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 13,
2024
August , 2024 |
Registration Statement Nos.
333-270004 and 333-270004-01; Rule 424(b)(2)
|
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg)
JPMorgan
Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company due August 18, 2027
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
| ● | The notes are designed for investors who seek a Contingent Interest Payment with respect to each monthly Interest Review Date for
which the closing price of one share of the Reference Stock is greater than or equal to 80.00% of the Strike Value, which we refer to
as the Interest Barrier. |
| ● | The notes will be automatically called if the closing price of one share of the Reference Stock on any quarterly Autocall Review Date
is greater than or equal to the Strike Value. |
| ● | The earliest date on which an automatic call may be initiated is February 13, 2025. |
| ● | Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment
may be made with respect to some or all Interest Review Dates. |
| ● | Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments. |
| ● | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| ● | Minimum denominations of $1,000 and integral multiples thereof |
| ● | The notes are expected to price on or about August 14, 2024 (the “Pricing Date”) and are expected to settle on or about
August 19, 2024. The Strike Value has been determined by reference to the closing price of one share of the Reference Stock on August
13, 2024 and not by reference to the closing price of one share of the Reference Stock on the Pricing Date. |
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-7 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the
contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which
we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated
or unaffiliated dealers. In no event will these selling commissions exceed $3.50 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 $978.00 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 $950.00 per $1,000 principal amount note. See
“The Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not
insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a
bank.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Reference Stock:
The common stock of The Boeing Company, par value $5.00 per share
(Bloomberg ticker: BA). We refer to The Boeing Company as “Boeing”.
Contingent Interest Payments:
If the notes
have not been automatically called and the closing price of one share of the Reference Stock on any Interest Review Date is greater than
or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent
Interest Payment equal to at least $15.2917 (equivalent to a Contingent Interest Rate of at least 18.35% per annum, payable at a rate
of at least 1.52917% per month) (to be provided in the pricing supplement).
If the closing price of one share
of the Reference Stock on any Interest Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with
respect to that Interest Review Date.
Contingent Interest Rate: At
least 18.35% per annum, payable at a rate of at least 1.52917% per month (to be provided in the pricing supplement)
Interest
Barrier: 80.00% of the Strike Value,
which is $135.008
Trigger Value: 70.00%
of the Strike Value, which is $118.132
Strike Date: August
13, 2024
Pricing Date: On or about August 14,
2024
Original Issue Date (Settlement Date): On
or about August 19, 2024
Interest Review Dates*: As
specified under “Key Terms Relating to the Interest Review Dates, Autocall Review Dates and Interest Payment Dates” in this
pricing supplement
Autocall Review Dates*: As specified
under “Key Terms Relating to the Interest Review Dates, Autocall Review Dates and Interest Payment Dates” in this pricing
supplement
Interest Payment Dates*: As
specified under “Key Terms Relating to the Interest Review Dates, Autocall Review Dates and Interest Payment Dates” in this
pricing supplement
Maturity Date*: August
18, 2027
Call Settlement Date*: If
the notes are automatically called on any Autocall Review Date, the first Interest Payment Date immediately following that Autocall Review
Date
* 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 |
|
Automatic Call:
If the closing price of one share
of the Reference Stock on any Autocall Review Date is greater than or equal to the Strike Value, the notes will be automatically called
for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable
to the Interest Review Date corresponding to that Autocall Review Date, payable on the applicable Call Settlement Date. No further payments
will be made on the notes.
Payment at Maturity:
If the notes have not been automatically
called and the Final Value is greater than or equal to the Trigger Value, you will receive a cash payment at maturity, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the final Review Date.
If the notes
have not been automatically called and the Final Value is less than the Trigger Value, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000
+ ($1,000 × Stock Return)
If the notes have not been automatically
called and the Final Value is less than the Trigger Value, you will lose more than 30.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
Stock Return:
(Final
Value – Strike Value)
Strike Value
Strike Value:
The closing price of one share of the Reference Stock on the Strike
Date, which was $168.76. The Strike Value is not the closing price of one share
of the Reference Stock on the Pricing Date.
Final Value: The
closing price of one share of the Reference Stock on the final Review Date
Stock Adjustment Factor: The
Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to 1.0 on
the Strike Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference
Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings —
Reference Stocks — Reorganization Events” in the accompanying product supplement for further information. |
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
Key Terms
Relating to the Interest Review Dates, Autocall Review Dates and Interest Payment Dates
Interest
Review Dates*: September 13, 2024, October 14, 2024, November 13, 2024, December 13, 2024, January 13, 2025, February 13, 2025,
March 13, 2025, April 14, 2025, May 13, 2025, June 13, 2025, July 14, 2025, August 13, 2025, September 15, 2025, October 13, 2025, November
13, 2025, December 15, 2025, January 13, 2026, February 13, 2026, March 13, 2026, April 13, 2026, May 13, 2026, June 15, 2026, July 13,
2026, August 13, 2026, September 14, 2026, October 13, 2026, November 13, 2026, December 14, 2026, January 13, 2027, February 16, 2027,
March 15, 2027, April 13, 2027, May 13, 2027, June 14, 2027, July 13, 2027 and August 13, 2027 (the “final Review Date”)
Autocall
Review Dates*: February 13, 2025, May 13, 2025, August 13, 2025, November 13, 2025, February 13, 2026, May 13, 2026, August
13, 2026, November 13, 2026, February 16, 2027 and May 13, 2027 |
|
Interest
Payment Dates*: September 18, 2024, October 17, 2024, November 18, 2024, December 18, 2024, January 16, 2025, February 19,
2025, March 18, 2025, April 17, 2025, May 16, 2025, June 18, 2025, July 17, 2025, August 18, 2025, September 18, 2025, October 16, 2025,
November 18, 2025, December 18, 2025, January 16, 2026, February 19, 2026, March 18, 2026, April 16, 2026, May 18, 2026, June 18, 2026,
July 16, 2026, August 18, 2026, September 17, 2026, October 16, 2026, November 18, 2026, December 17, 2026, January 19, 2027, February
19, 2027, March 18, 2027, April 16, 2027, May 18, 2027, June 17, 2027, July 16, 2027 and the Maturity Date
* 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 |
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
Supplemental
Terms of the Notes
Any value of any underlier, and any values derived therefrom,
included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment
will become effective without consent of the holders of the notes or any other party.
How the
Notes Work
Payments in Connection with Interest Review Dates
Preceding the Final Review Date
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_002.jpg)
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_003.jpg)
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
Payment at Maturity If the Notes Have Not Been Automatically
Called
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_004.jpg)
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest Rate of 18.35%
per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual Contingent Interest
Rate will be provided in the pricing supplement and will be at least 18.35% per annum.
Number of Contingent
Interest Payments |
Total Contingent Interest
Payments |
36 |
$550.5000 |
35 |
$535.2083 |
34 |
$519.9167 |
33 |
$504.6250 |
32 |
$489.3333 |
31 |
$474.0417 |
30 |
$458.7500 |
29 |
$443.4583 |
28 |
$428.1667 |
27 |
$412.8750 |
26 |
$397.5833 |
25 |
$382.2917 |
24 |
$367.0000 |
23 |
$351.7083 |
22 |
$336.4167 |
21 |
$321.1250 |
20 |
$305.8333 |
19 |
$290.5417 |
18 |
$275.2500 |
17 |
$259.9583 |
16 |
$244.6667 |
15 |
$229.3750 |
14 |
$214.0833 |
13 |
$198.7917 |
12 |
$183.5000 |
11 |
$168.2083 |
10 |
$152.9167 |
9 |
$137.6250 |
8 |
$122.3333 |
7 |
$107.0417 |
6 |
$91.7500 |
5 |
$76.4583 |
4 |
$61.1667 |
3 |
$45.8750 |
2 |
$30.5833 |
1 |
$15.2917 |
0 |
$0.0000 |
Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to a hypothetical Reference Stock, assuming
a range of performances for the hypothetical Reference Stock
on the Interest Review Dates and
Autocall Review Dates. The hypothetical payments set forth below assume the following:
| ● | a Strike Value of $100.00; |
| ● | an Interest Barrier of $80.00 (equal to 80.00% of the hypothetical Strike Value); |
| ● | a Trigger Value of $70.00 (equal to 70.00% of the hypothetical Strike Value); and |
| ● | a Contingent Interest Rate of 18.35% per annum (payable at a rate of 1.52917% per month). |
The hypothetical Strike Value of $100.00 has been chosen
for illustrative purposes only and does not represent the actual Strike Value.
The actual Strike Value is the closing price of one share
of the Reference Stock on the Strike Date and is specified under “Key Terms —Strike Value” in this pricing supplement.
For historical data regarding the actual closing prices of one share of the Reference Stock, please see the historical information set
forth under “The Reference Stock” 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.
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
Example 1 — Notes are automatically called
on the first Autocall Review Date.
Date |
Closing Price |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
$105.00 |
$15.2917 |
Second Interest Review Date |
$110.00 |
$15.2917 |
Third through Fifth Interest Review Dates |
Greater than Strike Value |
$15.2917 |
Sixth Interest Review Date (first Autocall Review Date) |
$110.00 |
$1,015.2917 |
|
Total Payment |
$1,091.75 (9.175% return) |
Because the closing price of one share of the Reference
Stock on the first Autocall Review Date, which is also the sixth Interest Review Date, is greater than or equal to the Strike Value, the
notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,015.2917 (or $1,000 plus the
Contingent Interest Payment applicable to the sixth Interest Review Date), payable on the applicable Call Settlement Date. When added
to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,091.75. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value is greater than or equal to the Trigger Value and the Interest Barrier.
Date |
Closing Price |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
$95.00 |
$15.2917 |
Second Interest Review Date |
$85.00 |
$15.2917 |
Third through Thirty-Fifth Interest Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$90.00 |
$1,015.2917 |
|
Total Payment |
$1,045.875 (4.5875% return) |
Because the notes have not been automatically called
and the Final Value is greater than or equal to the Trigger Value and the Interest Barrier, the payment at maturity, for each $1,000 principal
amount note, will be $1,015.2917 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date). When added
to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,045.875.
Example 3 — Notes have NOT been automatically
called and the Final Value is less than the Interest Barrier but is greater than or equal to the Trigger Value.
Date |
Closing Price |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
$90.00 |
$15.2917 |
Second Interest Review Date |
$85.00 |
$15.2917 |
Third through Thirty-Fifth Interest Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$70.00 |
$1,000.00 |
|
Total Payment |
$1,030.5833 (3.05833% return) |
Because the notes have not been automatically called
and the Final Value is less than the Interest Barrier but is greater than or equal to the Trigger Value, the payment at maturity, for
each $1,000 principal amount note, will be $1,000.00. When added to the Contingent Interest Payments received with respect to the prior
Interest Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,030.5833.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
Example 4 — Notes have NOT been automatically
called and the Final Value is less than the Trigger Value.
Date |
Closing Price |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
$60.00 |
$0 |
Second Interest Review Date |
$65.00 |
$0 |
Third through Thirty-Fifth Interest Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$60.00 |
$600.00 |
|
Total Payment |
$600.00 (-40.00% return) |
Because the notes have not been automatically called,
the Final Value is less than the Trigger Value and the Stock Return is
-40.00%, the payment at maturity will be $600.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-40.00%)] = $600.00
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks. These risks are
explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product supplement and
in Annex A to the accompanying prospectus addendum.
| ● | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the notes have not been automatically called and the Final Value is less than the
Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Strike Value.
Accordingly, under these circumstances, you will lose more than 30.00% of your principal amount at maturity and could lose all of your
principal amount at maturity. |
| ● | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to an Interest Review Date only
if the closing price of one share of the Reference Stock on that Interest Review Date is greater than or equal to the Interest Barrier.
If the closing price of one share of the Reference Stock on that Interest Review Date is less than the Interest Barrier, no Contingent
Interest Payment will be made with respect to that Interest Review Date. Accordingly, if the closing price of one share of the Reference
Stock on each Interest Review Date is less than the Interest Barrier, you will not receive any interest payments over the term of the
notes. |
| ● | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual
or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market
for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to
default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment. |
| ● | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration
of our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co.,
substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to
JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co.
to meet our obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy
or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in respect
of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on
the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information, see the
accompanying prospectus addendum. |
| ● | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES,
regardless of any appreciation of the Reference Stock, which may be significant. You will not participate in any appreciation of the Reference
Stock. |
| ● | POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s
economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities
of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product
supplement. |
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
| ● | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE—
If the Final Value is less than the Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger
Value will terminate and you will be fully exposed to any depreciation of the Reference Stock. |
| ● | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately six months and you will not
receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk.
Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions described on the front cover
of this pricing supplement. |
| ● | YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK. |
| ● | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
We have not independently verified any of the information about the Reference Stock issuer contained in this pricing supplement. You should
undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s
public disclosure of information, whether contained in SEC filings or otherwise. |
| ● | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
The calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. The calculation agent
may make adjustments in response to events that are not described in the accompanying product supplement to account for any diluting or
concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes
in making these determinations. |
| ● | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE REFERENCE STOCK FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE IS GREATER
IF THE PRICE OF ONE SHARE OF THE REFERENCE STOCK 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 Contingent
Interest Rate. |
| ● | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes
will exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included in
the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates
expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations
under the notes. See “The Estimated Value of the Notes” in this pricing supplement. |
| ● | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
See “The Estimated Value of the Notes” in this pricing supplement. |
| ● | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding rate
for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference
may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to
be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding
rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the
notes. See “The Estimated Value of the Notes” in this pricing supplement. |
| ● | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection
with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary
Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly,
the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which
may be shown on your customer account statements). |
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because
secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could
result in a substantial loss to you. |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either
offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price
of one share of the Reference Stock. 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. |
The Reference
Stock
All information contained herein on the Reference Stock
and on Boeing is derived from publicly available sources, without independent verification. According to its publicly available filings
with the SEC, Boeing is an aerospace firm that operates in three segments: Commercial Airplanes; Defense, Space & Security; and Global
Services. The common stock of Boeing, par value $5.00 per share (Bloomberg ticker: BA), is registered under the Securities Exchange Act
of 1934, as amended, which we refer to as the Exchange Act, and is listed on the New York Stock Exchange, which we refer to as the relevant
exchange for purposes of Boeing in the accompanying product supplement. Information provided to or filed with the SEC by Boeing pursuant
to the Exchange Act can be located by reference to the SEC file number 001-00442, and can be accessed through www.sec.gov. We do not make
any representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance
of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 4, 2019 through
August 9, 2024. The closing price of one share of the Reference Stock on August 13, 2024 was $168.76. We obtained the closing prices above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
prices above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers and
acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference
Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
the Reference Stock on any Interest Review Date or any Autocall Review Date. There can be no assurance that the performance of the Reference
Stock will result in the return of any of your principal amount or the payment of any interest.
Historical Performance of The
Boeing Company
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_005.jpg)
Source: Bloomberg |
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting responsibilities
we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially 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
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. 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 affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions
above and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations. The
U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a position
that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), it is expected
that withholding agents will (and we, if we are the withholding agent, intend to) withhold on any Contingent Interest Payment paid to
a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under an “other income”
or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld. In order to claim an exemption
from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the notes must comply with certification requirements to establish
that it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S.
Holder, you should consult your tax adviser regarding the tax treatment of the notes, including the possibility of obtaining a refund
of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, we expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further information
regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You should consult your
tax adviser regarding the potential application of Section 871(m) to the notes.
In the event of any withholding on the notes, we will
not be required to pay any additional amounts with respect to amounts so withheld.
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 — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing
supplement.
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
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.
The estimated value of the notes does not represent future
values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations for
the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
The estimated value of the notes will be lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — The
Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — The Value of the Notes
as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of
the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference
Stock” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at any
time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or
reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement
and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest
in the notes.
You may access these documents
on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC
website):
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.
PS-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Common Stock of The Boeing Company |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024068935/image_001.jpg) |
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