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
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 August 6, 2024
August , 2024 Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Russell 2000
®
Index and the S&P 500
®
Index
due August 14, 2028
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●
The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for
which the closing level of each of the Russell 2000
®
Index and the S&P 500
®
Index, which we refer to as the Indices, is
greater than or equal to 70.00% of its Initial Value, which we refer to as an Interest Barrier.
●
The notes will be automatically called if the closing level of each Index on any Review Date (other than the first, second,
third and final Review Dates) is greater than or equal to its Initial Value.
●
The earliest date on which an automatic call may be initiated is August 11, 2025.
●
Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all Review Dates.
●
Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
●
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer
to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
●
Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the
performance of each of the Indices individually, as described below.
●
Minimum denominations of $1,000 and integral multiples thereof
●
The notes are expected to price on or about August 9, 2024 and are expected to settle on or about August 14, 2024.
●
CUSIP: 48135PR52
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 — $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 $976.90 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 $950.00 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.
PS-1| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The Russell 2000
®
Index (Bloomberg ticker: RTY) and
the S&P 500
®
Index (Bloomberg ticker: SPX) (each an “Index”
and collectively, the “Indices”)
Contingent Interest Payments:
If the notes have not been automatically called and the closing
level of each Index on any Review Date is greater than or
equal to its Interest Barrier, you will receive on the applicable
Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to at least $22.50
(equivalent to a Contingent Interest Rate of at least 9.00% per
annum, payable at a rate of at least 2.25% per quarter) (to be
provided in the pricing supplement).
If the closing level of either Index on any Review Date is less
than its Interest Barrier, no Contingent Interest Payment will be
made with respect to that Review Date.
Contingent Interest Rate: At least 9.00% per annum, payable
at a rate of at least 2.25% per quarter (to be provided in the
pricing supplement)
Interest Barrier/Trigger Value: With respect to each Index,
70.00% of its Initial Value
Pricing Date: On or about August 9, 2024
Original Issue Date (Settlement Date): On or about August
14, 2024
Review Dates*: November 11, 2024, February 10, 2025, May
9, 2025, August 11, 2025, November 10, 2025, February 9,
2026, May 11, 2026, August 10, 2026, November 9, 2026,
February 9, 2027, May 10, 2027, August 9, 2027, November 9,
2027, February 9, 2028, May 9, 2028 and August 9, 2028 (final
Review Date)
Interest Payment Dates*: November 14, 2024, February 13,
2025, May 14, 2025, August 14, 2025, November 14, 2025,
February 12, 2026, May 14, 2026, August 13, 2026, November
13, 2026, February 12, 2027, May 13, 2027, August 12, 2027,
November 15, 2027, February 14, 2028, May 12, 2028 and the
Maturity Date
Maturity Date*: August 14, 2028
Call Settlement Date*: If the notes are automatically called on
any Review Date (other than the first, second, third and final
Review Dates), the first Interest Payment Date immediately
following that Review Date
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to Multiple Underlyings” and
“General Terms of Notes — Postponement of a Payment Date” in the
accompanying product supplement
Automatic Call:
If the closing level of each Index on any Review Date (other
than the first, second, third and final Review Dates) is greater
than or equal to its Initial Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount
note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment applicable to that Review Date, payable on the
applicable Call Settlement Date. No further payments will be
made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value of each Index is greater than or equal to its Trigger
Value, you will receive a cash payment at maturity, for each
$1,000 principal amount note, equal to (a) $1,000 plus (b) the
Contingent Interest Payment applicable to the final Review
Date.
If the notes have not been automatically called and the Final
Value of either Index is less than its Trigger Value, your payment
at maturity per $1,000 principal amount note will be calculated
as follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
If the notes have not been automatically called and the Final
Value of either Index is less than its Trigger Value, you will lose
more than 30.00% of your principal amount at maturity and
could lose all of your principal amount at maturity.
Lesser Performing Index: The Index with the Lesser
Performing Index Return
Lesser Performing Index Return: The lower of the Index
Returns of the Indices
Index Return: With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial Value: With respect to each Index, the closing level of
that Index on the Pricing Date
Final Value: With respect to each Index, the closing level of that
Index on the final Review Date
PS-2| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
Supplemental Terms of the Notes
Any value of any underlier, 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.
How the Notes Work
Payments in Connection with the First, Second and Third Review Dates
First, Second and Third Review Dates
Compare the closing level of each Index to its Interest Barrier on each Review Date.
The closing level of each Index is greater than or equal to its
Interest Barrier.
You will receive a Contingent Interest Payment
on the applicable Interest Payment Date.
Proceed to the next Review Date.
The closing level of either Index is less than its Interest Barrier.
No Contingent Interest Payment will be made
with respect to the applicable Review Date.
Proceed to the next Review Date.
Payments in Connection with Review Dates (Other than the First, Second, Third and Final Review Dates)
Review Dates (Other than the First, Second, Third and Final Review Dates)
Compare the closing level of each Index to its Initial Value and its Interest Barrier on each Review Date until the final Review Date or
any earlier automatic call.
Automatic Call
The closing level of each
Index is greater than or
equal to its Initial Value.
The notes will be automatically called on the applicable Call Settlement Date, and you will
receive (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date.
No further payments will be made on the notes.
The closing level of each
Index is greater than or
equal to its Interest Barrier.
You will receive a Contingent Interest Payment
on the applicable Interest Payment Date.
Proceed to the next Review Date.
Initial
Value
The closing level of either
Index is less than its
Initial Value.
No
Automatic
Call
The closing level of either
Index is less than its Interest
Barrier.
No Contingent Interest Payment will be made
with respect to the applicable Review Date.
Proceed to the next Review Date.
PS-3| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
Payment at Maturity If the Notes Have Not Been Automatically Called
Review Dates Preceding
the Final Review Date
Final Review Date
Payment at Maturity
.
.
The notes are not
automatically called.
The Final Value of each Index is greater
than or equal to its Trigger Value.
You will receive (a) $1,000 plus (b)
the Contingent Interest Payment
applicable to the final Review Date.
Proceed to maturity
The Final Value of either Index
is less than its Trigger Value.
You will receive:
$1,000 + ($1,000 × Lesser
Performing Index Return)
Under these circumstances,
you will lose some or all of your
principal amount at maturity.
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the
term of the notes based on a hypothetical Contingent Interest Rate of 9.00% per annum, depending on how many Contingent
Interest Payments are made prior to automatic call or maturity. The actual Contingent Interest Rate will be provided in the pricing
supplement and will be at least 9.00% per annum.
Number of Contingent
Interest Payments
Total Contingent
Interest Payments
16 $360.00
15 $337.50
14 $315.00
13 $292.50
12 $270.00
11 $247.50
10 $225.00
9 $202.50
8 $180.00
7 $157.50
6 $135.00
5 $112.50
4 $90.00
3 $67.50
2 $45.00
1 $22.50
0 $0.00
PS-4| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked to two hypothetical Indices, assuming a range of performances for
the hypothetical Lesser Performing Index on the Review Dates. Each hypothetical payment set forth below assumes that the
closing level of the Index that is not the Lesser Performing Index on each Review Date is greater than or equal to its Initial
Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth below assume the following:
●
an Initial Value for the Lesser Performing Index of 100.00;
●
an Interest Barrier and a Trigger Value for the Lesser Performing Index of 70.00 (equal to 70.00% of its hypothetical
Initial Value); and
●
a Contingent Interest Rate of 9.00% per annum (payable at a rate of 2.25% per quarter).
The hypothetical Initial Value of the Lesser Performing Index of 100.00 has been chosen for illustrative purposes only and may not
represent a likely actual Initial Value of either Index.
The actual Initial Value of each Index will be the closing level of that Index on the Pricing Date and will be provided in the pricing
supplement. For historical data regarding the actual closing levels of each Index, please see the historical information set forth
under “The Indices” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a
purchaser of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically called on the fourth Review Date.
Date Closing Level of Lesser
Performing Index
Payment (per $1,000 principal amount note)
First Review Date 105.00 $22.50
Second Review Date 110.00 $22.50
Third Review Date 110.00 $22.50
Fourth Review Date 105.00 $1,022.50
Total Payment $1,090.00 (9.00% return)
Because the closing level of each Index on the fourth Review Date is greater than or equal to its Initial Value, the notes will be
automatically called for a cash payment, for each $1,000 principal amount note, of $1,022.50 (or $1,000 plus the Contingent
Interest Payment applicable to the fourth Review Date), payable on the applicable Call Settlement Date. The notes are not
automatically callable before the fourth Review Date, even though the closing level of each Index on each of the first, second and
third Review Dates is greater than its Initial Value. When added to the Contingent Interest Payments received with respect to the
prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,090.00. No further payments will be made
on the notes.
Example 2 — Notes have NOT been automatically called and the Final Value of the Lesser Performing Index is
greater than or equal to its Trigger Value.
Date Closing Level of Lesser
Performing Index
Payment (per $1,000 principal amount note)
First Review Date 95.00 $22.50
Second Review Date 85.00 $22.50
Third through Fifteenth
Review Dates
Less than Interest
Barrier
$0
Final Review Date 90.00 $1,022.50
Total Payment $1,067.50 (6.75% return)
Because the notes have not been automatically called and the Final Value of the Lesser Performing Index is greater than or
equal to its Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,022.50 (or $1,000 plus the
Contingent Interest Payment applicable to the final Review Date). When added to the Contingent Interest Payments received with
respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,067.50.
PS-5| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
Example 3 — Notes have NOT been automatically called and the Final Value of the Lesser Performing Index is
less than its Trigger Value.
Date Closing Level of Lesser
Performing Index
Payment (per $1,000 principal amount note)
First Review Date 60.00 $0
Second Review Date 65.00 $0
Third through Fifteenth
Review Dates
Less than Interest
Barrier
$0
Final Review Date 60.00 $600.00
Total Payment $600.00 (-40.00% return)
Because the notes have not been automatically called, the Final Value of the Lesser Performing Index is less than its Trigger Value
and the Lesser Performing Index Return is -40.00%, the payment at maturity will be $600.00 per $1,000 principal amount note,
calculated as follows:
$1,000 + [$1,000 × (-40.00%)] = $600.00
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire
term or until automatically called. These hypotheticals do not reflect the fees or expenses that would be associated with any sale
in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown
above would likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks are explained in more detail in the “Risk Factors” sections of the
accompanying prospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.
● YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the notes have not been automatically called and the Final Value of either
Index is less than its Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value
of the Lesser Performing Index is less than its Initial Value. Accordingly, under these circumstances, you will lose more than
30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
● THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only
if the closing level of each Index on that Review Date is greater than or equal to its Interest Barrier. If the closing level of either
Index on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that
Review Date. Accordingly, if the closing level of either Index on each Review Date is less than its Interest Barrier, you will not
receive any interest payments over the term of the notes.
● 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.
PS-6| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
● THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST
PAYMENTS THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciation of either Index, which may be significant. You will not participate in any appreciation of either
Index.
● POTENTIAL CONFLICTS —
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.
● JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500
®
INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might
affect the level of the S&P 500
®
Index.
● AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE RUSSELL 2000
®
INDEX —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions
relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence
of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
● YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX—
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of
each individual Index. Poor performance by either of the Indices over the term of the notes may result in the notes not being
automatically called on a Review Date, may negatively affect whether you will receive a Contingent Interest Payment on any
Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by the other
Index.
● YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
● THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE—
If the Final Value of either Index is less than its Trigger Value and the notes have not been automatically called, the benefit
provided by the Trigger Value will terminate and you will be fully exposed to any depreciation of the Lesser Performing Index.
● THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately one year and you will
not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would
be able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest
rate for a similar level of risk. Even in cases 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.
● YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
● THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS
GREATER IF THE LEVEL OF THAT INDEX IS VOLATILE.
● LACK OF LIQUIDITY—
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes
is likely to depend on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to buy the
notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
● THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
You should consider your potential investment in the notes based on the minimums for the estimated value of the notes and
the Contingent Interest Rate.
● THE TAX DISCLOSURE IS SUBJECT TO CONFIRMATION —
The information set forth under “Tax Treatment” in this pricing supplement remains subject to confirmation by our special tax
counsel following the pricing of the notes. If that information cannot be confirmed by our tax counsel, you may be asked to
accept revisions to that information in connection with your purchase. Under these circumstances, if you decline to accept
revisions to that information, your purchase of the notes will be canceled.
PS-7| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
● THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES —
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of
the notes will exceed the estimated value of the notes because costs associated with structuring and hedging the notes are
included in the original issue price of the notes. These costs include the projected profits, if any, that our affiliates expect to
realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations
under the notes. See “The Estimated Value of the Notes” in this pricing supplement.
● THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
See “The Estimated Value of the Notes” in this pricing supplement.
● THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied
funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any
difference may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as
the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the
conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs
and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on
the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing
supplement.
● THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED
TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial
period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as
published by JPMS (and which may be shown on your customer account statements).
● SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other
things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances
and, also, because secondary market prices may exclude projected hedging profits, if any, and estimated hedging costs that
are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes
from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to
the Maturity Date could result in a substantial loss to you.
● SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
—
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which
may either offset or magnify each other, aside from the projected hedging profits, if any, estimated hedging costs and the levels
of the Indices. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes,
which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of
the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks
Relating to the 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.
The Indices
The Russell 2000
®
Index consists of the middle 2,000 companies included in the Russell 3000E
TM
Index and, as a result of the
index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000
®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
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.
PS-8| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
Historical Information
The following graphs set forth the historical performance of each Index based on the weekly historical closing levels from January
4, 2019 through August 2, 2024. The closing level of the Russell 2000
®
Index on August 5, 2024 was 2,039.161. The closing level
of the S&P 500
®
Index on August 5, 2024 was 5,186.33. We obtained the closing levels above and below from the Bloomberg
Professional
®
service (“Bloomberg”), without independent verification.
The historical closing levels of each Index should not be taken as an indication of future performance, and no assurance can
be given as to the closing level of either Index on the Pricing Date or any Review Date. There can be no assurance that the
performance of the Indices will result in the return of any of your principal amount or the payment of any interest.
Historical Performance of the Russell 2000
®
Index
Source: Bloomberg
Historical Performance of the S&P 500
®
Index
Source: Bloomberg
Tax Treatment
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. In determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes
as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income,
as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders —
Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement.
We expect to ask our special tax counsel to advise us that this is a reasonable treatment, although 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 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 and the relevance of factors such as
the nature of the underlying property to which the instruments are linked. 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 affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions above
PS-9| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting
rules under Section 451(b) of the Code. 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 the notice described above.
Non-U.S. Holders — Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain,
and although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding
agent, intend to) withhold on any Contingent Interest Payment paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced
rate specified by an applicable income tax treaty under an “other income” or similar provision. We will not be required to pay any
additional amounts with respect to amounts withheld. In order to claim an exemption from, or a reduction in, the 30% withholding
tax, a Non-U.S. Holder of the notes must comply with certification requirements to establish that it is not a U.S. person and is
eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should consult your
tax adviser regarding the tax treatment of the notes, including the possibility of obtaining a refund of any withholding tax and the
certification requirement described above.
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.
In the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so
withheld.
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 — 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.
PS-10| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
The estimated value of the notes will be lower than the original issue price of the notes because costs associated with structuring
and hedging the notes are included in the original issue price of the notes. These costs include the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging
our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our
control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any,
realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more
of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — 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 — 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 “How the Notes Work” and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return
profile of the notes and “The Indices” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus (minus) the projected profits (losses) that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the estimated cost of hedging
our obligations under the notes.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the
applicable agent. We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance. In
the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection
with your purchase. You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and
supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the
accompanying prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
PS-11| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Russell 2000
®
Index and the S&P 500
®
Index
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 pricing
supplement, “we,” “us” and “our” refer to JPMorgan Financial.
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