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
9, 2024
September , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Capped Notes Linked to the SPDR® Gold
Trust due September 23, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| · | The notes are designed for investors who seek exposure to any appreciation of the SPDR® Gold Trust, which we refer
to as the Fund, over the term of the notes, up to a maximum return of at least 8.00% at maturity. |
| · | Investors should be willing to forgo interest payments, while seeking full repayment of principal 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 September 11, 2024 (the “Pricing Date”) and are
expected to settle on or about September 16, 2024. The Strike Value has been determined by reference to the closing price
of one share of the Fund on September 6, 2024 and not by reference to the closing price of
one share of the Fund on the Pricing Date. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-12 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-3 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any
representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2)(3) |
Proceeds to Issuer |
Per note |
$1,000 |
— |
$1,000 |
Total |
$ |
— |
$ |
(1) See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS,
acting as agent for JPMorgan Financial, will not receive selling commissions for the notes. See “Plan of Distribution (Conflicts
of Interest)” in the accompanying product supplement.
(3) JPMS may pay a structuring fee of $6.00 per $1,000 principal
amount note with respect to some or all of the notes to other affiliated or unaffiliated dealers. |
If the notes priced today, the estimated value of the notes would
be approximately $989.50 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 $960.00 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. 3-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023,
the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Fund:
The SPDR® Gold Trust (Bloomberg ticker: GLD)
Participation Rate:
100.00%
Maximum Amount:
At least $80.00 per $1,000 principal amount note (to be provided in the pricing supplement)
Strike Date: September
6, 2024
Pricing
Date: On or about September 11, 2024
Original
Issue Date (Settlement Date): On or about September 16, 2024
Observation
Date*: September 18, 2025
Maturity
Date*: September 23, 2025
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to 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 |
Payment at Maturity:
At maturity, you will receive a cash payment, for each $1,000 principal
amount note, of $1,000 plus the Additional Amount, which may be zero and will not be greater than the Maximum Amount.
You are entitled to repayment of principal in full at maturity,
subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Additional Amount: The
Additional Amount payable at maturity per $1,000 principal amount note will equal:
$1,000 × Fund Return × Participation
Rate,
provided that the Additional Amount will not be less than zero
or greater than the Maximum Amount.
Fund Return:
(Final Value – Strike Value)
Strike Value
Strike
Value: The closing price of one share of the Fund on the Strike Date,
which was $230.63. The Strike Value is not the closing price of one share of the Fund on the Pricing Date.
Final
Value: The closing price of one share of the Fund on the Observation Date
Share Adjustment Factor: The
Share Adjustment Factor is referenced in determining the closing price of one share of the Fund and is set equal to 1.0 on the Strike
Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund. See “The Underlyings
— Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Capped Notes Linked to the SPDR® Gold Trust |
|
Supplemental Terms
of the Notes
The notes are not commodity futures contracts or swaps
and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The notes
are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption,
that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, as set
out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation
promulgated by the Commodity Futures Trading Commission.
Any values of the Fund, 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
The following table and graph illustrate the hypothetical
payment at maturity on the notes linked to a hypothetical Fund. The hypothetical payments set forth below assume the following:
| · | a Strike Value of $100.00; |
| · | a Participation Rate of 100.00%; and |
| · | a Maximum Amount of $80.00 per $1,000 principal amount note. |
The hypothetical Strike Value of $100.00 has been chosen
for illustrative purposes only and does not represent the actual Strike Value. The actual Strike Value is the closing price of one share
of the Fund on the Strike Date and is specified under “Key Terms — Strike Value” in this pricing supplement. For historical
data regarding the actual closing prices of one share of the Fund, please see the historical information set forth under “The Fund”
in this pricing supplement.
Each hypothetical payment at maturity set forth below
is for illustrative purposes only and may not be the actual payment at maturity applicable to a purchaser of the notes. The numbers appearing
in the following table and graph have been rounded for ease of analysis.
Final Value |
Fund Return |
Additional Amount |
Payment at Maturity |
$180.00 |
80.00% |
$80.00 |
$1,080.00 |
$165.00 |
65.00% |
$80.00 |
$1,080.00 |
$150.00 |
50.00% |
$80.00 |
$1,080.00 |
$140.00 |
40.00% |
$80.00 |
$1,080.00 |
$130.00 |
30.00% |
$80.00 |
$1,080.00 |
$120.00 |
20.00% |
$80.00 |
$1,080.00 |
$110.00 |
10.00% |
$80.00 |
$1,080.00 |
$108.00 |
8.00% |
$80.00 |
$1,080.00 |
$105.00 |
5.00% |
$50.00 |
$1,050.00 |
$101.00 |
1.00% |
$10.00 |
$1,010.00 |
$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% |
$0.00 |
$1,000.00 |
$70.00 |
-30.00% |
$0.00 |
$1,000.00 |
$60.00 |
-40.00% |
$0.00 |
$1,000.00 |
$50.00 |
-50.00% |
$0.00 |
$1,000.00 |
$40.00 |
-60.00% |
$0.00 |
$1,000.00 |
$30.00 |
-70.00% |
$0.00 |
$1,000.00 |
$20.00 |
-80.00% |
$0.00 |
$1,000.00 |
$10.00 |
-90.00% |
$0.00 |
$1,000.00 |
$0.00 |
-100.00% |
$0.00 |
$1,000.00 |
PS-2
| Structured Investments
Capped Notes Linked to the SPDR® Gold Trust |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a range of Fund Returns. There can be no assurance that the performance of the Fund will result in a payment
at maturity in excess of $1,000.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase
& Co.
How the Notes
Work
Upside Scenario:
If the Final Value is greater than the Strike Value,
investors will receive at maturity the $1,000 principal amount plus the Additional Amount, which is equal to $1,000 times the
Fund Return times the Participation Rate of 100.00% and which will not be greater than the Maximum Amount of at least $80.00 per
$1,000 principal amount note. Assuming a hypothetical Maximum Amount of $80.00 per $1,000 principal amount note, an investor will realize
the maximum payment at maturity at a Final Value of 108.00 % or more of the Strike Value.
| · | If the closing price of one share of the Fund increases 5.00%, investors will receive at maturity a return equal to 5.00%, or $1,050.00
per $1,000 principal amount note. |
| · | Assuming a hypothetical Maximum Amount of $80.00 per $1,000 principal amount note, if the closing price of one share of the Fund increases
50.00%, investors will receive at maturity a return equal to 8.00%, or $1,080.00 per $1,000 principal amount note, which is the maximum
payment at maturity. |
Par Scenario:
If the Final Value is equal to or less than the Strike
Value, the Additional Amount will be zero and investors will receive at maturity the principal amount of their notes.
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY — |
If the Final Value is less than or equal to
the Strike Value, you will receive only the principal amount of your notes at maturity, and you will not be compensated for any loss in
value due to inflation and other factors relating to the value of money over time.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM AMOUNT, |
regardless of any appreciation of the Fund,
which may be significant.
PS-3
| Structured Investments
Capped Notes Linked to the SPDR® Gold Trust |
|
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you
under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase &
Co., we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of JPMorgan
Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result,
we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary
of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources
to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are
unable to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information,
see the accompanying prospectus addendum.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THE COMMODITIES HELD BY THE FUND. |
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 Maximum 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.
In addition, the benchmark price of the Fund’s
Underlying Commodity (as defined under “The Fund” below) is administered by the London Bullion Market Association (“LBMA”)
or an independent service provider appointed by the LBMA, and we are, or one of our affiliates is, a price participant that contributes
to the determination of that price. Furthermore, our affiliate is the custodian of the Fund. We and our affiliates will have
no obligation to consider your interests as a holder of the notes in taking any actions in connection with our roles as a price participant
and a custodian that might affect the Fund or the notes.
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 structuring and hedging the notes are included in the original issue price of the notes. These costs include
the structuring fee, if any, 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.
PS-4
| Structured Investments
Capped Notes Linked to the SPDR® Gold Trust |
|
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in
an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a) exclude the structuring
fee, if any, and (b) 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 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
structuring fee, if any, projected hedging profits, if any, estimated hedging costs and the price of one share of the Fund. 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 Fund
| · | THE FUND IS NOT AN INVESTMENT COMPANY OR COMMODITY POOL AND WILL NOT BE SUBJECT TO REGULATION UNDER THE INVESTMENT COMPANY ACT
OF 1940, AS AMENDED, OR THE COMMODITY EXCHANGE ACT — |
Accordingly, you will not benefit from any regulatory
protections afforded to persons who invest in regulated investment companies or commodity pools.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THE FUND’S UNDERLYING COMMODITY AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund does not fully replicate the performance
of its Underlying Commodity due to the fees and expenses charged by the Fund or by restrictions on access to the Underlying Commodity
due to other circumstances. The Fund does not generate any income, and as the Fund regularly sells its Underlying Commodity to pay for
ongoing expenses, the amount of its Underlying Commodity represented by each share gradually declines over time. The Fund sells its Underlying
Commodity to pay expenses on an ongoing basis irrespective of whether the trading price of the shares rises or falls in response to changes
in the price of its Underlying Commodity. The sale by the Fund of its Underlying Commodity to pay expenses at a time of low prices for
its Underlying
PS-5
| Structured Investments
Capped Notes Linked to the SPDR® Gold Trust |
|
Commodity could adversely affect the value of the notes. Additionally,
there is a risk that part or all of the Fund’s holdings in its Underlying Commodity could be lost, damaged or stolen. Access
to the Fund’s Underlying Commodity could also be restricted by natural events (such as an earthquake) or human actions (such as
a terrorist attack). All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying Commodity.
In addition, because the shares of the Fund are traded on a securities exchange and are subject to market supply and investor demand,
the market value of one share of the Fund may differ from the net asset value per share of the Fund.
During periods of market volatility, the Fund’s
Underlying Commodity may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the
ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market
value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of its Underlying Commodity as well as the net asset value per share of
the Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the
notes.
| · | THE NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH GOLD — |
The investment objective of the Fund is to reflect
the performance of the price of gold bullion, less the expenses of the Fund’s operations. The price of gold is primarily affected
by the global demand for and supply of gold. The market for gold bullion is global, and gold prices are subject to volatile price movements
over short periods of time and are affected by numerous factors, including macroeconomic factors, such as the structure of and confidence
in the global monetary system, expectations regarding the future rate of inflation, the relative strength of, and confidence in, the U.S.
dollar (the currency in which the price of gold is usually quoted), interest rates, gold borrowing and lending rates and global or regional
economic, financial, political, regulatory, judicial or other events. Gold prices may be affected by industry factors, such as industrial
and jewelry demand as well as lending, sales and purchases of gold by the official sector, including central banks and other governmental
agencies and multilateral institutions that hold gold. Additionally, gold prices may be affected by levels of gold production, production
costs and short-term changes in supply and demand due to trading activities in the gold market. From time to time, above-ground inventories
of gold may also influence the market. It is not possible to predict the aggregate effect of all or any combination of these factors.
The price of gold has recently been, and may continue to be, extremely volatile.
| · | THERE ARE RISKS RELATING TO COMMODITIES TRADING ON THE LBMA — |
The investment objective of the Fund is to reflect
the performance of the price of gold bullion, less the expenses of the Fund’s operations. The price of gold is determined by the
LBMA or an independent service provider appointed by the LBMA. The LBMA is a self-regulatory association of bullion market participants.
Although all market-making members of the LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy test,
the LBMA itself is not a regulated entity. If the LBMA should cease operations, or if bullion trading should become subject to a value
added tax or other tax or any other form of regulation currently not in place, the role of the LBMA gold price as a global benchmark for
the value of gold may be adversely affected. The LBMA is a principals’ market, which operates in a manner more closely analogous
to an over-the-counter physical commodity market than regulated futures markets, and certain features of U.S. futures contracts are not
present in the context of LBMA trading. For example, there are no daily price limits on the LBMA which would otherwise restrict fluctuations
in the prices of LBMA contracts. In a declining market, it is possible that prices would continue to decline without limitation within
a trading day or over a period of trading days. The LBMA may alter, discontinue or suspend calculation or dissemination of the LBMA gold
price, which could adversely affect the value of the notes. The LBMA, or an independent service provider appointed by the LBMA, will have
no obligation to consider your interests in calculating or revising the LBMA gold price.
| · | SINGLE COMMODITY PRICES TEND TO BE MORE VOLATILE THAN, AND MAY NOT CORRELATE WITH, THE PRICES OF COMMODITIES GENERALLY — |
The Fund is linked to a single commodity and not
to a diverse basket of commodities or a broad-based commodity index. The Fund’s Underlying Commodity may not correlate to the price
of commodities generally and may diverge significantly from the prices of commodities generally. As a result, the notes carry greater
risk and may be more volatile than notes linked to the prices of more commodities or a broad-based commodity index.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment
in response to all events that could affect the shares of the Fund. If an event occurs that does not require the calculation agent to
make an adjustment, the value of the notes may be materially and adversely affected.
PS-6
| Structured Investments
Capped Notes Linked to the SPDR® Gold Trust |
|
The Fund
The Fund is an investment trust sponsored by World
Gold Trust Services, LLC. The investment objective of the Fund is for its shares to reflect the performance of the price of gold bullion,
less the expenses of the Fund’s operations. The Fund holds gold bars. We refer to gold as the Underlying Commodity with respect
to the Fund. For additional information about the Fund, see “Fund Descriptions — The SPDR® Gold Trust”
in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the Fund based on the weekly historical closing prices of one share of the Fund from January 4, 2019 through September 6, 2024. The
closing price of one share of the Fund on September 6, 2024 was $230.63. We obtained the closing prices above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The closing prices above and below may
have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing prices of one share of the
Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
the Fund on the Observation Date. There can be no assurance that the performance of the Fund will result in a payment at maturity in excess
of your principal amount, 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,” and in particular the subsection thereof entitled
“— Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent Payment
Debt Instruments” in the accompanying product supplement no. 3-I. Unlike a traditional debt instrument that provides for periodic
payments of interest at a single fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt
of stated interest, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated for U.S.
federal income tax purposes as “contingent payment debt instruments.” Assuming this treatment is respected, as discussed in
that subsection, you generally will be required to accrue original issue discount (“OID”) 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.
Upon sale or exchange (including at maturity), you will recognize taxable income or loss equal to the difference between the amount received
from the sale or exchange and your adjusted basis in the note, which generally will equal the cost thereof, increased by the amount of
OID you have accrued in respect of the note. You generally must treat any income as interest income and any loss as ordinary loss to the
extent of previous interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject to limitations.
Special rules may apply if the amount payable at maturity is treated as becoming fixed prior to maturity. You should consult your tax
adviser concerning the application of these rules. The discussions herein and in the accompanying product supplement do not address the
consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. Purchasers who are not initial purchasers
of notes at their issue price should consult their tax advisers with respect to the tax consequences of an investment in notes, including
the treatment of the difference, if any, between the basis in their notes and the notes’ adjusted issue price.
PS-7
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Capped Notes Linked to the SPDR® Gold Trust |
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The discussion
in the preceding paragraph, when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences”
(and in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes Treated as Debt Instruments
That Have a Term of Not More than One Year”) in the accompanying product supplement, constitutes the full opinion of Davis Polk
& Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Comparable
Yield and Projected Payment Schedule
We will determine the comparable yield for the notes
and will provide that comparable yield and the related projected payment schedule (or information about how to obtain them) in the pricing
supplement for the notes, which we will file with the SEC. The comparable yield for the notes will be determined based upon a variety
of factors, including actual market conditions and our borrowing costs for debt instruments of comparable maturities at the time of issuance.
The comparable yield and projected payment schedule are determined solely to calculate the amount on which you will be taxed with respect
to the notes in each year and are neither a prediction nor a guarantee of what the actual yield will be.
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 structuring and hedging the notes are included in the original issue
price of the notes. These costs include the structuring fee, if any, paid to 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.
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
PS-8
| Structured Investments
Capped Notes Linked to the SPDR® Gold Trust |
|
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. 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 Fund”
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 structuring fee, if any, paid to other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
JPMS, acting as agent for JPMorgan Financial, will
not receive selling commissions for the notes. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement.
JPMS may pay a structuring fee of $6.00 per $1,000
principal amount note with respect to some or all of the notes to other affiliated or unaffiliated dealers.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus
addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the notes.
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
Capped Notes Linked to the SPDR® Gold Trust |
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