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 July 25, 2024
JPMorgan Chase Financial Company LLC |
August 2024 |
Preliminary Pricing
Supplement
Registration Statement Nos. 333-270004
and 333-270004-01
Dated August , 2024
Filed pursuant to Rule 424(b)(2)
Structured Investments
Opportunities in U.S. Equities
Dual Directional Buffered PLUS Based on the Value of the
MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside
SecuritiesSM
Principal at Risk Securities
Fully and Unconditionally Guaranteed by
JPMorgan Chase & Co.
The Dual Directional Buffered PLUS, or Buffered PLUS, will pay no interest
and provide a minimum payment at maturity of only 10.00% of the stated principal amount. At maturity, if the underlying index has appreciated
in value, investors will receive the stated principal amount of their investment plus leveraged upside performance of the underlying index,
subject to a maximum payment at maturity. If the underlying index has declined in value but by no more than the specified buffer amount,
investors will receive at maturity the stated principal amount of their investment plus an unleveraged positive return equal to the absolute
value of the percentage decline, which will effectively be limited to a positive 10% return. However, if the underlying index has declined
by more than the buffer amount, at maturity investors will lose the benefit of the absolute return feature and will lose 1% for every
1% decline beyond the specified buffer amount, subject to the minimum payment at maturity of 10.00% of the stated principal amount. Investors
may lose up to 90.00% of the stated principal amount of the Buffered PLUS at maturity. The Buffered PLUS are for investors who seek
an equity-based return and who are willing to risk their principal and forgo current income and upside above the maximum payment at maturity
in exchange for the leverage, absolute return and buffer features that in each case apply only to a limited range of performance of the
underlying index. The Buffered PLUS are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer
to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co., issued as
part of JPMorgan Financial’s Medium-Term Notes, Series A, program. Any payment on the Buffered PLUS is subject to the credit
risk of JPMorgan Financial, as issuer of the Buffered PLUS, and the credit risk of JPMorgan Chase & Co., as guarantor of
the Buffered PLUS.
SUMMARY TERMS |
Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Underlying index: |
MSCI Emerging Markets Index (Bloomberg ticker: MXEF Index) |
Aggregate principal amount: |
$ |
Payment at maturity: |
If the final index value is greater than the initial index value, for each $1,000 stated principal amount Buffered PLUS, |
|
$1,000 + leveraged upside payment |
|
In no event will the payment at maturity exceed the maximum payment at maturity. |
|
If the final index value is equal to the initial index value or is less than the initial index value but has decreased from the initial index value by an amount less than or equal to the buffer amount of 10.00%, for each $1,000 stated principal amount Buffered PLUS, |
|
$1,000 + ($1,000 × absolute index return)
In this scenario, you will receive a 1% positive return on the Buffered
PLUS for each 1% negative return on the underlying index. In no event will this amount exceed the stated principal amount plus $100.00. |
|
If the final index value is less than the initial index value and has decreased from the initial index value by an amount greater than the buffer amount of 10.00%, for each $1,000 stated principal amount Buffered PLUS, |
|
($1,000 × index performance factor) + $100.00 |
|
This amount will be less than the stated principal amount of $1,000 per Buffered PLUS. However, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., under no circumstances will the Buffered PLUS pay less than $100.00 per Buffered PLUS at maturity. |
Leveraged upside payment: |
$1,000 × leverage factor × index percent change |
Index percent change: |
(final index value – initial index value) / initial index value |
Leverage factor: |
150% |
Absolute index return: |
The absolute value of the index percent change. For example, a -5% index percent change will result in a +5% absolute index return. |
Buffer amount: |
10.00% |
Index performance factor: |
final index value / initial index value |
Maximum payment at maturity: |
At least $1,227.00 (at least 122.70% of the stated principal amount) per Buffered PLUS. The actual maximum payment at maturity will be provided in the pricing supplement and will not be less than $1,227.00 per Buffered PLUS. |
Pricing date: |
August , 2024 (expected to price on or about August 16, 2024) |
Original issue date (settlement date): |
August , 2024 (3 business days after the pricing date) |
Valuation date*: |
August 17, 2026 |
Maturity date*: |
August 20, 2026 |
Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
|
Terms continued on the following page |
Commissions and issue price: |
Price to public(1) |
Fees and commissions |
Proceeds to issuer |
Per Buffered PLUS |
$1,000.00 |
$20.00(2) |
$975.00 |
|
|
$5.00(3) |
|
Total |
$ |
$ |
$ |
| (1) | See “Additional Information about the Buffered PLUS — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the Buffered PLUS. |
| (2) | JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Smith
Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $20.00 per $1,000 stated
principal amount Buffered PLUS. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
| (3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each $1,000
stated principal amount Buffered PLUS. |
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying
— Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement or early acceleration in the event of a change-in-law event as described
under “General Terms of Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement and “Selected
Risk Considerations — Risks Relating to the Notes Generally — We May Accelerate Your Notes If a Change-in-Law Event Occurs”
in this document
If the Buffered PLUS priced today and assuming a maximum payment
at maturity equal to the minimum listed above, the estimated value of the Buffered PLUS would be approximately $963.80 per $1,000 stated
principal amount Buffered PLUS. The estimated value of the Buffered PLUS on the pricing date will be provided in the pricing supplement
and will not be less than $940.00 per $1,000 stated principal amount Buffered PLUS. See “Additional Information about the Buffered
PLUS — The estimated value of the Buffered PLUS” in this document for additional information.
Investing in the Buffered PLUS 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-11 of the accompanying product supplement and “Risk Factors” beginning on page 7 of this
document.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the Buffered PLUS or passed upon the accuracy
or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and
prospectus addendum. Any representation to the contrary is a criminal offense.
The Buffered PLUS are not bank deposits, are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should read this document together with the related
product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum, each of which can be accessed via
the hyperlinks below. Please also see “Additional Information about the Buffered PLUS” at the end of this document.
Product supplement no. 4-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
Underlying supplement no. 1-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
Prospectus supplement and prospectus, each dated April
13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
Prospectus addendum dated June 3, 2024: http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due February 4, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Terms continued from previous page:
Minimum payment at maturity: |
$100.00 per Buffered PLUS (10.00% of the stated principal amount) |
Stated principal amount: |
$1,000 per Buffered PLUS |
Issue price: |
$1,000 per Buffered PLUS (see “Commissions and issue price” above) |
Initial index value: |
The closing level of the underlying index on the pricing date |
Final index value: |
The closing level of the underlying index on the valuation date |
CUSIP / ISIN: |
48135PUX7 / US48135PUX76 |
Listing: |
The Buffered PLUS will not be listed on any securities exchange. |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Buffered Performance Leveraged Upside Securities
Principal at Risk Securities
The Dual Directional Buffered PLUS Based on the Value of the MSCI
Emerging Markets Index due August 20, 2026 (the “Buffered PLUS”) can be used:
| § | As an alternative to direct exposure to the underlying index that enhances returns for a certain range of potential positive performance
of the underlying index. |
| § | To potentially achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum payment
at maturity, while using fewer dollars by taking advantage of the leverage factor. |
| § | To provide an unleveraged positive return in the event of a decline of the underlying index but only if the decline is less than
or equal to the buffer amount. |
| § | To obtain a buffer against a specified level of negative performance of the underlying index. |
Maturity: |
Approximately 2 years |
Leverage factor: |
150% |
Buffer amount: |
10.00% |
Maximum payment at maturity: |
At least $1,227.00 (at least 122.70% of the stated principal amount) per Buffered PLUS (to be provided in the pricing supplement) |
Minimum payment at maturity: |
$100.00 per Buffered PLUS. Investors may lose up to 90.00% of the stated principal amount of the Buffered PLUS at maturity. |
Supplemental Terms of the Buffered PLUS
For purposes of the accompanying product
supplement, the underlying index is an “Index.”
Any values of the underlying index, and any values derived therefrom,
included in this document may be corrected, in the event of manifest error or inconsistency, by amendment of this document and the corresponding
terms of the Buffered PLUS. Notwithstanding anything to the contrary in the indenture governing the Buffered PLUS, that amendment will
become effective without consent of the holders of the Buffered PLUS or any other party.
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
Buffered PLUS offer leveraged exposure to an underlying asset, which
may be equities, commodities and/or currencies, and the opportunity, through the absolute return feature, to earn a positive return at
maturity for a limited range of negative performance of the underlying asset. If the underlying asset has decreased in value by more than
the specified buffer amount, investors are exposed to the negative performance of the underlying asset, subject to the minimum payment
at maturity. At maturity, if the underlying asset has appreciated, investors will receive the stated principal amount of their investment
plus leveraged upside performance of the underlying asset, subject to the maximum payment at maturity. At maturity, if the underlying
asset has depreciated but by no more than the specified buffer amount, investors will receive the stated principal amount of their investment
plus an unleveraged positive return equal to the absolute value of the percentage decline in the underlying asset, which will effectively
be limited to a positive 10% return. However, at maturity, if the underlying asset has depreciated by more than the buffer amount, the
investor will lose the benefit of the absolute return feature and will lose 1% for every 1% decline beyond the specified buffer amount.
Investors may lose up to 90.00% of the stated principal amount of the Buffered PLUS at maturity.
Leveraged Performance |
The Buffered PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the underlying index. |
Upside Scenario |
The underlying index increases in value and, at maturity, the Buffered PLUS pay the stated principal amount of $1,000 plus a return equal to 150% of the index percent increase, subject to the maximum payment at maturity of at least $1,227.00 (at least 122.70% of the stated principal amount) per Buffered PLUS. The actual maximum payment at maturity will be provided in the pricing supplement. |
Absolute Return Scenario |
The final index value is equal to the initial index value or is less than initial index value but has decreased from the initial index value by an amount less than or equal to the buffer amount of 10.00%. In this case, the securities pay a 1% positive return for each 1% negative return of the underlying index. For example, if the final index value is 5% less than the initial index value, the securities will provide a total positive return of 5% at maturity. The maximum return you may receive in this scenario is a positive 10% return at maturity. |
Downside Scenario |
The underlying index declines in value by more than 10.00% and, at maturity, the Buffered PLUS pay an amount that is less than the stated principal amount by an amount that is proportionate to the percentage decline of the final index value from the initial index value, plus the buffer amount of 10.00%. (Example: if the underlying index decreases in value by 30%, the Buffered PLUS will pay an amount that is less than the stated principal amount by 30% plus the buffer amount of 10.00%, or $800.00 per Buffered PLUS.) The minimum payment at maturity is $100.00 per Buffered PLUS, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Buffered PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on the
Buffered PLUS based on the following terms:
Stated principal amount: |
$1,000 per Buffered PLUS |
Leverage factor: |
150% |
Hypothetical maximum payment at maturity: |
$1,227.00 (122.70% of the stated principal amount) per Buffered PLUS (which represents the lowest hypothetical maximum payment at maturity)* |
Minimum payment at maturity: |
$100.00 per Buffered PLUS |
* The actual maximum payment at maturity will be provided in the pricing supplement and will not be less than $1,227.00 per Buffered PLUS. |
Buffered PLUS Payoff Diagram |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224001219/image_001.jpg) |
How it works
| § | Upside Scenario. If the final index value is
greater than the initial index value, for each $1,000 principal amount Buffered PLUS investors will receive the $1,000 stated principal
amount plus a return equal to 150% of the appreciation of the underlying index over the term of the Buffered PLUS, subject to the
maximum payment at maturity. Under the hypothetical terms of the Buffered PLUS, an investor will realize the hypothetical maximum payment
at maturity at a final index value of approximately 115.1334% of the initial index value. |
| § | Absolute Return Scenario. If the final index
value is equal to the initial index value or is less than or equal to the initial index value but has decreased from the initial index
value by an amount less than or equal to the buffer amount of 10.00%, investors will receive a 1% positive return on the securities for
each 1% negative return of the underlying index. |
| § | For example, if the underlying index declines 5%, investors will receive a 5% return, or $1,050.00 per Buffered PLUS. |
| § | The maximum return you may receive in this scenario is a positive 10% return at maturity. |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | Downside Scenario. If the final index value
is less than the initial index value and has decreased from the initial index value by an amount greater than the buffer amount of 10.00%,
investors will receive an amount that is less than the stated principal amount by an amount proportionate to the percentage decrease of
the final index value from the initial index value, plus the buffer amount of 10.00%. The minimum payment at maturity is $100.00 per Buffered
PLUS. |
| § | For example, if the underlying index depreciates 50.00%, investors will lose 40.00% of their principal and receive only $600.00 per
Buffered PLUS at maturity, or 60.00% of the stated principal amount. |
The hypothetical returns and hypothetical payments
on the Buffered PLUS shown above apply only if you hold the Buffered PLUS for their entire term. These hypotheticals do not reflect
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the Buffered PLUS. For further discussion of these
and other risks, you should read the sections entitled “Risk Factors” of the accompanying prospectus supplement and the accompanying
product supplement and in Annex A to the accompanying prospectus addendum. We urge you to consult your investment, legal, tax, accounting
and other advisers in connection with your investment in the Buffered PLUS.
Risks Relating to the
Buffered PLUS Generally
| § | Buffered PLUS do not pay interest and you could lose up to 90.00% of your
principal at maturity. The terms of the Buffered PLUS differ from those of ordinary debt securities in that the Buffered PLUS
do not pay interest and provide a minimum payment at maturity of only 10.00% of your principal, subject to the credit risks of JPMorgan
Financial and JPMorgan Chase & Co. If the final index value has declined by an amount greater than the buffer amount of
10.00% from the initial index value, you will lose the benefit of the absolute return feature and you will instead receive for each Buffered
PLUS that you hold a payment at maturity that is less than the stated principal amount of each Buffered PLUS by an amount proportionate
to the decline in the value of the underlying index, plus $100.00 per Buffered PLUS. Accordingly, you could lose up to 90.00% of
your principal. |
| § | The appreciation potential of the Buffered PLUS if the underlying index
has appreciated is limited by the maximum payment at maturity. The appreciation potential of the
Buffered PLUS is limited by the maximum payment at maturity of at least $1,227.00 (at least 122.70% of the stated principal amount) per
Buffered PLUS. The actual maximum payment at maturity will be provided in the pricing supplement. Because the maximum payment at maturity
will be limited to at least 122.70% of the stated principal amount for the Buffered PLUS, any increase in the final index value by more
than approximately 15.1334% (if the maximum payment at maturity is set at 122.70% of the stated principal amount) will not further increase
the return on the Buffered PLUS. |
| § | Your maximum downside gain on the Buffered PLUS is limited by the buffer
amount. If the final index value is less than the initial index value but has decreased from the
initial index value by an amount less than or equal to the buffer amount, you will receive at maturity $1,000 plus a return equal
to the absolute index return, which will reflect a 1% positive return for each 1% negative return on the underlying index, subject to
an effective limit of 10%. Because you will not receive a positive return if the underlying index has declined below the buffer
amount, your maximum payment at maturity if the underlying index depreciates will be $1,100.00 per Buffered PLUS. |
| § | The Buffered PLUS are subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit
ratings or credit spreads may adversely affect the market value of the Buffered PLUS. Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the Buffered PLUS. Any actual or anticipated decline in our or JPMorgan
Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined
by the market for taking that credit risk is likely to adversely affect the market value of the Buffered PLUS. If we and JPMorgan Chase & Co.
were to default on our payment obligations, you may not receive any amounts owed to you under the Buffered PLUS and you could lose your
entire investment. |
| § | As a finance subsidiary, JPMorgan Financial has no independent operations
and has limited assets. As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond
the issuance and administration of our securities 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 Buffered PLUS. 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 Buffered PLUS as they come due. If JPMorgan Chase & Co.
does not make payments to us and we are unable to make payments on the Buffered PLUS, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co. For more information, see the accompanying prospectus addendum. |
| § | Secondary trading may be limited. The
Buffered PLUS will not be listed on a securities exchange. There may be little or no secondary market for the Buffered PLUS. Even if there
is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Buffered PLUS easily.
JPMS may act as |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
a market maker for the Buffered PLUS,
but is not required to do so. Because we do not expect that other market makers will participate significantly in the secondary market
for the Buffered PLUS, the price at which you may be able to trade your Buffered PLUS is likely to depend on the price, if any, at which
JPMS is willing to buy the Buffered PLUS. If at any
time JPMS or another agent does not act as a market
maker, it is likely that there would be little or no secondary market for the Buffered PLUS.
| § | We may accelerate your Buffered PLUS in our sole discretion and the calculation agent may
adjust their final payment in good faith and in a commercially reasonable manner if a change-in-law event occurs. Upon the
announcement or occurrence of legal or regulatory changes that the calculation agent determines are likely to interfere with your or our
ability to transact in or hold the Buffered PLUS or our ability to hedge or perform our obligations under the Buffered PLUS, we may, in
our sole and absolute discretion, accelerate the payment on your Buffered PLUS and pay you an amount determined in good faith and in a
commercially reasonable manner by the calculation agent. If the payment on your Buffered PLUS is accelerated, your investment may result
in a loss and you may not be able to reinvest your money in a comparable investment. Please see “General Terms of Notes —
Consequences of a Change-in-Law Event” in the accompanying product supplement for more information. |
| § | The final terms and estimated valuation of the Buffered PLUS will be provided in the pricing
supplement. The final terms of the Buffered PLUS will be provided in the pricing supplement. In particular, each of the
estimated value of the Buffered PLUS and the maximum payment at maturity will be provided in the pricing supplement and each may be as
low as the applicable minimum set forth on the cover of this document. Accordingly, you should consider your potential investment in the
Buffered PLUS based on the minimums for the estimated value of the Buffered PLUS and the maximum payment at maturity. |
| § | The tax consequences of an investment in the Buffered PLUS are uncertain. There is no direct legal authority as to the proper
U.S. federal income tax characterization of the Buffered PLUS, and we do not intend to request a ruling from the IRS. The IRS might not
accept, and a court might not uphold, the treatment of the Buffered PLUS described in “Additional Information about the Buffered
PLUS ― Additional Provisions ― Tax considerations” in this document and in “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement. If the IRS were successful in asserting an alternative treatment for the Buffered PLUS, the timing
and character of any income or loss on the Buffered PLUS could differ materially and adversely from our description herein. 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 Buffered PLUS,
possibly with retroactive effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the Buffered PLUS, including possible alternative treatments and the issues presented by this notice. |
Risks Relating to Conflicts of Interest
| § | Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the Buffered PLUS and other
affiliates of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the Buffered PLUS, including acting as calculation agent
and as an agent of the offering of the Buffered PLUS, hedging our obligations under the Buffered PLUS and making the assumptions used
to determine the pricing of the Buffered PLUS and the estimated value of the Buffered PLUS, which we refer to as the estimated value of
the Buffered PLUS. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic
interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Buffered
PLUS. The calculation agent will determine the initial index value and the final index value and will calculate the amount of payment
you will receive at maturity. Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence
of market disruption events, the selection of a successor to the underlying index or calculation of the final index value in the event
of a discontinuation or material change in method of calculation of the underlying index, may affect the payment to you at maturity. |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
In addition,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and
JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the Buffered
PLUS and the value of the Buffered PLUS. It is possible that hedging or trading activities of ours or our affiliates in connection with
the Buffered PLUS could result in substantial returns for us or our affiliates while the value of the Buffered PLUS declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information
about these risks.
| § | Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the Buffered
PLUS. The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect
to the Buffered PLUS on or prior to the pricing date and
prior to maturity could adversely affect the value of the underlying index and, as a result, could decrease the amount an investor may
receive on the Buffered PLUS at maturity. Any of these hedging or trading activities on or prior to the pricing date could potentially
affect the initial index value and, therefore, could potentially increase the level that the final index value must reach before you receive
a payment at maturity that exceeds the issue price of the Buffered
PLUS or so that you do not suffer a loss on your initial investment in the Buffered PLUS. Additionally, these hedging or trading
activities during the term of the Buffered PLUS, including
on the valuation date, could adversely affect the final index value and, accordingly, the payment to you at maturity. It is possible that
these hedging or trading activities could result in substantial returns for us or our affiliates while the value of the Buffered PLUS
declines. |
Risks Relating to the Estimated
Value and Secondary Market Prices of the Buffered PLUS
| § | The estimated value of the Buffered PLUS will be lower than the original
issue price (price to public) of the Buffered PLUS. The estimated value of the Buffered PLUS is
only an estimate determined by reference to several factors. The original issue price of the Buffered PLUS will exceed the estimated value
of the Buffered PLUS because costs associated with selling, structuring and hedging the Buffered PLUS are included in the original issue
price of the Buffered PLUS. These costs include the selling commissions, the structuring fee, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the Buffered PLUS and the estimated cost of
hedging our obligations under the Buffered PLUS. See “Additional Information about the Buffered PLUS — The estimated value
of the Buffered PLUS” in this document. |
| § | The estimated value of the Buffered PLUS does not represent future values
of the Buffered PLUS and may differ from others’ estimates. The estimated value of the Buffered
PLUS is determined by reference to internal pricing models of our affiliates. This estimated value of the Buffered PLUS is based on market
conditions and other relevant factors existing at the time of pricing and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the Buffered PLUS
that are greater than or less than the estimated value of the Buffered PLUS. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the Buffered PLUS could change
significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy the Buffered
PLUS from you in secondary market transactions. See “Additional Information about the Buffered PLUS — The estimated value
of the Buffered PLUS” in this document. |
| § | The estimated value of the Buffered PLUS is derived by reference to an
internal funding rate. The internal funding rate used in the determination of the estimated value
of the Buffered PLUS may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued
by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the Buffered PLUS as well as the higher issuance, operational and ongoing liability management costs of the
Buffered PLUS in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal
funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the Buffered PLUS. The use of an internal funding rate and any potential changes to that rate may
have an adverse effect on the terms of the Buffered PLUS and any secondary market prices of the Buffered PLUS. See “Additional Information
about the Buffered PLUS — The estimated value of the Buffered PLUS” in this document. |
| § | The value of the Buffered PLUS as published by JPMS (and which may be reflected
on customer account statements) may be higher than the then-current estimated value of the Buffered PLUS for a limited time period.
We generally expect that some of the costs included in the original issue price of the Buffered PLUS
will be partially paid back to you in connection with any repurchases of your Buffered PLUS by JPMS in an amount that will decline to zero over an
initial predetermined period. These costs can include selling commissions, the structuring fee, projected hedging profits, if any, and,
in some |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. See “Additional Information
about the Buffered PLUS — Secondary market prices of the Buffered PLUS” in this document for additional information relating
to this initial period. Accordingly, the estimated value of your Buffered PLUS during this initial period may be lower than the value
of the Buffered PLUS as published by JPMS (and which may be shown on your customer account statements).
| § | Secondary market prices of the Buffered PLUS will likely be lower than the original issue price of the Buffered PLUS.
Any secondary market prices of the Buffered PLUS will likely be lower than the original issue price of the Buffered PLUS because,
among other things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances
and, also, because secondary market prices may exclude selling commissions, the structuring fee, projected hedging profits, if any, and
estimated hedging costs that are included in the original issue price of the Buffered PLUS. As a result, the price, if any, at which JPMS
will be willing to buy Buffered PLUS from you in secondary market transactions, if at all, is likely to be lower than the original issue
price. Any sale by you prior to the maturity date could result in a substantial loss to you. See the immediately following risk factor
for information about additional factors that will impact any secondary market prices of the Buffered PLUS. |
The Buffered PLUS are not designed to be
short-term trading instruments. Accordingly, you should be able and willing to hold your Buffered PLUS to maturity. See “—
Risks Relating to the Buffered PLUS Generally — Secondary trading may be limited” above.
| § | Secondary market prices of the Buffered PLUS will be impacted by many economic
and market factors. The secondary market price of the Buffered PLUS during their term will be impacted by a number of
economic and market factors, which may either offset or magnify each other, aside from the selling commissions, structuring fee, projected
hedging profits, if any, estimated hedging costs and the closing level of the underlying index, including: |
| o | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| o | customary bid-ask spreads for similarly sized trades; |
| o | our internal secondary market funding rates for structured debt issuances; |
| o | the actual and expected volatility of the underlying index; |
| o | the time to maturity of the Buffered PLUS; |
| o | the dividend rates on the equity securities included in the underlying index; |
| o | interest and yield rates in the market generally; |
| o | the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity
securities included in the underlying index trade and the correlation among those rates and the levels of the underlying index; and |
| o | a variety of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the Buffered PLUS, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Buffered PLUS, if any, at which JPMS may be willing to purchase your
Buffered PLUS in the secondary market.
Risks Relating to the Underlying
Index
| § | Investing in the Buffered PLUS is not equivalent to investing in the underlying
index. Investing in the Buffered PLUS is not equivalent to investing in the underlying index or
its component stocks. Investors in the Buffered PLUS will not have voting rights or rights to receive dividends or other distributions
or any other rights with respect to the stocks that constitute the underlying index. |
| § | Adjustments to the underlying index could adversely affect the value of
the Buffered PLUS. The underlying index publisher may discontinue or suspend calculation or publication
of the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor
index that is comparable to the discontinued underlying index and is not precluded from considering indices that are calculated and published
by the calculation agent or any of its affiliates. |
| § | The Buffered PLUS are subject
to risks associated with securities issued by non-U.S. companies. The equity securities included in the underlying index have been
issued by non-U.S. companies. Investments in |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
securities
linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the
issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets
and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies
in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally
non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules
different from those applicable to U.S. reporting companies.
| § | The Buffered PLUS are subject
to risks associated with emerging markets. The equity securities included in the underlying index have been issued by non-U.S. companies
located in emerging markets countries. Countries with emerging markets may have relatively unstable governments, may present the risks
of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less
protection of property rights than more developed countries. The economies of countries with emerging markets may be based on only a few
industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens
or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases
in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. |
| § | The Buffered PLUS are subject
to currency exchange risk. Because the prices of the equity securities included in the underlying index are converted into U.S. dollars
for the purposes of calculating the values of the underlying index, holders of the Buffered PLUS will be exposed to currency exchange
rate risk with respect to the currencies in which securities included in the underlying index are traded. Your net exposure will depend
on the extent to which the currencies in which securities included in the underlying index are traded strengthen or weaken against the
U.S. dollar. If the U.S. dollar strengthens against the currencies in which securities included in the underlying index are traded, the
value of the underlying index will be adversely affected and the amount we pay you at maturity may be reduced. Of particular importance
to potential currency exchange risk are: |
| o | existing and expected rates of inflation; |
| o | existing and expected interest rate levels; |
| o | the balance of payments in the countries issuing those currencies and the United States and
between each country and its major trading partners; |
| o | political, civil or military unrest in the countries issuing those currencies and the United
States; and |
| o | the extent of government surpluses or deficits in the countries issuing those currencies and
the United States. |
All of these factors are
in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies and
the United States and other countries important to international trade and finance.
| § | Recent executive orders may adversely affect the performance of the underlying
index. Pursuant to recent executive orders, U.S. persons are prohibited from engaging in transactions in, or possession of,
publicly traded securities of certain companies that are determined to be linked to the People’s Republic of China military, intelligence
and security apparatus, or securities that are derivative of, or are designed to provide investment exposure to, those securities.
The sponsor of the underlying index has recently removed the equity securities of a small number of companies from the underlying index
in response to these executive orders. If the issuer of any of the equity securities included in the underlying index is in the
future designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly, which would
adversely affect the performance of the underlying index. In addition, under these circumstances, the sponsor of the underlying
index is expected to remove the equity securities of that company from the underlying index. Any changes to the composition of the
underlying index in response to these executive orders could adversely affect the performance of the underlying index. |
| § | Governmental legislative and regulatory actions, including sanctions, could adversely affect your investment in the Buffered PLUS.
Governmental legislative and regulatory actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government,
could prohibit or otherwise restrict persons from holding the Buffered PLUS or the securities included in the underlying index, or engaging
in transactions in them, and any such action could adversely affect the value of the Buffered PLUS or the underlying index. These legislative and regulatory actions
could result in restrictions on the Buffered PLUS. You may lose a significant portion or all of your initial investment in the Buffered
PLUS if you are |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
forced to divest the Buffered PLUS due
to the government mandates, especially if such divestment must be made at a time when the value of the Buffered PLUS has declined.
MSCI Emerging Markets Index Overview
The MSCI Emerging Markets Index is a free-float adjusted market
capitalization index that is designed to measure equity market performance of global emerging markets. For additional information about
the MSCI Emerging Markets Index, see the information set forth under “Equity Index Descriptions — The MSCI Indices”
in the accompanying underlying supplement.
Information as of market close on July 23, 2024:
Bloomberg Ticker Symbol: |
MXEF |
52 Week High (on 7/11/2024): |
1,124.86 |
Current Closing Level: |
1,086.96 |
52 Week Low (on 10/26/2023): |
910.91 |
52 Weeks Ago (on 7/24/2023): |
1,013.45 |
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the underlying index for each quarter in the period from January 1, 2019 through
July 23, 2024. The closing level of the underlying index on July 23, 2024 was 1,086.96. The associated graph shows the closing levels
of the underlying index for each day in the same period. We obtained the closing level information above and in the table and graph below
from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical closing
levels of the underlying index should not be taken as an indication of future performance, and no assurance can be given as to the closing
level of the underlying index on the valuation date. The payment of dividends on the stocks that constitute the underlying index are not
reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
MSCI Emerging Markets Index |
High |
Low |
Period End |
2019 |
|
|
|
First Quarter |
1,070.95 |
949.57 |
1,058.13 |
Second Quarter |
1,096.39 |
984.81 |
1,054.86 |
Third Quarter |
1,064.63 |
960.81 |
1,001.00 |
Fourth Quarter |
1,118.61 |
989.20 |
1,114.66 |
2020 |
|
|
|
First Quarter |
1,146.83 |
758.20 |
848.58 |
Second Quarter |
1,014.62 |
827.26 |
995.10 |
Third Quarter |
1,121.60 |
1,001.08 |
1,082.00 |
Fourth Quarter |
1,291.26 |
1,081.71 |
1,291.26 |
2021 |
|
|
|
First Quarter |
1,444.93 |
1,288.42 |
1,316.43 |
Second Quarter |
1,390.85 |
1,292.78 |
1,374.64 |
Third Quarter |
1,368.22 |
1,220.78 |
1,253.10 |
Fourth Quarter |
1,301.13 |
1,190.08 |
1,232.01 |
2022 |
|
|
|
First Quarter |
1,267.34 |
1,026.77 |
1,141.79 |
Second Quarter |
1,161.65 |
987.82 |
1,000.67 |
Third Quarter |
1,016.83 |
873.29 |
875.79 |
Fourth Quarter |
984.26 |
842.76 |
956.38 |
2023 |
|
|
|
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
MSCI Emerging Markets Index |
High |
Low |
Period End |
First Quarter |
1,052.46 |
941.35 |
990.28 |
Second Quarter |
1,030.03 |
958.53 |
989.48 |
Third Quarter |
1,046.91 |
944.08 |
952.78 |
Fourth Quarter |
1,023.74 |
910.91 |
1,023.74 |
2024 |
|
|
|
First Quarter |
1,049.07 |
958.39 |
1,043.20 |
Second Quarter |
1,101.91 |
1,004.17 |
1,086.25 |
Third Quarter (through July 23, 2024) |
1,124.86 |
1,079.78 |
1,086.96 |
MSCI Emerging Markets Index
Historical Performance – Daily Closing Levels
January 2, 2019 to July
23, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1665650/000101376224001219/image_002.jpg) |
License Agreement. JPMorgan Chase & Co. or its
affiliate has entered into an agreement with MSCI Inc. providing 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 MSCI Emerging Markets Index, which are owned and published
by MSCI Inc., in connection with certain securities, including the securities. For more information, see “Equity Index Descriptions
— The MSCI Indices — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information about the Buffered PLUS
Please read this information in conjunction with the terms on the
front cover of this document.
Additional Provisions: |
Postponement of maturity date: |
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Buffered PLUS will be postponed to the third business day following the valuation date as postponed. |
Minimum ticketing size: |
$1,000 / 1 Buffered PLUS |
Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
Calculation agent: |
JPMS |
The estimated value of the Buffered PLUS: |
The estimated value of the Buffered PLUS set forth on the
cover of this document is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the Buffered PLUS, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the Buffered PLUS. The estimated value of the Buffered PLUS does not represent a minimum price at which
JPMS would be willing to buy your Buffered PLUS in any secondary market (if any exists) at any time. The internal funding rate used in
the determination of the estimated value of the Buffered PLUS may differ from the market-implied funding rate for vanilla fixed income
instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among
other things, our and our affiliates’ view of the funding value of the Buffered PLUS as well as the higher issuance, operational
and ongoing liability management costs of the Buffered PLUS in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to
be incorrect, and is intended to approximate the prevailing market replacement funding rate for the Buffered PLUS. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the Buffered PLUS and any secondary market
prices of the Buffered PLUS. For additional information, see “Risk Factors — Risks Relating to the Estimated Value and Secondary
Market Prices of the Buffered PLUS — The estimated value of the Buffered PLUS is derived by reference to an internal funding rate”
in this document. The value of the derivative or derivatives underlying the economic terms of the Buffered PLUS is derived from internal
pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments
and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and
other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the Buffered
PLUS on the pricing date is based on market conditions and other relevant factors and assumptions existing at that time. See “Risk
Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Buffered PLUS — The estimated value of
the Buffered PLUS does not represent future values of the Buffered PLUS and may differ from others’ estimates” in this document.
The estimated value of the Buffered PLUS will be lower than the
original issue price of the Buffered PLUS because costs associated with selling, structuring and hedging the Buffered PLUS are included
in the original issue price of the Buffered PLUS. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the Buffered PLUS and the estimated cost of hedging our obligations under the Buffered PLUS. Because hedging our
obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or
less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the Buffered
PLUS may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Buffered PLUS —
The estimated value of the Buffered PLUS will be lower than the original issue price (price to public) of the Buffered PLUS” in
this |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
document. |
Secondary market prices of the Buffered PLUS: |
For information about factors that will impact any secondary market prices of the Buffered PLUS, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Buffered PLUS — Secondary market prices of the Buffered PLUS will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the Buffered PLUS will be partially paid back to you in connection with any repurchases of your Buffered PLUS by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the Buffered PLUS. The length of any such initial period reflects the structure of the Buffered PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Buffered PLUS and when these costs are incurred, as determined by our affiliates. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Buffered PLUS — The value of the Buffered PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the Buffered PLUS for a limited time period.” |
Tax considerations: |
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion, when read
in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the
material U.S. federal income tax consequences of owning and disposing of the Buffered PLUS.
Based on current market conditions, in the opinion
of our special tax counsel it is reasonable to treat your Buffered PLUS 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 Buffered PLUS should be treated as long-term capital gain or loss if you
hold your Buffered PLUS for more than a year, whether or not you are an initial purchaser of Buffered PLUS at the issue price. However,
the IRS or a court may not respect this treatment of the Buffered PLUS, in which case the timing and character of any income or loss on
the Buffered PLUS could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It
also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the
relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income
(including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are
or should be subject to the “constructive ownership” regime, 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 Buffered PLUS, possibly with retroactive effect. You should consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the Buffered PLUS, including possible alternative
treatments and the issues presented by this notice. |
Supplemental use of proceeds and hedging: |
The Buffered PLUS are offered to meet investor demand for
products that reflect the risk-return profile and market exposure provided by the Buffered PLUS. See “How the Buffered PLUS Work”
in this document for an illustration of the risk-return profile of the Buffered PLUS and “MSCI Emerging Markets Index Overview”
in this document for a description of the market exposure provided by the Buffered PLUS.
The original issue price of the Buffered PLUS is equal to
the estimated value of the Buffered PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the
structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the Buffered PLUS, plus the estimated cost of hedging our obligations under the Buffered PLUS. |
Benefit plan investor considerations: |
See “Benefit Plan Investor Considerations” in the accompanying product supplement. |
Supplemental notice to investors: |
The Buffered PLUS may cause you to become subject to short position disclosure requirements if they confer a financial advantage on you in the event of a decrease in the price or value of any relevant shares under Regulation (EU) No. 236/2012 (the “Short Selling Regulation”). This will occur if the short position represented by the short exposure provided by the Buffered PLUS, when combined with other long and short positions you may hold, causes you to cross a relevant net short position disclosure threshold under the Short Selling Regulation. It is your |
JPMorgan Chase Financial Company LLC
Dual Directional Buffered PLUS Based on the Value of the MSCI Emerging Markets Index due August 20, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
responsibility to monitor your net short positions and to comply with the obligations applicable to you under the Short Selling Regulation. You should consult with your own legal and regulatory advisers regarding the Buffered PLUS should you have any concerns about these requirements. |
Supplemental plan of distribution: |
Subject to regulatory constraints, JPMS intends to use its
reasonable efforts to offer to purchase the Buffered PLUS in the secondary market, but is not required to do so. JPMS, acting as agent
for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition,
Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each Buffered PLUS.
We or our affiliate may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Buffered PLUS and
JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “—
Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying product supplement. |
Where you can find more information: |
You may revoke your offer to purchase the Buffered PLUS at any time
prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject
any offer to purchase, the Buffered PLUS prior to their issuance. In the event of any changes to the terms of the Buffered PLUS, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in
which case we may reject your offer to purchase.
You should read this document together with the accompanying prospectus,
as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these Buffered PLUS are
a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement and the
accompanying underlying supplement.
This document, together with the documents listed below, contains
the terms of the Buffered PLUS and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, stand-alone
fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth
in the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex
A to the accompanying prospectus addendum, as the Buffered PLUS involve risks not associated with conventional debt securities. We urge
you to consult your investment, legal, tax, accounting and other advisers before you invest in the Buffered PLUS.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
• Product supplement no. 4-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
• Underlying supplement
no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
• Prospectus supplement and prospectus, each dated April
13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
• Prospectus addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,” and
“our” refer to JPMorgan Financial.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley. |
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From Jul 2023 to Jul 2024