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.
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01
Subject to Completion. Dated August
23, 2024.
Pricing Supplement to the
Prospectus and Prospectus Supplement, each dated April 13, 2023, the
Underlying Supplement No. 1-I dated April 13, 2023, the
Product Supplement No. 4-I dated April 13, 2023 and the
Prospectus Addendum dated June 3, 2024
JPMorgan Chase
Financial Company LLC
Medium-Term
Notes, Series A
$
Autocallable Buffered Enhanced Participation Basket-Linked Notes due 2026
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
The
notes will not bear interest. The notes will mature on the stated maturity date (September 1,
2026, subject to adjustment) unless they are automatically called on the call observation date (September 5, 2025, subject to adjustment).
Any payment on the notes will be based on the performance of an unequally weighted basket (which we refer to as the basket) consisting
of the EURO STOXX 50® Index (38.00% initial weight), the TOPIX® Index (26.00% initial weight), the FTSE®
100 Index (17.00% initial weight), the Swiss Market Index (11.00% initial weight) and the S&P/ASX 200 Index (8.00% initial weight).
The initial basket level is 100 and the basket closing level on any relevant day will equal the sum of the products, as
calculated for each basket underlier, of: (i) the closing level on that day divided by the initial basket underlier level (set
on the trade date) multiplied by (ii) the applicable initial weighted value for such basket underlier. Your notes will be automatically
called on the call observation date if the basket closing level on that date is equal to or greater than the call level of 100.00% of
the initial basket level, resulting in a payment on the call payment date (September 9, 2025, subject to adjustment), for each $1,000
principal amount of note, equal to $1,000 plus the product of $1,000 times the call premium amount. The call premium
amount is expected to be between 9.71% and 11.40%. The return on your notes is capped if your notes are called on the call observation
date. The maximum payment you could receive is limited if your notes are called on the call observation date because of the call premium
amount.
If your notes are not automatically called, the amount that you will
be paid on your notes on the stated maturity date is based on the performance of the basket as measured from and including the trade date
(on or about August 28, 2024) to and including the determination date (August 28, 2026, subject to adjustment). If the final basket level
on the determination date is greater than the initial basket level, the return on your notes will be positive. If the final basket level
declines by up to 10.00% from the initial basket level, you will receive the principal amount of your notes. If the final basket level
declines by more than 10.00% from the initial basket level, the return on your notes will be negative. You could lose your entire investment
in the notes. Any payment on the notes is subject to the credit risk of JPMorgan Chase Financial Company LLC (“JPMorgan Financial”),
as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
If your notes are not automatically called on the call observation
date, to determine your payment at maturity, we will calculate the basket return, which is the percentage increase or decrease in the
final basket level from the initial basket level. On the stated maturity date, for each $1,000 principal amount note, you will receive
an amount in cash equal to:
| · | if the basket return is positive (the final basket level is greater than the initial basket
level), the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) 1.50 times (c) the basket
return; |
| · | if the basket return is zero or negative but not below -10.00% (the final basket
level is equal to or less than the initial basket level but not by more than 10.00%), $1,000; or |
| · | if the basket return is negative and is below -10.00% (the final basket level is less
than the initial basket level by more than 10.00%), the sum of (i) $1,000 plus (ii) the product of (a) $1,000
times (b) approximately 1.1111 times (c) the sum of the basket return plus 10.00%. You will receive less than
$1,000. |
A decrease in the level of one or more basket underliers may offset
increases in the levels of the other basket underliers. Due to the unequal weightings of the basket underliers, the performances of the
EURO STOXX 50® Index, the TOPIX® Index and the FTSE® 100 Index will have a significantly
larger impact on your return on the notes than the performance of the Swiss Market Index or the S&P/ASX 200 Index.
Your investment in the notes involves certain risks, including,
among other things, our credit risk. See “Risk Factors” on page S-2 of the accompanying prospectus supplement, Annex A to
the accompanying prospectus addendum, “Risk Factors” on page PS-11 of the accompanying product supplement and “Selected
Risk Factors” on page PS-16 of this pricing supplement.
The foregoing is only a brief summary of the terms of your notes. You
should read the additional disclosure provided herein so that you may better understand the terms and risks of your investment.
The estimated value of the notes, when the terms of the notes
are set, will be provided in the final pricing supplement and is expected to be between $956.80 and $966.80 per $1,000 principal amount
note. See “Summary Information — The Estimated Value of the Notes” on page PS-8 of this pricing supplement for
additional information about the estimated value of the notes and “Summary Information — Secondary Market Prices of the Notes”
on page PS-9 of this pricing supplement for information about secondary market prices of the notes.
Original issue date (settlement date): on or about September
5, 2024
Original issue price: 100.00% of the principal amount
Underwriting commission/discount: up to 2.00% of the principal
amount*
Net proceeds to the issuer: %
of the principal amount
See “Summary Information — Supplemental Use of Proceeds”
on page PS-9 of this pricing supplement for information about the components of the original issue price of the notes.
*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 an unaffiliated dealer. In no event will these
selling commissions exceed 2.00% of the principal amount. See “Plan of Distribution (Conflicts of Interest)” on page PS-86
of the accompanying product supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this pricing
supplement, the accompanying product supplement, the accompanying underlying supplement, the accompanying prospectus supplement, the accompanying
prospectus or the accompanying prospectus addendum. Any representation to the contrary is a criminal offense.
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 dated August ,
2024
The original issue price, fees and commissions and net proceeds listed
above relate to the notes we sell initially. We may decide to sell additional notes after the date of this pricing supplement, at issue
prices and with fees and commission and net proceeds that differ from the amounts set forth above. The return (whether positive or negative)
on your investment in notes will depend in part on the price you pay for your notes.
We may use this pricing supplement in the initial sale of the notes.
In addition, JPMS or any other affiliate of ours may use this pricing supplement in a market-making transaction in a note after its initial
sale. Unless JPMS or its agents inform the purchaser otherwise in the confirmation of sale, this pricing supplement is being used
in a market-making transaction.
SUMMARY INFORMATION
You may revoke your offer to purchase the notes at any time prior
to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any
offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you
will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may
reject your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these notes
are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement and
the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus
addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
● Product supplement no. 4-I dated
April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
● Underlying supplement
no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
● Prospectus supplement
and prospectus, each dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
● Prospectus
addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, a direct, wholly
owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Basket underliers and initial weights:
| Basket Underlier |
Basket Underlier Sponsor |
Bloomberg Ticker Symbol |
Initial Weight |
| EURO STOXX 50® Index |
STOXX Limited |
SX5E <Index> |
38.00% |
| TOPIX® Index |
JPX Market Innovation & Research, Inc. |
TPX <Index> |
26.00% |
| FTSE® 100 Index |
FTSE Russell |
UKX <Index> |
17.00% |
| Swiss Market Index |
SIX Swiss Exchange Ltd. |
SMI <Index> |
11.00% |
| S&P/ASX 200 Index |
S&P Dow Jones Indices LLC |
AS51 <Index> |
8.00% |
The accompanying product supplement refers to each basket underlier
as an “Underlying.”
Principal amount: each note will have a principal amount of
$1,000; $ in the aggregate for all the offered notes; the aggregate principal
amount of the offered notes may be increased if the issuer, at its sole option, decides to sell an additional amount of the offered notes
on a date subsequent to the date of this pricing supplement
Purchase at amount other than principal amount: the amount
we will pay you on the call payment date or at the stated maturity date, as applicable, for your notes will not be adjusted based on the
price you pay for your notes, so if you acquire notes at a premium (or discount) to the principal amount and hold them to the call payment
date or at the stated maturity date, as applicable, it could affect your investment in a number of ways. The return on your investment
in the notes will be lower (or higher) than it would have been had you purchased the notes at the principal amount. Also, the stated buffer
level would not offer the same benefit to your investment as would be the case if you had purchased the notes at the principal amount.
See “Selected Risk Factors — Risks Relating to the Notes Generally — If You Purchase Your Notes at a Premium to the
Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Principal Amount and the Impact
of Certain Key Terms of the Notes Will Be Negatively Affected” on page PS-17 of this pricing supplement.
Cash settlement amount on the call payment date: if your notes
are automatically called on the call observation date because the basket closing level on that day is equal to or greater than
the call level, for each $1,000 principal amount note, we will pay you on the call payment date an amount in cash equal to the sum
of (i) $1,000 plus (ii) the product of $1,000 times the call premium amount.
Cash settlement amount on the stated maturity date: if your
notes are not automatically called, for each $1,000 principal amount note, we will pay you on the stated maturity date an amount in cash
equal to:
| · | if the final basket level is greater than the initial basket level, the sum of (i) $1,000 plus (ii) the product
of (a) $1,000 times (b) the upside participation rate times (c) the basket return; |
| · | if the final basket level is equal to or less than the initial basket level but greater than or equal to
the buffer level, $1,000; or |
| · | if the final basket level is less than the buffer level, the sum of (i) $1,000 plus (ii) the product of
(a) $1,000 times (b) the buffer rate times (c) the sum of the basket return plus the buffer amount. You will
receive less than $1,000. |
Initial basket level: Set equal to 100 on the trade date
Initial weighted value: the initial weighted value for each
of the basket underliers will equal the product of the initial weight of that basket underlier times the initial basket
level. The initial weight of each basket underlier is shown in the table below:
| Basket Underlier |
Initial Weight in Basket |
| EURO STOXX 50® Index |
38.00% |
| TOPIX® Index |
26.00% |
| FTSE® 100 Index |
17.00% |
| Swiss Market Index |
11.00% |
| S&P/ASX 200 Index |
8.00% |
Initial basket underlier level (to be set on the trade date and
will be the closing level of the applicable basket underlier on the trade date): with respect to each basket underlier, the closing
level of the basket underlier on the trade date
Final basket level: the basket closing level on the determination
date
Basket closing level: the basket closing level on any relevant
day will be the sum of the products of (i) the closing level of each basket underlier on that day divided by the initial
basket underlier level of that basket underlier and (ii) the initial weighted value of that basket underlier
Basket return: the quotient of (i) the final basket
level minus the initial basket level divided by (ii) the initial basket level, expressed as a percentage.
Upside participation rate: 1.50
Call premium amount (to be provided in the final pricing supplement):
expected to be between 9.71% and 11.40%. Therefore, the maximum payment you could receive on the call payment date is expected to be between
$1,097.10 and $1,114.00 if your notes are called on the call observation date.
Buffer level: 90.00% of the initial basket level
Buffer amount: 10.00%
Buffer rate: the quotient of the initial basket level
divided by the buffer level, which equals approximately 1.1111
Trade date: on or about August 28, 2024
Original issue date (settlement date): on or about September
5, 2024
Call observation date: September 5, 2025, 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 Multiple Underlyings” on page PS-46 of the accompanying product supplement. The call observation date
is considered a determination date under the accompanying product supplement.
Call payment date: September 9, 2025, subject to postponement
in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Payment Date”
on page PS-45 of the accompanying product supplement
Determination date: August 28, 2026, 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 Multiple Underlyings” on page PS-46 of the accompanying product supplement
Stated maturity date: September 1, 2026, subject to postponement
in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Payment Date”
on page PS-45 of the accompanying product supplement. The accompanying product supplement refers to the stated maturity date as the “maturity
date.”
No interest: The offered notes will not bear interest.
No listing: The offered notes will not be listed on any securities
exchange or interdealer quotation system.
Automatic redemption: As described under “Description
of the Notes — Payments on the Notes — Payment upon Early Redemption, Acceleration or Early Repurchase — Automatic Redemption”
on page PS-7 of the accompanying product supplement and “— Cash settlement amount on the call payment date” above
Closing level: as described under “The Underlyings —
Indices — Level of an Index” on page PS-66 of the accompanying product supplement
Business day: as described under “General Terms of Notes
— Postponement of a Payment Date” on page PS-45 of the accompanying product supplement
Scheduled trading day: notwithstanding anything to the contrary
under “General Terms of Notes — Postponement of a Determination Date — Additional Defined Terms” on page PS-48
of the accompanying product supplement, for the purposes of the notes offered by this pricing supplement, a “scheduled trading day”
means, (a) with respect to the EURO STOXX 50® Index or any relevant successor index (as defined in the accompanying product
supplement), a day, as determined by the calculation agent, on which (i) the Index Sponsor (as defined in the accompanying product supplement)
of the EURO STOXX 50® Index or that successor index, as applicable, is scheduled to publish the closing level of the EURO
STOXX 50® Index or that successor index, as applicable, and (ii) each exchange or quotation system where trading has a
material effect (as determined by the calculation agent) on the overall market for futures or options contracts relating to the EURO STOXX
50® Index or that successor index, as applicable, is scheduled to be open for trading for its regular trading session;
or (b) with respect to each of the other basket underliers or any relevant successor index, a day, as determined by the calculation agent,
on which each of the following exchanges or quotation systems is scheduled to be open for its regular trading session: (i) the relevant
exchange (as defined in the accompanying product supplement) for that basket underlier or successor index, as applicable, and (ii) each
exchange or quotation system where trading has a material effect (as determined by the calculation agent) on the overall market for futures
or options contracts relating to that basket underlier or successor index, as applicable.
Disrupted day: notwithstanding anything to the contrary under
“General Terms of Notes — Postponement of a Determination Date — Additional Defined Terms” on page PS-48 of the
accompanying product supplement, for the purposes of the notes offered by this pricing supplement, a “disrupted day” means,
(a) with respect to the EURO STOXX 50® Index or any relevant successor index, (i) a day that is not a scheduled trading
day or (ii) a scheduled trading day on which (1) the closing level of the EURO STOXX 50® Index or that successor index,
as applicable, is not calculated and published by the Index Sponsor of the EURO STOXX 50® Index or that successor index,
as applicable, (2) any exchange or quotation system where trading has a material effect (as determined by the calculation agent) on the
overall market for futures or options contracts relating to the EURO STOXX 50® Index or that successor index, as applicable,
fails to open for trading during its regular trading session or (3) a market disruption event has occurred, or (b) with respect to each
of the other basket underliers or any relevant successor index, (i) a day that is not a scheduled trading day or (ii) a scheduled trading
day on which (1) any of the following exchanges or quotation systems fails to open for trading during its regular trading session: (x)
the relevant exchange for that basket underlier or successor index, as applicable, and (y) each exchange or quotation system where trading
has a material effect (as determined by the calculation agent) on the overall market for futures or options contracts relating to that
basket underlier or successor index, as applicable, or (2) a market disruption event has occurred.
Use of proceeds and hedging: as described under “Use
of Proceeds and Hedging” on page PS-43 of the accompanying product supplement, as supplemented by “— Supplemental Use
of Proceeds” below
Tax treatment: You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-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.
ERISA: as described under “Benefit Plan Investor Considerations”
on page PS-88 of the accompanying product supplement
Supplemental plan of distribution: as described under “Plan
of Distribution (Conflicts of Interest)” on page PS-86 of the accompanying product supplement; we estimate that our share of the
total offering expenses, excluding underwriting discounts and commissions, will be approximately $ .
We expect to agree to sell to JPMS, and JPMS expects to agree to purchase from us, the aggregate principal amount of the notes specified
on the front cover of this pricing supplement. JPMS proposes initially to offer the notes to the public at the original issue price set
forth on the cover page of this pricing supplement, and to an unaffiliated dealer at that price and to pay that dealer a selling commission
not in excess of 2.00% of the principal amount.
Conflicts of interest: JPMS has a “conflict of interest”
within the meaning of FINRA Rule 5121 in any offering of the notes in which it participates because JPMorgan Chase & Co.
owns, directly or indirectly, all of the outstanding equity securities of JPMS, because JPMS and we are under common control by JPMorgan
Chase & Co. and because the net proceeds received from the sale of the notes will be used, in part, by JPMS or its affiliates
in connection with hedging our obligations under the notes. The offering of the notes will comply with the requirements of Rule 5121 of
Financial Industry Regulatory Authority, Inc. (“FINRA”) regarding a FINRA member firm’s underwriting of securities of
an affiliate. In accordance with FINRA Rule 5121, neither JPMS nor any other affiliated agent of ours may make sales in the offering of
the notes to any of its discretionary accounts without the specific written approval of the customer.
Calculation agent: JPMS
CUSIP no.: 48135TMC4
ISIN no.: US48135TMC44
FDIC: the notes are not bank deposits and are not insured
by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
Supplemental Terms of the Notes
For purposes of the notes offered by this pricing supplement:
(a) any reference to “calculating the closing level of that
Index last in effect prior to the commencement of the market disruption event (or prior to the non-trading day)” under “General
Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings” in the accompanying product
supplement will be deemed to refer to “calculating the closing level of that Index last in effect prior to the commencement of the
initial Disrupted Day”; and
(b) all references to each of the following terms used in the accompanying
product supplement will be deemed to refer to the corresponding term used in this pricing supplement, as set forth in the table below:
| Product Supplement Term |
Pricing Supplement Term |
| Underlying |
basket underlier |
| pricing date |
trade date |
| maturity date |
stated maturity date |
| term sheet |
preliminary pricing supplement |
In addition, the following terms used in this pricing supplement
are not defined in the accompanying product supplement: basket return, initial basket level, initial basket underlier level, final basket
level, initial weight, upside participation rate, call premium amount, call observation date, call payment date, cash settlement amount,
call level, buffer level, buffer amount and buffer rate. Accordingly, please refer to “Key Terms” on page PS-3 of this pricing
supplement for the definitions of these terms.
Notwithstanding
anything to the contrary in the accompanying product supplement, the provisions set forth under “General Terms of Notes —
Consequences of a Change-in-Law Event” in the accompanying product supplement do not apply to the notes.
Any values of the basket underliers, 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.
The Estimated Value of the Notes
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, 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 Factors — 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”
on page PS-19 of this pricing supplement. The value of the derivative or derivatives underlying the economic terms of the notes is derived
from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative
instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest
rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the
notes is
determined when the terms of the notes are set based on market conditions
and other relevant factors and assumptions existing at that time. See “Selected Risk Factors — 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” on page PS-19 of this pricing supplement.
The estimated value of the notes will be lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and the unaffiliated dealer, 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 realized
in hedging our obligations under the notes, if any, may be allowed to other affiliated or unaffiliated dealers, and we or one or more
of our affiliates will retain any remaining hedging profits. A fee will also be paid to iCapital Markets LLC, an electronic platform in
which an affiliate of Goldman Sachs & Co. LLC, who is acting as a dealer in connection with the distribution of the notes, holds an
indirect minority equity interest, for services it is providing in connection with this offering. See “Selected Risk Factors —
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 of the Notes” on page PS-19 of this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market
prices of the notes, see “Selected 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” on page PS-20 of 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 the period from
the trade date through November 28, 2024. 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 Factors — 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” on page PS-20 of 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” on page PS-10 of this pricing
supplement for an illustration of the risk-return profile of the notes and “The Basket and the Basket Underliers” on page
PS-22 of 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 the unaffiliated dealer, 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.
HYPOTHETICAL EXAMPLES
The following table and examples are provided for purposes of illustration
only. They should not be taken as an indication or prediction of future investment results and are intended merely to illustrate the impact
that the various hypothetical basket closing levels or hypothetical closing levels of the basket underliers, as applicable, on the call
observation date and on the determination date could have on whether the notes are automatically called on the call observation date or
the cash settlement amount on the stated maturity date, as the case may be, assuming all other variables remain constant.
The examples below are based on a range of basket closing levels
and closing levels of the basket underliers that are entirely hypothetical; no one can predict what the basket closing level will be on
any day throughout the term of your notes, and no one can predict what the basket closing level will be on the call observation date or
the determination date. The basket underliers have been highly volatile in the past — meaning that the levels of the basket underliers
have changed considerably in relatively short periods — and their performances cannot be predicted for any future period.
The information in the following examples reflects hypothetical rates of
return on the offered notes assuming that they are purchased on the original issue date at the principal amount and held to the call payment
date or the stated maturity date, as applicable. If you sell your notes in a secondary market prior to the stated maturity date, your
return will depend upon the market value of your notes at the time of sale, which may be affected by a number of factors that are not
reflected in the table below, such as interest rates, the volatility of the basket underliers and our and JPMorgan Chase & Co.’s
creditworthiness. In addition, the estimated value of the notes will be less than the original issue price. For more information on the
estimated value of the notes, see “Summary Information — The Estimated Value of the Notes” on page PS-8 of this pricing
supplement. The information in the table also reflects the key terms and assumptions in the box below.
| Key Terms and Assumptions |
| Principal amount |
$1,000 |
| Upside participation rate |
1.50 |
| Buffer level |
90.00% of the initial basket level |
| Buffer rate |
approximately 1.1111 |
| Buffer amount |
10.00% |
| Call level |
100.00% of the initial basket level |
| Call premium amount |
9.71%
|
|
Neither a market disruption event nor a non-trading day with respect
to any basket underlier occurs on the originally scheduled call observation date or the originally scheduled determination date
During the term of the notes, each basket underlier is not discontinued,
the method of calculating each basket underlier does not change in any material respect and each basket underlier is not modified so that
its level does not, in the opinion of the calculation agent, fairly represent the level of that basket underlier had those modifications
not been made
Notes purchased on original issue date at the principal amount and
held to the call payment date or the stated maturity date, as applicable |
Moreover, we have not yet set the initial basket underlier levels
that will serve as the baselines for determining the basket return and the amount that we will pay on your notes, if any, on the call
payment date or at maturity. We will not do so until the trade date. As a result, the actual initial basket underlier level of each basket
underlier may differ substantially from that basket underlier level prior to the trade date.
For these reasons, the actual performance of the basket over the
term of your notes, as well as whether the notes are automatically called on the call observation date and the amount payable on the call
payment date or at maturity, if any, may bear little relation to the hypothetical examples shown below or to
the historical level of each basket underlier shown elsewhere in
this pricing supplement. For information about the historical levels of each basket underlier during recent periods, see “The Basket
and the Basket Underliers — Historical Closing Levels of the Basket Underliers” below. Before investing in the offered notes,
you should consult publicly available information to determine the levels of the basket underliers between the date of this pricing supplement
and the date of your purchase of the offered notes.
Also, the hypothetical examples shown below do not take into account
the effects of applicable taxes. Because of the U.S. tax treatment applicable to your notes, tax liabilities could affect the after-tax
rate of return on your notes to a comparatively greater extent than the after-tax return on the basket underliers.
If your notes are automatically
called on the call observation date (i.e., the basket closing level on the call observation date is greater than or
equal to the call level), the cash settlement amount that we would deliver for each $1,000 principal amount note on the call payment
date would be the sum of $1,000 plus the product of $1,000 times the call premium amount. If, for example,
the basket closing level on the call observation date were determined to be 115.000% of the initial basket level, your notes would be
automatically called and the cash settlement amount that we would deliver on your notes on the call payment date would be 109.71% of the
principal amount or $1,097.10 for each $1,000 principal amount note.
If the notes are not automatically called on the call observation
date (i.e., the basket closing level on the call observation date is less than the call level), the cash settlement
amount we would deliver for each $1,000 principal amount note on the stated maturity date will depend on the performance of the basket
on the determination date, as shown in the table below. The table below assumes that the notes have not been automatically called on the
call observation date and reflects hypothetical cash settlement amounts that you could receive on the stated maturity date.
The levels in the left column of the table below represent hypothetical
final basket levels and are expressed as percentages of the initial basket level. The amounts in the right column represent the hypothetical
payments at maturity, based on the corresponding hypothetical final basket level (expressed as a percentage of the initial basket level),
and are expressed as percentages of the principal amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical
payment at maturity of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the outstanding principal
amount of the offered notes on the stated maturity date would equal 100.000% of the principal amount of a note, based on the corresponding
hypothetical final basket level (expressed as a percentage of the initial basket level) and the assumptions noted above.
| The Notes Have Not Been Automatically Called |
Hypothetical Final Basket Level
(as Percentage of Initial Basket Level) |
Hypothetical Payment at Maturity
(as Percentage of Principal Amount) |
| 150.000% |
175.000% |
| 140.000% |
160.000% |
| 130.000% |
145.000% |
| 120.000% |
130.000% |
| 110.000% |
115.000% |
| 105.000% |
107.500% |
| 102.500% |
103.750% |
| 101.000% |
101.500% |
| 100.000% |
100.000% |
| 95.000% |
100.000% |
| 90.000% |
100.000% |
| 80.000% |
88.889% |
| 75.000% |
83.333% |
| 50.000% |
55.556% |
| 25.000% |
27.778% |
| 0.000% |
0.000% |
If, for example, the notes have not been automatically called on
the call observation date and the final basket level were determined to be 25.000% of the initial basket level, the payment that we would
deliver on your notes at maturity would be approximately 27.778% of the principal amount of your notes, as shown in the table above. As
a result, if you purchased your notes on the original issue date at the principal amount and held them to the stated maturity date, you
would lose approximately 72.222% of your investment (if you purchased your notes at a premium to principal amount you would lose a correspondingly
higher percentage of your investment).
The following examples illustrate the hypothetical payment at maturity
assuming the notes have not been automatically called on each $1,000 principal amount note based on hypothetical initial basket underlier
levels, each of which we refer to as an “initial level,” and closing levels of the basket underliers on the determination
date, each of which we refer to as a “final level,” calculated based on the key terms and assumptions above. The hypothetical
initial level for each basket underlier of 100.00 has been chosen for illustrative purposes only and may not represent a likely initial
level for that basket underlier. For historical data regarding the actual historical levels of the basket underliers, please see the historical
information set forth below under “The Basket and the Basket Underliers.” The levels in Column A represent the hypothetical
initial level for each basket underlier, and the levels in Column B represent hypothetical final levels for each basket underlier. The
percentages in Column C represent hypothetical final levels for each basket underlier in Column B expressed as percentages of the corresponding
hypothetical initial levels in Column A. The amounts in Column D represent the initial weighted values of each basket underlier, and the
amounts in Column E represent the products of the percentages in Column C times the corresponding amounts in Column D. The
final basket level for each example is shown beneath each example, and will equal the sum of the five products shown in
Column E. The basket return for each example is shown beneath the final basket level for such example, and will equal the quotient
of (i) the final basket level for such example minus the initial basket level divided by (ii) the initial basket level,
expressed as a percentage. The values below have been rounded for ease of analysis.
Example 1: The final basket level is greater than the initial
basket level. The payment at maturity exceeds the $1,000 principal amount.
| |
Column A |
Column B |
Column C |
Column D |
Column E |
|
Basket
Underlier |
Hypothetical
Initial Level |
Hypothetical
Final Level |
Column
B /
Column A |
Initial
Weighted
Value |
Column
C ×
Column D |
| EURO STOXX 50® Index |
100.00 |
105.00 |
105% |
38.00 |
39.90 |
| TOPIX® Index |
100.00 |
105.00 |
105% |
26.00 |
27.30 |
| FTSE® 100 Index |
100.00 |
105.00 |
105% |
17.00 |
17.85 |
| Swiss Market Index |
100.00 |
105.00 |
105% |
11.00 |
11.55 |
| S&P/ASX 200 Index |
100.00 |
105.00 |
105% |
8.00 |
8.40 |
| Final Basket Level: |
105.00 |
In this example, all of the hypothetical final levels for the basket
underliers are greater than the applicable hypothetical initial levels, which results in the hypothetical final basket level being greater
than the initial basket level of 100.00. Because the hypothetical final basket level of 105.00 exceeds the initial basket level, the hypothetical
payment at maturity will equal:
Payment at maturity = $1,000 + ($1,000 ×
1.50 × 5.00%) = $1,075.00
Example 2: The final basket level is less than the initial basket
level but greater than the buffer level. The payment at maturity will equal the $1,000 principal amount.
| |
Column A |
Column B |
Column C |
Column D |
Column E |
|
Basket
Underlier |
Hypothetical
Initial Level |
Hypothetical
Final Level |
Column
B /
Column A |
Initial
Weighted
Value |
Column
C ×
Column D |
| EURO STOXX 50® Index |
100.00 |
95.00 |
95% |
38.00 |
36.10 |
| TOPIX® Index |
100.00 |
95.00 |
95% |
26.00 |
24.70 |
| FTSE® 100 Index |
100.00 |
95.00 |
95% |
17.00 |
16.15 |
| Swiss Market Index |
100.00 |
95.00 |
95% |
11.00 |
10.45 |
| S&P/ASX 200 Index |
100.00 |
95.00 |
95% |
8.00 |
7.60 |
In this example, all of the hypothetical final
levels for the basket underliers are less than the applicable hypothetical initial levels, which results in the hypothetical final basket
level being less than the initial basket level of 100.00. However, because the hypothetical final basket level of 95.00 is not less than
the buffer level, the hypothetical payment at maturity will equal the $1,000 principal amount.
Example 3: The final basket level is less than the buffer level. The
payment at maturity is less than the $1,000 principal amount.
| |
Column A |
Column B |
Column C |
Column D |
Column E |
|
Basket
Underlier |
Hypothetical
Initial Level |
Hypothetical
Final Level |
Column
B /
Column A |
Initial
Weighted
Value |
Column
C ×
Column D |
| EURO STOXX 50® Index |
100.00 |
30.00 |
30% |
38.00 |
11.40 |
| TOPIX® Index |
100.00 |
100.00 |
100% |
26.00 |
26.00 |
| FTSE® 100 Index |
100.00 |
100.00 |
100% |
17.00 |
17.00 |
| Swiss Market Index |
100.00 |
120.00 |
120% |
11.00 |
13.20 |
| S&P/ASX 200 Index |
100.00 |
120.00 |
120% |
8.00 |
9.60 |
In this example, the hypothetical final level of the EURO STOXX 50®
Index is less than its hypothetical initial level, while the hypothetical final levels of the TOPIX® Index and the
FTSE® 100 Index are equal to their applicable hypothetical initial levels and the hypothetical final levels of the Swiss
Market Index and S&P/ASX 200 Index are greater than their applicable initial levels.
Because the basket is unequally weighted, increases in the lower weighted
basket underliers will be offset by decreases in the more heavily weighted basket underliers. In this example, the large decline in the
EURO STOXX 50® Index results in the hypothetical final basket level being less than the buffer level of 90.00% of the initial
basket level, even though the TOPIX® Index and the FTSE® 100 Index remained flat and the Swiss Market Index
and the S&P/ASX 200 Index increased.
Because the hypothetical final basket level of 77.20 is less than
the buffer level of 90.00% of the initial basket level, the hypothetical payment at maturity will equal:
Payment at maturity = $1,000 + [$1,000 ×
1.1111 × (-22.80% + 10.00%)] = $857.78
Example 4: The final basket level is less than the buffer level.
The payment at maturity is less than the $1,000 principal amount.
| |
Column A |
Column B |
Column C |
Column D |
Column E |
|
Basket
Underlier |
Hypothetical
Initial Level |
Hypothetical
Final Level |
Column
B /
Column A |
Initial
Weighted
Value |
Column
C ×
Column D |
| EURO STOXX 50® Index |
100.00 |
150.00 |
150% |
38.00 |
57.00 |
| TOPIX® Index |
100.00 |
25.00 |
25% |
26.00 |
6.50 |
| FTSE® 100 Index |
100.00 |
25.00 |
25% |
17.00 |
4.25 |
| Swiss Market Index |
100.00 |
25.00 |
25% |
11.00 |
2.75 |
| S&P/ASX 200 Index |
100.00 |
25.00 |
25% |
8.00 |
2.00 |
In this example, although the hypothetical final
level for one of the basket underliers is greater than its applicable hypothetical initial level, the hypothetical final levels of the
other basket underliers decrease significantly from their hypothetical initial levels, which results in the hypothetical final basket
level being less than the buffer level. Because the hypothetical final basket level of 72.50 is less than the buffer level, the hypothetical
payment at maturity will equal:
Payment at maturity = $1,000 + [$1,000 ×
1.1111 × (-27.50% + 10.00%)] = $805.56
The payments on the call payment date or at maturity shown above
are entirely hypothetical; they are based on closing levels for the basket underliers that may not be achieved on the call observation
date or the determination date, as applicable, and on assumptions that may prove to be erroneous. The actual market value of your notes
on the stated maturity date or at any other time, including any time you may wish to sell your notes, may bear little relation to the
hypothetical payments at maturity shown above, and these amounts should not be viewed as an indication of the financial return on an investment
in the offered notes. The hypothetical payments on the call payment date or at maturity on notes held to the call payment date or the
stated maturity date, as applicable in the examples above assume you purchased your notes at their principal amount and have not been
adjusted to reflect the actual price you pay for your notes. The return on your investment (whether positive or negative) in your notes
will be affected by the amount you pay for your notes. If you purchase your notes for a price other than the principal amount, the return
on your investment will differ from, and may be significantly lower than, the hypothetical returns suggested by the above examples. Please
read “Selected 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” on page PS-20 of this pricing supplement.
The hypothetical returns 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 fees or expenses that would
be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns shown above would
likely be lower.
We cannot predict the actual basket closing
level on the call observation date or the determination date or what the market value of your notes will be on any particular day, nor
can we predict the relationship between the level of each basket underlier and the market value of your notes at any time prior to the
stated maturity date. The actual amount that you will receive, if any, on the call payment date or at maturity and the rate of return
on the offered notes will depend on whether the notes are automatically called, the actual initial basket underlier level of each basket
underlier and call premium amount we will provide in the final pricing supplement and the actual final basket level as determined by the
calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be inaccurate.
Consequently, the amount of cash to be paid in respect of your notes, if any, on the call payment date or the stated maturity date may
be very different from the information reflected in the table and examples above.
Selected Risk Factors
An investment in your notes is subject
to the risks described below, as well as the risks described under the “Risk Factors” sections of the accompanying prospectus
supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum. Your notes are a riskier investment
than ordinary debt securities. Also, your notes are not equivalent to investing directly in the underlier stocks, i.e., the stocks underlying
the basket underliers that compose the basket to which your notes are linked. You should carefully consider whether the offered notes
are suited to your particular circumstances.
Risks Relating to the Notes Generally
You May Lose Some or All of Your Investment
in the Notes
The notes do not guarantee any return of principal. If your notes
are not automatically called on the call observation date, the return on the notes at maturity is linked to the performance of the basket
and will depend on whether, and the extent to which, the basket return is positive or negative. Your investment will be exposed to loss
on a leveraged basis if the final basket level is less than the initial basket level by more than 10%. For every 1% that the final basket
level is less than the initial basket level by more than 10%, you will lose an amount equal to approximately 1.1111% of the principal
amount of your notes. Accordingly, you could lose some or all of your initial investment at maturity. Also, the market price of your notes
prior to the stated maturity date may be significantly lower than the purchase price you pay for your notes. Consequently, if you sell
your notes before the stated maturity date, you may receive far less than the amount of your investment in the notes.
If the Notes Are Automatically Called, the
Cash Settlement Amount You Will Receive on the Call Payment Date Will Be Capped
The cash settlement amount you may receive on the call payment date
is capped, regardless of any appreciation in the basket, which may be significant. Even if the basket closing level on the call
observation date exceeds the call level, the return on your notes on the call payment date will be limited to the call premium amount
(which will be set on the trade date), and you will not benefit from the increase in the basket closing level above the initial basket
level. Accordingly, the amount payable on your notes on the call payment date may be significantly less than it would have been
had you invested directly in the basket.
In addition, if the notes are automatically called, you will not
benefit from the upside participation rate that applies to the payment at maturity if the final basket level is greater than the initial
basket level. Because the upside participation rate does not apply to the cash settlement amount on the call payment date, the cash settlement
amount on the call payment date may be significantly less than the payment at maturity for the same level of appreciation in the basket.
Your Notes Are Subject to Automatic Call
We will automatically call all, but not part, of your notes on the
call observation date if the basket closing level on that date is greater than or equal to the call level. Under these circumstances,
we will pay you the cash settlement amount on the call payment date. Therefore, the term for your notes may be reduced to as short as
approximately one year after the original issue date. You may not be able to reinvest the proceeds from an investment in the notes at
a comparable return for a similar level of risk in the event the notes are automatically called prior to maturity.
The Notes Are Subject to the Credit Risks
of JPMorgan Financial and JPMorgan Chase & Co.
The notes are subject to our and JPMorgan Chase & Co.’s
credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market
value of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the
notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined
by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we and
JPMorgan Chase & Co. were to default on our
payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
As a Finance Subsidiary, JPMorgan Financial
Has No Independent Operations and Has Limited Assets
As a finance subsidiary of
JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities and the
collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co.
or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our
obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution
of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in respect of the notes
as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on the notes,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information, see the accompanying
prospectus addendum.
No Interest or Dividend Payments or Voting
Rights
As a holder of the notes, you will not receive interest payments.
As a result, even if the amount payable for your notes on the call payment date or the stated maturity date, as applicable, exceeds the
principal amount of your notes, the overall return you earn on your notes may be less than you would have earned by investing in a non-basket-linked
debt security of comparable maturity that bears interest at a prevailing market rate. In addition, as a holder of the notes, you will
not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the underlier stocks
would have.
We May Sell an Additional Aggregate Principal
Amount of the Notes at a Different Issue Price
At our sole option, we may decide to sell an additional aggregate
principal amount of the notes subsequent to the date of this pricing supplement. The issue price of the notes in the subsequent sale may
differ substantially (higher or lower) from the original issue price you paid as provided on the cover of this pricing supplement.
If You Purchase Your Notes at a Premium to
the Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Principal Amount and the Impact
of Certain Key Terms of the Notes Will Be Negatively Affected
The amount you will be paid for your notes on the call payment date
or the stated maturity date, as applicable, will not be adjusted based on the price you pay for the notes. If you purchase notes at a
price that differs from the principal amount of the notes, then the return on your investment in the notes held to the call payment date
or the stated maturity date, as applicable, will differ from, and may be substantially less than, the return on notes purchased at the
principal amount. If you purchase your notes at a premium to the principal amount and hold them to the call payment date or the stated
maturity date, as applicable, the return on your investment in the notes will be lower than it would have been had you purchased the notes
at the principal amount or a discount to the principal amount. In addition, the impact of the buffer level on the return on your investment
will depend upon the price you pay for your notes relative to the principal amount. For example, if you purchase your notes at a premium
to the principal amount, and the notes have not been automatically called, the buffer level, while still providing an increase in the
return on the notes if the final basket level is greater than or equal to the buffer level, will allow a greater percentage decrease in
your investment in the notes than would have been the case for notes purchased at the principal amount or a discount to the principal
amount.
Correlation (or Lack of Correlation) of the
Basket Underliers
The notes are linked to an
unequally weighted basket. Performances of the basket underliers may or may not be correlated with each other. At a time when the values
of one or more of the basket underliers increases, the values of the other basket underliers may not increase as much or may even decline.
Therefore, in calculating the basket closing level, increases in
the value of one or more of the basket underliers may be moderated, or more than offset, by the lesser increases or declines in the values
of other basket underliers. Further, because the basket underliers are unequally weighted, increases in the values of the lower-weighted
basket underliers may be offset by even smaller decreases in values of the more heavily weighted basket underliers. In addition, high
correlation of movements in the basket underliers during periods of negative returns among the basket underliers could have an adverse
effect on whether the notes will be automatically called on the call observation date and, if the notes have not been automatically called
on either observation date, the payment at maturity on the notes. There can be no assurance that the basket closing level on the call
observation date or the determination date will be higher than the initial basket level.
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.
The Final Terms and Valuation of the Notes
Will Be Provided in the Final Pricing Supplement
The final terms of the notes will be based on relevant market conditions
when the terms of the notes are set and will be provided in the final pricing supplement. In particular, each of the estimated value of
the notes and the call premium amount will be provided in the final pricing supplement and each may be as low as the applicable minimum
set forth on the cover of this pricing supplement or under “Summary Information — Key Terms,” as applicable. Accordingly,
you should consider your potential investment in the notes based on the minimums for the estimated value of the notes and the call premium
amount.
The Tax Consequences of an Investment in the
Notes Are Uncertain
There is no direct legal authority as to the proper U.S. federal income
tax characterization of the notes, and we do not intend to request a ruling from the IRS. The IRS might not accept, and a court might
not uphold, the treatment of the notes described in “Key Terms — Tax treatment” in this pricing supplement and in “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement. If the IRS were successful in asserting an alternative
treatment for the notes, the timing and character of any income or loss on the notes could differ materially and adversely from our description
herein. 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 review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement and 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.
Risks Relating to Conflicts of Interest
Potential Conflicts of Interest
We and our affiliates play a variety of roles in connection with
the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations
under the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the
notes. Also, the distributor from which you purchase the notes may
conduct hedging activities for us in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s
economic interests, the economic interests of any distributor performing such duties 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, and the business activities of any distributor from which you purchase the notes, 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. If the distributor
from which you purchase notes is to conduct hedging activities for us in connection with the notes, that distributor may profit in connection
with such hedging activities and such profit, if any, will be in addition to the compensation that the distributor receives for the sale
of the notes to you. You should be aware that the potential to earn fees in connection with hedging activities may create a further incentive
for the distributor to sell the notes to you in addition to the compensation they would receive for the sale of the notes. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” on page PS-17 of the accompanying product supplement for
additional information about these risks.
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
The Estimated Value of the Notes Will Be Lower
Than the Original Issue Price 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 “Summary Information — The Estimated
Value of the Notes” on page PS-8 of this pricing supplement.
The Estimated Value of the Notes Does Not
Represent Future Values of the Notes and May Differ from Others’ Estimates
The estimated value of the notes is determined by reference to internal
pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market conditions
and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates,
interest rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are greater than
or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change, and
any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things,
changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant
factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See
“Summary Information — The Estimated Value of the Notes” on page PS-8 of 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 “Summary Information — The Estimated
Value of the Notes” on page PS-8 of this pricing supplement.
The Value of the Notes as Published by JPMS
(and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period
We generally expect that some of the costs included in the original
issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that
will decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, if
any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances.
See “Summary Information — Secondary Market Prices of the Notes” on page PS-9 of this pricing supplement for additional
information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than
the value of the notes as published by JPMS (and which may be shown on your customer account statements).
Secondary Market Prices of the Notes Will
Likely Be Lower Than the Original Issue Price of the Notes
Any secondary market prices of the notes will likely be lower than
the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary market
funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging
profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any,
at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is likely to be lower than the original
issue price. Any sale by you prior to the maturity date could result in a substantial loss to you. See the immediately following risk
consideration for information about additional factors that will impact any secondary market prices of the notes.
The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity. See “— Risks Relating to the Notes Generally —
Lack of Liquidity” on page PS-18 of this pricing supplement.
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 levels of the basket underliers, including:
| · | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| · | customary bid-ask spreads for similarly sized trades; |
| · | our internal secondary market funding rates for structured debt issuances; |
| · | the actual and expected volatility of the basket underliers; |
| · | the time to maturity of the notes; |
| · | the dividend rates on the underlier stocks; |
| · | the actual or expected positive or negative correlation between the basket underliers, or the absence of any such correlation; |
| · | interest and yield rates in the market generally; |
| · | the exchange rates and the volatility of the exchange rates between the U.S. dollar and the currencies in which the underlier stocks
of the basket underliers are traded and the correlation between those rates and the closing levels of the basket underliers; and |
| · | a variety of other economic, financial, political, regulatory 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 Basket
Underliers
The Notes Do Not Provide Direct Exposure to
Fluctuations in Foreign Exchange Rates
The value of your notes will not be adjusted for exchange rate fluctuations
between the U.S. dollar and the currencies upon which the basket underlier stocks are based, although any currency fluctuations could
affect the performance of the basket underlier. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S.
dollar over the term of the notes, you will not receive any additional payment or incur any reduction in your payment at maturity.
The Notes Are Subject to Risks Associated with
Securities Issued by Non-U.S. Companies
The underlier stocks that compose the basket
underliers have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities
involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including
risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries.
Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies
that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial
reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The prices
of securities in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions,
including changes in government, economic and fiscal policies and currency exchange laws.
THE BAsKET AND
the BASKET UnderlierS
The Basket
The basket is an unequally weighted basket composed of five indices
with the initial weights within the basket set forth in the table below:
| Basket Underlier Information as of August 21, 2024 |
| Basket Underlier |
Bloomberg
Ticker Symbol |
Initial Weight in
Basket |
Basket Underlier
Closing Level |
| EURO STOXX 50® Index |
SX5E |
38.00% |
4,885.28 |
| TOPIX® Index |
TPX |
26.00% |
2,664.86 |
| FTSE® 100 Index |
UKX |
17.00% |
8,283.43 |
| Swiss Market Index |
SMI |
11.00% |
12,250.11 |
| S&P/ASX 200 Index |
AS51 |
8.00% |
8,010.499 |
The EURO STOXX 50® Index
The EURO STOXX 50® Index consists of 50 component
stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX® are the intellectual
property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which
are used under license. The notes based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted
by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For
additional information about the EURO STOXX 50® Index, see the information set forth under “Equity Index Descriptions
— The STOXX Benchmark Indices” on page US-75 of the accompanying underlying supplement.
In addition, information about the EURO STOXX 50®
Index may be obtained from other sources including, but not limited to, that basket underlier sponsor’s website (including information
regarding that basket underlier’s (i) top ten constituents and their weightings, (ii) sector weightings and (iii) country weightings).
We are not incorporating by reference into this pricing supplement the website or any material it includes. Neither we nor any agent or
dealer for this offering makes any representation that this publicly available information regarding that basket underlier is accurate
or complete.
The TOPIX® Index
The TOPIX® Index, also known as the Tokyo Stock Price
Index, is a free float-adjusted market capitalization-weighted index of common stocks listed on the Tokyo Stock Exchange, Inc. covering
an extensive portion of the Japanese stock market. For additional information about the TOPIX® Index, see the information
set forth under “Equity Index Descriptions — The TOPIX® Index” on page US-93 of the accompanying underlying
supplement.
In addition, information about the TOPIX® Index may
be obtained from other sources including, but not limited to, that basket underlier sponsor’s website (including information regarding
that basket underlier’s sector weightings). We are not incorporating by reference into this pricing supplement the website or any
material it includes. Neither we nor any agent or dealer for this offering makes any representation that this publicly available information
regarding that basket underlier is accurate or complete.
FTSE® 100 Index
The FTSE® 100 Index is an index calculated, published
and disseminated by FTSE Russell. The FTSE® 100 Index measures the composite price performance of stocks of the largest
100 companies (determined on the basis of market capitalization) traded on the London Stock Exchange. For additional information about
the FTSE® 100 Index, see the information set forth under “Equity Index Descriptions — The FTSE®
100 Index” on page US-8 of the accompanying underlying supplement.
In addition, information about the FTSE® 100 Index
may be obtained from other sources including, but not limited to, that basket underlier sponsor’s website (including information
regarding that basket underlier’s (i) top five constituents and their weightings and (ii) sector weightings). We are not incorporating
by reference into this pricing supplement the website or any material it includes. Neither we nor any agent or dealer for this offering
makes any representation that this publicly available information regarding that basket underlier is accurate or complete.
The Swiss Market Index
The Swiss Market Index (“SMI®”) is a free-float
adjusted market capitalization-weighted price return index of the Swiss equity market. The SMI® is sponsored, calculated,
maintained and published by SIX Swiss Exchange Ltd. The SMI® comprises the 20 most highly capitalized and liquid stocks
of the Swiss Performance Index®. For additional information about the Swiss Market Index, see the information set forth
under “Equity Index Descriptions — The Swiss Market Index” on page US-89 of the accompanying underlying supplement.
In addition, information about the Swiss Market Index may be obtained
from other sources including, but not limited to, that basket underlier sponsor’s website (including information regarding that
basket underlier’s (i) top ten constituents and their weightings and (ii) sector weightings). We are not incorporating by reference
into this pricing supplement the website or any material it includes. Neither we nor any agent or dealer for this offering makes any representation
that this publicly available information regarding that basket underlier is accurate or complete.
The S&P/ASX 200 Index
The S&P/ASX 200 Index measures the performance of the 200 largest and
most liquid index-eligible stocks listed on the Australian Securities Exchange by float-adjusted market capitalization, and is widely
considered Australia’s benchmark index. For additional information see the information about the S&P/ASX 200 Index, see the
information set forth under “Equity Index Descriptions — The S&P/ASX 200 Index” on page US-43 of the accompanying
underlying supplement.
In addition, information about the S&P/ASX 200 Index may be obtained
from other sources including, but not limited to, that basket underlier sponsor’s website (including information regarding that
basket underlier’s (i) top ten constituents, (ii) sector weightings and (iii) country weightings). We are not incorporating by reference
into this pricing supplement the website or any material it includes. Neither we nor any agent or dealer for this offering makes any representation
that this publicly available information regarding that basket underlier is accurate or complete.
Historical
Basket Levels
You should not take the historical levels of the basket or the
basket underliers as an indication of the future performance of the basket or the basket underliers, respectively. We cannot give
you any assurance that the future performance of the basket, basket underliers or the underlier stocks will result in the notes being
automatically called on the call observation date or a return of any of your initial investment on the stated maturity date. In light
of the increased volatility currently being experienced by the securities markets, and recent market declines, it may be substantially
more likely that you could lose all or a substantial portion of your investment in the notes.
Neither we nor any of our affiliates make any representation to you
as to the performance of the basket or the basket underliers. The actual performance of the basket or the basket underliers over the term
of the offered notes, as well as the amount payable on the call payment date or at maturity, may bear little relation to the historical
levels shown below.
The following graph is based
on the basket closing levels for the period from January 4, 2019 (the first day in 2019 on
which the closing levels of all basket underliers were published) through August 21, 2024, assuming that the basket closing level was
100 on January 4, 2019. We derived the basket closing levels based on the method of
calculating the basket closing level as described in this pricing supplement and on the closing levels of the relevant basket underliers
on the relevant dates. We obtained the closing
levels reflected in the graph below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The basket closing level has been normalized such that its hypothetical
level on January 4, 2019 was 100. As noted in this pricing supplement, the initial basket
level will be set at 100 on the trade date. The basket closing level can increase or decrease due to changes in the levels of the
basket underliers. The graph below is for illustrative purposes only.
Historical Closing Levels of the Basket Underliers
The respective closing levels of the basket underliers have fluctuated
in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing levels
of the basket underliers during any period shown below is not an indication that the basket underliers are more or less likely to increase
or decrease at any time during the term of your notes.
The graphs below show the closing levels of the basket underliers
(other than the TOPIX® Index and the Swiss Market Index) on each day from January 2, 2019 through August 21, 2024, the
closing levels of the TOPIX® Index on each day from January 4, 2019 through August 21, 2024 and the closing levels of the
Swiss Market Index on each day from January 3, 2019 through August 21, 2024. We obtained the closing levels above and in the graphs below
from Bloomberg, without independent verification.
JP Morgan Alerian MLP (AMEX:AMJ)
Historical Stock Chart
From Oct 2024 to Nov 2024
JP Morgan Alerian MLP (AMEX:AMJ)
Historical Stock Chart
From Nov 2023 to Nov 2024
