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 7, 2024
May , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM due May 13, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek early exit prior to maturity at a premium if, on the Review Date, the closing level
of the Nasdaq-100® Technology Sector IndexSM, which we refer to as the Index, is at or above the Call Value. |
| · | The date on which an automatic call may be initiated is May 15, 2025. |
| · | The notes are also designed for investors who seek an uncapped return of 1.25 times any appreciation of the Index at maturity if the
notes have not been automatically called. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose up to 90.00% of their principal amount
at maturity. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about May 8, 2024 and are expected to settle on or about May 13, 2024. |
Investing in the notes 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 “Selected Risk Considerations” beginning on page PS-4 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any
state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) See “Supplemental Use of Proceeds” in this pricing
supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers.
In no event will these selling commissions exceed $17.50 per $1,000 principal amount note. See “Plan of Distribution (Conflicts
of Interest)” in the accompanying product supplement. |
If the notes priced today, the estimated value of the notes would be approximately
$973.50 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the
pricing supplement and will not be less than $950.00 per $1,000 principal amount note. See “The Estimated Value of the Notes”
in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance
Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated April 13,
2023, underlying supplement no. 1-I dated April 13, 2023
and the prospectus and prospectus supplement, each dated April 13, 2023
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Index: The
Nasdaq-100® Technology Sector IndexSM (Bloomberg ticker: NDXT)
Call Premium Amount: At
least $132.50 per $1,000 principal amount note (to be provided in the pricing supplement)
Call Value: 100.00%
of the Initial Value
Upside Leverage Factor:
1.25
Buffer Amount: 10.00%
Pricing
Date: On or about May 8, 2024
Original Issue Date (Settlement
Date): On or about May 13, 2024
Review Date*: May
15, 2025
Call Settlement Date*:
May 20, 2025
Observation Date*: May
8, 2026
Maturity Date*: May
13, 2026
* Subject to postponement in the event of a market disruption event and
as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying
— Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement
Automatic Call:
If the closing level of the Index on the Review Date is greater than or equal to
the Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus (b) the Call Premium Amount, payable on the Call Settlement Date. No further payments will be made on the notes.
If the notes are automatically called, you will not benefit from the Upside
Leverage Factor that applies to the payment at maturity if the Final Value is greater than the Initial Value. Because the Upside
Leverage Factor does not apply to the payment upon an automatic call, the payment upon an automatic call may be significantly less than
the payment at maturity for the same level of appreciation in the Index.
Payment at Maturity:
If the notes have not been automatically called and the Final Value is greater
than the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return × Upside Leverage
Factor)
If the notes have not been automatically called and the Final Value is equal to
the Initial Value or is less than the Initial Value by up to the Buffer Amount, you will receive the principal amount of your notes at
maturity.
If the notes have not been automatically called and the Final Value is less than
the Initial Value by more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Index Return + Buffer Amount)]
If the notes have not been automatically called
and the Final Value is less than the Initial Value by more than the Buffer Amount, you will lose some or most of your principal amount
at maturity.
Index Return:
(Final Value – Initial
Value)
Initial Value
Initial Value: The
closing level of the Index on the Pricing Date
Final Value: The
closing level of the Index on the Observation Date
PS-1
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
Supplemental Terms
of the Notes
Any values of the Index, 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.
Hypothetical Payout
Profile
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically
Called
Call Premium Amount
The Call Premium Amount per $1,000 principal amount note if the notes
are automatically called will be provided in the pricing supplement and will not be less than $132.50.
PS-2
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
Payment at Maturity If the Notes Have Not Been Automatically
Called
The following table illustrates the hypothetical total return and
payment at maturity on the notes linked to a hypothetical Index if the notes have not been automatically called. The “total return”
as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
| · | the notes have not been automatically called; |
| · | an Initial Value of 100.00; |
| · | an Upside Leverage Factor of 1.25; and |
| · | a Buffer Amount of 10.00%. |
The hypothetical Initial Value of 100.00 has been chosen for illustrative
purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing level of the Index on
the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing levels of the Index,
please see the historical information set forth under “The Index” in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity
set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser
of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Value |
Index Return |
Total Return on the Notes |
Payment at Maturity |
165.00 |
65.00% |
81.25% |
$1,812.50 |
150.00 |
50.00% |
62.50% |
$1,625.00 |
140.00 |
40.00% |
50.00% |
$1,500.00 |
130.00 |
30.00% |
37.50% |
$1,375.00 |
120.00 |
20.00% |
25.00% |
$1,250.00 |
110.00 |
10.00% |
12.50% |
$1,125.00 |
105.00 |
5.00% |
6.25% |
$1,062.50 |
101.00 |
1.00% |
1.25% |
$1,012.50 |
100.00 |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
0.00% |
$1,000.00 |
90.00 |
-10.00% |
0.00% |
$1,000.00 |
80.00 |
-20.00% |
-10.00% |
$900.00 |
70.00 |
-30.00% |
-20.00% |
$800.00 |
60.00 |
-40.00% |
-30.00% |
$700.00 |
50.00 |
-50.00% |
-40.00% |
$600.00 |
40.00 |
-60.00% |
-50.00% |
$500.00 |
30.00 |
-70.00% |
-60.00% |
$400.00 |
20.00 |
-80.00% |
-70.00% |
$300.00 |
10.00 |
-90.00% |
-80.00% |
$200.00 |
0.00 |
-100.00% |
-90.00% |
$100.00 |
PS-3
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
How the Notes Work
Upside Scenario If Automatic Call:
If the closing level of the Index on the Review Date is greater than
or equal to the Call Value, the notes will be automatically called and investors will receive on the Call Settlement Date the $1,000 principal
amount plus the Call Premium Amount of at least $132.50. No further payments will be made on the notes.
| · | Assuming a hypothetical Call Premium Amount of $132.50, if the closing
level of the Index increases 20.00% as of the Review Date, the notes will be automatically called and investors will receive a return
equal to 13.25%, or $1,132.50 per $1,000 principal amount note. |
Upside Scenario If No Automatic Call:
If the notes have not been automatically called and the Final Value
is greater than the Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Index
Return times the Upside Leverage Factor of 1.25.
| · | If the notes have not been automatically called and the closing
level of the Index increases 5.00%, investors will receive at maturity a return equal to 6.25%, or $1,062.50 per $1,000 principal amount
note. |
Par Scenario:
If the notes have not been automatically called and the Final Value
is equal to the Initial Value or is less than the Initial Value by up to the Buffer Amount of 10.00%, investors will receive at maturity
the principal amount of their notes.
Downside Scenario:
If the notes have not been automatically called and the Final Value
is less than the Initial Value by more than the Buffer Amount of 10.00%, investors will lose 1% of the principal amount of their notes
for every 1% that the Final Value is less than the Initial Value by more than the Buffer Amount.
| · | For example, if the notes have not been automatically called and
the closing level of the Index declines 60.00%, investors will lose 50.00% of their principal amount and receive only $500.00 per $1,000
principal amount note at maturity, calculated as follows: |
$1,000 + [$1,000 × (-60.00% + 10.00%)]
= $500.00
The hypothetical returns and hypothetical payments on the notes shown
above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals do not reflect
the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal. If
the notes have not been automatically called and the Final Value is less than the Initial Value by more than 10.00%, you will lose 1%
of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value by more than 10.00%. Accordingly,
under these circumstances, you will lose up to 90.00% of your principal amount at maturity.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan Chase & Co.’s
ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we
and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the
notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED
ASSETS — |
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities. 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
PS-4
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
dependent upon payments from our affiliates to meet our
obligations under the notes. If these affiliates do not make payments to us and we fail 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.
| · | IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED
TO THE CALL PREMIUM AMOUNT PAID ON THE NOTES, |
regardless of any appreciation of the Index, which may
be significant. In addition, if the notes are automatically called, you will not benefit from the Upside Leverage Factor that applies
to the payment at maturity if the Final Value is greater than the Initial Value. Because the Upside Leverage Factor does not apply
to the payment upon an automatic call, the payment upon an automatic call may be significantly less than the payment at maturity for the
same level of appreciation in the Index.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the term of the
notes may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest the proceeds from
an investment in the notes at a comparable return for a similar level of risk. Even in cases where the notes are called before maturity,
you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS
WITH RESPECT TO THOSE SECURITIES. |
The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing
to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT
— |
You should consider your potential investment in the notes
based on the minimums for the estimated value of the notes and the Call Premium Amount.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles in connection
with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially adverse
to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection
with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO
PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling
commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY
DIFFER FROM OTHERS’ ESTIMATES — |
See “The Estimated Value of the Notes” in
this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE
— |
The internal funding rate used in the determination of
the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity
issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance,
PS-5
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included in
the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an
amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE
OF THE NOTES — |
Any secondary market prices of the notes will likely be
lower than the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected
hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price,
if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than
the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
— |
The secondary market price of the notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
projected hedging profits, if any, estimated hedging costs and the level of the Index. Additionally, independent pricing vendors and/or
third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This price may
be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary
market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary
market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Index
| · | RISKS ASSOCIATED WITH THE
TECHNOLOGY SECTOR — |
All or substantially all of the equity securities included
in the Index are issued by companies whose primary line of business is directly associated with the technology sector. As a result,
the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory
occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.
The value of stocks of technology companies and companies that rely heavily on technology is particularly vulnerable to rapid changes
in technology product cycles, rapid product obsolescence, government regulation and competition, both domestically and internationally,
including competition from foreign competitors with lower production costs. Stocks of technology companies and companies that rely
heavily on technology, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology
companies are heavily dependent on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability.
Additionally, companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition
for the services of qualified personnel. These factors could affect the technology sector and could affect the value of the equity
securities included in the Index and the level of the Index during the term of the notes, which may adversely affect the value of your
notes.
| · | NON-U.S. SECURITIES RISK
— |
Some of the equity securities included in the Index have
been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated
with the home countries of the issuers of those non-U.S. equity securities.
PS-6
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
The Index
The Index is an equal-weighted, price-return index designed to
measure the performance of the technology companies in the Nasdaq-100 Index®. For additional information about the Nasdaq-100®
Technology Sector IndexSM, see Annex A in this pricing supplement.
Historical Information
The following graph sets forth the historical performance of the
Index based on the weekly historical closing levels of the Index from January 4, 2019 through May 3, 2024. The closing level of the Index
on May 6, 2024 was 10,112.97. We obtained the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification.
The historical closing levels of the Index should not be taken
as an indication of future performance, and no assurance can be given as to the closing level of the Index on the Pricing Date, the Review
Date or the Observation Date. There can be no assurance that the performance of the Index will result in the return of any of your principal
amount in excess of $100.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.
federal income tax consequences of owning and disposing of notes.
Based on current market
conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are
not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or
loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the
IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially
and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax
treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors
in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including
the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property
to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes,
possibly with retroactive effect. You should consult your tax adviser regarding the
PS-7
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
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, 2025 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.
The Estimated Value
of the Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded
market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time.
The estimated value of the notes does not represent future values
of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations for the notes
that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the
future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based
on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate
movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions.
The estimated value of the notes will be lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits,
if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one
or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — 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.
PS-8
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
Secondary Market Prices
of the Notes
For information about factors that will impact any secondary market
prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental Use of
Proceeds
The notes are offered to meet investor demand for products that reflect
the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How the Notes
Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Index” in this
pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Additional Terms Specific
to the Notes
You may revoke your offer to purchase the notes at any time prior
to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any
offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you
will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may
reject your offer to purchase.
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, 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, as the notes involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents
on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC
website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
PS-9
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
Annex A
The Nasdaq-100® Technology
Sector IndexSM
All information contained in this pricing supplement regarding the
Nasdaq-100® Technology Sector IndexSM, including, without limitation, its make-up, method of calculation and
changes in its components, has been derived from publicly available information, without independent verification. This information reflects
the policies of, and is subject to change by, The Nasdaq Stock Market, Inc. (“Nasdaq”). The Nasdaq-100® Technology
IndexSM was developed by Nasdaq and is calculated, maintained and published by The Nasdaq OMX Group, Inc. (“Nasdaq OMX”).
Neither Nasdaq nor Nasdaq OMX has any obligation to continue to publish, and may discontinue publication of, the Nasdaq-100®
Technology Sector IndexSM.
The Nasdaq-100® Technology Sector IndexSM
began on February 22, 2006 at a base value of 1,000.00. The Nasdaq-100® Technology Sector IndexSM is reported
by Bloomberg, L.P. under the ticker symbol “NDXT.”
The Nasdaq-100® Technology Sector IndexSM
is an equal-weighted, price-return index designed to measure the performance of the technology companies in the Nasdaq-100 Index®.
Security Eligibility Criteria
The Nasdaq-100® Technology Sector IndexSM
contains securities of the Nasdaq-100 Index® which are classified as Technology according to the Industry Classification
Benchmark (“ICB”). The eligibility for the Nasdaq-100® Technology Sector IndexSM is determined in
a 2-step process and the security has to meet both criteria in order to become eligible for the Nasdaq-100® Technology
Sector IndexSM. For additional information about the Nasdaq-100 Index®, including the methodology for inclusion
in the Nasdaq-100 Index®, see “Equity Index Descriptions — The Nasdaq-100 Index®” in the
accompanying underlying supplement.
Parent Index
The security must be included in the Nasdaq-100 Index®,
which includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq.
Industry or Sector Eligibility
The company must be classified as a Technology Company (any company
classified under the Technology Industry) according to ICB.
Constituent Selection
All securities that meet the applicable Security Eligibility Criteria
described above are included in the Nasdaq-100® Technology Sector IndexSM.
Constituent Weighting
The Nasdaq-100® Technology Sector IndexSM
employs an equal weighting methodology such that each company’s Index market value is rebalanced quarterly to an equal-dollar value
corresponding to an equal percent weight of the Nasdaq-100® Technology Sector IndexSM’s aggregate market
value. Index Shares are calculated by dividing this equal-dollar market value for each Index Security by the corresponding Last Sale Price
of the security at the close of trading on the third Friday in March, June, September, and December. In the case of multiple share classes
of a company being included in the Nasdaq-100® Technology Sector IndexSM, the equal-weighted market value will
be divided equally among the securities of that company.
Index Calculation
The Nasdaq-100® Technology Sector IndexSM
is an equal weighted, price return index. The Nasdaq-100® Technology Sector IndexSM is calculated without regard
to ordinary dividends, however, it does reflect special dividends. The formula is as follows:
| (1) | “Index Market Value” shall be calculated as follows: |
“Index Security” shall mean a security that has
been selected for membership in the Nasdaq-100® Technology Sector IndexSM, having met all applicable eligibility
requirements.
n
= Number of Index Securities included in the Nasdaq-100® Technology Sector IndexSM
𝑞𝑖=
Number of shares of Index Security i applied in the Nasdaq-100® Technology Sector IndexSM.
𝑝𝑖
= Price in quote currency of Index Security i. Depending on the time of the calculation, the price can be either of the following:
PS-10
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
| a. | The Start of Day (SOD) price which is the previous index calculation day’s (t-1)
closing price for Index Security i adjusted for corporate action(s) occurring prior to market open on date t, if any, for the SOD calculation
only; |
| b. | The intraday price which reflects the current trading price received from the Nasdaq during the index calculation day; |
| c. | The End of Day (EOD) price refers to the Last Sale Price, which refers to the last regular-way trade reported on Nasdaq; or |
| d. | The Volume Weighted Average Price (VWAP) |
𝑡
= current index calculation day
𝑡-1
= current index calculation day
| (2) | “PR Index Divisor” should be calculated as follows: |
The Index Divisor serves the purpose of scaling an Index
Market Value to lower order of magnitude, which is recommended for reporting purposes. The Index Divisor is adjusted to ensure that changes
in an Index Security’s price or shares either by corporate actions or index participation which occur outside of trading hours do
not affect the index value. An Index Divisor change occurs after the close of the Nasdaq-100® Technology Sector IndexSM.
Index Maintenance
Deletion Policy
If a component of the Nasdaq-100® Technology Sector
IndexSM is removed from the Nasdaq-100 Index® for any reason, it is also removed from the Nasdaq-100®
Technology Sector IndexSM at the same time.
Replacement Policy
When a component of the Nasdaq-100 Index® that is
classified as Technology according to ICB is removed from the Nasdaq-100 Index, it is also removed from the Nasdaq-100 Technology Sector
Index. As such, if the replacement company being added to the Nasdaq-100 Index® is classified as Technology according to
ICB, it is added to the Nasdaq-100® Technology Sector IndexSM and will assume the weight of the removed company
on the Index effective date.
When a component of the Nasdaq-100 Index® that is
not classified as Technology according to ICB is removed and the replacement company being added to the Nasdaq-100 Index is classified
as Technology according to ICB, the replacement company is considered for addition to the Nasdaq-100 Technology Sector Index at the next
quarterly Rebalance. When a component of the Nasdaq-100 Index that is classified as Technology according to ICB is removed from the Nasdaq-100
Index and the replacement company being added to the Nasdaq-100 Index® is not classified as Technology according to ICB,
the company is removed from the Nasdaq-100® Technology Sector IndexSM and the divisor of the Nasdaq-100®
Technology Sector IndexSM is adjusted to ensure Index continuity.
Additions Policy
If a security is added to the Nasdaq-100 Index® for
any reason, it may be added to the Nasdaq-100® Technology Sector IndexSM at the same time.
Corporate Actions
In the interim periods between scheduled index reconstitution and
rebalance events, individual Index securities may be the subject to a variety of corporate actions and events that require maintenance
and adjustments to the Index.
In certain cases, corporate actions and events are handled according
to the weighting scheme or other index construction techniques employed. Wherever alternate methods are described, the Index will follow
the “Non-Market Cap Corporate Action Method.”
Index Share Adjustments
Other than as a direct result of corporate actions, the Nasdaq-100®
Technology Sector IndexSM does not normally experience share adjustments between scheduled index rebalance and reconstitution
events.
License Agreement
JPMorgan Chase & Co. or its affiliate intends to enter
into a non-exclusive license agreement with Nasdaq providing for the license to it and certain of its affiliates or subsidiaries, including
JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the Nasdaq-100® Technology Sector
IndexSM in connection with certain securities, including the notes.
The license agreement with Nasdaq provides that the following language
must be stated in this pricing supplement:
The notes are not sponsored, endorsed, sold or promoted by Nasdaq
Inc. or its affiliates (Nasdaq, with its affiliates, are referred to as the “Corporations”). The Corporations have not passed
on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the notes. The Corporations
make no representation or warranty, express or implied, to the owners of the notes
PS-11
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
or any member of the public regarding the advisability of investing
in securities generally or in the notes particularly, or the ability of the Nasdaq-100® Technology Sector IndexSM
to track general stock market performance. The Corporations’ only relationship to the Issuer, the Guarantor (if applicable) and
their affiliates is in the licensing of Nasdaq®, Nasdaq-100® and Nasdaq-100 Index® registered
trademarks, service marks and certain trade names of the Corporations and the use of the Nasdaq-100® Technology Sector
IndexSM which is determined, composed and calculated by Nasdaq without regard to the Issuer or the Guarantor (if applicable)
or the notes. Nasdaq has no obligation to take the needs of the Issuer or the Guarantor (if applicable) or the owners of the notes into
consideration in determining, composing or calculating the Nasdaq-100® Technology Sector IndexSM. The Corporations
are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the notes to be issued
or in the determination or calculation of the equation by which the notes are to be converted into cash. The Corporations have no liability
in connection with the administration, marketing or trading of the notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED
CALCULATION OF THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE
NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE GUARANTOR (IF APPLICABLE), OWNERS OF THE NOTES, OR ANY
OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED THEREIN.
THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR
PURPOSE OR USE WITH RESPECT TO THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED THEREIN. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE,
INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
PS-12
| Structured Investments
Auto Callable Buffered Return Enhanced Notes Linked to the Nasdaq-100®
Technology Sector IndexSM |
|
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