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 September
10, 2024
PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01
Dated September , 2024 |
JPMorgan Chase Financial Company LLC Step Down Trigger Autocallable Notes
Linked to the least performing of the Russell 2000® Index,
the S&P 500® Index and the EURO STOXX 50® Index due on or about September 13, 2029
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
Step Down Trigger Autocallable Notes,
which we refer to as the “Notes,” are unsecured and unsubordinated debt securities issued by JPMorgan Chase Financial Company
LLC (“JPMorgan Financial”), the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.,
linked to the least performing of the Russell 2000®
Index, the S&P 500® Index and the EURO STOXX 50® Index (each an “Underlying” and together
the “Underlyings”). If each Underlying closes at or above (i) its Initial Value on any Observation Date (other than the Final
Valuation Date) (after an initial one-year non-call period) or (ii) its Downside Threshold on the Final Valuation Date, JPMorgan Financial
will automatically call the Notes and pay you a Call Price equal to the principal amount per Note plus a Call Return. The Call
Return increases the longer the Notes are outstanding. If by maturity the Notes have not been called, and, therefore, any Underlying closes
below its Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, resulting
in a loss of your principal amount that is proportionate to the decline in the closing level of the Underlying with the lowest Underlying
Return (the “Least Performing Underlying”) from its Initial Value to its Final Value. Investing in the Notes involves significant
risks. The Notes do not pay interest. You may lose some or all of your principal amount. You will be exposed to the market risk of each
Underlying and any decline in the level of one Underlying may negatively affect your return and will not be offset or mitigated by a lesser
decline or any potential increase in the level of any other Underlying. Generally, a higher Call Return Rate is associated with a greater
risk of loss. The contingent repayment of principal applies only if you hold the Notes to maturity. Any payment on the Notes, including
any repayment of principal, is subject to the creditworthiness of JPMorgan Financial, as issuer of the Notes, and the creditworthiness
of JPMorgan Chase & Co., as guarantor of the Notes. If JPMorgan Financial and JPMorgan Chase & Co. were to
default on their payment obligations, you may not receive any amounts owed to you under the Notes and you could lose your entire investment.
| t | Call Return: JPMorgan Financial will automatically call
the Notes for a Call Price equal to the principal amount plus a Call Return if (i) the closing level of each Underlying on any
Observation Date (other than the Final Valuation Date) (after an initial one-year non-call period) is equal to or greater than its Initial
Value or (ii) the closing level of each Underlying on the Final Valuation Date is equal to or greater than its Downside Threshold. The
Call Return increases the longer the Notes are outstanding. If the Notes are not called, investors will be exposed to any depreciation
of the Underlyings at maturity. |
| t | Contingent Downside Exposure: If by maturity the Notes
have not been called and, therefore, any Underlying closes below its Downside Threshold on the Final Valuation Date, JPMorgan Financial
will repay less than the principal amount, if anything, resulting in a loss of your principal amount that is proportionate to the decline
in the closing level of the Least Performing Underlying from its Initial Value to its Final Value. The contingent repayment of principal
applies only if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to the
creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. |
Key
Dates |
Trade Date1 |
September 10, 2024 |
Original Issue Date
(Settlement Date)1 |
September 13, 2024 |
Observation Dates2 |
Quarterly (callable beginning September 15, 2025) (see page 4) |
Final Valuation Date2 |
September 10, 2029 |
Maturity Date2 |
September 13, 2029 |
| 1 | Expected. In the event that we make any change to the expected
Trade Date and Settlement Date, the Observation Dates, the Final Valuation Date and/or the Maturity Date will be changed so that the
stated term of the Notes remains the same. |
| 2 | Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
or early acceleration in the event of a change-in-law event as described under “General Terms of Notes — Consequences of
a Change-in-Law Event” in the accompanying product supplement and “Key Risks — Risks Relating to the Notes Generally
— We May Accelerate Your Notes If a Change-in-Law Event Occurs” in this pricing supplement |
THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS.
JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE DOWNSIDE
MARKET RISK SIMILAR TO THE LEAST PERFORMING UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT
OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE
THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS”
BEGINNING ON PAGE 6 OF THIS PRICING SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING ON PAGE S-2 OF THE ACCOMPANYING PROSPECTUS
SUPPLEMENT, IN ANNEX A TO THE ACCOMPANYING PROSPECTUS ADDENDUM AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-12 OF THE ACCOMPANYING
PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY
AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES
WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We are offering Trigger Autocallable Notes linked to the least performing
of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index. The Notes
are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof. The Call Return Rate and the Initial
Value and the Downside Threshold for each Underlying will be finalized on the Trade Date and provided in the pricing supplement. The actual
Call Return Rate is expected to be, but will not be less than, the minimum Call Return Rate listed below, but you should be willing to
invest in the Notes if the Call Return Rate were set equal to that minimum Call Return Rate.
Underlying |
Call Return Rate |
Initial Value |
Downside Threshold* |
CUSIP |
ISIN |
Russell 2000® Index (Bloomberg Ticker: RTY) |
At least
11.10% per annum |
• |
70% of the Initial Value |
48131G352 |
US48131G3526 |
S&P 500® Index (Bloomberg Ticker: SPX) |
• |
70% of the Initial Value |
EURO STOXX 50® Index (Bloomberg Ticker: SX5E) |
• |
70% of the Initial Value |
* Rounded to three decimal places for the Russell 2000®
Index and two decimal places for the S&P 500® Index and the EURO STOXX 50® Index
See “Additional Information about JPMorgan Financial,
JPMorgan Chase & Co. and the Notes” in this pricing supplement. The Notes will have the terms specified in the prospectus
and the prospectus supplement, each dated April 13, 2023, the prospectus addendum dated June 3, 2024, product supplement no. UBS-1-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023 and this pricing supplement. The terms of the Notes as set forth
in this pricing supplement, to the extent they differ or conflict with those set forth in the accompanying product supplement, will supersede
the terms set forth in that product supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying prospectus, the accompanying prospectus supplement, the accompanying prospectus addendum, the accompanying
product supplement and the accompanying underlying supplement. Any representation to the contrary is a criminal offense.
|
Price to Public(1) |
Fees and Commissions(2) |
Proceeds to Issuer |
Offering of Notes |
Total |
Per Note |
Total |
Per Note |
Total |
Per Note |
Notes linked to the least performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index |
|
$10.00 |
— |
— |
|
$10.00 |
| (1) | See “Supplemental Use of
Proceeds” in this pricing supplement for information about the components of the price to public of the Notes. |
| (2) | All sales of the Notes will be
made to certain fee-based advisory accounts for which UBS Financial Services Inc., which we refer to as UBS, is an investment adviser
and UBS will act as placement agent. The purchase price will be $10.00 per Note and UBS will forgo any commissions related to these sales.
See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental
Plan of Distribution” in this pricing supplement. |
If the Notes priced today and assuming a Call Return
Rate equal to the minimum Call Return Rate listed above, the estimated value of the Notes would be approximately $9.686 per $10 principal
amount Note. The estimated value of the Notes, when the terms of the Notes are set, will be provided in the pricing supplement and will
not be less than $9.30 per $10 principal amount Note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The Notes are not bank deposits, are not insured by the Federal Deposit
Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
You may revoke your offer to purchase the Notes at any time prior
to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or reject any offer to
purchase, the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will notify you and you will be
asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject
your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these Notes
are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement 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.
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, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Notes
For purposes of the accompanying product supplement, each of
the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index is an “Index.”
Any values of the Underlyings, and any values derived therefrom,
included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the Notes. Notwithstanding anything to the contrary in the indenture governing the Notes, that amendment
will become effective without consent of the holders of the Notes or any other party.
Investor
Suitability
The Notes may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside
market risk as an investment in the Least Performing Underlying.
t You
are willing to accept the individual market risk of each Underlying and understand that any decline in the level of one Underlying will
not be offset or mitigated by a lesser decline or any potential increase in the levels of the other Underlyings.
t You
believe each Underlying will close at or above (i) its Initial Value on any Observation Date (other than the Final Valuation Date) or
(ii) its Downside Threshold on the Final Valuation Date.
t You
understand and accept that you will not participate in any appreciation of any Underlying and that your potential return is limited to
the applicable Call Return.
t You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the
levels of the Underlyings.
t You
would be willing to invest in the Notes if the Call Return Rate were set equal to the minimum Call Return Rate indicated on the cover
hereof (the actual Call Return Rate will be finalized on the Trade Date and provided in the pricing supplement and is expected to be,
but will not be less than, the minimum Call Return Rate listed on the cover).
t You
do not seek current income from this investment and are willing to forgo dividends paid on the stocks included in the Underlyings.
t You
are able and willing to invest in Notes that may be called early (after an initial one-year non-call period) and you are otherwise able
and willing to hold the Notes to maturity.
t You
accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on the price,
if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
t You
understand and accept the risks associated with the Underlyings.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, and understand
that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts due to you including
any repayment of principal. |
|
The Notes may not be suitable for you if, among other considerations:
t You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
cannot tolerate a loss of all or a substantial portion of your investment or are unwilling to make an investment that may have the same
downside market risk as an investment in the Least Performing Underlying.
t You
are unwilling to accept the individual market risk of each Underlying or do not understand that any decline in the level of one Underlying
will not be offset or mitigated by a lesser decline or any potential increase in the levels of the other Underlyings.
t You
require an investment designed to provide a full return of principal at maturity.
t You
believe that any Underlying will decline during the term of the Notes and is likely to close below (i) its Initial Value on any Observation
Date (other than the Final Valuation Date) and (ii) its Downside Threshold on the Final Valuation Date, exposing you to the full negative
Least Performing Underlying Return at maturity.
t You
seek an investment that participates in the full appreciation in the level of any or all Underlyings or that has unlimited return potential.
t You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in
the levels of the Underlyings.
t You
would not be willing to invest in the Notes if the Call Return Rate were set equal to the minimum Call Return Rate indicated on the cover
hereof (the actual Call Return Rate will be finalized on the Trade Date and provided in the pricing supplement and is expected to be,
but will not be less than, the minimum Call Return Rate listed on the cover).
t You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and
credit ratings.
t You
seek current income from this investment or prefer to receive the dividends paid on the stocks included in the Underlyings.
t You
are unable or unwilling to invest in Notes that may be called early (after an initial one-year non-call period), or you are otherwise
unable or unwilling to hold the Notes to maturity or you seek an investment for which there will be an active secondary market.
t You
do not understand or accept the risks associated with the Underlyings.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, including
any repayment of principal. |
The suitability considerations identified
above are not exhaustive. Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and
you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered
the suitability of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key
Risks” section of this pricing supplement, the “Risk Factors” sections of the accompanying prospectus supplement and
the accompanying product supplement and Annex A to the accompanying prospectus addendum for risks related to an investment in the Notes.
For more information on the Underlyings, please see the sections titled “The Russell 2000® Index,” “The
S&P 500® Index” and “The EURO STOXX 50® Index” below.
Issuer |
|
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor |
|
JPMorgan Chase & Co. |
Issue Price |
|
$10.00 per Note |
Underlyings |
|
Russell 2000® Index
S&P 500®
Index
EURO STOXX 50® Index |
Principal Amount |
|
$10 per Note (subject to a minimum purchase of 100 Notes or $1,000) |
Term1 |
|
5 years, unless called earlier |
Call Feature |
|
The Notes will be automatically called if (i) the closing level
of each Underlying on any Observation Date (other than the Final Valuation Date) (after an initial one-year non-call period) is equal
to or greater than its Initial Value or (ii) the closing level of each Underlying on the Final Valuation Date is equal to or greater than
its Downside Threshold.
If the Notes are automatically called, JPMorgan Financial will
pay you on the applicable Call Settlement Date a cash payment per Note equal to the Call Price for the applicable Observation Date. |
Observation Dates1,2 |
|
As specified under the “Observation Date” column of the table under “Call Price” below |
Call Settlement Dates2 |
|
As specified under the “Call Settlement Date” column of the table under “Call Price” below |
Call Return |
|
The Call Return increases the longer the Notes are outstanding and is based upon a rate of at least 11.10% per annum. The actual Call Return Rate will be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, 11.10% per annum. |
Call Price |
|
The Call Price equals the principal amount per Note plus
the applicable Call Return.
The table below reflects the Call Return Rate of at least 11.10%
per annum. The actual Call Return Rate will be finalized on the Trade Date and provided in the pricing supplement and is expected to be,
but will not be less than, 11.10% per annum. |
Observation Date1,2 |
|
Call Settlement Dates2 |
Call Return |
|
Call Price (per $10) |
September 15, 2025 |
|
September 17, 2025 |
At least 11.100% |
|
At least $11.1100 |
December 10, 2025 |
|
December 12, 2025 |
At least 13.875% |
|
At least $11.3875 |
March 10, 2026 |
|
March 12, 2026 |
At least 16.650% |
|
At least $11.6650 |
June 10, 2026 |
|
June 12, 2026 |
At least 19.425% |
|
At least $11.9425 |
September 10, 2026 |
|
September 14, 2026 |
At least 22.200% |
|
At least $12.2200 |
December 10, 2026 |
|
December 14, 2026 |
At least 24.975% |
|
At least $12.4975 |
March 10, 2027 |
|
March 12, 2027 |
At least 27.750% |
|
At least $12.7750 |
June 10, 2027 |
|
June 14, 2027 |
At least 30.525% |
|
At least $13.0525 |
September 10, 2027 |
|
September 14, 2027 |
At least 33.300% |
|
At least $13.3300 |
December 10, 2027 |
|
December 14, 2027 |
At least 36.075% |
|
At least $13.6075 |
March 10, 2028 |
|
March 14, 2028 |
At least 38.850% |
|
At least $13.8850 |
June 12, 2028 |
|
June 14, 2028 |
At least 41.625% |
|
At least $14.1625 |
September 11, 2028 |
|
September 13, 2028 |
At least 44.400% |
|
At least $14.4400 |
December 11, 2028 |
|
December 13, 2028 |
At least 47.175% |
|
At least $14.7175 |
March 12, 2029 |
|
March 14, 2029 |
At least 49.950% |
|
At least $14.9950 |
June 11, 2029 |
|
June 13, 2029 |
At least 52.725% |
|
At least $15.2725 |
September 10, 2029
(Final Valuation Date) |
|
September 13, 2029
(Maturity Date) |
At least 55.500% |
|
At least $15.5500 |
Payment at Maturity (per $10 Note) |
|
If the Notes are not automatically called and, therefore,
the Final Value of any Underlying is less than its Downside Threshold, we will pay you a cash payment at maturity that is less than
$10 per $10 principal amount Note, equal to:
$10 × (1 + Least Performing Underlying
Return)
Accordingly, you will be exposed to the decline in the level
of the Least Performing Underlying and you will lose some or all of your principal at maturity in an amount proportionate to the negative
Underlying Return of the Least Performing Underlying. |
Underlying Return |
|
With respect to each Underlying:
(Final Value – Initial Value)
Initial Value |
Least Performing Underlying |
|
The Underlying with the lowest Underlying Return |
Least Performing Underlying Return |
|
The lowest of the Underlying Returns of the Underlyings |
Initial Value |
|
With respect to each Underlying, the closing level of that Underlying on the Trade Date |
Final Value |
|
With respect to each Underlying, the closing level of that Underlying on the Final Valuation Date |
Downside Threshold3 |
|
With respect to each underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement |
| 1 | See footnote 1 under “Key Dates” on the front cover. |
| 2 | See footnote 2 under “Key Dates” on the front cover. |
| 3 | Rounded to three decimal places for the Russell 2000®
Index and two decimal places for the S&P 500® Index and the EURO STOXX 50® Index |
Trade Date |
|
The closing level of each Underlying (Initial Value) is observed, the Downside Threshold of each Underlying is determined and the Call Return Rate is finalized. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024077381/image_001.jpg) |
|
|
Observation Dates (after an initial one-year non-call period) |
|
The Notes will be automatically called if (i) the closing level of each Underlying
on any Observation Date (other than the Final Valuation Date) (after an initial one-year non-call period) is equal to or greater than
its Initial Value or (ii) the closing level of each Underlying on the Final Valuation Date is equal to or greater than its Downside Threshold.
If the Notes are automatically called, JPMorgan Financial will pay the Call
Price for the applicable Observation Date. This payment is equal to the principal amount plus an amount based on the Call Return
Rate. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024077381/image_002.jpg) |
|
|
|
|
|
Maturity Date |
|
The Final Value of each Underlying is determined as of the Final Valuation
Date.
If the Notes are not automatically called and, therefore, the Final
Value of any Underlying is less than its Downside Threshold, we will pay you a cash payment at maturity that is less than $10 per
$10 principal amount Note, equal to:
$10 × (1 + Least Performing Underlying Return)
Accordingly, you will be exposed to the decline in the level of
the Least Performing Underlying and you will lose some or all of your principal at maturity in an amount proportionate to the negative
Underlying Return of the Least Performing Underlying.
|
|
|
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU
MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. YOU WILL BE EXPOSED TO THE MARKET RISK OF EACH UNDERLYING AND ANY DECLINE IN THE LEVEL
OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND WILL NOT BE OFFSET OR MITIGATED BY A LESSER DECLINE OR ANY POTENTIAL INCREASE
IN THE LEVEL OF ANY OTHER UNDERLYING. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS
OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT
ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
What
Are the Tax Consequences of the Notes?
In determining our reporting responsibilities, we intend to treat the
Notes for U.S. federal income tax purposes as “open transactions” that are not debt instruments, as described in the section
entitled “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 no. UBS-1-I. 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 and adversely
affected.
No statutory, judicial or administrative authority directly addresses
the characterization of the Notes (or similar instruments) for U.S. federal income tax purposes, and no ruling is being requested from
the IRS with respect to their proper characterization and treatment. Assuming that “open transaction” treatment is respected,
the gain or loss on your Notes should generally be treated as long-term capital gain or loss if you hold your Notes for more than a year,
whether or not you are an initial purchaser of the Notes at the issue price. However, the IRS or a court may not respect the treatment
of the Notes as “open transactions,” in which case the timing and character of any income or loss on the Notes could be materially
and adversely affected. For instance, the Notes could be treated as contingent payment debt instruments, in which case the gain on your
Notes would be treated as ordinary income and you would be required to accrue original issue discount on your Notes in each taxable year
at the “comparable yield,” as determined by us, although we will not make any payment with respect to the Notes until maturity.
In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for
comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of
factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should
be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented
by this notice.
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.
Key
Risks
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in any or all of the Underlyings. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying
prospectus addendum. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
| t | Your Investment in the Notes May Result in a Loss — The Notes differ from ordinary debt securities in that JPMorgan Financial
will not necessarily repay the full principal amount of the Notes. If the Notes are not automatically called and, therefore, the closing
level of any Underlying has declined below its Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation
of the Least Performing Underlying from its Initial Value to its Final Value. In this case, JPMorgan Financial will repay less than the
full principal amount at maturity, resulting in a loss of principal that is proportionate to the negative Underlying Return of the Least
Performing Underlying. Under these circumstances, you will lose 1% of your principal for every 1% that the Final Value of the Least Performing
Underlying is less than its Initial Value and could lose your entire principal amount. As a result, your investment in the Notes may not
perform as well as an investment in a security that does not have the potential for full downside exposure to any Underlying at maturity. |
| t | Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. — The Notes are unsecured and unsubordinated
debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed by
JPMorgan Chase & Co. The Notes will rank pari passu with all of our other unsecured and unsubordinated obligations, and
the related guarantee by JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase & Co.’s
other unsecured and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Notes, including any repayment of principal, depends on the ability of JPMorgan Financial
and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial
and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms
of the Notes and you could lose your entire investment. |
| t | As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Limited Assets — As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities and
the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co.
or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our
obligations under the Notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution
of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in respect of the Notes
as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on the Notes,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information, see the accompanying
prospectus addendum. |
| t | We May Accelerate Your Notes If a Change-in-Law Event Occurs —
Upon the announcement or occurrence of legal or regulatory changes that the calculation agent determines are likely to interfere
with your or our ability to transact in or hold the Notes or our ability to hedge or perform our obligations under the Notes, we may,
in our sole and absolute discretion, accelerate the payment on your Notes and pay you an amount determined in good faith and in a commercially
reasonable manner by the calculation agent. If the payment on your Notes is accelerated, your investment may result in a loss and you
may not be able to reinvest your money in a comparable investment. Please see “General Terms of Notes — Consequences of a
Change-in-Law Event” in the accompanying product supplement for more information. |
| t | Limited Return on the Notes — Your potential gain on the Notes will be limited to the applicable Call Return, regardless
of the appreciation of any Underlying, which may be significant. Because the Call Return increases the longer the Notes have been outstanding
and your Notes can be automatically called as early as the first Observation Date (after an initial one-year non-call period), the term
of the Notes could be cut short and the return on the Notes would be less than if the Notes were called at a later date. In addition,
because the closing level of any Underlying at various times during the term of the Notes could be higher than on the Observation Dates
and on the Final Valuation Date, you may receive a lower payment if the Notes are automatically called or at maturity, as the case may
be, than you would have if you had hypothetically invested directly in any Underlying. Even though you will not participate in any potential
appreciation of any Underlying, you may be exposed to each Underlying’s downside market risk if the Notes are not automatically
called. |
| t | Because the Notes Are Linked to the Least Performing Underlying, You Are Exposed to Greater Risks of the Notes Not Being Automatically
Called and Sustaining a Significant Loss on Your Investment at Maturity Than If the Notes Were Linked to a Single Underlying —
The risk that the Notes will not be automatically called and you will lose some or all of your initial investment in the Notes at maturity
is greater if you invest in the Notes as opposed to substantially similar securities that are linked to the performance of a single Underlying.
With three Underlyings, it is more likely that the closing level of an Underlying will be less than its Initial Value on the Observation
Dates prior to the Final Valuation Date or less than its Downside Threshold on the Final Valuation Date. Therefore, it is more likely
that the Notes will not be automatically called and that you will suffer a significant loss on your investment at maturity. In addition,
the performance of the Underlyings may not be correlated or may be negatively correlated. |
The lower the correlation between any two of the Underlyings,
the greater the potential for one of those Underlyings to close below its Initial Value or Downside Threshold on an Observation Date prior
to the Final Valuation Date or on the Final Valuation Date, respectively, and with three Underlyings, there is a greater potential that
one pair of Underlyings will have low or negative correlation.
In addition, for each additional Underlying to which the Notes
are linked, there is a greater potential for one pair of Underlyings to have low or negative correlation. Therefore, the greater the number
of Underlyings, the greater the potential for the Notes not being automatically called and for a loss of principal at maturity. Although
the correlation of the Underlyings’ performance may change over the term of the Notes, the Call Return Rate is determined, in part,
based on the correlation of the Underlyings’ performance, as calculated using internal models of our affiliates at the time when
the terms of the Notes are finalized. A higher Call Return Rate is generally associated with lower correlation of the Underlyings
and/or a greater number of Underlyings, which reflects a greater potential for the Notes not being automatically called and for a loss
of principal at maturity. The correlations referenced in setting the terms of the Notes are calculated using internal models of
our affiliates and are not derived from the returns of the Underlyings over the period set forth under “Correlation of the Underlyings”
below. In addition, other factors and inputs other than correlation may impact how the terms of the Notes are set and the performance
of the Notes. Furthermore, because the closing level of each Underlying must be greater than or equal to (i) its Initial Value on an Observation
Date prior to the Final Valuation Date or (ii) its Downside Threshold on the Final Valuation Date in order for the notes to be automatically
called, the Notes are less likely to be automatically called on any Observation Date than if the Notes were linked to a single Underlying.
| t | You Are Exposed to the Risk of Decline in the Level of Each Underlying — Your return on the Notes and your payment at
maturity, if any, is not linked to a basket consisting of the Underlyings. If the Notes have not been automatically called, your
payment at maturity is contingent upon the performance of each individual Underlying such that you will be equally exposed to the risks
related to each of the Underlyings. In addition, the performance of the Underlyings may not be correlated. Poor performance
by any of the Underlyings over the term of the Notes may negatively affect whether the Notes will be automatically called and your payment
at maturity and will not be offset or mitigated by positive performance by any of the other Underlyings. Accordingly, your investment
is subject to the risk of decline in the value of each Underlying. |
| t | Your Payment at Maturity Will Be Determined by the Least Performing Underlying — Because the payment at maturity will
be determined based on the performance of the Least Performing Underlying, you will not benefit from the performance of any of the other
Underlyings. Accordingly, if the Notes have not been automatically called and the Final Value of any Underlying is less than its
Downside Threshold, you will lose some or all of your principal amount at maturity, even if the Final Values of either or both of the
other Underlyings is greater than or equal to its Initial Value. |
| t | The Contingent Repayment of Principal Applies Only If You Hold the Notes to Maturity — If you are able to sell your Notes
in the secondary market, if any, prior to maturity, you may have to sell them at a loss relative to your initial investment even if the
closing levels of all of the Underlyings are above their respective Downside Thresholds. If by maturity the Notes have not been automatically
called and, therefore, any Underlying closes below its Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less
than the principal amount, if anything, resulting in a loss that is proportionate to the decline in the closing level of the Least Performing
Underlying from its Initial Value to its Final Value. The contingent repayment of principal is based on whether the Final Value of the
Least Performing Underlying is below the Downside Threshold and applies only if you hold your Notes to maturity. |
| t | A Higher Call Return Rate and/or a Lower Downside Threshold May Reflect Greater Expected Volatility of the Underlyings, Which Is
Generally Associated with a Greater Risk of Loss — Volatility is a measure of the degree of variation in the levels of the Underlyings
over a period of time. The greater the expected volatilities of the Underlyings at the time the terms of the Notes are set, the
greater the expectation is at that time that the Notes will not be automatically called for the applicable Call Price and that you may
lose a significant portion or all of your principal at maturity. In addition, the economic terms of the Notes, including the Call
Return Rate and the Downside Threshold, are based, in part, on the expected volatilities of the Underlyings at the time the terms of the
Notes are set, where higher expected volatilities will generally be reflected in a higher Call Return Rate than the fixed rate we would
pay on conventional debt securities of the same maturity and/or on otherwise comparable securities and/or a lower Downside Threshold as
compared to otherwise comparable securities. Accordingly, a higher Call Return Rate will generally be indicative of a greater risk
of loss while a lower Downside Threshold does not necessarily indicate that the Notes have a greater likelihood of returning your principal
at maturity. You should be willing to accept the downside market risk of each Underlying and the potential loss of some or all of
your principal at maturity. |
| t | Reinvestment Risk — If your Notes are automatically called early, the holding period over which you would receive the
Call Return Rate could be as short as approximately one year. There is no guarantee that you would be able to reinvest the proceeds from
an investment in the Notes at a comparable rate of return for a similar level of risk in the event the Notes are called prior to the Maturity
Date. |
| t | No Periodic Interest Payments — You will not receive any periodic interest payments on the Notes. |
| t | Investing in the Notes Is Not Equivalent to Investing in the Stocks Composing the Underlyings — Investing in the Notes
is not equivalent to investing in the stocks included in the Underlyings. As an investor in the Notes, you will not have any ownership
interest or rights in the stocks included in the Underlyings, such as voting rights, dividend payments or other distributions. |
| t | We Cannot Control Actions by the Sponsor of Any Underlying and That Sponsor Has No Obligation
to Consider Your Interests — We and our affiliates are not affiliated with the sponsor of any Underlying and have no ability
to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating
to the calculation of that Underlying. The sponsor of each Underlying is not involved in this Note offering in any way and has no obligation
to consider your interest as an owner of the Notes in taking any actions that might affect the market value of your Notes. |
| t | Your Return on the Notes Will Not Reflect Dividends on the Stocks Composing the Underlyings — Your return on the Notes
will not reflect the return you would realize if you actually owned the stocks included in the Underlyings and received the dividends
on the stocks included in the Underlyings. This is because the calculation agent will determine whether the Notes will be called and,
if not called, the amount payable to you at maturity of the Notes by reference to the closing level of each Underlying on the relevant
Observation Date, without taking into consideration the value of dividends on the stocks included in that Underlying. |
| t | No Assurances of a Flat or Bullish Environment — While the Notes are structured to provide potentially enhanced returns
in a flat or bullish environment, we cannot assure you of the economic environment during the term or at maturity of your Notes and you
will lose some or all of your investment at maturity if the Notes have not been called. |
| t | Lack of Liquidity — The Notes will not be listed on any securities exchange. JPMS intends to offer to purchase the Notes
in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which
you may be able to trade your Notes is likely to depend on the price, if any, at which JPMS is willing to buy the Notes. |
| t | Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax adviser
about your tax situation. |
| t | The Final Terms and Valuation of the Notes Will Be Finalized on the Trade Date and Provided
in the Pricing Supplement — The final terms of the Notes will be based on relevant market conditions when the terms of the Notes
are set and will be finalized on the Trade Date and provided in the pricing supplement. In particular, each of the estimated value of
the Notes and the Call Return Rate will be finalized on the Trade Date and provided in the pricing supplement, and each may be as low
as the applicable minimum set forth on the cover of this pricing supplement. Accordingly, you should consider your potential investment
in the Notes based on the minimums for the estimated value of the Notes and the Call Return Rate. |
Risks Relating to Conflicts of Interest
| t | Potential Conflicts — We and our affiliates play a variety of roles in connection with the issuance of the Notes, including
acting as calculation agent and hedging our obligations under the Notes and making the assumptions used to determine the pricing of the
Notes and the estimated value of the Notes when the terms of the Notes are set, which we refer to as the estimated value of the Notes.
In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation
agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes. In addition, our and JPMorgan
Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s
economic interests to be adverse to yours and could adversely affect any payment on the Notes and the value of the Notes. It is possible
that hedging or trading activities of ours or our affiliates in connection with the Notes could result in substantial returns for us or
our affiliates while the value of the Notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement for additional information about these risks. |
| t | Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS, UBS or their
affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Notes,
and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy or hold
investments linked to any Underlying and could affect the level of an Underlying, and therefore the market value of the Notes. |
| t | Potential JPMorgan Financial Impact on the Level of an Underlying — Trading or transactions by JPMorgan Financial or
its affiliates in an Underlying and/or over-the-counter options, futures or other instruments with returns linked to the performance of
an Underlying may adversely affect the level of that Underlying and, therefore, the market value of the Notes. |
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
| t | The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes — The estimated
value of the Notes is only an estimate determined by reference to several factors. The original issue price of the Notes will exceed the
estimated value of the Notes because costs associated with structuring and hedging the Notes are included in the original issue price
of the Notes. These costs include the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the Notes and the estimated cost of hedging our obligations under the Notes. See “The Estimated Value
of the Notes” in this pricing supplement. |
| t | The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates —
The estimated value of the Notes is determined by reference to internal pricing models of our affiliates when the terms of the Notes are
set. This estimated value of the Notes is based on market conditions and other relevant factors existing at that time and assumptions
about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and
assumptions could provide valuations for the Notes that are greater than or less than the estimated value of the Notes. In addition, market
conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the Notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s
creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing
to buy Notes from you in secondary market transactions. See “The Estimated Value of the Notes” in this pricing supplement. |
| t | The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate — The internal funding rate used
in the determination of the estimated value of the Notes may differ from the market-implied funding rate for vanilla fixed income instruments
of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other
things, our and our affiliates’ view of the funding value of the Notes as well as the higher issuance, operational and ongoing liability
management costs of the Notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co.
This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the Notes. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the Notes and any secondary market prices of the Notes. See “The Estimated Value of the
Notes” in this pricing supplement. |
| t | The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the
Then-Current Estimated Value of the Notes for a Limited Time Period — We generally expect that some of the costs included in
the original issue price of the Notes will be partially paid back to you in connection with any repurchases of your Notes by JPMS in an
amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and,
in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. See “Secondary
Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly,
the estimated value of your Notes during this initial period may be lower than the value of the Notes as published by JPMS (and which
may be shown on your customer account statements). |
| t | Secondary Market Prices of the Notes Will Likely Be Lower Than the Original Issue Price of the Notes — Any secondary
market prices of the Notes will likely be lower than the original issue price of the Notes because, among other things, secondary market
prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market
prices may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the
Notes. As a result, the price, if any, at which JPMS will be willing to buy Notes from you in secondary market transactions, if at all,
is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to
you. See the immediately following risk factor for information about additional factors that will impact any secondary market prices of
the Notes. |
The Notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your Notes to maturity. See “— Risks Relating to the Notes Generally —
Lack of Liquidity” above.
| t | Many Economic and Market Factors Will Impact the Value of the Notes — As described under “The Estimated Value of
the Notes” in this pricing supplement, the Notes can be thought of as securities that combine a fixed-income debt component with
one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments will also
influence the terms of the Notes at issuance and their value in the secondary market. Accordingly, the secondary market price of the Notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from
the projected hedging profits, if any, estimated hedging costs and the levels of the Underlyings, including: |
| t | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| t | customary bid-ask spreads for similarly sized trades; |
| t | our internal secondary market funding rates for structured debt issuances; |
| t | the actual and expected volatility in the levels of the Underlyings; |
| t | the time to maturity of the Notes; |
| t | the likelihood of an automatic call being triggered; |
| t | the dividend rates on the equity securities underlying the Underlyings; |
| t | the actual and expected positive or negative correlation between any two of the Underlyings, or the actual or expected absence of
any such correlation; |
| t | interest and yield rates in the market generally; |
| t | the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity
securities included in the EURO STOXX 50® Index trade and the correlation among those rates and the levels of the EURO
STOXX 50® Index; and |
| t | a variety of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors and/or third party
broker-dealers may publish a price for the Notes, which may also be reflected on customer account statements. This price may be different
(higher or lower) than the price of the Notes, if any, at which JPMS may be willing to purchase your Notes in the secondary market.
Risks Relating to the Underlyings
| t | JPMorgan Chase & Co. Is Currently One of the Companies that Make Up the S&P
500® Index — JPMorgan Chase & Co. is currently one of the companies that make up the S&P 500®
Index. JPMorgan Chase & Co. will not have any obligation to consider your interests as a holder of the Notes in taking any
corporate action that might affect the value of the S&P 500® Index and the Notes. |
| t | An Investment in the Notes Is Subject to Risks Associated with Small Capitalization Stocks
with Respect to the Russell 2000® Index —
The equity securities included in the Russell 2000® Index are issued
by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices
of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive
conditions relative to larger companies. These companies tend to be less well-established than large market capitalization 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. |
| t | Non-U.S.
Securities Risk with Respect to the EURO
STOXX 50® Index —
The equity securities included in the EURO STOXX
50® 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 and/or the securities markets in the home countries of the issuers of those
non-U.S. equity securities, including risks of volatility in those markets, governmental
intervention in those markets and cross shareholdings in companies in certain countries.
Also, there is generally less publicly available information about companies in some of these
jurisdictions than there is about U.S. companies that are subject to the reporting requirements
of the SEC. |
| t | No
Direct Exposure to Fluctuations in Foreign Exchange Rates with
Respect to the EURO STOXX 50® Index
— The value of your Notes will not be adjusted for exchange rate fluctuations between
the U.S. dollar and the currencies upon which the equity securities included in the EURO
STOXX 50® Index are based, although any currency fluctuations could affect
the performance of the EURO STOXX 50® Index. Therefore, if the applicable
currencies appreciate or depreciate relative to the U.S. dollar over the term of the Notes,
you will not receive any additional payment or incur any reduction in any payment on the
Notes. |
Hypothetical
Examples
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon an automatic
call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Notes linked to three hypothetical
Underlyings and assume an Initial Value of 100.000 and a Downside Threshold of 90.000 (which is 90.00% of the Initial Value)
for the Russell 2000® Index, an Initial Value of 100.00 and a Downside Threshold of 90.00 (which is 90.00% of the Initial Value)
for the S&P 500® Index and an Initial Value of
100.00 and a Downside Threshold of 90.00 (which is 90.00% of the Initial Value)
for the EURO STOXX 50® Index and a Call Return Rate of 5.00% per annum. The hypothetical Initial Value of 100.000, 100.00
or 100.00, as applicable, for each Underlying has been chosen for illustrative purposes only and may not represent a likely actual Initial
Value for any Underlying. The actual Initial Value and the resulting Downside Threshold of each Underlying will be based on the closing
level of that Underlying on the Trade Date. For historical data regarding the actual closing levels of the Underlyings, please see the
historical information set forth under “The Russell 2000® Index,” “The S&P 500®
Index” and “The EURO STOXX 50® Index” in this pricing supplement. The actual Call Return Rate will be
finalized on the Trade Date and provided in the pricing supplement. The hypothetical payments on the Notes set forth in the examples below
are for illustrative purposes only and may not be the actual returns applicable to a purchaser of the Notes. The actual payment on the
Notes may be more or less than the amounts displayed below and will be determined based on the actual terms of the Notes, including the
Initial Value and the Downside Threshold of each Underlying, the Call Return Rate to be finalized on the Trade Date and provided in the
pricing supplement and the Final Value of each Underlying on the Final Valuation Date. You should consider carefully whether the Notes
are suitable to your investment goals. The numbers appearing in the examples below have been rounded for ease of analysis. In these examples,
we refer to the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index
as the “RTY Index,” the “SPX Index” and the “SX5E Index,” respectively.
Principal Amount: |
$10.00 |
Term: |
Five years (unless earlier called) |
Hypothetical Initial Value: |
100.000 for the RTY Index, 100.00 for the SPX Index and 100.00 for the SX5E Index |
Hypothetical Call Return Rate: |
5.00% per annum |
Observation Dates: |
Quarterly (after an initial one-year non-call period) |
Hypothetical Downside Threshold: |
90.000 for the RTY Index, 90.00 for the SPX Index and 90.00 for the SX5E Index (which, with respect to each Underlying, is 90% of the hypothetical Initial Value of that Underlying) |
Example 1 — Notes Are Automatically Called on the First
Observation Date
Date |
|
Closing Level |
|
Payment (per Note) |
First Observation Date |
|
RTY Index:
105.000
SPX Index:
110.00 |
|
Closing level of each Underlying at or above its Initial Value; Notes are called. |
SX5E Index:
115.00 |
Call Price (per Note) |
= |
$10.50 |
Because the Notes are automatically called on the first Observation
Date, we will pay you on the applicable Call Settlement Date a total Call Price of $10.50 per $10.00 principal amount (5.00% return on
the Notes). No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Second Observation
Date
Date |
|
Closing Level |
|
Payment (per Note) |
First Observation Date |
|
RTY Index:
110.000
SPX Index:
85.00 |
|
Closing level of SPX Index below its Initial Value; Notes NOT called. |
SX5E Index:
105.00 |
Second Observation Date |
|
RTY Index:
105.000
SPX Index:
110.00 |
|
Closing level of each Underlying at or above Initial Value; Notes are called. |
SX5E Index:
110.00 |
Call Price (per Note) |
= |
$10.625 |
Because the Notes are automatically called on the second Observation
Date, we will pay you on the applicable Call Settlement Date a total Call Price of $10.625 per $10.00 principal amount (6.25% return on
the Notes). No further amounts will be owed on the Notes.
Example 3 — Notes Are Automatically Called on the Final Valuation
Date
Date |
|
Closing Level |
|
Payment (per Note) |
First Observation Date |
|
RTY Index:
80.000
SPX Index:
95.00 |
|
Closing level of each Underlying below its Initial Value; Notes NOT called. |
SX5E Index:
90.00 |
Second Observation Date |
|
RTY Index:
90.000
SPX Index:
100.00 |
|
Closing level of RTY Index below its Initial Value; Notes NOT called. |
SX5E Index:
105.00 |
Third through Sixteenth Observation Dates |
|
Various (below Initial Value) |
|
Closing level of each Underlying below its Initial Value; Notes NOT called. |
Final Observation Date |
|
RTY Index:
95.000
SPX Index:
100.00 |
|
Closing level of each Underlying at or above its Downside Threshold, Notes are called. |
SX5E Index:
90.00 |
Call Price (per Note) |
= |
$12.50 |
Because the Notes are automatically called on the Final Valuation Date,
we will pay you on the applicable Call Settlement Date (which coincides with the Maturity Date in this example) a total Call Price of
$12.50 per $10.00 principal amount (25.00% return on the Notes). This reflects the maximum payment on the Notes.
Example 4 — Notes Are NOT Automatically Called and the Final
Value Is Below the Downside Threshold
Date |
|
Closing Level |
|
Payment (per Note) |
First Observation Date |
|
RTY Index:
95.000
SPX Index:
85.00 |
|
Closing level of each Underlying below its Initial Value; Notes NOT called. |
SX5E Index:
90.00 |
Second Observation Date |
|
RTY Index:
85.000
SPX Index:
90.00 |
|
Closing level of each Underlying below its Initial Value; Notes NOT called. |
SX5E Index:
80.00 |
Third through Sixteenth Observation Dates |
|
Various (below Initial Value) |
|
Closing level of each Underlying below its Initial Value; Notes NOT called. |
Final Observation Date |
|
RTY Index:
90.000
SPX Index:
95.00 |
|
Closing level of SX5E Index below its Downside Threshold, Notes NOT called. |
SX5E Index:
30.00 |
Payout at Maturity (per Note) |
= |
$10.00 × (1 + Underlying Return)
$10.00 × (1 + -70%)
$3.00 |
Because the Notes are not automatically called and, therefore, the
Final Value of the Least Performing Underlying is below its Downside Threshold and the Least Performing Underlying Return is -70%, at
maturity we will pay you a total of $3.00 per $10.00 principal amount (a 70% loss on the Notes).
The hypothetical returns and hypothetical payments on the Notes shown
above apply only if you hold the Notes for their entire term or until automatically called. These hypotheticals do not reflect
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
The
Underlyings
Included on the following pages is a brief description of the
Underlyings. This information has been obtained from publicly available sources, without independent verification. We obtained the closing
levels information set forth below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. You should not take the historical levels of any Underlying as an indication of future performance.
The
Russell 2000® Index
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 the information set forth under “Equity Index Descriptions — The Russell Indices” in the accompanying underlying
supplement.
Historical Information Regarding the Russell 2000®
Index
The graph below illustrates
the daily performance of the Russell 2000® Index from January 2, 2014 through September 9, 2024, based on information from
Bloomberg, without independent verification. The closing level of the Russell 2000® Index on September 9, 2024 was 2,097.775.
The actual Initial Value of the Russell 2000® Index will be the closing level of the Russell 2000® Index
on the Trade Date. We obtained the closing levels of the Russell 2000® Index above and below from Bloomberg, without independent
verification.
The dotted line represents
a hypothetical Downside Threshold of 1,468.443, equal to 70% of the closing level of the Russell 2000® Index on September
9, 2024. The actual Downside Threshold will be based on the closing level of the Russell 2000® Index on the Trade Date
(the Initial Value) and will equal 70% of the Initial Value of the Russell 2000® Index.
Past performance of the Russell 2000® Index
is not indicative of the future performance of the Russell 2000® Index.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024077381/image_003.jpg)
The
S&P 500® Index
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 the information set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
Historical Information Regarding the S&P 500®
Index
The graph below illustrates
the daily performance of the S&P 500® Index from January 2, 2014 through September 9, 2024, based on information from
Bloomberg, without independent verification. The closing level of the S&P 500® Index on September 9, 2024 was 5,471.05.
The actual Initial Value of the S&P 500® Index will be the closing level of the S&P 500® Index on
the Trade Date. We obtained the closing levels of the S&P 500® Index above and below from Bloomberg, without independent
verification.
The dotted line represents
a hypothetical Downside Threshold of 3,829.74, equal to 70% of the closing level of the S&P 500® Index on September
9, 2024. The actual Downside Threshold will be based on the closing level of the S&P 500® Index on the Trade Date (the
Initial Value) and will equal 70% of the Initial Value of the S&P 500® Index.
Past performance of the S&P 500® Index is not
indicative of the future performance of the S&P 500® Index.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024077381/image_004.jpg)
The
EURO STOXX 50® Index
The EURO STOXX 50®
Index consists of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX®
are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”),
which are used under license. The Notes based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted
by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors shall have any liability with respect thereto For
additional information about the STOXX Benchmark Indices, see the information set forth under “Equity Index Descriptions —
The STOXX Benchmark Indices” in the accompanying underlying supplement.
Historical Information Regarding the EURO STOXX 50®
Index
The graph below illustrates the daily performance of the EURO
STOXX 50® Index from January 2, 2014 through September 9, 2024, based on information from Bloomberg, without independent
verification. The closing level of the EURO STOXX 50® Index on September 9, 2024 was 4,778.66. The actual Initial Value
of the EURO STOXX 50® Index will be the closing level of the EURO STOXX 50® Index on the Trade Date. We
obtained the closing levels of the EURO STOXX 50® Index above and below from Bloomberg, without independent verification.
The dotted line represents
a hypothetical Downside Threshold of 3,345.06, equal to 70% of the closing level of the EURO STOXX 50® Index on September
9, 2024. The actual Downside Threshold will be based on the closing level of the EURO STOXX 50® Index on the Trade Date
(the Initial Value) and will equal 70% of the Initial Value of the EURO STOXX 50® Index.
Past performance of the EURO STOXX 50® Index is
not indicative of the future performance of the EURO STOXX 50® Index.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024077381/image_005.jpg)
Correlation
of the Underlyings
The graph below illustrates the daily performance of the Russell
2000® Index, the S&P 500® Index and the EURO STOXX 50® Index from January 2, 2014 through
September 9, 2024. For comparison purposes, each Underlying has been normalized to have a closing level of 100.00 on January 2, 2014 by
dividing the closing level of that Underlying on each day by the closing level of that Underlying on January 2, 2014 and multiplying by
100.00. We obtained the closing levels used to determine the normalized closing levels set forth below from Bloomberg, without independent
verification.
Past performance of the Underlyings is not indicative
of the future performance of the Underlyings.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024077381/image_006.jpg)
The correlation of a pair of Underlyings represents a statistical
measurement of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing
and direction. The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation
(i.e., the value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant),
0 indicating no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings) and -1.0
indicating perfect negative correlation (i.e., as the value of one Underlying increases, the value of the other Underlying decreases
and the ratio of their returns has been constant).
The closer the relationship of the returns of a pair of Underlyings
over a given period, the more positively correlated those Underlyings are. The graph above illustrates the historical performance of each
of the Underlyings relative to the other Underlyings over the time period shown and provides an indication of how close the relative performance
of one Underlying has historically been to another.
The lower (or more negative) the correlation between two Underlyings,
the less likely it is that those Underlyings will move in the same direction and, therefore, the greater the potential for one of those
Underlyings to close below its Initial Value on any Observation Date prior to the Final Valuation Date or its Downside Threshold on the
Final Valuation Date. This is because the less positively correlated a pair of Underlyings are, the greater the likelihood that at least
one of the Underlyings will decrease in value. However, even if two Underlyings have a higher positive correlation, one or both of those
Underlyings might close below its Initial Value on any Observation Date prior to the Final Valuation Date or its Downside Threshold on
the Final Valuation Date as both of those Underlyings may decrease in value together.
In addition, for each additional Underlying to which the Notes
are linked, there is a greater potential for one pair of Underlyings to have low or negative correlation. Therefore, the greater the number
of Underlyings, the greater the potential for the Notes not being automatically called and for a loss of principal at maturity. Although
the correlation of the Underlyings’ performance may change over the term of the Notes, the Call Return Rate is determined, in part,
based on the correlations of the Underlyings’ performance calculated using internal models of our affiliates at the time when the
terms of the Notes are finalized. A higher Call Return Rate is generally associated with lower correlation of the Underlyings and/or a
greater number of Underlyings, which reflects a greater potential for the Notes not being automatically called and for a loss of principal
at maturity. The correlations referenced in setting the terms of the Notes are calculated using internal models of our affiliates and
are not derived from the returns of the Underlyings over the period set forth above. In addition, other factors and inputs other than
correlation may impact how the terms of the Notes are set and the performance of the Notes.
Supplemental
Plan of Distribution
We and JPMorgan Chase & Co. have agreed to indemnify
UBS and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to
make relating to these liabilities as described in the prospectus supplement and the prospectus. We will agree that UBS may sell all or
a part of the Notes that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to purchase
the Notes in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and JPMS and/or
an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental
Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying product supplement.
All sales of the Notes will be made to certain fee-based advisory accounts
for which UBS is an investment adviser and UBS will act as placement agent. The purchase price will be $10.00 per Note and UBS will forgo
any selling commissions related to these sales.
The
Estimated Value of the Notes
The estimated value of the Notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the Notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the Notes. The estimated value of the Notes does not represent a minimum price at which JPMS would be willing to
buy your Notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the Notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding values of the Notes as well as the higher issuance, operational and ongoing liability management costs of the Notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the Notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the Notes and any secondary market prices of the Notes. For additional information, see “Key Risks
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived
by Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the
economic terms of the Notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the
traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the Notes is determined when the terms of the Notes are set based on market conditions and other relevant
factors and assumptions existing at that time. See “Key Risks — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’
Estimates” in this pricing supplement.
The estimated value of the Notes will be lower than the original
issue price of the Notes because costs associated with structuring and hedging the Notes are included in the original issue price of the
Notes. These costs include the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the Notes and the estimated cost of hedging our obligations under the Notes. Because hedging our obligations entails
risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the
Notes. See “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated
Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the Notes, see “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In
addition, we generally expect that some of the costs included in the original issue price of the Notes will be partially paid back to
you in connection with any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined period
that is intended to be up to five months. The length of any such initial period reflects secondary market volumes for the Notes, the structure
of the Notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging
the Notes and when these costs are incurred, as determined by our affiliates. See “Key Risks — Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer
Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing
supplement.
Supplemental
Use of Proceeds
The Notes are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the Notes. See “Hypothetical Examples” in this pricing supplement
for an illustration of the risk-return profile of the Notes and “The Underlyings” 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 (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.
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