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
3, 2024
Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 4-I dated April 13, 2023,
underlying supplement no. 1-I dated April 13, 2023 and
prospectus addendum dated June 3, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01
Dated September , 2024
Rule 424(b)(2)
|
| JPMorgan Chase Financial Company LLC |
|
Structured
Investments
|
$
Auto Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index due March 4, 2026
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co. |
General
| · | If the notes are not automatically called, investors will
receive uncapped, leveraged exposure of at least 1.50 times any appreciation of the S&P 500® Index at maturity. |
| · | Investors should be willing to forgo interest and dividend
payments and, if the notes are not automatically called and the Ending Index Level is less than the Index Strike Level by more than 20.00%,
be willing to lose some or all of their principal amount at maturity. |
| · | The notes will be automatically called if the closing level
of the Index is greater than or equal to the Index Strike Level on the Review Date. |
| · | The notes are unsecured and unsubordinated obligations of
JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed
by JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and
the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| · | Minimum denominations of $10,000 and integral multiples of
$1,000 in excess thereof |
Key Terms
| Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| Index: |
The S&P 500® Index (Bloomberg ticker: SPX) |
| Automatic Call: |
On the Review Date, if the closing level of the Index is greater than or equal to the Index Strike Level, the notes will be automatically called for a cash payment plus a call premium amount per note that will be payable on the Call Settlement Date. |
| Payment if Called: |
If the notes are automatically called, you will receive one payment of $1,000 plus a call premium amount equal to at least 4.60%. The actual call premium will be provided in the pricing supplement and will not be less than 4.60%. |
| Payment at Maturity: |
If the notes have not been automatically called and the Ending Index Level is greater than the Index Strike Level, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return multiplied by the Upside Leverage Factor. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
| |
$1,000 + ($1,000 × Index Return × Upside Leverage Factor) |
| |
If the notes have not been automatically called and the Ending Index Level is equal to the Index Strike Level or is less than the Index Strike Level by up to 20.00%, you will receive the principal amount of your notes at maturity. |
| |
If the notes have not been automatically called and the Ending Index Level is less than the Index Strike Level by more than 20.00%, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Index Strike Level. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
| |
$1,000 + ($1,000 × Index Return) |
| |
If the notes have not been automatically called, you will lose some or all of your principal amount at maturity if the Ending Index Level is less than the Index Strike Level by more than 20.00%. |
| Upside Leverage Factor: |
At least 1.50. The actual Upside Leverage Factor will be provided in the pricing supplement and will not be less than 1.50. |
| Contingent Buffer Amount: |
20.00% |
| Index Return: |
(Ending Index Level – Index Strike
Level)
Index Strike Level |
|
| Index Strike Level: |
5,648.40, which was the closing level of the Index on the Strike Date. The Index Strike Level is not determined by reference to the closing level of the Index on the Pricing Date. |
| Ending Index Level: |
The closing level of the Index on the Valuation Date |
| Strike Date: |
August 30, 2024 |
| Pricing Date: |
On or about September 3, 2024 |
| Original Issue Date: |
On or about September 6, 2024 (Settlement Date) |
| Review Date*: |
February 28, 2025 |
| Call Settlement Date*: |
March 5, 2025 |
| Valuation Date*: |
February 27, 2026 |
| Maturity Date*: |
March 4, 2026 |
| CUSIP: |
48135TTF0 |
| * | 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 |
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-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-5 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 |
$ |
$ |
| Total |
$ |
$ |
$ |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public
of the notes. |
| (2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions
it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $10.00 per $1,000 principal
amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement |
If the notes priced today, the estimated value of the notes would be
approximately $984.90 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 $970.00 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.
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.
| | |
| JPMorgan Structured Investments — | PS- 1 |
| Auto Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
What Is the Total Return on the
Notes at Maturity, Assuming a Range of Performances for the Index?
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement
is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.
Each hypothetical total return or payment at maturity set forth below assumes a hypothetical Index Strike Level of 100.00, a call premium
of 4.60% and an Upside Leverage Factor of 1.50, and reflects the Contingent Buffer Amount of 20.00%. The hypothetical Index Strike Level
of 100.00 has been chosen for illustrative purposes only and does not represent the actual Index Strike Level. The actual Index Strike
Level, call premium and Upside Leverage Factor will be provided in the pricing supplement. Each hypothetical total return or payment at
maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to
a purchaser of the notes. The numbers appearing in the following table and in the examples below have been rounded for ease of analysis.
| Review Date |
The notes are not automatically called. |
Closing Level of
the Index on the
Review Date |
Appreciation/
Depreciation of
Index on
Review Date |
Total Return
on Call
Settlement
Date |
Ending Index
Level |
Index
Return |
Total Return |
| 160.00 |
60.00% |
4.60% |
160.00 |
60.00% |
90.00% |
| 150.00 |
50.00% |
4.60% |
150.00 |
50.00% |
75.00% |
| 140.00 |
40.00% |
4.60% |
140.00 |
40.00% |
60.00% |
| 130.00 |
30.00% |
4.60% |
130.00 |
30.00% |
45.00% |
| 120.00 |
20.00% |
4.60% |
120.00 |
20.00% |
30.00% |
| 110.00 |
10.00% |
4.60% |
110.00 |
10.00% |
15.00% |
| 105.00 |
5.00% |
4.60% |
105.00 |
5.00% |
7.50% |
| 102.50 |
2.50% |
4.60% |
102.50 |
2.50% |
3.75% |
| 100.00 |
0.00% |
4.60% |
100.00 |
0.00% |
0.00% |
| 97.50 |
-2.50% |
N/A |
97.50 |
-2.50% |
0.00% |
| 95.00 |
-5.00% |
N/A |
95.00 |
-5.00% |
0.00% |
| 90.00 |
-10.00% |
N/A |
90.00 |
-10.00% |
0.00% |
| 80.00 |
-20.00% |
N/A |
80.00 |
-20.00% |
0.00% |
| 79.99 |
-20.01% |
N/A |
79.99 |
-20.01% |
-20.01% |
| 70.00 |
-30.00% |
N/A |
70.00 |
-30.00% |
-30.00% |
| 60.00 |
-40.00% |
N/A |
60.00 |
-40.00% |
-40.00% |
| 50.00 |
-50.00% |
N/A |
50.00 |
-50.00% |
-50.00% |
| 40.00 |
-60.00% |
N/A |
40.00 |
-60.00% |
-60.00% |
| 30.00 |
-70.00% |
N/A |
30.00 |
-70.00% |
-70.00% |
| 20.00 |
-80.00% |
N/A |
20.00 |
-80.00% |
-80.00% |
| 10.00 |
-90.00% |
N/A |
10.00 |
-90.00% |
-90.00% |
| 0.00 |
-100.00% |
N/A |
0.00 |
-100.00% |
-100.00% |
| | |
| JPMorgan Structured Investments — | PS- 2 |
| Auto Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the payment at
maturity in different hypothetical scenarios is calculated.
Example 1: On the Review Date, the level of the Index
increases from the Index Strike Level of 100.00 to a closing level of 102.50. The notes are automatically called.
Because the closing level of the Index on the Review
Date is greater than the Index Strike Level of 100.00, the notes are automatically called and the investor receives a payment on the Call
Settlement Date of $1,046.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 4.60%)
= $1,046.00
Example 2. The notes are not automatically called
on the Review Date, and the level of the Index increases from the Index Strike Level of 100.00 to an Ending Index Level of 105.00.
Because the Ending Index Level of 105.00 is greater
than the Index Strike Level of 100.00 and the Index Return is 5.00%, the investor receives a payment at maturity of $1,075.00 per $1,000.00
principal amount note, calculated as follows:
$1,000 + ($1,000 × 5.00% ×
1.50) = $1,075.00
Example 3: The notes are not automatically called
on the Review Date, and the level of the Index decreases from the Index Strike Level of 100.00 to an Ending Index Level of 80.00.
Although the Index Return is negative, because the Ending
Index Level of 80.00 is less than the Index Strike Level of 100.00 by up to the Contingent Buffer Amount of 20.00%, the investor receives
a payment at maturity of $1,000.00 per $1,000 principal amount note.
Example 4: The notes are not automatically called
on the Review Date, and the level of the Index decreases from the Index Strike Level of 100.00 to an Ending Index Level of 40.00.
Because the Ending Index Level of 40.00 is less than
the Index Strike Level of 100.00 by more than the Contingent Buffer Amount of 20.00% and the Index Return is -60.00%, the investor receives
a payment at maturity of $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -60.00%)
= $400.00
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect 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 Structured Investments — | PS- 3 |
| Auto Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
Selected Purchase Considerations
| · | APPRECIATION POTENTIAL
— If the closing level of the Index is greater than or equal to the Index Strike Level on the Review Date, your investment will
yield a payment per $1,000 principal amount note of $1,000 plus a call premium of at least 4.60%. The actual call premium will
be provided in the pricing supplement and will not be less than 4.60%. |
If the notes are not automatically
called, the notes will provide the opportunity to earn an uncapped, leveraged return equal to any positive Index Return multiplied
by the Upside Leverage Factor. The notes are not subject to a predetermined maximum gain and, accordingly, any return at maturity will
be determined based on the movement of the level of the Index. Because the notes are our unsecured and unsubordinated obligations,
the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject
to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as they become
due.
| · | LOSS OF PRINCIPAL BEYOND
BUFFER AMOUNT — If the notes are not automatically called, we will pay you your principal back at maturity if the Ending Index
Level is equal to the Index Strike Level or is less than the Index Strike Level by up to the Contingent Buffer Amount of 20.00%. If the
Ending Index Level is less than the Index Strike Level by more than the Contingent Buffer Amount, for every 1% that the Ending Index Level
is less than the Index Strike Level, you will lose an amount equal to 1% of the principal amount of your notes. Under these circumstances,
you will lose more than 20.00% of your principal amount at maturity and may lose all of your principal amount at maturity. |
| · | POTENTIAL EARLY EXIT WITH
APPRECIATION AS A RESULT OF AUTOMATIC CALL FEATURE — While the original term of the notes is approximately eighteen months,
the notes will be automatically called before maturity if the closing level of the Index on the Review Date is greater than or equal to
the Index Strike Level, and you will be entitled to a call premium of at least 4.60%. Even in the case where the notes are called before
maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement. |
| · | RETURN LINKED TO THE S&P
500® INDEX — The return on the notes is linked to the S&P 500® Index. The S&P 500®
Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional
information about the S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices”
in the accompanying underlying supplement. |
| · | TAX TREATMENT —
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special
tax counsel, Latham & Watkins LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes. |
Based on current market conditions
and the advice of our special tax counsel, we believe it is reasonable to treat the notes as “open transactions” that are
not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or
loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, there
are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the
notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the
U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on
a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such
as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain
as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective
dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented
by this notice.
Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty
applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S.
equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments
linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a “Qualified
Index”). 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
| | |
| JPMorgan Structured Investments — | PS- 4 |
| Auto Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
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.
Withholding under legislation commonly
referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid
with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note,
although under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),
no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax adviser
regarding the potential application of FATCA to the notes.
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index. 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
| · | YOUR INVESTMENT IN THE
NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the notes at maturity is linked
to the performance of the Index and will depend on whether, and the extent to which, the Index Return is positive or negative. If the
Ending Index Level is less than the Index Strike Level by more than the Contingent Buffer Amount of 20.00%, the benefit provided by the
Contingent Buffer Amount will terminate and you will be exposed to a loss. In this case, for every 1% that the Ending Index Level is less
than the Index Strike Level, you will lose an amount equal to 1% of the principal amount of your notes. Under these circumstances, you
will lose more than 20.00% of your principal amount at maturity and may all of your principal amount at maturity. |
| · | CREDIT RISKS OF JPMORGAN
FINANCIAL AND JPMORGAN CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and
our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. 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. |
| · | REINVESTMENT RISK
— If your notes are automatically called, the term of the notes may be reduced to as short as approximately six months. There is
no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar level
of risk in the event the notes are automatically called prior to the Maturity Date. |
| · | THE BENEFIT PROVIDED BY
THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE VALUATION DATE — If the Ending Index Level is less than the Index Strike Level
by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed
to any depreciation of the Index from the Index Strike Level to the Ending Index Level. |
| · | 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. |
| · | NO INTEREST OR DIVIDEND
PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not have voting rights
or rights to receive cash dividends or other distributions or other rights that holders of the securities included in the Index would
have. |
| · | VOLATILITY RISK —
Greater expected volatility with respect to the Index indicates a greater likelihood as of the Strike Date or the Pricing Date that the
Ending Index Level could be less than the Index Strike Level by more than the Contingent Buffer Amount. The Index’s volatility,
however, can change significantly over the term of the notes. The Index closing level could fall sharply during the term of the notes,
which could result in your losing some or all of your principal amount at maturity. |
| | |
| JPMorgan Structured Investments — | PS- 5 |
| Auto Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
| · | LACK OF LIQUIDITY
— The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but
is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes
easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your
notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. |
| · | THE FINAL TERMS AND VALUATION
OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market conditions
when the terms of the notes are set and will be provided in the pricing supplement. In particular, the estimated value of the notes, call
premium and Upside Leverage Factor will be provided in the pricing supplement and may be as low as the minimums set forth on the cover
of this pricing supplement. Accordingly, you should consider your potential investment in the notes based on the minimums for the estimated
value of the notes, call premium and Upside Leverage Factor. |
Risks Relating
to Conflicts of Interest
| · | POTENTIAL CONFLICTS
— We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent
and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the
pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value
of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the
calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our
and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase
& Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes.
It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns
for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement for additional information about these risks. |
Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes
| · | THE ESTIMATED VALUE OF
THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes is only
an estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes
because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These
costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated
Value of the Notes” in this pricing supplement. |
| · | THE ESTIMATED VALUE OF
THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of
the notes is determined by reference to internal pricing models of our affiliates when the terms of the notes are set. This estimated
value of the notes is based on market conditions and other relevant factors existing at that time and assumptions about market parameters,
which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide
valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other
relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could
change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from
you in secondary market transactions. See “The Estimated Value of the Notes” in this pricing supplement. |
| · | 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. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and |
| | |
| JPMorgan Structured Investments — | PS- 6 |
| Auto Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
our
internal secondary market funding rates for structured debt issuances. See “Secondary
Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly,
the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which
may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES
OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary
market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary
market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included in the
original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market
transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result
in a substantial loss to you. See the immediately following risk consideration for information about additional factors that will impact
any secondary market prices of the notes. |
The
notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
See “— Lack of Liquidity”.
| · | SECONDARY MARKET PRICES
OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
projected hedging profits, if any, estimated hedging costs and the level of the Index. |
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating
to the Index
| · | JPMORGAN
CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX — JPMorgan Chase & Co. is currently one of the
companies that make up the Index, but JPMorgan Chase & Co. will have no obligation to consider your interests as a holder of the notes
in taking any corporate action that might affect the value of the Index. |
| | |
| JPMorgan Structured Investments — | PS- 7 |
| Auto Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 4, 2019 through August 30, 2024. The closing level
of the Index on August 30, 2024 was 5,648.40.
We obtained the closing levels of the Index above and
below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical
levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level
of the Index on the Pricing Date, the Review Date or the Valuation Date. There can be no assurance that the performance of the Index will
result in the return of any of your principal amount.
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. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from
Others’ Estimates” in this pricing supplement.
The estimated value of the notes will be lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one
or more of our affiliates will retain any profits realized in hedging our obligations under the notes. 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
| | |
| JPMorgan Structured Investments — | PS- 8 |
| Auto Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
connection
with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can
include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal
secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the shorter of
six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether
our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these
costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer
Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing
supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amount Payable at Maturity” in this pricing
supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Linked
to the S&P 500® Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Supplemental Terms of the Notes
Any values of
the Index, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency,
by amendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture
governing the notes, that amendment will become effective without consent of the holders of the notes or any other party.
| |
|
| JPMorgan
Structured Investments — |
PS- 9 |
| Auto Callable
Buffered Return Enhanced Notes Linked to the S&P 500® Index |
|
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