|
$0.20 |
|
$9.80 |
1 |
See
“Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public
of the Notes. |
2 |
UBS Financial
Services Inc., which we refer to as UBS, will receive selling commissions from us that will not exceed $0.20 per $10 principal amount
Note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented
by “Supplemental Plan of Distribution” in this pricing supplement. |
If the Notes priced today and assuming a Digital Return equal to the
middle of the range listed above, the estimated value of the Notes would be approximately $9.624 per $10 principal amount Note. The estimated
value of the Notes, when the terms of the Notes are set, will be provided in the pricing supplement and will not be less than $9.40 per
$10 principal amount Note. See “The Estimated Value of the Notes” in this pricing supplement for additional information.
The Notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
UBS
Financial Services Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024064170/image_001.jpg) |
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes |
You may revoke your offer to purchase the Notes at any time prior
to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or reject any offer to
purchase, the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will notify you and you will be
asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may reject
your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these Notes
are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement.
This pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all other prior
or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, as the Notes involve risks
not associated with conventional debt securities.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| t | Product supplement no. 2-I
dated April 13, 2023: |
http://www.sec.gov/Archives/edgar/data/19617/000121390023029567/ea151907_424b2.pdf
| t | Prospectus supplement and prospectus,
each dated April 13, 2023: |
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
| t | Prospectus addendum dated June
3, 2024: |
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan Financial,”
“we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Notes |
For purposes of the accompanying product supplement, the first nearby
month futures contract on Brent crude oil traded on ICE Futures Europe (Bloomberg ticker: CO1) or, on any day that falls on the last
trading day of such contract (all pursuant to the rules of ICE Futures Europe), the second nearby month futures contract for Brent crude
oil (Bloomberg ticker: CO2) is a “Commodity Futures Contract.”
The Notes are not commodity futures contracts or swaps and are
not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The Notes are offered
pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption, that is
available to Notes 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 Underlying, and any values derived therefrom, included
in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the Notes. Notwithstanding anything to the contrary in the indenture governing the Notes, that amendment
will become effective without consent of the holders of the Notes or any other party.
Investor
Suitability
The Notes may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire principal amount.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same
downside market risk as a hypothetical investment in the Underlying.
t You
believe the Contract Price is likely to be at or above the Digital Barrier (which is equal to the Downside Threshold) on the Final
Valuation Date and will not increase by a greater percentage than the Digital Return over the term of the Notes.
t You
understand and accept that you will not participate in any appreciation of the Underlying and your potential return is limited to
the Digital Return.
t You
would be willing to invest in the Notes if the Digital Return were set equal to the bottom of the range indicated on the cover hereof
(the actual Digital Return will be finalized on the Trade Date and provided in the pricing supplement and will not be less than the
bottom of the range indicated on the cover hereof).
t You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations
in the price of the Underlying.
t You
do not seek current income from your investment.
t You
are willing and able to hold the Notes to maturity.
t You
accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on the
price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
t You
understand and accept the risks associated with the Underlying.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, and understand
that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts due to you
including any repayment of principal. |
|
The Notes may not be suitable for you if, among other considerations:
t You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire principal amount.
t You
require an investment designed to provide a full return of principal at maturity.
t You
cannot tolerate a loss of all or a substantial portion of your investment, or you are not willing to make an investment that may
have the same downside market risk as a hypothetical investment in the Underlying.
t You
believe the Contract Price is unlikely to be at or above the Digital Barrier (which is equal to the Downside Threshold) on the Final
Valuation Date or will increase by a greater percentage than the Digital Return over the term of the Notes.
t You
seek an investment that participates in any appreciation of the Underlying or that has unlimited return potential.
t You
would be unwilling to invest in the Notes if the Digital Return were set equal to the bottom of the range indicated on the cover
hereof (the actual Digital Return will be finalized on the Trade Date and provided in the pricing supplement and will not be less
than the bottom of the range indicated on the cover hereof).
t You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations
in the price of the Underlying.
t You
seek current income from your investment.
t You
are unwilling or unable to hold the Notes to maturity or seek an investment for which there will be an active secondary market.
t You
do not understand or accept the risks associated with the Underlying.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, including
any repayment of principal. |
The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability of an
investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks” section
of this pricing supplement, the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product
supplement and Annex A to the accompanying prospectus addendum for risks related to an investment in the Notes. For more information
on the Underlying, please see the section titled “The Underlying” below.
Indicative
Terms |
Issuer: |
|
JPMorgan Chase Financial
Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
|
JPMorgan Chase & Co. |
Issue Price: |
|
$10.00 per
Note (subject to a minimum purchase of 100 Notes or $1,000) |
Principal
Amount: |
|
$10.00 per
Note. The payment at maturity will be based on the principal amount. |
Underlying: |
|
The first
nearby month futures contract for Brent crude oil traded on ICE Futures Europe (Bloomberg ticker: CO1) or, on any day that falls
on the last trading day of such contract (all pursuant to the rules of ICE Futures Europe), the second nearby month futures contract
for Brent crude oil (Bloomberg ticker: CO2) |
Term1: |
|
15.5 months |
Payment at
Maturity (per $10 principal amount Note): |
|
If the Final Value is greater than or equal to the Digital
Barrier (which is equal to the Downside Threshold), JPMorgan Financial will pay you a cash payment at maturity per $10 principal
amount Note equal to:
$10.00 + ($10.00 × Digital Return)
If the Final Value is less than the Downside Threshold,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Note equal to:
$10.00 + ($10.00 × Underlying Return)
In no event, however, will the payment at maturity
be less than $0.
In this scenario, you will be exposed to the decline of
the Underlying and you will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return. |
Underlying
Return: |
|
(Final Value – Initial Value)
Initial Value |
Digital Return: |
|
10.00% to
12.00%. The actual Digital Return will be finalized on the Trade Date and provided in the pricing supplement and will
not be less than 10.00%. |
Initial Value: |
|
The Contract
Price on the Trade Date |
Final Value:
|
|
The Contract
Price on the Final Valuation Date |
Contract Price: |
|
On any day,
the official settlement price per barrel on ICE Futures Europe of the first nearby month futures contract for Brent crude oil, stated
in U.S. dollars, provided that if that day falls on the last trading day of such futures contract (all pursuant to the rules
of ICE Futures Europe), then the second nearby month futures contract for Brent crude oil (Bloomberg symbol: “CO2”),
as made public by ICE Futures Europe and displayed on the Bloomberg Professional® service (“Bloomberg”)
under the symbol “CO1” or “CO2,” as applicable, on that day |
Digital Barrier2: |
|
65% of the
Initial Value |
Downside
Threshold2: |
|
65% of the Initial Value
|
1 See footnote 1 under “Key Dates” on the front
cover.
2 Rounded to two decimal places
|
|
Investment
Timeline |
|
|
|
Trade
Date |
|
The Initial Value is observed. The
Digital Barrier and Downside Threshold are determined and the Digital Return is finalized. |
|
|
|
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024064170/image_002.jpg) |
|
|
|
|
|
Maturity Date |
|
The Final Value and the Underlying Return are determined.
If the Final Value is greater than or equal to the Digital
Barrier (which is equal to the Downside Threshold), JPMorgan Financial will pay you a cash payment at maturity per $10 principal
amount Note equal to:
$10.00 + ($10.00 × Digital Return)
If the Final Value is less than the Downside Threshold,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Note equal to:
$10.00 + ($10.00 × Underlying Return)
In no event, however, will the payment at maturity
be less than $0.
Under these circumstances, you will be exposed to the decline
of the Underlying and you will lose some or all of your principal amount. |
|
|
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU
MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO
THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO
DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE
INVESTMENT. |
What
Are the Tax Consequences of the Notes? |
You should review carefully the section entitled “Material U.S.
Federal Income Tax Consequences” in the accompanying product supplement no. 2-I. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.
federal income tax consequences of owning and disposing of Notes.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the Notes as “open transactions” that are not debt instruments for U.S. federal income
tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders
— Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this
treatment is respected, the gain or loss on your Notes should be treated as long-term capital gain or loss if you hold your Notes for
more than a year, whether or not you are an initial purchaser of Notes at the issue price. However, the IRS or a court may not
respect this treatment, in which case the timing and character of any income or loss on the Notes could be materially and adversely affected.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which
the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should
be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge.
While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Notes, possibly
with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the
Notes, including possible alternative treatments and the issues presented by this notice.
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Underlying or in any exchange-traded or over-the-counter instruments based on,
or other instruments linked to, any of the foregoing. These risks are explained in more detail in the “Risk Factors” sections
of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum.
We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
| t | Your
Investment in the Notes May Result in a Loss — The Notes differ from ordinary
debt securities in that we will not necessarily repay the full principal amount of the Notes.
We will pay you the principal amount of your Notes in cash only if the Final Value has not
declined below the Downside Threshold. If the Final Value is less than the Downside Threshold,
you will be exposed to the full decline of the Underlying and will lose some or all of your
principal amount in an amount proportionate to the negative Underlying Return. In no event,
however, will the payment at maturity be less than $0. Accordingly, you could lose up to
your entire principal amount. |
| t | Credit Risks
of JPMorgan Financial and JPMorgan Chase & Co. — The Notes are unsecured
and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
The Notes will rank pari passu with all of our other unsecured and unsubordinated
obligations, and the related guarantee by JPMorgan Chase & Co. will rank pari passu
with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations.
The Notes and related guarantees are not, either directly or indirectly, an obligation of
any third party. Any payment to be made on the Notes, including any repayment of principal,
depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their
obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan
Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the
event JPMorgan Financial and JPMorgan Chase & Co. were to default on their obligations,
you may not receive any amounts owed to you under the terms of the Notes and you could lose
your entire investment. |
| t | As a Finance Subsidiary,
JPMorgan Financial Has No Independent Operations and Limited Assets — As a finance
subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance
and administration of our securities and the collection of intercompany obligations. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of
our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans
made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result,
we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under
the Notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy
or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources
to meet our obligations in respect of the Notes as they come due. If JPMorgan Chase &
Co. does not make payments to us and we are unable to make payments on the Notes, you may
have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan
Chase & Co. For more information, see the accompanying prospectus addendum. |
| t | The Appreciation Potential
of the Notes Is Limited by the Digital Return — The appreciation potential of the
Notes is limited by the Digital Return. If the Final Value is greater than or equal to the
Digital Barrier, at maturity we will repay your principal amount, plus a return equal
to the Digital Return, regardless of any appreciation of the Underlying. Accordingly, the
appreciation potential of the Notes will be limited by the Digital Return even if the Underlying
Return is greater than the Digital Return. |
| t | The
Digital Return Applies Only If You Hold the Notes to Maturity — You should be willing to hold your Notes to maturity.
If you are able to sell your Notes prior to maturity in the secondary market, if any, the price you receive likely will not reflect the
full economic value of the Digital Return or the Notes themselves, and the return you realize may be less than the Underlying’s
return, even if that return is positive. You can receive the full benefit of the Digital Return from JPMorgan Financial only if you hold
your Notes to maturity. |
| t | The
Contingent Repayment of Principal Applies Only If You Hold the Notes to Maturity
— You should be willing to hold your Notes to maturity. If you are able to sell your
Notes in the secondary market, if any, prior to maturity, you may have to sell them at a
loss relative to your initial investment even if the Contract Price is above the Downside
Threshold. If you hold the Notes to maturity, JPMorgan Financial will repay your principal
amount as long as the Final Value is not below the Downside Threshold. However, if the Final
Value is less than the Downside Threshold, JPMorgan Financial will repay less than the principal
amount, if anything, resulting in a loss that is proportionate to the decline in the price
of the Underlying from the Initial Value to the Final Value. The contingent repayment of
principal based on whether the Final Value is below the Downside Threshold applies only if
you hold your Notes to maturity. |
| t | Your
Ability to Receive the Digital Return May Terminate on the Final Valuation Date
— If the Final Value is less than the Digital Barrier (which is equal to the Downside
Threshold), you will not be entitled to receive the Digital Return on the Notes. Under these
circumstances, you will lose some or all of your principal amount in an amount proportionate
to the negative Underlying Return. |
| t | No
Interest Payments — JPMorgan Financial will not make any interest payments
to you with respect to the Notes. |
| t | The Probability That the
Final Value Will Fall Below the Downside Threshold on the Final Valuation Date Will Depend
on the Volatility of the Underlying — “Volatility” refers to the frequency
and magnitude of changes in the price of the Underlying. Greater expected volatility with
respect to the Underlying reflects a higher expectation as of the Trade Date that the Underlying
could close below the Downside Threshold on the Final Valuation Date, resulting in the loss
of some or all of your investment. However, the Underlying’s volatility can change
significantly over the term of the Notes. The price of the Underlying could fall sharply,
which could result in a significant loss of principal. |
| t | Owning
the Notes Is Not the Same as Owning Brent Crude Oil or Futures Contracts on Brent Crude Oil
— The return on the Notes will not reflect the return you would realize
if you actually purchased Brent crude oil, futures contracts on Brent crude oil or exchange-traded
or over-the-counter instruments based on Brent crude oil. You will not have any rights that
holders of those assets or instruments have. |
| t | We Cannot Control Actions
by the Sponsor of the Underlying and That Sponsor Has No Obligation to Consider Your Interests
— We and our affiliates are not affiliated with the sponsor of the Underlying and
have no ability to control or predict its actions, including any errors in or discontinuation
of public disclosure regarding methods or policies relating to the calculation of the Underlying.
The sponsor of the Underlying is not involved in this Note offering in any way and has no
obligation to consider your interest as an owner of the Notes in taking any actions that
might affect the market value of your Notes. |
| t | We
May Accelerate the Notes if a Commodity Hedging Disruption Event Occurs —
If we or our affiliates are unable to effect transactions necessary to hedge our obligations
under the Notes due to a commodity hedging disruption event, we may, in our sole and absolute
discretion, accelerate the payment on the Notes and pay you an amount determined in good
faith and in a commercially reasonable manner by the calculation agent. If the payment on
the Notes is accelerated, your investment may result in a loss and you may not be able to
reinvest your money in a comparable investment. Please see “General Terms of Notes
— Consequences of a Commodity Hedging Disruption Event — Acceleration of the
Notes” in the accompanying product supplement for more information. |
| t | Lack
of Liquidity — The Notes will not be listed on any securities exchange.
JPMS intends to offer to purchase the Notes in the secondary market, but is not required
to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary
market for the Notes, the price at which you may be able to trade your Notes is likely to
depend on the price, if any, at which JPMS is willing to buy the Notes. |
| t | Tax
Treatment — Significant aspects of the tax treatment of the Notes are uncertain.
You should consult your tax adviser about your tax situation. |
| t | The
Final Terms and Valuation of the Notes Will Be Finalized on the Trade Date and Provided in
the Pricing Supplement — The final
terms of the Notes will be based on relevant market conditions when the terms of the Notes
are set and will be finalized on the Trade Date and provided in the pricing supplement. In
particular, each of the estimated value of the Notes and the Digital Return will be finalized
on the Trade Date and provided in the pricing supplement, and each may be as low as the applicable
minimum set forth on the cover of this pricing supplement. Accordingly, you should consider
your potential investment in the Notes based on the minimums for the estimated value of the
Notes and the Digital Return. |
Risks Relating to Conflicts of Interest
| t | Potential
Conflicts — We and our affiliates play a variety of roles in connection
with the issuance of the Notes, including acting as calculation agent and hedging our obligations
under the Notes and making the assumptions used to determine the pricing of the Notes and
the estimated value of the Notes when the terms of the Notes are set, which we refer to as
the estimated value of the Notes. In performing these duties, our and JPMorgan Chase &
Co.’s economic interests and the economic interests of the calculation agent and other
affiliates of ours are potentially adverse to your interests as an investor in the Notes.
In addition, our and JPMorgan Chase & Co.’s business activities, including hedging
and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests
to be adverse to yours and could adversely affect any payment on the Notes and the value
of the Notes. It is possible that hedging or trading activities of ours or our affiliates
in connection with the Notes could result in substantial returns for us or our affiliates
while the value of the Notes declines. Please refer to “Risk Factors — Risks
Relating to Conflicts of Interest” in the accompanying product supplement for additional
information about these risks. |
| t | Potentially
Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates
— JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations
that are inconsistent with investing in or holding the Notes, and that may be revised at
any time. Any such research, opinions or recommendations may or may not recommend that investors
buy or hold investments linked to the Underlying and could affect the price of the Underlying,
and therefore the market value of the Notes. |
| t | Potential
JPMorgan Financial Impact on the Price of the Underlying — Trading or transactions
by JPMorgan Financial or its affiliates in the Underlying or in futures, options or other
derivative products on the Underlying may adversely affect the market value of the Underlying
and, therefore, the market value of the Notes. |
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
| t | The Estimated Value of the
Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes —
The estimated value of the Notes is only an estimate determined by reference to several factors.
The original issue price of the Notes will exceed the estimated value of the Notes because
costs associated with selling, structuring and hedging the Notes are included in the original
issue price of the Notes. These costs include the selling commissions, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the Notes and the estimated cost of hedging our obligations under the Notes.
See “The Estimated Value of the Notes” in this pricing supplement. |
| t | The Estimated Value of the Notes Does Not Represent Future
Values of the Notes and May Differ from Others’ Estimates — The estimated value of the Notes is determined by reference
to internal pricing models of our affiliates when the terms of the Notes are set. This estimated value of the Notes is based on market
conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, interest
rates and other factors. Different pricing models and assumptions could provide valuations for the Notes that are greater than or less
than the estimated value of the Notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions
may prove to be incorrect. On future dates, the value of the Notes could change significantly based on, among other things, changes in
market conditions, our or JPMorgan |
Chase & Co.’s
creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy Notes from you in secondary market transactions. See “The Estimated Value of the Notes” in this
pricing supplement.
| t | The Estimated Value of the
Notes Is Derived by Reference to an Internal Funding Rate — The internal funding
rate used in the determination of the estimated value of the Notes may differ from the market-implied
funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan
Chase & Co. or its affiliates. Any difference may be based on, among other things, our
and our affiliates’ view of the funding value of the Notes as well as the higher issuance,
operational and ongoing liability management costs of the Notes in comparison to those costs
for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect,
and is intended to approximate the prevailing market replacement funding rate for the Notes.
The use of an internal funding rate and any potential changes to that rate may have an adverse
effect on the terms of the Notes and any secondary market prices of the Notes. See “The
Estimated Value of the Notes” in this pricing supplement. |
| t | The Value of the Notes as
Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher
Than the Then-Current Estimated Value of the Notes for a Limited Time Period —
We generally expect that some of the costs included in the original issue price of the Notes
will be partially paid back to you in connection with any repurchases of your Notes by JPMS
in an amount that will decline to zero over an initial predetermined period. These costs
can include selling commissions, projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt
issuances. See “Secondary Market Prices of the Notes” in this pricing supplement
for additional information relating to this initial period. Accordingly, the estimated value
of your Notes during this initial period may be lower than the value of the Notes as published
by JPMS (and which may be shown on your customer account statements). |
| t | Secondary Market Prices
of the Notes Will Likely Be Lower Than the Original Issue Price of the Notes —
Any secondary market prices of the Notes will likely be lower than the original issue price
of the Notes because, among other things, secondary market prices take into account our internal
secondary market funding rates for structured debt issuances and, also, because secondary
market prices may exclude selling commissions, projected hedging profits, if any, and estimated
hedging costs that are included in the original issue price of the Notes. As a result, the
price, if any, at which JPMS will be willing to buy Notes from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to
the Maturity Date could result in a substantial loss to you. See the immediately following
risk factor for information about additional factors that will impact any secondary market
prices of the Notes. |
The Notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See “— Risks Relating to
the Notes Generally — Lack of Liquidity” above.
| t | Many
Economic and Market Factors Will Impact the Value of the Notes — As described
under “The Estimated Value of the Notes” in this pricing supplement, the Notes
can be thought of as securities that combine a fixed-income debt component with one or more
derivatives. As a result, the factors that influence the values of fixed-income debt and
derivative instruments will also influence the terms of the Notes at issuance and their value
in the secondary market. Accordingly, the secondary market price of the Notes during their
term will be impacted by a number of economic and market factors, which may either offset
or magnify each other, aside from the selling commissions, projected hedging profits, if
any, estimated hedging costs and the price of the Underlying, including: |
| t | any actual or potential
change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| t | customary bid-ask spreads
for similarly sized trades; |
| t | our internal secondary
market funding rates for structured debt issuances; |
| t | the actual and expected
volatility in the price of the Underlying; |
| t | the time to maturity of
the Notes; |
| t | supply and demand trends
for Brent crude oil or the exchange-traded futures contracts on that commodity; |
| t | interest and yield rates
in the market generally; and |
| t | a variety of other economic,
financial, political, regulatory, geographical, agricultural, meteorological and judicial
events. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the Notes, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the Notes, if any, at which JPMS may be willing to purchase your Notes in
the secondary market.
Risks Relating to the Underlying
| ¨ | Commodity
Futures Contracts Are Subject to Uncertain Legal and Regulatory Regimes — Commodity
futures contracts are subject to legal and regulatory regimes that may change in ways that could adversely affect our ability to hedge
our obligations under the Notes and affect the price of the Commodity Futures Contract. Any future regulatory changes may have
a substantial adverse effect on the value of the Notes. Additionally, in October 2020, the U.S. Commodity Futures Trading Commission
adopted rules to establish revised or new position limits on 25 agricultural, metals and energy commodity derivatives contracts.
The limits apply to a person’s combined position in the specified 25 futures contracts and options on futures (“core referenced
futures contracts”), futures and options on futures directly or indirectly linked to the core referenced futures contracts, and
economically equivalent swaps. These rules came into effect on January 1, 2022 for covered futures and options on futures contracts
and on January 1, 2023 for covered swaps. The rules may reduce liquidity in the exchange-traded market for those commodity-based
futures contracts, which may, in turn, |
have an adverse effect on any payments on the Notes. Furthermore, we or our
affiliates may be unable as a result of those restrictions to effect transactions necessary
to hedge our obligations under the Notes resulting in a commodity hedging disruption event, in which case we may,
in our sole and absolute discretion, accelerate your Notes. See “— Risks Relating to the Notes Generally — We
May Accelerate Your Notes If a Commodity Hedging Disruption Event Occurs” above.
| ¨ | Prices
of Commodity Futures Contracts Are Characterized by High and Unpredictable Volatility
— Market
prices of commodity futures contracts tend to be highly volatile and may fluctuate rapidly
based on numerous factors, including the factors that affect the price of the commodity underlying
the Underlying. See “— The Market Price of Brent Crude Oil Will Affect the Value
of the Notes” below. The Contract Price is subject to variables that may be less significant
to the values of traditional Notes, such as stocks and bonds. These variables may create
additional investment risks that cause the value of the Notes to be more volatile than the
values of traditional Notes. As a general matter, the risk of low liquidity or volatile pricing
around the maturity date of a commodity futures contract is greater than in the case of other
futures contracts because (among other factors) a number of market participants take physical
delivery of the underlying commodities. Many commodities are also highly cyclical. The high
volatility and cyclical nature of commodity markets may render such an investment inappropriate
as the focus of an investment portfolio. |
| ¨ | The
Market Price of Brent Crude Oil Will Affect the Value of the Notes — Because the
Notes are linked to the performance of the Contract Price, we expect that generally the market
value of the Notes will depend in part on the market price of Brent crude oil. The price
of Brent crude oil is primarily affected by the global demand for and supply of crude oil,
but is also influenced significantly from time to time by speculative actions, by currency
exchange rates and by factors affecting the specific blends deliverable as Brent crude oil,
as well as by periodic changes in which blends are deliverable as Brent crude oil. Crude
oil prices are volatile and subject to dislocation. Demand for refined petroleum products
by consumers, as well as the agricultural, manufacturing and transportation industries, affects
the price of crude oil. Crude oil’s end-use as a refined product is often as transport
fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas
exists, although considerations, including relative cost, often limit substitution levels.
Because the precursors of demand for petroleum products are linked to economic activity,
demand will tend to reflect economic conditions. Demand is also influenced by government
regulations, such as environmental or consumption policies. In addition to general economic
activity and demand, prices for crude oil are affected by political events, labor activity
and, in particular, direct government intervention (such as embargos) or supply disruptions
in major oil producing regions of the world. These events tend to affect oil prices worldwide,
regardless of the location of the event. Supply for crude oil may increase or decrease depending
on many factors. These include production decisions by the Organization of the Petroleum
Exporting Countries (“OPEC”) and other crude oil producers. Crude oil prices
are determined with significant influence by OPEC. OPEC has the potential to influence oil
prices worldwide because its members possess a significant portion of the world’s oil
supply. In the event of sudden disruptions in the supplies of oil, such as those caused by
war (e.g., Russia’s invasion of Ukraine and resulting sanctions), natural events,
accidents or acts of terrorism, prices of oil futures contracts could become extremely volatile
and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for
example, upon a cessation of hostilities that may exist in countries producing oil, the introduction
of new or previously withheld supplies into the market or the introduction of substitute
products or commodities. Crude oil prices may also be affected by short-term changes in supply
and demand because of trading activities in the oil market and seasonality (e.g.,
weather conditions such as hurricanes). It is not possible to predict the aggregate effect
of all or any combination of these factors. |
| ¨ | Futures
Contracts on Brent Crude Oil are the Benchmark Crude Oil Contracts in European and Asian
Markets and May Be Affected by Economic Conditions in Europe and Asia — Because
futures contracts on Brent crude oil are the benchmark crude oil contracts in European and
Asian markets, the Underlying will be affected by economic conditions in Europe and Asia.
A decline in economic activity in Europe or Asia could result in decreased demand for crude
oil and for futures contracts on crude oil, which could adversely affect the price of the
Underlying and, therefore, the Notes. |
| ¨ | There
Are Risks Relating to the Contract Price of the Underlying Being Determined by ICE Futures
Europe — Futures contracts on Brent crude oil are traded on ICE Futures Europe.
The Contract Price will be determined by reference to the official settlement price per barrel
on ICE Futures Europe of the first nearby month futures contract for Brent crude oil (or,
in some circumstances, the second nearby month futures contract for Brent crude oil), stated
in U.S. dollars, as made public by ICE Futures Europe and displayed on the applicable Bloomberg
page. Investments in Notes linked to the value of commodity futures contracts that are traded
on non-U.S. exchanges, such as ICE Futures Europe, involve risks associated with the markets
in those countries, including risks of volatility in those markets and governmental intervention
in those markets. |
| ¨ | A
Decision By ICE Futures Europe to Increase Margin Requirements for Brent Crude Oil Futures
Contracts May Affect the Contract Price of the Underlying — If ICE Futures Europe
increases the amount of collateral required to be posted to hold positions in the futures
contracts on Brent crude oil (i.e., the margin requirements), market participants
who are unwilling or unable to post additional collateral may liquidate their positions,
which may cause the Contract Price to decline significantly. |
| ¨ | The
Notes Do Not Offer Direct Exposure to Commodity Spot Prices —
The
Underlying reflects the price of a futures contract, not a physical commodity (or its spot
price). The price of a futures contract reflects the expected value of the commodity upon
delivery in the future, whereas the spot price of a commodity reflects the immediate delivery
value of the commodity. A variety of factors can lead to a disparity between the expected
future price of a commodity and the spot price at a given point in time, such as the cost
of storing the commodity for the term of the futures contract, interest charges incurred
to finance the purchase of the commodity and expectations concerning supply and demand for
the commodity. The price movements of a futures contract are typically correlated with the
movements of the spot price of the referenced commodity, but the correlation is generally
imperfect and price movements in the spot market may not be reflected in the futures market
(and vice versa). Accordingly, the Notes may underperform a similar investment that is linked
to only commodity spot prices. |
| ¨ | Single
Commodity Futures Contract Prices Tend to Be More Volatile Than, and May Not Correlate with,
the Prices of Commodities Generally —
The Notes
are not linked to a diverse basket of commodities, commodity futures contracts or a broad- |
based
commodity index. The prices of the Underlying may not correlate to the price of commodities
or commodity futures contracts generally and may diverge significantly from the prices of
commodities or commodity futures contracts generally. Because the Notes are linked to a single
commodity futures contract, they carry greater risk and may be more volatile than Notes
linked to the prices of multiple commodities or commodity futures contracts or a broad-based commodity index.
| ¨ | Suspension
or Disruptions of Market Trading in the Commodity Markets and Related Futures Markets May
Adversely Affect the Contract Price of the Underlying, and Therefore the Value of the Notes
— The
commodity markets are subject to temporary distortions or other disruptions due to various
factors, including the lack of liquidity in the markets, the participation of speculators
and government regulation and intervention. In addition, U.S. futures exchanges and some
foreign exchanges have regulations that limit the amount of fluctuation in futures contract
prices that may occur during a single day. These limits are generally referred to as “daily
price fluctuation limits” and the maximum or minimum price of a contract on any given
day as a result of these limits is referred to as a “limit price.” Once the limit
price has been reached in a particular contract, no trades may be made at a different price.
Limit prices have the effect of precluding trading in a particular contract or forcing the
liquidation of contracts at disadvantageous times or prices. These circumstances could adversely
affect the Contract Price and, therefore, the value of your Notes. |
Hypothetical
Examples and Return Table |
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate
the payment at maturity per $10.00 principal amount Note for a hypothetical range of Underlying Returns from -100.00% to +100.00% on
an offering of the Notes linked to a hypothetical Underlying, and assume a hypothetical Initial Value of $100, a hypothetical Digital
Barrier of $90, a hypothetical Downside Threshold of $90 and a hypothetical Digital Return of 5.00%. The hypothetical Initial Value of
$100 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value, Digital
Barrier and Downside Threshold will be based on the Contract Price on the Trade Date and will be provided in the pricing supplement.
For historical data regarding the actual prices of the Underlying, please see the historical information set forth under “The Underlying”
in this pricing supplement. The actual Digital Return will be finalized on the Trade Date and provided in the pricing supplement. The
hypothetical payment at maturity examples set forth below are for illustrative purposes only and may not be the actual returns applicable
to a purchaser of the Notes. The actual payment at maturity may be more or less than the amounts displayed below and will be determined
based on the actual terms of the Notes, including the Initial Value, the Digital Barrier, the Downside Threshold and the Digital Return
to be finalized on the Trade Date and provided in the pricing supplement and the Final Value on the Final Valuation Date. You should
consider carefully whether the Notes are suitable to your investment goals. The numbers appearing in the table below have been rounded
for ease of analysis.
Final
Value |
Underlying
Return (%) |
Payment
at Maturity ($) |
Return
at Maturity per
$10.00 issue price (%) |
$200.00 |
100.00% |
$10.500 |
5.00% |
$190.00 |
90.00% |
$10.500 |
5.00% |
$180.00 |
80.00% |
$10.500 |
5.00% |
$170.00 |
70.00% |
$10.500 |
5.00% |
$160.00 |
60.00% |
$10.500 |
5.00% |
$150.00 |
50.00% |
$10.500 |
5.00% |
$140.00 |
40.00% |
$10.500 |
5.00% |
$130.00 |
30.00% |
$10.500 |
5.00% |
$120.00 |
20.00% |
$10.500 |
5.00% |
$110.00 |
10.00% |
$10.500 |
5.00% |
$105.00 |
5.00% |
$10.500 |
5.00% |
$102.50 |
2.50% |
$10.500 |
5.00% |
$100.00 |
0.00% |
$10.500 |
5.00% |
$95.00 |
-5.00% |
$10.500 |
5.00% |
$90.00 |
-10.00% |
$10.500 |
5.00% |
$89.99 |
-10.01% |
$8.999 |
-10.01% |
$80.00 |
-20.00% |
$8.000 |
-20.00% |
$70.00 |
-30.00% |
$7.000 |
-30.00% |
$60.00 |
-40.00% |
$6.000 |
-40.00% |
$50.00 |
-50.00% |
$5.000 |
-50.00% |
$40.00 |
-60.00% |
$4.000 |
-60.00% |
$30.00 |
-70.00% |
$3.000 |
-70.00% |
$20.00 |
-80.00% |
$2.000 |
-80.00% |
$10.00 |
-90.00% |
$1.000 |
-90.00% |
$0.00 |
-100.00% |
$0.000 |
-100.00% |
Example 1 — The Contract Price increases by 2.50%
from the Initial Value of $100 to the Final Value of $102.50.
Because the Final Value is greater than or equal to the Digital Barrier (which is equal to the Downside Threshold), at maturity, JPMorgan
Financial will pay you your principal amount plus a return equal to the Digital Return, regardless of the appreciation of the
Underlying, resulting in a payment at maturity of $10.50 per $10 principal amount Note, calculated as follows:
$10.00 + ($10.00 × the Digital Return)
$10.00 + ($10.00 × 5.00%) = $10.50
Example 2 — The Contract Price increases by 10% from
the Initial Value of $100 to the Final Value of $110.
Because the Final Value is greater than or equal to the Digital Barrier (which is equal to the Downside Threshold) and although the Underlying
Return of 10% is greater than the Digital Return of 5.00%, at maturity, JPMorgan Financial will pay you your principal amount plus
a return equal to only the Digital Return, regardless of the appreciation of the Underlying, resulting in a payment at maturity of
$10.50 per $10 principal amount Note, calculated as follows:
$10.00 + ($10.00 × the Digital Return)
$10.00 + ($10.00 × 5.00%) = $10.50
Example 3 — The Contract Price decreases by 5% from
the Initial Value of $100 to the Final Value of $95.
Even though the Contract Price has declined, because the Final Value is greater than or equal to the Digital Barrier (which is equal
to the Downside Threshold), at maturity, JPMorgan Financial will pay you your principal amount plus a return equal to the Digital
Return of 5.00%, resulting in a payment at maturity of $10.50 per $10 principal amount Note, calculated as follows:
$10.00 + ($10.00 × the Digital Return)
$10.00 + ($10.00 × 5.00%) = $10.50
Example 4 — The Contract Price decreases by 60%
from the Initial Value of $100 to the Final Value of $40.
Because the Final Value is less than the Downside Threshold and the Underlying Return is -60%, at maturity, JPMorgan Financial will pay
you a payment at maturity of $4.00 per $10 principal amount Note, calculated as follows:
$10.00 + ($10.00 × Underlying Return)
$10.00 + ($10.00 × -60%) = $4.00
If the Final Value is less than the Downside Threshold,
investors will be exposed to the negative Underlying Return at maturity, resulting in a loss of principal that is proportionate to the
Underlying’s decline from the Initial Value to the Final Value. In no event, however, will the payment at maturity be less than
$0. Investors could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments on the
Notes shown above apply only if you hold the Notes for their entire term. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
The Notes are linked to the official settlement price per barrel on
ICE Futures Europe of the first nearby month (or, in some circumstances, the second nearby month) futures contract for Brent crude oil,
stated in U.S. dollars, as made public by ICE Futures Europe and displayed on the applicable Bloomberg page. For additional information
about the Underlying, see the information set forth under “The Underlyings — Commodity Futures Contracts” in the accompanying
product supplement.
Historical Information
The graph below illustrates the
daily performance of the Underlying from January 2, 2014 through July 31, 2024, based on information from Bloomberg, without independent
verification. The Contract Price on July 31, 2024 was $80.72.
The dotted line represents a hypothetical
Digital Barrier and a hypothetical Downside Threshold of $52.47, equal to 65% of the Contract Price on July 31, 2024. The actual Digital
Barrier and Downside Threshold will be based on the Initial Value and will be finalized on the Trade Date and provided in the pricing
supplement.
Past performance of the Underlying is not indicative
of the future performance of the Underlying.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024064170/image_003.jpg)
The historical performance of the Underlying should not be taken as
an indication of future performance, and no assurance can be given as to the Contract Price on the Trade Date or the Final Valuation
Date. There can be no assurance that the performance of the Underlying will result in the return of any of your principal amount.
Supplemental
Plan of Distribution |
We and JPMorgan Chase & Co. have agreed to indemnify UBS and JPMS
against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to make relating
to these liabilities as described in the prospectus supplement and the prospectus. We will agree that UBS may sell all or a part of the
Notes that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to purchase
the Notes in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and JPMS and/or
an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental
Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying product supplement.
The
Estimated Value of the Notes |
The estimated value of the Notes
set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the Notes, valued using the internal funding rate described below, and (2) the derivative or
derivatives underlying the economic terms of the Notes. The estimated value of the Notes does not represent a minimum price at which
JPMS would be willing to buy your Notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the Notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding values of the Notes as well as the higher issuance, operational and ongoing liability management costs of the Notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is
based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to
approximate
the prevailing market replacement funding rate for the Notes. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the Notes and any secondary market prices of the Notes. For additional information, see “Key
Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes
Is Derived by Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying
the economic terms of the Notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such
as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and
which can include volatility, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the Notes is determined when the terms of the Notes are set based on market conditions and other
relevant factors and assumptions existing at that time. See “Key Risks — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from
Others’ Estimates” in this pricing supplement.
The estimated value of the
Notes will be lower than the original issue price of the Notes because costs associated with selling, structuring and hedging the Notes
are included in the original issue price of the Notes. These costs include the selling commissions paid to UBS, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Notes and the estimated
cost of hedging our obligations under the Notes. Because hedging our obligations entails risk and may be influenced by market forces
beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or
more of our affiliates will retain any profits realized in hedging our obligations under the Notes. See “Key Risks — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower Than
the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes |
For information about factors
that will impact any secondary market prices of the Notes, see “Key Risks — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in
this pricing supplement. In addition, we generally expect that some of the costs included in the original issue price of the Notes will
be partially paid back to you in connection with any repurchases of your Notes by JPMS in an amount that will decline to zero over an
initial predetermined period that is intended to be up to seven months. The length of any such initial period reflects secondary market
volumes for the Notes, the structure of the Notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the Notes and when these costs are incurred, as determined by our affiliates. See “Key Risks —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period” in this pricing supplement.
Supplemental
Use of Proceeds |
The Notes are offered to meet investor demand for products that reflect
the risk-return profile and market exposure provided by the Notes. See “Hypothetical Examples and Return Table” in this pricing
supplement for an illustration of the risk-return profile of the Notes and “The Underlying” in this pricing supplement for
a description of the market exposure provided by the Notes.
The original issue price of the Notes is equal to the estimated
value of the Notes plus the selling commissions paid to UBS, plus (minus) the projected profits (losses) that our affiliates expect to
realize for assuming risks inherent in hedging our obligations under the Notes, plus the estimated cost of hedging our obligations under
the Notes.
JP Morgan Chase (NYSE:JPM-M)
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