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 Lesser Performing of the S&P 500®
Index and the Russell 2000® Index due September 24, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek exposure to any appreciation of the lesser performing of the S&P 500®
Index and the Russell 2000® Index, which we refer to as the Indices, over the term of the notes up to a maximum return
of at least 34.50% at maturity. |
| · | Investors should be willing to forgo interest and dividend payments, while seeking repayment of at least 95.00% of their 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. |
| · | Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each
of the Indices individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about September 19, 2024 and are expected to settle on or about September 24, 2024. |
Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors”
beginning on page PS-12 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, prospectus and prospectus addendum. Any representation
to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
— |
$1,000 |
Total |
$ |
— |
$ |
(1) See “Supplemental Use of Proceeds” in this pricing supplement
for information about the components of the price to public of the notes.
(2) All sales of the notes will be made to certain fee-based advisory
accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers will forgo any commissions
related to these sales. 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
$983.00 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.
Indices:
The S&P 500® Index (Bloomberg ticker: SPX) and the Russell 2000® Index
(Bloomberg ticker: RTY)
Participation
Rate: 100.00%
Maximum Amount:
At least $345.00 per $1,000 principal amount note (to be provided in the pricing supplement)
Pricing Date:
On or about September 19, 2024
Original
Issue Date (Settlement Date): On or about September 24, 2024
Observation Date*:
September 21, 2026
Maturity Date*:
September 24, 2026
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity:
If the Final Value of each Index is greater than its Initial Value, at maturity, you
will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount, which will not be greater
than the Maximum Amount.
If the Final Value of either Index is equal to or less than its Initial Value,
your payment at maturity will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
In no event, however, will the payment at maturity be less than $950.00 per $1,000
principal amount note.
If the Final Value of either Index is less than its Initial Value, you will
lose up to 5.00% of your principal amount at maturity.
You are entitled to repayment of at least $950.00 per $1,000 principal amount
note 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 × Lesser Performing Index Return × Participation
Rate, provided that the Additional Amount will not be greater than the Maximum Amount.
Lesser Performing Index: The
Index with the Lesser Performing Index Return
Lesser Performing Index Return: The
lower of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing level
of that Index on the Pricing Date
Final
Value: With respect to each Index, the closing level of that Index on the Observation Date
|
PS-1
| Structured Investments
Capped Notes Linked to the Lesser Performing of the S&P 500®
Index and the Russell 2000® Index |
|
Supplemental Terms of
the Notes
Any values of the Indices, and any values derived therefrom,
included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment
will become effective without consent of the holders of the notes or any other party.
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical payment
at maturity on the notes linked to two hypothetical Indices. The hypothetical payments set forth below assume the following:
| · | an Initial Value for the Lesser Performing Index of 100.00; |
| · | a Participation Rate of 100.00%; and |
| · | a Maximum Amount of $345.00 per $1,000 principal amount note. |
The hypothetical Initial Value of the Lesser Performing Index of
100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either Index. The actual
Initial Value of each Index will be the closing level of that Index on the Pricing Date and will be provided in the pricing supplement.
For historical data regarding the actual closing levels of each Index, please see the historical information set forth under “The
Indices” in this pricing supplement.
Each hypothetical payment 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 of the
Lesser Performing
Index |
Lesser Performing Index
Return |
Additional Amount |
Payment at Maturity |
180.00 |
80.00% |
$345.00 |
$1,345.00 |
165.00 |
65.00% |
$345.00 |
$1,345.00 |
150.00 |
50.00% |
$345.00 |
$1,345.00 |
140.00 |
40.00% |
$345.00 |
$1,345.00 |
134.50 |
34.50% |
$345.00 |
$1,345.00 |
130.00 |
30.00% |
$300.00 |
$1,300.00 |
120.00 |
20.00% |
$200.00 |
$1,200.00 |
110.00 |
10.00% |
$100.00 |
$1,100.00 |
105.00 |
5.00% |
$50.00 |
$1,050.00 |
101.00 |
1.00% |
$10.00 |
$1,010.00 |
100.00 |
0.00% |
N/A |
$1,000.00 |
99.00 |
-1.00% |
N/A |
$990.00 |
97.50 |
-2.50% |
N/A |
$975.00 |
95.00 |
-5.00% |
N/A |
$950.00 |
90.00 |
-10.00% |
N/A |
$950.00 |
80.00 |
-20.00% |
N/A |
$950.00 |
70.00 |
-30.00% |
N/A |
$950.00 |
60.00 |
-40.00% |
N/A |
$950.00 |
50.00 |
-50.00% |
N/A |
$950.00 |
40.00 |
-60.00% |
N/A |
$950.00 |
30.00 |
-70.00% |
N/A |
$950.00 |
20.00 |
-80.00% |
N/A |
$950.00 |
10.00 |
-90.00% |
N/A |
$950.00 |
0.00 |
-100.00% |
N/A |
$950.00 |
PS-2
| Structured Investments
Capped Notes Linked to the Lesser Performing of the S&P 500®
Index and the Russell 2000® Index |
|
The following graph demonstrates the hypothetical payments at maturity
on the notes for a range of Lesser Performing Index Returns. There can be no assurance that the performance of either Index will result
in a payment at maturity in excess of $950.00 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 of each Index is greater than its Initial Value,
investors will receive at maturity the $1,000 principal amount plus the Additional Amount, which is equal to $1,000 times
the Lesser Performing Index Return times the Participation Rate of 100.00%, and which will not be greater than the Maximum Amount
of at least $345.00 per $1,000 principal amount note. Assuming a hypothetical Maximum Amount of $345.00 per $1,000 principal amount note,
an investor will realize the maximum payment at maturity at a Final Value of the Lesser Performing Index of 134.50% or more of its Initial
Value.
| · | If the closing level of the Lesser Performing Index 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 $345.00 per $1,000 principal amount note, if the closing level of the Lesser Performing
Index increases 50.00%, investors will receive at maturity a return equal to 34.50%, or $1,345.00 per $1,000 principal amount note, which
is the maximum payment at maturity. |
Par Scenario:
If (i) the Final Value of one Index is greater than its Initial Value
and the Final Value of the other Index is equal to its Initial Value or (ii) the Final Value of each Index is equal to its Initial Value,
investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of either Index is less than its Initial Value,
investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Lesser Performing Index is less
than its Initial Value, provided that the payment at maturity will not be less than $950.00 per $1,000 principal amount note.
| · | For example, if the closing level of the Lesser Performing Index declines 2.50%, investors will lose 2.50% of their principal amount
and receive only $975.00 per $1,000 principal amount note at maturity. |
| · | For example, if the closing level of the Lesser Performing Index declines 50.00%, investors will lose 5.00% of their principal amount
and receive only $950.00 per $1,000 principal amount note at maturity. |
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.
PS-3
| Structured Investments
Capped Notes Linked to the Lesser Performing of the S&P 500®
Index and the Russell 2000® Index |
|
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 95.00% OF THE PRINCIPAL AMOUNT AT MATURITY — |
If the Final Value of either Index is less than its Initial
Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Index is less
than its Initial Value, provided that the payment at maturity will not be less than $950.00 per $1,000 principal amount note, subject
to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. Accordingly, under these circumstances, you will lose up to 5.00%
of your principal amount 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 either
Index, which may be significant.
| · | 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.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX — |
Payments on the notes are not linked to a basket composed
of the Indices and are contingent upon the performance of each individual Index. Poor performance by either of the Indices over the term
of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the other Index.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX. |
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER 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 J.P. Morgan Securities
LLC, which we refer to as 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.
PS-4
| Structured Investments
Capped Notes Linked to the Lesser Performing of the S&P 500®
Index and the Russell 2000® Index |
|
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 structuring and hedging the notes are included in the original issue price of the notes. These costs include the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement.
| · | 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 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 projected hedging
profits, if any, estimated hedging costs and the levels of the Indices. Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the
PS-5
| Structured Investments
Capped Notes Linked to the Lesser Performing of the S&P 500®
Index and the Russell 2000® Index |
|
Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Indices
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, |
but JPMorgan Chase & Co. will not have any obligation
to consider your interests in taking any corporate action that might affect the level of the S&P 500® Index.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX — |
Small capitalization companies may be less able to withstand
adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely
to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under
adverse market conditions.
PS-6
| Structured Investments
Capped Notes Linked to the Lesser Performing of the S&P 500®
Index and the Russell 2000® Index |
|
The Indices
The S&P 500® Index consists of stocks of 500
companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P 500®
Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
The Russell 2000® Index consists of the middle 2,000 companies
included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest 2,000 companies
included in the Russell 3000® Index. The Russell 2000® Index is designed to track the performance of the
small capitalization segment of the U.S. equity market. For additional information about the Russell 2000® Index, see “Equity
Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance of each
Index based on the weekly historical closing levels from January 4, 2019 through August 30, 2024. The closing level of the S&P 500®
Index on September 5, 2024 was 5,503.41. The closing level of the Russell 2000® Index on September 5, 2024 was 2,132.054.
We obtained the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without
independent verification.
The historical closing levels of each Index should not be taken
as an indication of future performance, and no assurance can be given as to the closing level of either Index on the Pricing Date or the
Observation Date. There can be no assurance that the performance of the Indices will result in a payment at maturity in excess of $950.00
per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
PS-7
| Structured Investments
Capped Notes Linked to the Lesser Performing of the S&P 500®
Index and the Russell 2000® Index |
|
Tax Treatment
There is uncertainty regarding
the U.S. federal income tax consequences of an investment in the notes due to the lack of governing authority. 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. Notwithstanding that the notes do not provide for the full repayment of their principal
amount at or prior to maturity, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes should be treated
for U.S. federal income tax purposes as debt instruments. Based on current market conditions, we intend to treat the notes for U.S. federal
income tax purposes as “contingent payment debt instruments.” Assuming this treatment is respected, as discussed in that subsection,
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, 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.
Because our intended treatment
of the notes as CPDIs is based on current market conditions, we may determine an alternative treatment is more appropriate based on circumstances
at the time of pricing. Our ultimate determination will be binding on you, unless you properly disclose to the IRS an alternative treatment.
Also, the IRS may challenge the treatment of the notes as CPDIs. If we determine not to treat the notes as CPDIs, or if the IRS successfully
challenges the treatment of the notes as CPDIs, then the notes should be treated as debt instruments that are not CPDIs and, unless treated
as issued with less than a specified de minimis amount of original issue discount, could (depending on the facts at the time of pricing)
require the accrual of original issue discount as ordinary interest income based on a yield to maturity different from (and possibly higher
than) the comparable yield. Accordingly, under this treatment, your annual taxable income from (and adjusted tax basis in) the notes could
be higher or lower than if the notes were treated as CPDIs, and any loss recognized upon a disposition of the notes (including upon maturity)
would be capital loss, the deductibility of which is subject to limitations. Accordingly, this alternative treatment could result in adverse
tax consequences to you.
Section 871(m) of the Code
and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income
tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including
for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally,
a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of
one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes with regard to
Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex
and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an
Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing
supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The discussions in the
preceding paragraphs, 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 with a Term of More than One
Year — Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, to the extent they reflect
statements of law, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences
of owning and disposing of the notes.
PS-8
| Structured Investments
Capped Notes Linked to the Lesser Performing of the S&P 500®
Index and the Russell 2000® Index |
|
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 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 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
PS-9
| Structured Investments
Capped Notes Linked to the Lesser Performing of the S&P 500®
Index and the Russell 2000® Index |
|
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 Indices”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus (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, 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-10
| Structured Investments
Capped Notes Linked to the Lesser Performing of the S&P 500®
Index and the Russell 2000® Index |
|
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