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 May 14, 2024
JPMorgan Chase Financial Company LLC |
May 2024 |
Pricing Supplement
Registration Statement Nos. 333-270004 and
333-270004-01
Dated May , 2024
Filed pursuant to Rule 424(b)(2)
Structured
Investments
Opportunities in Commodities
Dual Directional Trigger PLUS Based on the Performance
of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
The Dual Directional Trigger PLUS, or “Trigger PLUS,” will pay
no interest and do not guarantee any return of your principal at maturity. At maturity, if the ETF Shares have appreciated in price,
investors will receive the stated principal amount of their investment plus leveraged upside performance of the ETF Shares, subject to
a maximum upside payment at maturity. If the ETF Shares have depreciated in price but by no more than 20%, investors will receive
at maturity the stated principal amount of the Trigger PLUS plus an unleveraged positive return equal to the absolute value of
the percentage decline, which will effectively be limited to a positive 20% return. However, if the ETF Shares have depreciated
in price by more than 20% in value, at maturity investors will lose the benefit of the absolute return feature and will lose 1% of the
stated principal amount for every 1% of decline in the price of the ETF Shares over the term of the Trigger PLUS. The Trigger PLUS are
for investors who are willing to risk their principal and forgo current income and upside above the maximum upside payment at maturity
in exchange for the leverage and absolute return features that in each case apply to a limited range of the performance of the ETF Shares.
The Trigger PLUS 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., issued as part of JPMorgan Financial’s
Medium-Term Notes, Series A, program. Any payment on the Trigger PLUS is subject to the credit risk of JPMorgan Financial, as issuer
of the Trigger PLUS, and the credit risk of JPMorgan Chase & Co., as guarantor of the Trigger PLUS. The investor may lose
some or all of the stated principal amount of the Trigger PLUS.
SUMMARY TERMS |
Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
ETF Shares: |
Shares of the iShares® Silver Trust (Bloomberg ticker: SLV UP Equity) |
Aggregate principal amount: |
$ |
Payment at maturity: |
If the final share price is greater than the initial share price, for each $1,000 stated principal amount Trigger PLUS: |
|
$1,000 + leveraged upside payment |
|
Under these circumstances, in no event will the payment at maturity exceed the maximum upside payment at maturity. |
|
If the final share price is less than or equal to the initial share price but is greater than or equal to the trigger level, for each $1,000 stated principal amount Trigger PLUS: |
|
$1,000 + ($1,000 × absolute share return) |
|
In this scenario, you will receive a 1% positive return on the Trigger PLUS for each 1% negative return on the ETF Shares. In no event will this amount exceed the stated principal amount plus $200.00. Accordingly, the maximum downside payment at maturity is $1,200.00 per Trigger PLUS |
|
If the final share price is less than the trigger level, for each $1,000 stated principal amount Trigger PLUS: |
|
$1,000 × share performance factor |
|
This amount will be less than the stated principal amount of $1,000 per Trigger PLUS and will represent a loss of more than 20%, and possibly all, of your investment. |
Leveraged upside payment: |
$1,000 × leverage factor × share percent change |
Share percent change: |
(final share price – initial share price) / initial share price |
Absolute share return: |
The absolute value of the share percent change. For example, a -5% share percent change will result in a +5% absolute share return. |
Initial share price: |
The closing price of one ETF Share on the pricing date |
Final share price: |
The closing price of one ETF Share on the valuation date |
Share adjustment factor: |
The share adjustment factor is referenced in determining the closing price of one ETF Share and is set initially at 1.0 on the pricing date. The share adjustment factor is subject to adjustment in the event of certain events affecting the ETF Shares. |
Trigger level: |
80% of the initial share price |
Leverage factor: |
300% |
Share performance factor: |
final share price / initial share price |
Maximum upside payment at maturity: |
At least $1,510.00 (at least 151.00% of the stated principal amount) per Trigger PLUS. The actual maximum upside payment at maturity will be provided in the pricing supplement and will not be less than $1,510.00 per Trigger PLUS. |
Stated principal amount: |
$1,000 per Trigger PLUS |
Issue price: |
$1,000 per Trigger PLUS (see “Commissions and issue price” below) |
Pricing date: |
May , 2024 (expected to price on or about May 31, 2024) |
Original issue date (settlement date): |
June , 2024 (3 business days after the pricing date) |
Valuation date*: |
May 28, 2027 |
Maturity date*: |
June 3, 2027 |
CUSIP / ISIN: |
48135MMP0 / US48135MMP04 |
Listing: |
The Trigger PLUS will not be listed on any securities exchange. |
Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
Commissions and issue price: |
Price to public(1) |
Fees and commissions |
Proceeds to issuer |
Per Trigger PLUS |
$1,000.00 |
$25.00 (2) |
$970.00 |
|
|
$5.00(3) |
|
Total |
$ |
$ |
$ |
|
|
|
|
| (1) | See “Additional Information about the Trigger PLUS — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the Trigger PLUS. |
| (2) | JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Smith
Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $25.00 per $1,000 stated
principal amount Trigger PLUS. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
| (3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each $1,000
stated principal amount Trigger PLUS |
* Subject to postponement in the event of a market disruption event and
as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying
— Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement
If the Trigger PLUS priced today and assuming a maximum upside payment
at maturity equal to the minimum listed above, the estimated value of the Trigger PLUS would be approximately $949.50 per $1,000 stated
principal amount Trigger PLUS. The estimated value of the Trigger PLUS on the pricing date will be provided in the pricing supplement
and will not be less than $920.00 per $1,000 stated principal amount Trigger PLUS. See “Additional Information about the Trigger
PLUS — The estimated value of the Trigger PLUS” in this document for additional information.
Investing in the Trigger PLUS involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-11 of
the accompanying product supplement and “Risk Factors” beginning on page 6 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Trigger PLUS or passed upon the accuracy or the adequacy of this
document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the
contrary is a criminal offense.
The Trigger PLUS 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.
You should read this document together with the
related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks
below. Please also see “Additional Information about the Trigger PLUS” at the end of this document.
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
JPMorgan Chase Financial Company LLC
Dual Directional
Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Dual Directional Trigger Performance Leveraged
Upside Securities
Principal at Risk Securities
The Dual Directional Trigger PLUS Based on the Performance of the
iShares® Silver Trust due June 3, 2027 (the “Trigger PLUS”) can be used:
| § | As an alternative to direct exposure to the ETF Shares that enhances returns for a certain range of positive performance of the ETF
Shares. |
| § | To enhance returns and potentially outperform the ETF Shares in a moderately bullish scenario. |
| § | To potentially achieve similar levels of upside exposure to the ETF Shares as a direct investment, subject to the maximum upside payment
at maturity, while using fewer dollars by taking advantage of the leverage factor. |
| § | To provide an unleveraged positive return in the event of a decline of the ETF Shares but only if the final share price is greater
than or equal to the trigger level. |
Maturity: |
Approximately 3 years |
Leverage factor: |
300% (applicable only if the final share price is greater than the initial share price) |
Trigger level: |
80% of the initial share price |
Maximum upside payment at maturity: |
At least $1,510.00 (at least 151.00% of the stated principal amount) per Trigger PLUS. The actual maximum upside payment at maturity will be provided in the pricing supplement. |
Minimum payment at maturity: |
None. Investors may lose their entire initial investment in the Trigger PLUS. |
Supplemental Terms of the Trigger PLUS
For purposes of the accompanying product supplement, the iShares®
Silver Trust is a “Fund.”
The Trigger PLUS are not commodity futures contracts or swaps
and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The Trigger
PLUS are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption,
that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, as set
out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation
promulgated by the Commodity Futures Trading Commission.
Any values of the ETF Shares, and any values derived therefrom,
included in this document may be corrected, in the event of manifest error or inconsistency, by amendment of this document and the corresponding
terms of the Trigger PLUS. Notwithstanding anything to the contrary in the indenture governing the Trigger PLUS, that amendment will become
effective without consent of the holders of the Trigger PLUS or any other party.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
Trigger PLUS offer leveraged upside exposure to an underlying asset
and the opportunity, through the absolute return feature, to earn a positive return at maturity for a limited range of negative performance
of the underlying asset. At maturity, if the underlying asset has appreciated, investors will receive the stated principal amount
of their investment plus leveraged upside performance of the underlying asset, subject to the maximum upside payment at maturity. At maturity,
if the underlying asset has depreciated in value but by no more than 20%, investors will receive the stated principal amount of
their investment plus an unleveraged positive return equal to the absolute value of the percentage decline in the underlying asset, which
will effectively be limited to a positive 20% return. However, at maturity, if the underlying asset has depreciated in value by
more than 20%, investors will lose the benefit of the absolute return feature and will lose 1% of the stated principal amount for every
1% of decline, without any buffer. Investors may lose some or all of the stated principal amount of the Trigger PLUS.
Leveraged
Upside Performance |
The Trigger PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the ETF Shares. |
Absolute
Return Feature |
The Trigger PLUS offer investors an opportunity to earn an unleveraged positive return if the final share price is less than or equal to the initial share price but is greater than or equal to the trigger level. |
Upside
Scenario if the ETF Shares Appreciates |
The final share price is greater than the initial share price and, at maturity, the Trigger PLUS pay the stated principal amount of $1,000 plus a return equal to 300% of the share percent change, subject to the maximum upside payment at maturity of at least $1,510.00 (at least 151.00% of the stated principal amount) per Trigger PLUS. The actual maximum upside payment at maturity will be provided in the pricing supplement. |
Absolute
Return Scenario |
The final share price is less than or equal to the initial share price but is greater than or equal to the trigger level, which is 80% of the initial share price. In this case, the Trigger PLUS pay a 1% positive return for each 1% negative return of the ETF Shares. For example, if the final share price is 5% less than the initial share price, the Trigger PLUS will provide a total positive return of 5% at maturity. The maximum return you may receive in this scenario is a positive 20% return at maturity. |
Downside Scenario |
The final share price is less than the trigger level. In this case, the Trigger PLUS pay an amount that is over 20% less than the stated principal amount and this decrease will be by an amount that is proportionate to the percentage decline in the final share price from the initial share price. (Example: if the ETF Shares decrease in value by 30%, the Trigger PLUS will pay an amount that is less than the stated principal amount by 30%, or $700.00 per Trigger PLUS.) |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Dual Directional Trigger PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on the
Trigger PLUS based on the following terms:
Stated principal amount: |
$1,000 per Trigger PLUS |
Leverage factor: |
300% |
Trigger level: |
80% of the initial share price |
Hypothetical maximum upside payment at maturity: |
$1,510.00 (151.00% of the stated principal amount) per Trigger PLUS (which represents the lowest hypothetical maximum upside payment at maturity)* |
* The actual maximum upside payment at maturity will be provided in
the pricing supplement and will not be less than $1,510.00 per Trigger PLUS.
Dual Directional Trigger PLUS Payoff Diagram |
|
How it works
§ | Upside
Scenario. If the final share price is greater than the initial share price, for each $1,000 principal amount Trigger PLUS,
investors will receive the $1,000 stated principal amount plus a return equal to 300% of the appreciation of the ETF Shares over
the term of the Trigger PLUS, subject to the maximum upside payment at maturity. Under the hypothetical terms of the Trigger PLUS, an
investor will realize the hypothetical maximum upside payment at maturity at a final share price of 117.00% of the initial share price. |
| § | For example, if the ETF Shares appreciate 5%, investors will
receive a 15% return, or $1,150.00 per Trigger PLUS. |
§ | Absolute
Return Scenario. If the final share price is less than or equal to the initial share price but is greater than or equal to
the trigger level, investors will receive a 1% positive return on the Trigger PLUS for each 1% negative return of the ETF Shares. |
| § | For example, if the ETF Shares depreciate 5%, investors will
receive a 5% return, or $1,050.00 per Trigger PLUS. |
| § | The maximum return you may receive in this scenario is a
positive 20% return at maturity. |
§ | Downside
Scenario. If the final share price is less than the trigger level, investors will lose the benefit of the absolute return
feature and will instead receive an amount that is significantly less than the stated principal amount by an amount proportionate to
the percentage decrease of the final share price from the initial share price. This amount will be less than 80% of the stated principal
amount per Trigger PLUS. |
| § | For example, if the ETF Shares depreciate 50%, investors will lose 50% of their principal and receive only $500.00 per Trigger PLUS
at maturity, or 50% of the stated principal amount. |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
The hypothetical returns and hypothetical payments
on the Trigger PLUS shown above apply only if you hold the Trigger PLUS for their entire term. These hypotheticals do not reflect
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the Trigger PLUS. For further discussion of these
and other risks, you should read the sections entitled “Risk Factors” of the accompanying prospectus supplement and the accompanying
product supplement. We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment
in the Trigger PLUS.
Risks Relating to the
Trigger PLUS Generally
| § |
The
Trigger PLUS do not pay interest or guarantee the return of any principal and your investment in the Trigger PLUS may result in a loss.
The terms of the Trigger PLUS differ from those of ordinary debt securities in that the Trigger PLUS do not pay interest or
guarantee the payment of any principal amount at maturity. If the final share price is less than the trigger level (which is 80% of the
initial share price), you will lose the benefit of the absolute return feature and the payment at maturity will be an amount in cash
that is over 20% less than the stated principal amount of each Trigger PLUS, and this decrease will be by an amount that is proportionate
to the decrease in the price of the ETF Shares and may be zero. There is no minimum payment at maturity on the Trigger PLUS, and, accordingly,
you could lose your entire initial investment in the Trigger PLUS. |
| § | The appreciation potential of the Trigger PLUS is limited by the maximum
upside payment at maturity if the ETF Shares have appreciated. The appreciation potential of the
Trigger PLUS is limited by the maximum upside payment at maturity of at least $1,510.00 (at least 151.00% of the stated principal amount)
per Trigger PLUS if the ETF Shares have appreciated. The actual maximum upside payment at maturity will be provided in the pricing supplement.
Although the leverage factor provides 300% exposure to any increase in the final share price as compared to the initial share price on
the valuation date, because the maximum upside payment at maturity will be limited to at least 151.00% of the stated principal amount
for the Trigger PLUS, any increase in the final share price by more than 17.00% (if the maximum upside payment at maturity is set at 151.00%
of the stated principal amount) will not further increase the return on the Trigger PLUS. |
| § | Your maximum downside gain on the Trigger PLUS is limited by the trigger
level. If the final share price is less than or equal to the initial share price and greater than or equal to the trigger level,
you will receive at maturity $1,000 plus a return equal to the absolute share return, which will reflect a 1% positive return for
each 1% negative return on the ETF Shares, subject to an effective limit of 20%. Because you will not receive a positive return
if the ETF Shares have depreciated below the trigger level, your maximum downside payment will be $1,200.00 per $1,000.00 stated principal
amount Trigger PLUS. |
|
§ | The
Trigger PLUS are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., and any actual or anticipated
changes to our or JPMorgan Chase & Co.’s credit ratings or credit spreads may adversely affect the market value of
the Trigger PLUS. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts
due on the Trigger PLUS. Any actual or anticipated decline in our or JPMorgan Chase & Co.’s credit ratings or increase
in our or JPMorgan Chase & Co.’s credit spreads determined by the market for taking that credit risk is likely to
adversely affect the market value of the Trigger PLUS. If we and JPMorgan Chase & Co. were to default on our payment obligations,
you may not receive any amounts owed to you under the Trigger PLUS 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. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the Trigger PLUS. If these affiliates do not make payments to us and we fail to make
payments on the Trigger PLUS, 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. |
| § | The benefit provided by the trigger level may terminate on the valuation
date. If the final share price is less than the trigger level, the benefit provided by the trigger
level will terminate and you will be fully exposed to any depreciation of the ETF Shares. |
| § | Secondary trading may be limited. The
Trigger PLUS will not be listed on a securities exchange. There may be little or no secondary market for the Trigger PLUS. Even if there
is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Trigger PLUS easily.
JPMS may act as a market maker for the Trigger PLUS, but is not required to do so. Because we do not expect that other market makers
will participate significantly in the secondary market for the Trigger PLUS, the price at which you may be able to trade your Trigger
PLUS is likely to depend on the price, if any, at which JPMS
is willing to |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
buy the Trigger PLUS. If at any time JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the Trigger PLUS.
| § | The final terms and estimated valuation of the Trigger PLUS will be provided in the pricing
supplement. The final terms of the Trigger PLUS will be provided in the pricing supplement. In particular, each of the
estimated value of the Trigger PLUS and the maximum upside payment at maturity will be provided in the pricing supplement and each may
be as low as the applicable minimum set forth on the cover of this document. Accordingly, you should consider your potential investment
in the Trigger PLUS based on the minimums for the estimated value of the Trigger PLUS and the maximum upside payment at maturity. |
| § | The tax consequences of an investment in the Trigger PLUS
are uncertain. There is no direct legal authority as to the proper U.S. federal income tax characterization
of the Trigger PLUS, 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 Trigger PLUS described in “Additional Information about the Trigger PLUS ― Additional Provisions ―
Tax considerations” in this document 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 Trigger PLUS, the timing and character of any income
or loss on the Trigger PLUS could differ materially and adversely from our description herein. |
Even if the treatment of the Trigger PLUS
is respected, the IRS may assert that the Trigger PLUS constitute “constructive ownership transactions” within the meaning
of Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”), in which case any gain recognized in respect
of the Trigger PLUS that would otherwise be long-term capital gain and that is in excess of the “net underlying long-term capital
gain” (as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income
had accrued for tax purposes at a constant yield over your holding period for the Trigger PLUS. Our special tax counsel has not expressed
an opinion with respect to whether the constructive ownership rules apply to the Trigger PLUS.
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 described above. 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 Trigger PLUS, 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 Trigger PLUS, including the potential application of the constructive
ownership rules, possible alternative treatments and the issues presented by this notice.
Risks Relating to Conflicts
of Interest
| § | Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the Trigger PLUS and other
affiliates of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the Trigger PLUS, including acting as calculation agent
and as an agent of the offering of the Trigger PLUS, hedging our obligations under the Trigger PLUS and making the assumptions used to
determine the pricing of the Trigger PLUS and the estimated value of the Trigger PLUS, which we refer to as the estimated value of the
Trigger PLUS. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Trigger PLUS.
The calculation agent will determine the initial share price, the trigger level and the final share price and will calculate the amount
of payment you will receive at maturity, if any. Determinations made by the calculation agent, including with respect to the occurrence
or non-occurrence of market disruption events, the selection of a successor to the ETF Shares or calculation of the final share price
in the event of a discontinuation of the ETF Shares, and any anti-dilution adjustments, may affect the payment to you at maturity. |
In
addition, our and JPMorgan Chase & Co.’s
business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic
interests to be adverse to yours and could adversely affect any payment on the Trigger PLUS and the value of the Trigger PLUS. It is possible
that hedging or trading activities of ours or our affiliates in connection with the Trigger PLUS could result in substantial returns for
us or our affiliates while the value of the Trigger PLUS declines. Please refer to
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
“Risk Factors — Risks Relating to Conflicts of
Interest” in the accompanying product supplement for additional information about these risks.
Moreover,
the benchmark price of the iShares® Silver Trust’s underlying commodity (as defined under “iShares®
Silver Trust Overview” below) is administered by the London Bullion Market Association (“LBMA”) or an independent service
provider appointed by the LBMA, and we are, or one of our affiliates is, a price participant that contributes to the determination of
that price. Furthermore, our affiliate is the custodian of the iShares® Silver Trust. We and our affiliates will have no
obligation to consider your interests as a holder of the Trigger PLUS in taking any actions in connection with our roles as a price participant
and a custodian that might affect the iShares® Silver Trust or the Trigger PLUS.
| § | Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the Trigger
PLUS. The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect
to the Trigger PLUS on or prior to the pricing date and prior
to maturity could adversely affect the value of the ETF Shares and, as a result, could decrease the amount an investor may receive on
the Trigger PLUS at maturity, if any. Any of these hedging or trading activities on or prior to the pricing date could potentially
affect the initial share price and the trigger level and, therefore, could potentially increase the price that the final share price must
reach before you receive a payment at maturity that exceeds the issue price of the Trigger PLUS or so that you do not suffer a loss on
your initial investment in the Trigger PLUS. Additionally, these hedging or trading activities during the term of the Trigger
PLUS, including on the valuation date, could adversely affect the final share price and, accordingly, the payment to you at maturity,
if any. It is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while the
value of the Trigger PLUS declines. |
Risks Relating to the
Estimated Value and Secondary Market Prices of the Trigger PLUS
| § | The estimated value of the Trigger PLUS will be lower than the original
issue price (price to public) of the Trigger PLUS. The estimated value of the Trigger PLUS is only
an estimate determined by reference to several factors. The original issue price of the Trigger PLUS will exceed the estimated value of
the Trigger PLUS because costs associated with selling, structuring and hedging the Trigger PLUS are included in the original issue price
of the Trigger PLUS. 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 Trigger PLUS and the estimated cost of hedging our
obligations under the Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated value of the Trigger
PLUS” in this document. |
| § | The estimated value of the Trigger PLUS does not represent future values
of the Trigger PLUS and may differ from others’ estimates. The estimated value of the Trigger
PLUS is determined by reference to internal pricing models of our affiliates. This estimated value of the Trigger PLUS is based on market
conditions and other relevant factors existing at the time of pricing and assumptions about market parameters, which can include volatility,
interest rates and other factors. Different pricing models and assumptions could provide valuations for the Trigger PLUS that are greater
than or less than the estimated value of the Trigger PLUS. 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 Trigger PLUS 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 the Trigger PLUS from
you in secondary market transactions. See “Additional Information about the Trigger PLUS — The estimated value of the Trigger
PLUS” in this document. |
| § | The estimated value of the Trigger PLUS is derived by reference to an internal
funding rate. The internal funding rate used in the determination of the estimated value of the
Trigger PLUS 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 Trigger PLUS as well as the higher issuance, operational and ongoing liability management costs of the Trigger
PLUS 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 Trigger PLUS. The use of an internal funding rate and any potential changes to
that rate may have an adverse effect on the terms of the Trigger PLUS and any secondary market prices of the Trigger PLUS. See “Additional
Information about the Trigger PLUS — The estimated value of the Trigger PLUS” in this document. |
| § | The value of the Trigger PLUS as published by JPMS (and which may be reflected
on customer account statements) may be higher than the then-current estimated value of the Trigger PLUS for a limited time period.
We generally expect that some of the costs included in the original issue price of the Trigger PLUS
will be partially paid back to you in connection with any repurchases of your Trigger PLUS by |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, the structuring fee, projected hedging profits, if any, and, in some
circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. See “Additional
Information about the Trigger PLUS — Secondary market prices of the Trigger PLUS” in this document for additional information
relating to this initial period. Accordingly, the estimated value of your Trigger PLUS during this initial period may be lower than the
value of the Trigger PLUS as published by JPMS (and which may be shown on your customer account statements).
| § | Secondary market prices of the Trigger PLUS will likely be lower than the
original issue price of the Trigger PLUS. Any secondary market prices of the Trigger PLUS will likely
be lower than the original issue price of the Trigger PLUS 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,
the structuring fee, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the
Trigger PLUS. As a result, the price, if any, at which JPMS will be willing to buy Trigger PLUS from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to the maturity date could result in a substantial
loss to you. See the immediately following risk factor for information about additional factors that will impact any secondary market
prices of the Trigger PLUS. |
The Trigger
PLUS are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Trigger PLUS to maturity.
See “— Risks Relating to the Trigger PLUS Generally — Secondary trading may be limited” above.
| § | Secondary market prices of the Trigger PLUS will be impacted by many economic
and market factors. The secondary market price of the Trigger PLUS 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 price of the ETF Shares, including: |
| o | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| o | customary bid-ask spreads for similarly sized trades; |
| o | our internal secondary market funding rates for structured debt issuances; |
| o | the actual and expected volatility of the ETF Shares; |
| o | the time to maturity of the Trigger PLUS; |
| o | interest and yield rates in the market generally; |
| o | the occurrence of certain events to the ETF Shares that may or may not require an adjustment to the
share adjustment factor; and |
| o | 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 Trigger PLUS, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Trigger PLUS, if any, at which JPMS may be willing to purchase your
Trigger PLUS in the secondary market.
Risks Relating to the ETF Shares
| § | Investing in the Trigger PLUS is not equivalent to investing in the ETF
Shares. Investing in the Trigger PLUS is not equivalent to investing in the ETF Shares or the underlying commodity. Investors
in the Trigger PLUS will not have voting rights or rights to receive distributions or any other rights with respect to the ETF Shares
or the underlying commodity. |
| § | The iShares® Silver Trust is not an investment company or
a commodity pool and will not be subject to regulation under the Investment Company Act of 1940, as amended, or the Commodity Exchange
Act. Accordingly, you will not benefit from any regulatory protections afforded to persons who invest
in regulated investment companies or commodity pools. |
| § | The performance and market value of the ETF Shares, particularly during
periods of market volatility, may not correlate with the performance of the underlying commodity as well as the net asset value per ETF
Share. The iShares® Silver Trust does not fully replicate the performance of its underlying commodity due to
the fees and expenses charged by the iShares® Silver Trust or by restrictions on access to the relevant underlying commodity
due to other circumstances. The iShares® Silver Trust does not generate any income, and as the iShares®
Silver Trust regularly sells its underlying commodity to pay for ongoing expenses, the amount of its underlying commodity represented
by each share gradually declines over time. The iShares® Silver Trust sells its underlying commodity to pay expenses on
an ongoing basis irrespective of whether the trading price of the shares rises or falls in response to changes in |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
the price of its underlying commodity. The sale by the iShares®
Silver Trust of its underlying commodity to pay expenses at a time of low prices for its underlying commodity could adversely affect the
value of the Trigger PLUS. Additionally, there is a risk that part or all of the iShares® Silver Trust’s holdings
in its underlying commodity could be lost, damaged or stolen. Access to the iShares® Silver Trust’s underlying commodity
could also be restricted by natural events (such as an earthquake) or human actions (such as a terrorist attack). All of these factors
may lead to a lack of correlation between the performance of the ETF Shares and the underlying commodity. In addition, because the ETF
Shares are traded on a securities exchange and are subject to market supply and investor demand, the market value of one ETF Share may
differ from the net asset value per ETF Share.
During periods of market volatility, commodities
underlying the ETF Shares may be unavailable in the secondary market, market participants may be unable to calculate accurately the net
asset value per ETF Share and the liquidity of the ETF Shares may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem ETF Shares. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell ETF Shares. As a result, under these circumstances, the market value
of ETF Shares may vary substantially from the net asset value per ETF Share. For all of the foregoing reasons, the performance of the
ETF Shares may not correlate with the performance of the underlying commodity as well as the net asset value per ETF Share, which could
materially and adversely affect the value of the Trigger PLUS in the secondary market and/or reduce any payment on the Trigger PLUS.
| § | The Trigger PLUS are subject to risks associated with silver. The
iShares® Silver Trust seeks to reflect generally the performance of the price of silver, less the iShares®
Silver Trust’s expenses and liabilities. The price of silver is primarily affected by global demand for and supply of silver. Silver
prices can fluctuate widely and may be affected by numerous factors. These include general economic trends, increases in silver hedging
activity by silver producers, significant changes in attitude by speculators and investors in silver, technical developments, substitution
issues and regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rate of inflation,
the relative strength of the U.S. dollar (the currency in which the price of silver is generally quoted) and other currencies, interest
rates, central bank sales, forward sales by producers, global or regional political or economic events and production costs and disruptions
in major silver-producing countries, such as Mexico, China and Peru. The demand for and supply of silver affect silver prices, but not
necessarily in the same manner as supply and demand affect the prices of other commodities. The supply of silver consists of a combination
of new mine production and existing stocks of bullion and fabricated silver held by governments, public and private financial institutions,
industrial organizations and private individuals. In addition, the price of silver has on occasion been subject to very rapid short-term
changes due to speculative activities. From time to time, above-ground inventories of silver may also influence the market. The major
end uses for silver include industrial applications, jewelry and silverware. It is not possible to predict the aggregate effect of all
or any combination of these factors. |
| § | There are risks relating to commodities trading on the LMBA. The
iShares® Silver Trust seeks to reflect generally the performance of the price of silver, less the iShares®
Silver Trust’s expenses and liabilities. The price of silver is determined by the LBMA or an independent service provider appointed
by the LBMA. The LBMA is a self-regulatory association of bullion market participants. Although all market-making members of the LBMA
are supervised by the Bank of England and are required to satisfy a capital adequacy test, the LBMA itself is not a regulated entity.
If the LBMA should cease operations, or if bullion trading should become subject to a value added tax or other tax or any other form of
regulation currently not in place, the role of the LBMA silver price as a global benchmark for the value of silver may be adversely affected.
The LBMA is a principals’ market, which operates in a manner more closely analogous to an over-the-counter physical commodity market
than regulated futures markets, and certain features of U.S. futures contracts are not present in the context of LBMA trading. For example,
there are no daily price limits on the LBMA which would otherwise restrict fluctuations in the prices of LBMA contracts. In a declining
market, it is possible that prices would continue to decline without limitation within a trading day or over a period of trading days.
The LBMA may alter, discontinue or suspend calculation or dissemination of the LBMA silver price, which could adversely affect the value
of the Trigger PLUS. The LBMA, or an independent service provider appointed by the LBMA, will have no obligation to consider your interests
in calculating or revising the LBMA silver price. |
| § | Single commodity prices tend to be more volatile than, and may not correlate
with, the prices of commodities generally. The iShares® Silver Trust is linked to
a single commodity and not to a diverse basket of commodities or a broad-based commodity index. The iShares® Silver Trust’s
underlying commodity may not correlate to the price of commodities generally and may diverge significantly from the prices of commodities
generally. As a result, the Trigger PLUS carry greater risk and may be more volatile than securities linked to the prices of more commodities
or a broad-based commodity index. |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | We have no affiliation with the iShares® Silver Trust. We
have not independently verified any of the information about the iShares® Silver Trust contained in this document. You
should make your own investigation into the Shares® Silver Trust and the underlying commodity. We are not responsible for
the iShares® Silver Trust’s public disclosure of information, whether contained in SEC filings or otherwise. |
| § | The anti-dilution protection for the ETF Shares is limited.
The calculation agent will make adjustments to the share adjustment factor for certain events affecting
the ETF Shares. However, the calculation agent will not make an adjustment in response to all events that could affect the ETF Shares.
If an event occurs that does not require the calculation agent to make an adjustment, the value of the Trigger PLUS may be materially
and adversely affected. |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® Silver Trust Overview
The iShares® Silver Trust is an investment trust sponsored
by iShares® Delaware Trust Sponsor LLC. The iShares® Silver Trust seeks to reflect generally the performance
of the price of silver, less the iShares® Silver Trust’s expenses and liabilities. The assets of the iShares®
Silver Trust consists primarily of silver held by a custodian on behalf of the iShares® Silver Trust. We refer to silver
as the underlying commodity with respect to the iShares® Silver Trust. For additional information about the iShares®
Silver Trust, see “Fund Descriptions — The iShares® Silver Trust” in the accompanying underlying supplement.
Information as of market close on May 10, 2024:
Bloomberg Ticker Symbol: |
SLV |
52 Week High (on 4/15/2024): |
$26.41 |
Current Closing Price: |
$25.77 |
52 Week Low (on 10/5/2023): |
$19.25 |
52 Weeks Ago (on 5/10/2023): |
$23.31 |
|
|
The following table sets forth the published high and low closing
prices, as well as end-of-quarter closing prices, of one ETF Share for each quarter in the period from January 1, 2019 through May 10,
2024. The closing price of one ETF Share on May 10, 2024 was $25.77. The associated graph shows the closing prices of one ETF Share for
each day in the same period. We obtained the closing price information above and in the table and graph below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices may have been adjusted by Bloomberg for actions
taken relating to the ETF Shares, such as stock splits. The historical closing prices of the ETF Shares should not be taken as an indication
of future performance, and no assurance can be given as to the closing price of one ETF Share on the valuation date.
iShares® Silver Trust |
High |
Low |
Period End |
2019 |
|
|
|
First Quarter |
$15.07 |
$14.07 |
$14.18 |
Second Quarter |
$14.46 |
$13.46 |
$14.33 |
Third Quarter |
$18.34 |
$14.05 |
$15.92 |
Fourth Quarter |
$16.92 |
$15.48 |
$16.68 |
2020 |
|
|
|
First Quarter |
$17.40 |
$11.21 |
$13.05 |
Second Quarter |
$17.10 |
$13.02 |
$17.01 |
Third Quarter |
$27.00 |
$16.71 |
$21.64 |
Fourth Quarter |
$24.76 |
$21.05 |
$24.57 |
2021 |
|
|
|
First Quarter |
$26.76 |
$22.26 |
$22.70 |
Second Quarter |
$26.19 |
$23.04 |
$24.22 |
Third Quarter |
$24.55 |
$19.95 |
$20.52 |
Fourth Quarter |
$23.42 |
$20.30 |
$21.51 |
2022 |
|
|
|
First Quarter |
$24.45 |
$20.51 |
$22.88 |
Second Quarter |
$23.87 |
$18.64 |
$18.64 |
Third Quarter |
$19.17 |
$16.38 |
$17.50 |
Fourth Quarter |
$22.23 |
$16.81 |
$22.02 |
2023 |
|
|
|
First Quarter |
$22.33 |
$18.40 |
$22.12 |
Second Quarter |
$23.94 |
$20.53 |
$20.89 |
Third Quarter |
$23.10 |
$20.34 |
$20.34 |
Fourth Quarter |
$23.33 |
$19.25 |
$21.78 |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
2024 |
|
|
|
First Quarter |
$23.29 |
$20.20 |
$22.75 |
Second Quarter (through May 10, 2024) |
$26.41 |
$22.86 |
$25.77 |
iShares®
Silver Trust Historical Performance – Daily Closing Prices*
January 2, 2019 to May 10, 2024 |
|
*The dotted line in the graph indicates
the hypothetical trigger level, equal to 80% of the closing price of one ETF Share on May 10, 2024. The actual trigger level will be based
on the closing price of one ETF Share on the pricing date. |
This document relates only to the Trigger PLUS offered hereby
and does not relate to the ETF Shares. We have derived all disclosures contained in this document regarding the iShares®
Silver Trust from the publicly available documents described in the first paragraph under this “iShares® Silver Trust
Overview” section, without independent verification. In connection with the offering of the Trigger PLUS, neither we nor the agent
has participated in the preparation of such documents or made any due diligence inquiry with respect to the iShares® Silver
Trust. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information
regarding the iShares® Silver Trust is accurate or complete. Furthermore, we cannot give any assurance that all events
occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents
described in the first paragraph under this “iShares® Silver Trust Overview” section) that would affect the
trading price of the ETF Shares (and therefore the price of the ETF Shares at the time the Trigger PLUS are priced) have been publicly
disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the
iShares® Silver Trust could affect the value received at maturity, if any, with respect to the Trigger PLUS and therefore
the trading prices of the Trigger PLUS.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the ETF Shares.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information about the Trigger PLUS
Please read this information in conjunction with the terms on the
front cover of this document.
Additional Provisions: |
Postponement of maturity date: |
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Trigger PLUS will be postponed to the third business day following the valuation date as postponed. |
Minimum ticketing size: |
$1,000 / 1 Trigger PLUS |
Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
Calculation agent: |
JPMS |
The estimated value of the Trigger PLUS: |
The estimated value of the Trigger PLUS set forth on the cover
of this document 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 Trigger PLUS, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the Trigger PLUS. The estimated value of the Trigger PLUS does not represent a minimum price at which JPMS would
be willing to buy your Trigger PLUS in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the Trigger PLUS 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 Trigger PLUS as well as the higher issuance, operational and ongoing liability management
costs of the Trigger PLUS 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 Trigger PLUS. The use of an internal funding rate and any potential changes to
that rate may have an adverse effect on the terms of the Trigger PLUS and any secondary market prices of the Trigger PLUS. For additional
information, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger PLUS —
The estimated value of the Trigger PLUS is derived by reference to an internal funding rate” in this document. The value of the
derivative or derivatives underlying the economic terms of the Trigger PLUS is derived from internal pricing models of our affiliates.
These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs,
some of which are market-observable, and which can include volatility, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the Trigger PLUS on the pricing date is based on market
conditions and other relevant factors and assumptions existing at that time. See “Risk Factors — Risks Relating to the Estimated
Value and Secondary Market Prices of the Trigger PLUS — The estimated value of the Trigger PLUS does not represent future values
of the Trigger PLUS and may differ from others’ estimates” in this document.
The estimated value of the Trigger PLUS will be lower than the
original issue price of the Trigger PLUS because costs associated with selling, structuring and hedging the Trigger PLUS are included
in the original issue price of the Trigger PLUS. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the Trigger PLUS and the estimated cost of hedging our obligations under the Trigger PLUS. 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 Trigger PLUS 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 “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger PLUS — The estimated
value of the Trigger PLUS will be lower than the original issue price (price to public) of the Trigger PLUS” in this document. |
Secondary market prices of the Trigger PLUS: |
For information about factors that will impact any secondary market prices of the Trigger PLUS, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger PLUS — Secondary market prices of the Trigger PLUS will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the Trigger PLUS will be |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
partially paid back to you in connection with any repurchases of your Trigger PLUS by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the Trigger PLUS. The length of any such initial period reflects the structure of the Trigger PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Trigger PLUS and when these costs are incurred, as determined by our affiliates. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger PLUS — The value of the Trigger PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the Trigger PLUS for a limited time period.” |
Tax considerations: |
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 the Trigger PLUS.
Based on current market conditions, in the opinion of our
special tax counsel, your Trigger PLUS should be treated 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, subject to the possible application of the “constructive ownership” rules, the gain or loss on
your Trigger PLUS should be treated as long-term capital gain or loss if you hold your Trigger PLUS for more than a year, whether or not
you are an initial purchaser of the Trigger PLUS at the issue price. The Trigger PLUS could be treated as “constructive ownership
transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the Trigger PLUS that
would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined
in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax
purposes at a constant yield over your holding period for the Trigger PLUS. In addition, long-term capital gain that you would otherwise
recognize in respect of your Trigger PLUS up to the amount of the “net underlying long-term capital gain” could, if you are
an individual or other non-corporate investor, be subject to tax at the higher rates applicable to “collectibles” instead
of the general rates that apply to long-term capital gain. Our special tax counsel has not expressed an opinion with respect to whether
the constructive ownership rules apply to the Trigger PLUS. Accordingly, U.S. Holders should consult their tax advisers regarding the
potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment of the Trigger
PLUS described above, in which case the timing and character of any income or loss on your Trigger PLUS 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 described
above. 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 Trigger
PLUS, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the Trigger PLUS, including the potential application of the constructive ownership rules, possible alternative treatments and the
issues presented by this notice. |
Supplemental use of proceeds and hedging: |
The Trigger PLUS are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the Trigger PLUS. See “How the Trigger PLUS Work” in
this document for an illustration of the risk-return profile of the Trigger PLUS and “iShares® Silver Trust Overview”
in this document for a description of the market exposure provided by the Trigger PLUS.
The original issue price of the Trigger PLUS is equal to the
estimated value of the Trigger PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the structuring
fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the Trigger PLUS, plus the estimated cost of hedging our obligations under the Trigger PLUS. |
Benefit plan investor considerations: |
See “Benefit Plan Investor Considerations” in the accompanying product supplement. |
Supplemental plan of distribution: |
Subject to regulatory constraints, JPMS intends to use its reasonable
efforts to offer to purchase the Trigger PLUS in the secondary market, but is not required to do so. JPMS,
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Silver Trust due June 3, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
acting as agent for JPMorgan
Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley
Wealth Management will receive a structuring fee as set forth on the cover of this document for each Trigger PLUS.
We or our affiliate may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Trigger PLUS and JPMS
and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “—
Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying product supplement. |
Where
you can find more information: |
You may revoke your offer to purchase the Trigger PLUS 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 Trigger PLUS prior to their issuance. In the event of any changes to the terms of the Trigger PLUS,
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 document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these Trigger
PLUS are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This document, together with the documents listed below, contains
the terms of the Trigger PLUS 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, stand-alone
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, as the Trigger
PLUS 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 Trigger PLUS.
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
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,” and
“our” refer to JPMorgan Financial.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley. |
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