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
6, 2024
August ,
2024 |
Registration
Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
due August 12, 2026
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| · | The notes are designed for
investors who seek a Contingent Interest Payment with respect to each Review Date, for which
the closing level of each of the Russell 2000® Index, the S&P 500®
Index and the Nasdaq-100 Index®, which we refer to as the Indices, is
greater than or equal to 70.00% of its Initial Value, which we refer to as an Interest Barrier. |
| · | If the closing level of
each Index is greater than or equal to its Interest Barrier on any Review Date, investors
will receive, in addition to the Contingent Interest Payment with respect to that Review
Date, any previously unpaid Contingent Interest Payments for prior Review Dates. |
| · | The notes may be redeemed
early, in whole but not in part, at our option on any of the Interest Payment Dates (other
than the first and final Interest Payment Dates). |
| · | The earliest date on which
the notes may be redeemed early is February 12, 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 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. |
| · | Payments on the notes are
not linked to a basket composed of the Indices. Payments on the notes are linked to the performance
of each of the Indices individually, as described below. |
| · | Minimum denominations of
$1,000 and integral multiples thereof |
| · | The notes are expected to
price on or about August 7, 2024 and are expected to settle on or about August 12, 2024. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum.
Any representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$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. These selling commissions will be up to $10.00 per $1,000 principal amount note. JPMS, acting as agent for
JPMorgan Financial, will also pay all of the structuring fee of up to $1.00 per $1,000 principal amount note it receives from us
to other affiliated or unaffiliated dealers. 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 $965.20 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 $940.00 per $1,000 principal amount note. See “The Estimated
Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated April 13,
2023, underlying supplement no. 1-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.
Indices:
The Russell 2000® Index (Bloomberg
ticker: RTY), the S&P 500® Index (Bloomberg ticker: SPX) and the Nasdaq-100 Index® (Bloomberg ticker:
NDX)
Contingent
Interest Payments: If the notes have not been previously redeemed early and the closing level of each Index on any Review
Date is greater than or equal to its 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 $26.25 (equivalent to a Contingent Interest Rate of at least 10.50% per
annum, payable at a rate of at least 2.625% per quarter) (to be provided in the pricing supplement), plus any previously unpaid
Contingent Interest Payments for any prior Review Dates.
If the Contingent Interest Payment is not paid on any Interest
Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing level of each
Index on the Review Date related to that later Interest Payment Date is greater than or equal to its Interest Barrier. You will not
receive any unpaid Contingent Interest Payments if the closing level of any Index on each subsequent Review Date is less than its
Interest Barrier.
Contingent
Interest Rate: At least 10.50% per annum, payable at a rate of at least 2.625% per quarter
(to be provided in the pricing supplement)
Interest Barrier / Trigger
Value: With respect to each Index, 70.00% of its Initial Value
Pricing
Date: On or about August 7, 2024
Original
Issue Date (Settlement Date): On or about August 12, 2024
Review
Dates*: November 7, 2024, February 7, 2025, May 7, 2025, August 7, 2025, November 7, 2025, February 9, 2026, May 7, 2026
and August 7, 2026 (final Review Date)
Interest
Payment Dates*: November 12, 2024, February 12, 2025, May 12, 2025, August 12, 2025, November 12, 2025, February 12, 2026,
May 12, 2026 and the Maturity Date
Maturity
Date*: August 12, 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” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement |
Early Redemption:
We, at our election, may redeem the notes early, in whole but
not in part, on any of the Interest Payment Dates (other than the first and final Interest Payment Dates) at a price, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the immediately
preceding Review Date plus (c) if the Contingent Interest Payment applicable to the immediately preceding Review Date is payable,
any previously unpaid Contingent Interest Payments for any prior Review Dates. If we intend to redeem your notes early, we will deliver
notice to The Depository Trust Company, or DTC, at least three business days before the applicable Interest Payment Date on which
the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value
of each Index is greater than or equal to its 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 applicable to the final Review Date plus (c)
any previously unpaid Contingent Interest Payments for any prior Review Dates.
If the notes have not been redeemed early and the Final Value
of any Index is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing
Index Return)
If the notes have not been redeemed early and the Final
Value of any Index is less than its 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.
Least Performing Index: The
Index with the Least Performing Index Return
Least Performing Index Return: The
lowest of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing level of that Index on the Pricing Date
Final
Value: With respect to each Index, the closing level of that Index on the final Review
Date
|
PS-1
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
Supplemental Terms of the Notes
Any values of the Indices, 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
Payment in Connection with
the First Review Date
Payments in Connection with Review
Dates (Other than the First and Final Review Dates)
PS-2
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
Payment at Maturity If the Notes
Have Not Been Redeemed Early
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 10.50% per annum, depending on how many Contingent Interest Payments are made prior to early redemption or maturity. The actual
Contingent Interest Rate will be provided in the pricing supplement and will be at least 10.50% per annum (payable at a rate of at least
2.625% per quarter).
Number
of Contingent
Interest Payments |
Total
Contingent Interest
Payments |
8 |
$210.00 |
7 |
$183.75 |
6 |
$157.50 |
5 |
$131.25 |
4 |
$105.00 |
3 |
$78.75 |
2 |
$52.50 |
1 |
$26.25 |
0 |
$0.00 |
PS-3
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Indices, assuming a range of performances for the hypothetical Least Performing Index on the Review
Dates. Each hypothetical payment set forth below assumes that the closing level of each Index that is not the Least Performing Index
on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
The hypothetical payments set forth below assume
the following:
| · | the notes have not been redeemed
early; |
| · | an Initial Value for the Least
Performing Index of 100.00; |
| · | an Interest Barrier and a Trigger
Value for the Least Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial
Value); and |
| · | a Contingent Interest Rate
of 10.50% per annum. |
The hypothetical Initial Value of the Least Performing
Index of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any Index. The
actual Initial Value of each Index will be the closing level of that Index on the Pricing Date and will be provided in the pricing supplement.
For historical data regarding the actual closing levels of each Index, please see the historical information set forth under “The
Indices” in this pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the
following examples have been rounded for ease of analysis.
Example 1 — Notes have NOT been redeemed
early and the Final Value of the Least Performing Index is greater than or equal to its Trigger Value.
Date |
Closing
Level of Least
Performing Index |
Payment
(per $1,000 principal amount note) |
First
Review Date |
95.00 |
$26.25 |
Second
Review Date |
85.00 |
$26.25 |
Third
through Seventh Review Dates |
Less
than Interest Barrier |
$0 |
Final
Review Date |
90.00 |
$1,157.50 |
|
Total
Payment |
$1,210.00
(21.00% return) |
Because the notes have not been redeemed early
and the Final Value of the Least Performing Index is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000
principal amount note, will be $1,157.50 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date plus
the unpaid Contingent Interest Payments for any prior Review Dates). When added to the Contingent Interest Payments received with
respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,210.00.
Example
2 — Notes have NOT been redeemed early and the Final Value of the Least Performing Index is less than its Trigger Value.
Date |
Closing
Level of Least
Performing Index |
Payment
(per $1,000 principal amount note) |
First
Review Date |
40.00 |
$0 |
Second
Review Date |
45.00 |
$0 |
Third
through Seventh Review Dates |
Less
than Interest Barrier |
$0 |
Final
Review Date |
40.00 |
$400.00 |
|
Total
Payment |
$400.00
(-60.00% return) |
Because the notes have not been redeemed early,
the Final Value of the Least Performing Index is less than its Trigger Value and the Least Performing Index Return is -60.00%, the payment
at maturity will be $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
PS-4
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
Selected
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.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES
MAY RESULT IN A LOSS — |
The notes do not guarantee any return of
principal. If the notes have not been redeemed early and the Final Value of any Index is less than its Trigger Value, you will lose 1%
of the principal amount of your notes for every 1% that the Final Value of the Least Performing Index is less than its Initial 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 redeemed early,
we will make a Contingent Interest Payment with respect to a Review Date (and we will pay you any previously unpaid Contingent Interest
Payments for any prior Review Dates) only if the closing level of each Index on that Review Date is greater than or equal to its Interest
Barrier. If the closing level of any Index on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will
be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payments if the closing level any Index
on each subsequent Review Date is less than the Interest Barrier. Accordingly, if the closing level of any Index on each Review Date
is less than its 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 any Index,
which may be significant. You will not participate in any appreciation of any Index.
| · | YOU ARE EXPOSED TO THE RISK
OF DECLINE IN THE LEVEL OF EACH INDEX — |
Payments on the notes are not linked to
a basket composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by any of the Indices
over the term of the notes may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date
and your payment at maturity and will not be offset or mitigated by positive performance by any other Index.
PS-5
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
| · | YOUR PAYMENT AT MATURITY
WILL BE DETERMINED BY THE LEAST PERFORMING INDEX. |
| · | THE BENEFIT PROVIDED BY
THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of any Index is less
than its Trigger Value and the notes have not been redeemed early, the benefit provided by the Trigger Value will terminate and you will
be fully exposed to any depreciation of the Least Performing Index.
| · | THE OPTIONAL EARLY REDEMPTION
FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If we elect to redeem your notes early,
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 Interest Payment 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 we elect
to redeem your notes 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 SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT
TO THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING
LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL
OF THAT INDEX IS VOLATILE. |
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.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of
roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please
refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE
NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only
an estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value of the
notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes.
These costs include the selling commissions, the structuring fee, 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
PS-6
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
prove to be incorrect, and is intended to approximate the
prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of
the Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS
PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER
THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes
by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes”
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes
during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account
statements).
| · | SECONDARY MARKET PRICES
OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account
our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a) exclude the
structuring fee and (b) 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, structuring fee, projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer
account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement.
Risks Relating to the Indices
| · | JPMORGAN CHASE & CO.
IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, |
but JPMorgan Chase & Co. will not have
any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500®
Index.
| · | AN INVESTMENT IN THE NOTES
IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL
2000® INDEX — |
Small capitalization companies may be less
able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies
are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock
price pressure under adverse market conditions.
| · | NON-U.S. SECURITIES RISK
WITH RESPECT TO THE NASDAQ-100 INDEX® — |
Some of the equity securities included in
the Nasdaq-100 Index® 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 home countries of the issuers of those non-U.S. equity securities.
PS-7
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
The
Indices
The Russell 2000® Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell
2000® Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
The S&P 500® Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about
the S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
The Nasdaq-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The Nasdaq Stock Market based on market
capitalization. For additional information about the Nasdaq-100 Index®, see “Equity Index Descriptions — The
Nasdaq-100 Index®” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 4, 2019 through August 2, 2024. The closing level
of the Russell 2000® Index on August 5, 2024 was 2,039.161. The closing level of the S&P 500® Index
on August 5, 2024 was 5,186.33. The closing level of the Nasdaq-100 Index® on August 5, 2024 was 17,895.15. We obtained
the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification.
The historical closing levels of each Index
should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Index on the
Pricing Date or any Review Date. There can be no assurance that the performance of the Indices will result in the return of any of your
principal amount or the payment of any interest.
PS-8
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
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.
PS-9
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
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
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived
by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events
and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market
conditions and other relevant factors and assumptions existing at that time.
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 and the structuring fee 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
PS-10
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
the notes. Because hedging our obligations entails risk and may
be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may
result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated
or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk
Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of
the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is
intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and
“Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and
“The Indices” 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 and the structuring fee paid to JPMS and other affiliated or unaffiliated
dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
JPMS, acting as agent for JPMorgan Financial,
will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. These selling commissions will
be up to $10.00 per $1,000 principal amount note. JPMS, acting as agent for JPMorgan Financial, will also pay all of the structuring
fee of up to $1.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms
of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes
of which these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying
product supplement and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains
the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying
prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
PS-11
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
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
Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index® |
|
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