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 June 14, 2024
| June , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Buffered Digital Dual Directional Notes Linked to the
SPDR® S&P 500® ETF Trust due July 16, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek a fixed return of at least 5.25% at maturity if the Final Value of the SPDR®
S&P 500® ETF Trust, which we refer to as the Fund, is greater than or equal to 94.75% of the Initial Value, which we
refer to as the Digital Barrier. |
| · | The notes are also designed for investors who seek a capped, unleveraged return equal to the absolute value of any depreciation (up
to the Buffer Amount of 20.00%), of the Fund at maturity, if the Final Value is less than the Digital Barrier. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose up to 80.00% of their principal amount
at maturity. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about June 28, 2024 and are expected to settle on or about July 3, 2024. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-4 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any
representation to the contrary is a criminal offense.
| |
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
| Per note |
$1,000 |
— |
$1,000 |
| Total |
$ |
— |
$ |
|
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) All sales of the notes will be made to certain fee-based
advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers will forgo any
commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
If the notes priced today, the estimated value of the notes would
be approximately $989.60 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 $900.00 per $1,000 principal amount note. See “The Estimated Value
of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated April
13, 2023, underlying supplement no. 1-I dated April 13, 2023,
the prospectus and prospectus supplement, each dated April 13, 2023, and
the prospectus addendum dated June 3, 2024
Key Terms
|
Issuer:
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Fund:
The SPDR® S&P 500® ETF Trust (Bloomberg ticker: SPY)
Contingent
Digital Return: At least 5.25% (to be provided in the pricing supplement)
Digital Barrier:
94.75% of the Initial Value
Buffer Amount:
20.00%
Pricing
Date: On or about June 28, 2024
Original
Issue Date (Settlement Date): On or about July 3, 2024
Observation
Date*: July 11, 2025
Maturity
Date*: July 16, 2025
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single
Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity:
If the Final Value is greater than or equal to the Digital Barrier, your
payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Contingent Digital Return)
If the Final Value is less than the Digital Barrier but is less than
the Initial Value by up to the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Fund Return)
This payout formula results in an effective cap of 20.00% on your
return at maturity if the Final Value is less than the Digital Barrier. Under these limited circumstances, your maximum payment
at maturity is $1,200.00 per $1,000 principal amount note.
If the Final Value is less than the Initial Value by more than the Buffer
Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Fund Return + Buffer Amount)]
If the Final Value is less than the Initial Value by more than the
Buffer Amount, you will lose some or most of your principal amount at maturity.
Absolute Fund Return:
The absolute value of the Fund Return. For example, if the Fund Return is -5%, the
Absolute Fund Return will equal 5%.
Fund Return:
(Final Value – Initial Value)
Initial Value
Initial Value:
The closing price of one share of the Fund on the Pricing Date
Final
Value: The closing price of one share of the Fund on the Observation Date
Share
Adjustment Factor: The Share Adjustment Factor is referenced in determining the closing price of one share of the Fund, and
is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting
the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement for
further information.
|
|
PS-1
| Structured Investments
Buffered Digital Dual Directional Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
Supplemental Terms
of the Notes
Any values of the Fund, and any values derived therefrom,
included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment
will become effective without consent of the holders of the notes or any other party.
Hypothetical
Payout Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to a hypothetical Fund. The “total return” as used in this pricing
supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note
to $1,000. The hypothetical total returns and payments set forth below assume the following:
| · | an Initial Value of $100.00; |
| · | a Contingent Digital Return of 5.25%; |
| · | a Digital Barrier of $94.75 (equal to 94.75% of the hypothetical Initial Value); and |
| · | a Buffer Amount of 20.00%. |
The hypothetical Initial Value of $100.00 has been
chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing
price of one share of the Fund on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual
closing prices of one share of the Fund, please see the historical information set forth under “The Fund” in this pricing
supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
| Final Value |
Fund Return |
Absolute Fund Return |
Total Return on the Notes |
Payment at Maturity |
| $180.00 |
80.00% |
N/A |
5.25% |
$1,052.50 |
| $165.00 |
65.00% |
N/A |
5.25% |
$1,052.50 |
| $150.00 |
50.00% |
N/A |
5.25% |
$1,052.50 |
| $140.00 |
40.00% |
N/A |
5.25% |
$1,052.50 |
| $130.00 |
30.00% |
N/A |
5.25% |
$1,052.50 |
| $120.00 |
20.00% |
N/A |
5.25% |
$1,052.50 |
| $110.00 |
10.00% |
N/A |
5.25% |
$1,052.50 |
| $105.25 |
5.25% |
N/A |
5.25% |
$1,052.50 |
| $105.00 |
5.00% |
N/A |
5.25% |
$1,052.50 |
| $101.00 |
1.00% |
N/A |
5.25% |
$1,052.50 |
| $100.00 |
0.00% |
N/A |
5.25% |
$1,052.50 |
| $99.00 |
-1.00% |
N/A |
5.25% |
$1,052.50 |
| $95.00 |
-5.00% |
N/A |
5.25% |
$1,052.50 |
| $94.75 |
-5.25% |
N/A |
5.25% |
$1,052.50 |
| $94.74 |
-5.26% |
5.26% |
5.26% |
$1,052.60 |
| $90.00 |
-10.00% |
10.00% |
10.00% |
$1,100.00 |
| $80.00 |
-20.00% |
20.00% |
20.00% |
$1,200.00 |
| $70.00 |
-30.00% |
N/A |
-10.00% |
$900.00 |
| $60.00 |
-40.00% |
N/A |
-20.00% |
$800.00 |
| $50.00 |
-50.00% |
N/A |
-30.00% |
$700.00 |
| $40.00 |
-60.00% |
N/A |
-40.00% |
$600.00 |
| $30.00 |
-70.00% |
N/A |
-50.00% |
$500.00 |
| $20.00 |
-80.00% |
N/A |
-60.00% |
$400.00 |
| $10.00 |
-90.00% |
N/A |
-70.00% |
$300.00 |
| $0.00 |
-100.00% |
N/A |
-80.00% |
$200.00 |
|
PS-2
| Structured Investments
Buffered Digital Dual Directional Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a range of Fund Returns. There can be no assurance that the performance of the Fund will result in the return
of any of your principal amount in excess of $200.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co.
How the Notes
Work
Fund Appreciation, Fund Par or Fund Depreciation at
or Above the Digital Barrier Upside Scenario:
If the Final Value is greater than or equal to the Digital
Barrier of 94.75% of the Initial Value, investors will receive at maturity the $1,000 principal amount plus a fixed return equal
to the Contingent Digital Return of at least 5.25%, which reflects the maximum return at maturity.
| · | Assuming a hypothetical Contingent Digital Return of 5.25%, if the closing price of one share of the Fund increases 5.00%, investors
will receive at maturity a return equal to 5.25%, or $1,052.50 per $1,000 principal amount note. |
| · | Assuming a hypothetical Contingent Digital Return of 5.25%, if the closing price of one share of the Fund increases 40.00%, investors
will receive at maturity a return equal to 5.25%, or $1,052.50 per $1,000 principal amount note. |
| · | Assuming a hypothetical Contingent Digital Return of 5.25%, if the closing price of one share of the Fund declines 5.00%, investors
will receive at maturity a return equal to 5.25%, or $1,052.50 per $1,000 principal amount note. |
Fund Depreciation Below the Digital Barrier Upside
Scenario:
If the Final Value is less than the Digital Barrier of
94.75% of the Initial Value but is less than the Initial Value by up to the Buffer Amount of 20.00%, investors will receive at maturity
the $1,000 principal amount plus a return equal to the Absolute Fund Return.
| · | For example, if the closing price of one share of the Fund declines 10.00%, investors will receive at maturity a return equal to 10.00%,
or $1,100.00 per $1,000 principal amount note. |
Downside Scenario:
If the Final Value is less than the Initial Value by
more than the Buffer Amount of 20.00%, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value
is less than the Initial Value by more than the Buffer Amount.
| · | For example, if the closing price of one share of the Fund declines 60.00%, investors will lose 40.00% of their principal amount and
receive only $600.00 per $1,000 principal amount note at maturity, calculated as follows: |
$1,000 +
[$1,000 × (-60.00% + 20.00%)] = $600.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
|
PS-3
| Structured Investments
Buffered Digital Dual Directional Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the Final Value is less than the Initial Value by more than 20.00%, you will lose 1% of the principal amount of your notes for every
1% that the Final Value is less than the Initial Value by more than 20.00%. Accordingly, under these circumstances, you will lose up to
80.00% of your principal amount at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN IF THE FINAL VALUE IS GREATER THAN OR EQUAL TO THE DIGITAL
BARRIER, |
regardless of any appreciation of the Fund,
which may be significant.
| · | YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value is less than the Digital
Barrier, you will not be entitled to receive the Contingent Digital Return at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER AMOUNT IF THE FINAL VALUE IS LESS THAN THE DIGITAL BARRIER — |
Because the payment at maturity will not reflect
the Absolute Fund Return if the Final Value is less than the Initial Value by more than the Buffer Amount, the Buffer Amount is effectively
a cap on your return at maturity if the Final Value is less than the Digital Barrier. The maximum payment at maturity if the Final Value
is less than the Digital Barrier is $1,200.00 per $1,000 principal amount note.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed
to you under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany
agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes.
We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co.
we are not expected to have sufficient resources to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co.
does not make payments to us and we are unable to make payments on the notes, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co. For more information, see the accompanying prospectus addendum.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES HELD BY THE FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THOSE
SECURITIES. |
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which J.P.
Morgan Securities LLC, which we refer to as JPMS, is willing to buy the notes. You may not be able to sell your notes. The notes are not
designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
|
PS-4
| Structured Investments
Buffered Digital Dual Directional Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Contingent Digital Return.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes
because costs associated with structuring and hedging the notes are included in the original issue price of the notes. These costs include
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing
supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the
Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in
an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude projected
hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price,
if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than
the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
|
PS-5
| Structured Investments
Buffered Digital Dual Directional Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
projected hedging profits, if any, estimated hedging costs and the price of one share of the Fund. Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the
secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Fund
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE FUND
AND ITS UNDERLYING INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that
might affect the price of one share of the Fund or the level of its Underlying Index (as defined under “The Fund” below). |
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund
is subject to management risk, which is the risk that the investment strategies of the Fund’s investment adviser, the implementation
of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market
price of the shares of the Fund and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund
does not fully replicate its Underlying Index (as defined under “The Fund” below) and may hold securities different from those
included in its Underlying Index. In addition, the performance of the Fund will reflect additional transaction costs and fees that are
not included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance
of the Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying the Fund (such as
mergers and spin-offs) may impact the variance between the performances of the Fund and its Underlying Index. Finally, because the shares
of the Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of
the Fund may differ from the net asset value per share of the Fund.
During
periods of market volatility, securities underlying the Fund may be unavailable in the secondary market, market participants may be unable
to calculate accurately the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of
market volatility may also disrupt the ability of market participants to create and redeem shares of the Fund. Further, market volatility
may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As
a result, under these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share
of the Fund. For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying Index
as well as the net asset value per share of the Fund, which could materially and adversely affect the value of the notes in the secondary
market and/or reduce any payment on the notes.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation
agent will make adjustments to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation
agent will not make an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
|
PS-6
| Structured Investments
Buffered Digital Dual Directional Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
The Fund
The Fund is a
registered investment company whose trust units represent an undivided ownership interest in a portfolio of all, or substantially all,
of the common stocks of the S&P 500® Index. The Fund seeks to provide investment results that, before expenses, generally
correspond to the price and yield performance of the S&P 500® Index, which we refer to as the Underlying Index with
respect to the Fund. 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 Fund, see “Fund Descriptions — The SPDR®
S&P 500® ETF Trust” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the Fund based on the weekly historical closing prices of one share of the Fund from January 4, 2019 through June 7, 2024. The closing
price of one share of the Fund on June 12, 2024 was $541.36. We obtained the closing prices above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices above and below may have been adjusted by Bloomberg
for actions taken by the Fund, such as stock splits.
The historical closing prices of one share of the
Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
the Fund on the Pricing Date or the Observation Date. There can be no assurance that the performance of the Fund will result in the return
of any of your principal amount in excess of $200.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co.
Tax Treatment
In determining our reporting responsibilities, we
intend to treat the notes for U.S. federal income tax purposes as “open transactions” that are not debt instruments, as described
in the section entitled “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 no. 4-I. Based on the advice of Davis
Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that 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.
No statutory, judicial or administrative authority
directly addresses the characterization of the notes (or similar instruments) for U.S. federal income tax purposes, and no ruling is being
requested from the IRS with respect to their proper characterization and treatment. Assuming that “open transaction” 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 the notes at the issue price. However, the IRS or a court may not respect the treatment
of the notes as “open transactions,” in which case the timing and character of any income or loss on the notes could be materially
and adversely affected. For instance, the notes could be treated as contingent payment debt instruments, in which case the gain on your
notes would be treated as ordinary income and you would be required to accrue original issue discount on your notes in each taxable year
at the “comparable yield,” as determined by us, although we will not make any payment with respect to the notes until maturity.
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PS-7
| Structured Investments
Buffered Digital Dual Directional Notes Linked to the SPDR®
S&P 500® ETF Trust |
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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 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 notes, including possible alternative treatments
and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on
dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or
indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice
excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement for
the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
The estimated value of the notes will be lower than
the original issue price of the notes because costs associated with structuring and hedging the notes are included in the original issue
price of the notes. These costs include the projected profits, if any, that our
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PS-8
| Structured Investments
Buffered Digital Dual Directional Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails
risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other
affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any
secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Fund”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus
addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
|
PS-9
| Structured Investments
Buffered Digital Dual Directional Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
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