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 May 15, 2024
PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01
Dated May , 2024
JPMorgan Chase Financial Company LLC Trigger Autocallable Contingent
Yield Notes
Linked to the common stock of Amazon.com, Inc. due on or about May
19, 2025
Linked to the common stock of Marathon
Oil Corporation due on or about May 19, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Trigger
Autocallable Contingent Yield Notes are unsecured and unsubordinated debt securities issued by JPMorgan Chase Financial Company LLC
(“JPMorgan Financial”), the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. (each,
a “Note” and collectively, the “Notes”), linked to the performance of the common stock of a specific company
(the “Underlying”). If the closing price of one share of the applicable Underlying on the applicable quarterly
Observation Date is equal to or greater than the applicable Coupon Barrier, JPMorgan Financial will make a Contingent Coupon payment
with respect to that Observation Date. Otherwise, no coupon will be payable with respect to that Observation Date. JPMorgan
Financial will automatically call the Notes early if the closing price of one share of the applicable Underlying on any quarterly
Observation Date is equal to or greater than the applicable Initial Value. If the Notes are called, JPMorgan Financial
will pay the principal amount plus the applicable Contingent Coupon for that Observation Date and no further amounts will
be owed to you. If the Notes are not called prior to maturity and the applicable Final Value is equal to or greater than
the applicable Downside Threshold (which is the same price as the applicable Coupon Barrier), JPMorgan Financial will make a cash
payment at maturity equal to the principal amount of your Notes, in addition to the applicable Contingent Coupon. If the
Notes are not called prior to maturity and the applicable Final Value is less than the applicable Downside Threshold, JPMorgan Financial
will pay you less than the full principal amount, if anything, at maturity, resulting in a loss on your principal amount that is
proportionate to the decline in the price of one share of the applicable Underlying from the applicable Initial Value to the applicable
Final Value. The closing price of one share of the applicable Underlying is subject to adjustments, in the sole discretion
of the calculation agent, in the case of certain corporate events described in the accompanying product supplement under “The
Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings — Underlying Stocks
— Reorganization Events.” Investing in the Notes
involves significant risks. You may lose some or all of your principal amount. Generally, a higher Contingent
Coupon Rate is associated with a greater risk of loss. The contingent repayment of principal applies only if you hold
the Notes to maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness
of JPMorgan Financial, as issuer of the Notes, and the creditworthiness of JPMorgan Chase & Co., as guarantor of the Notes. If
JPMorgan Financial and JPMorgan Chase & Co. were to default on their payment obligations, you may not receive any amounts owed
to you under the Notes and you could lose your entire investment. |
| q | Automatically
Callable: JPMorgan Financial will automatically call the Notes and pay you the
principal amount plus the applicable Contingent Coupon otherwise due for a quarterly
Observation Date if the closing price of one share of the applicable Underlying on that quarterly
Observation Date is equal to or greater than the applicable Initial Value. No further payments
will be made on the Notes. If the Notes are not called, investors will have the potential
for downside equity market risk at maturity. |
| q | Contingent
Coupon: If the closing price of one share of the applicable Underlying on a quarterly
Observation Date (including the Final Valuation Date) is equal to or greater than the applicable
Coupon Barrier, JPMorgan Financial will make a Contingent Coupon payment with respect to
that Observation Date. Otherwise, no coupon will be payable with respect to that Observation
Date. |
| q | Downside
Exposure with Contingent Repayment of Principal Amount at Maturity: If
by maturity the Notes have not been called and the price of one share of the applicable Underlying
closes at or above the applicable Downside Threshold on the Final Valuation Date, JPMorgan
Financial will pay you the principal amount per Note at maturity, in addition to the Contingent
Coupon. If by maturity the Notes have not been called and the price of one share of the applicable
Underlying closes below the applicable Downside Threshold on the Final Valuation Date, JPMorgan
Financial will repay less than the principal amount, if anything, at maturity, resulting
in a loss on your principal amount that is proportionate to the decline in the price of one
share of the applicable Underlying from the applicable Initial Value to the applicable Final
Value. The contingent repayment of principal applies only if you hold the Notes until maturity.
Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. |
Trade
Date1 |
May
15, 2024 |
Original Issue
Date (Settlement Date) 1 |
May
20, 2024 |
Observation
Dates2 |
Quarterly
(see page 5) |
Final Valuation
Date2 |
May
14, 2025 |
Maturity Date2 |
May
19, 2025 |
1 |
Expected. In the event that we make
any change to the expected Trade Date and Settlement Date, the Observation Dates, the Final Valuation Date and/or the Maturity Date will
be changed so that the stated term of the Notes remains the same. The Initial Value of the applicable Underlying is
the closing price of one share of that Underlying on May 14, 2024 and is not the closing price of one share of that Underlying on the
Trade Date. |
2 |
Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Payment Date” and “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)” in the accompanying product supplement |
THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT
INSTRUMENTS. JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES
CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE APPLICABLE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING
A DEBT OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE
THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY
RISKS” BEGINNING ON PAGE 7 OF THIS PRICING SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING ON PAGE S-2 OF THE ACCOMPANYING
PROSPECTUS SUPPLEMENT AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-12 OF THE ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING
ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE
RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES
EXCHANGE.
This pricing supplement relates to two (2) separate
Note offerings. Each issuance of offered Notes is linked to one, and only one, Underlying. You may participate in either of the two (2)
Note offerings or, at your election, in both of the offerings. This pricing supplement does not, however, allow you to purchase a Note
linked to a basket of some or all of the Underlyings described below. The Notes are offered at a minimum investment of $1,000 in denominations
of $10 and integral multiples thereof. Each of the two (2) Note offerings is linked to the common stock of a different company, and each
of the two (2) Note offerings has its own Contingent Coupon Rate, Initial Value, Downside Threshold and Coupon Barrier, each of which
will be finalized on the Trade Date and provided in the pricing supplement. The actual Contingent Coupon Rate for each Note is expected
to be, but will not be less than, the applicable minimum Contingent Coupon Rate listed below, but you should be willing to invest in
the Notes if the applicable Contingent Coupon Rate were set equal to that minimum Contingent Coupon Rate. The
performance of each Note offering will not depend on the performance of any other Note offering.
Underlying |
Contingent
Coupon Rate |
Initial
Value* |
Downside
Threshold |
Coupon
Barrier |
CUSIP |
ISIN |
Common
stock of Amazon.com, Inc. (Bloomberg ticker: AMZN) |
At
least 9.85% per annum |
$187.07 |
$130.95, which is 70.00% of the
Initial Value |
$130.95, which is 70.00% of the
Initial Value |
48131F172 |
US48131F1729 |
Common stock of Marathon Oil
Corporation
(Bloomberg ticker: MRO) |
At least
10.15% per annum |
$26.57 |
$18.60, which is 70.00% of the
Initial Value |
$18.60, which is 70.00% of the
Initial Value |
48131F180 |
US48131F1802 |
*The Initial Value of the applicable Underlying is the closing price
of one share of that Underlying on May 14, 2024 and is not the closing price of one share of that Underlying on the Trade Date.
See “Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes” in this pricing supplement. The Notes will have the
terms specified in the prospectus and the prospectus supplement, each dated April 13, 2023, product supplement no. UBS-1-I dated April
13, 2023 and this pricing supplement. The terms of the Notes as set forth in this pricing supplement, to the extent they differ or
conflict with those set forth in the accompanying product supplement, will supersede the terms set forth in that product 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 prospectus, the
accompanying prospectus supplement and the accompanying product supplement. Any representation to the contrary is a criminal offense.
|
Price to Public(1) |
Fees and Commissions(2) |
Proceeds to Issuer |
Offering of Notes |
Total |
Per Note |
Total |
Per Note |
Total |
Per Note |
Notes linked to the common stock of Amazon.com, Inc. |
|
$10 |
|
$0.15 |
|
$9.85 |
Notes linked to the common stock of Marathon Oil Corporation |
|
$10 |
|
$0.15 |
|
$9.85 |
(1) |
See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the Notes. |
(2) |
UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us that will not exceed $0.15 per $10 principal amount Note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental Plan of Distribution” in this pricing supplement. |
If the
Notes priced today and assuming a Contingent Coupon Rate equal to the minimum Contingent Coupon Rate listed above, the estimated value
of the Notes would be approximately $9.761 and $9.742 per $10 principal amount Note linked to the common stock of Amazon.com, Inc and
linked to the common stock of Marathon Oil Corporation, respectively. The estimated value of the Notes, when the terms of the Notes are
set, will be provided in the pricing supplement and for each offering will not be less than $9.40 per $10 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.
UBS Financial Services Inc. |
|
Additional Information about
JPMorgan Financial, JPMorgan Chase & Co. and 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 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.
This pricing supplement relates to two (2) separate Note offerings.
Each issue of the offered Notes is linked to one, and only one, Underlying. The purchaser of a Note will acquire a Note linked to a single
Underlying (not to a basket or index that includes the other Underlyings). You may participate in either of the two (2) Note offerings
or, at your election, in both of the offerings. We reserve the right to withdraw, cancel or modify any of the offerings and to reject
orders in whole or in part. While each Note offering relates only to a single Underlying identified on the cover page, you should not
construe that fact as a recommendation of the merits of acquiring an investment linked to that Underlying (or any other Underlying) or
as to the suitability of an investment in the Notes.
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, and the more detailed information contained in the accompanying product 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, as the Notes involve risks not associated with conventional debt securities.
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, the “Issuer,” “JPMorgan Financial,”
“we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental Terms of the Notes |
For purposes of the accompanying product supplement, each of
the common stock of Amazon.com, Inc. and the common stock of Marathon Oil Corporation is an “Underlying Stock.”
Any values of the Underlyings, 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.
The Notes may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same
downside market risk as an investment in the applicable Underlying.
t You
accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
t You
believe the applicable Underlying will close at or above the applicable Coupon Barrier on the Observation Dates and the applicable
Downside Threshold on the Final Valuation Date.
t You
believe the applicable Underlying will close at or above the applicable Initial Value on one of the specified Observation Dates.
t You
understand and accept that you will not participate in any appreciation of the applicable Underlying and that your potential return
is limited to the applicable Contingent Coupons.
t You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the applicable Underlying.
t You
would be willing to invest in the Notes if the applicable Contingent Coupon Rate were set equal to the applicable minimum Contingent
Coupon Rate indicated on the cover hereof (the actual Contingent Coupon Rate for each Note will be finalized on the Trade Date and
provided in the pricing supplement and is expected to be, but will not be less than, the applicable minimum Contingent Coupon Rate
listed on the cover).
t You
do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the applicable Underlying.
t You
are able and willing to invest in Notes that may be called early or you are otherwise able and willing to hold the Notes to maturity.
t You
accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on the
price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
t You
understand and accept the single stock risk associated with the Notes and you understand and are willing to accept the risks associated
with the applicable Underlying.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, and understand
that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts due to you
including any repayment of principal. |
|
The Notes may not be suitable for you if, among other
considerations:
t You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
cannot tolerate a loss of all or a substantial portion of your investment or are unwilling to make an investment that may have the
same downside market risk as an investment in the applicable Underlying.
t You
require an investment designed to provide a full return of principal at maturity.
t You
do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
t You
believe that the price of one share of the applicable Underlying will decline during the term of the Notes and is likely to close
below the applicable Coupon Barrier on the Observation Dates and the applicable Downside Threshold on the Final Valuation Date.
t You
seek an investment that participates in the full appreciation of the applicable Underlying or that has unlimited return potential.
t You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the applicable Underlying.
t You
would not be willing to invest in the Notes if the applicable Contingent Coupon Rate were set equal to the applicable minimum Contingent
Coupon Rate indicated on the cover hereof (the actual Contingent Coupon Rate of each Note will be finalized on the Trade Date and
provided in the pricing supplement and is expected to be, but will not be less than, the applicable minimum Contingent Coupon Rate
listed on the cover).
t You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings.
t You
seek guaranteed current income from this investment or prefer to receive the dividends paid on the applicable Underlying.
t You
are unable or unwilling to invest in Notes that may be called early, or you are otherwise unable or unwilling to hold the Notes to
maturity, or you seek an investment for which there will be an active secondary market.
t You
do not understand or accept the single stock risk associated with the Notes or you do not understand or are not willing to accept
the risks associated with the applicable Underlying.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, including
any repayment of principal. |
The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability of an
investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks” section
of this pricing supplement and the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying
product supplement for risks related to an investment in the Notes. For more information on the Underlyings, please see the section titled
“The Underlyings” below.
Issuer |
|
JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor |
|
JPMorgan
Chase & Co. |
Issue
Price |
|
$10
per Note |
Underlying |
|
Common
stock of Amazon.com, Inc.
Common stock of Marathon Oil Corporation |
Principal
Amount |
|
$10
per Note (subject to a minimum purchase of 100 Notes or $1,000) |
Term1 |
|
Approximately
1 year, unless called earlier |
Automatic
Call Feature |
|
The
Notes will be called automatically if the closing price2 of one share of the applicable Underlying on any Observation
Date is equal to or greater than the applicable Initial Value. If the Notes are called, JPMorgan Financial will pay you
on the applicable Call Settlement Date a cash payment per Note equal to the principal amount plus the applicable Contingent
Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes. |
Contingent
Coupon |
|
If
the closing price2 of one share of the applicable Underlying is equal to or greater
than the applicable Coupon Barrier on any Observation Date, we will pay you the applicable
Contingent Coupon for that Observation Date on the relevant Coupon Payment Date.
If the closing price2
of one share of the applicable Underlying is less than the applicable Coupon Barrier on any Observation Date, the applicable Contingent
Coupon for that Observation Date will not accrue or be payable, and we will not make any payment to you on the relevant Coupon Payment
Date.
Each Contingent Coupon will be a
fixed amount based on equal quarterly installments at the applicable Contingent Coupon Rate, which is a per annum rate. The table
below reflects the Contingent Coupon Rate of (i) at least 9.85% per annum for Notes linked to the common stock of Amazon.com, Inc.
and (ii) at least 10.15% per annum for Notes linked to the common stock of Marathon Oil Corporation.
You should be willing to invest
in the Notes if the applicable Contingent Coupon Rate were set equal to the applicable minimum Contingent Coupon Rate set forth in
“Contingent Coupon Rate” below. |
|
|
Contingent
Coupon (per $10 Note) |
Contingent
Coupon Payments |
|
Amazon.com,
Inc. |
Marathon Oil Corporation |
|
|
At
least $0.2463 |
At least $0.2538 |
|
|
|
Contingent
Coupon payments on the Notes are not guaranteed. We will not pay you the applicable Contingent Coupon for any Observation
Date on which the closing price of one share of the applicable Underlying is less than the applicable Coupon Barrier. |
Contingent
Coupon Rate |
|
The
Contingent Coupon Rate is (i) at least 9.85% per annum for Notes linked to the common stock of Amazon.com, Inc. and (ii) at least
10.15% for Notes linked to the common stock of Marathon Oil Corporation. The actual Contingent Coupon Rate for each Note will
be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, the applicable
minimum Contingent Coupon Rate listed above. |
Coupon
Payment Dates3 |
|
As
specified under the “Coupon Payment Dates” column of the table under “Observation Dates and Coupon Payment Dates”
below |
Call
Settlement Dates3 |
|
First
Coupon Payment Date following the applicable Observation Date |
Payment at Maturity (per $10 Note) |
|
If
the Notes are not automatically called and the applicable Final Value is equal to or greater
than the applicable Downside Threshold, we will pay you a cash payment at maturity per
$10 principal amount Note equal to $10 plus the applicable Contingent Coupon otherwise
due on the Maturity Date.
If the Notes are not automatically
called and the applicable Final Value is less than the applicable Downside Threshold, we will pay you a cash payment at maturity
that is less than $10 per $10 principal amount Note, equal to:
$10 × (1
+ Underlying Return)
In this scenario,
you will be exposed to the decline of the applicable Underlying and you will lose some or all of your principal at maturity in an
amount proportionate to the negative Underlying Return. |
Underlying
Return |
|
(Final
Value – Initial Value)
Initial Value |
Initial
Value |
|
The
closing price of one share of the applicable Underlying on May 14, 2024, as specified on the cover of this pricing supplement. The
Initial Value of the applicable Underlying is not the closing price of one share of that Underlying on the Trade Date. |
Final
Value |
|
The
closing price2 of one share of the applicable Underlying on the Final Valuation Date |
Downside
Threshold |
|
A
percentage of the Initial Value of the applicable Underlying, as specified on the cover of this pricing supplement. |
Coupon
Barrier |
|
A
percentage of the Initial Value of the applicable Underlying, as specified on the cover of this pricing supplement. |
Stock
Adjustment Factor2 |
|
The
Stock Adjustment Factor is referenced in determining the closing price of one share of the applicable Underlying. The
Stock Adjustment Factor for the applicable Underlying is set initially at 1.0 on May 14, 2024. |
|
|
|
|
|
1 |
See footnote 1 under “Key Dates” on the front cover. |
2 |
The closing price and the Stock Adjustment Factor of the applicable Underlying are subject to adjustments,
in the sole discretion of the calculation agent, in the case of certain corporate events described in the accompanying product supplement
under “The Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings —
Underlying Stocks — Reorganization Events.” |
3 |
See footnote 2 under “Key Dates” on the front cover. |
May
14, 2024 |
|
The closing price of one share of the applicable
Underlying (Initial Value) is observed, and the applicable Downside Threshold and the applicable Coupon Barrier are determined. |
|
|
|
Trade
Date (May 15, 2024) |
|
The applicable Contingent Coupon Rate is finalized. |
|
|
|
|
|
|
Quarterly |
|
If the closing price of one share of the applicable Underlying
is equal to or greater than the applicable Coupon Barrier on any Observation Date, JPMorgan Financial will pay you a Contingent Coupon
on the applicable Coupon Payment Date.
The Notes will also be called if the closing price of one
share of the applicable Underlying on any Observation Date is equal to or greater than the applicable Initial Value. If the Notes
are called, JPMorgan Financial will pay you a cash payment per Note equal to the principal amount plus the applicable Contingent
Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes. |
|
|
|
|
|
|
Maturity
Date |
|
The applicable Final
Value is determined as of the Final Valuation Date.
If the Notes are
not automatically called and the applicable Final Value is equal to or greater than the applicable Downside Threshold, we will
pay you a cash payment at maturity per $10 principal amount Note equal to $10 plus the applicable Contingent Coupon otherwise
due on the Maturity Date.
If the Notes are
not automatically called and the applicable Final Value is less than the applicable Downside Threshold, we will pay you a cash
payment at maturity that is less than $10 per $10 principal amount Note, equal to:
$10
× (1 + Underlying Return)
In
this scenario, you will be exposed to the decline of the applicable Underlying and you will lose some or all of your principal at
maturity in an amount proportionate to the negative Underlying Return. |
|
|
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY
LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS
OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT
OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
Observation Dates and Coupon Payment Dates |
Observation
Dates |
Coupon
Payment Dates |
August
14, 2024 |
August
19, 2024 |
November
14, 2024 |
November
19, 2024 |
February
14, 2025 |
February
20, 2025 |
May 14,
2025 (the Final Valuation Date) |
May 19,
2025 (the Maturity Date) |
Each of the Observation Dates, and therefore the Coupon Payment
Dates, is 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.
What Are the Tax Consequences of the Notes? |
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-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 Coupons 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. 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.
Sale, Exchange or Redemption of a Note. Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity), you
should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis
in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated as ordinary
income, consistent with the position referred to above). This gain or loss should be short-term capital gain or loss, whether or not
you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell
your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is likely that you will be treated
as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible that proceeds received from the sale
or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon payment could be treated
as ordinary income. You should consult your tax adviser regarding this issue.
As described above, 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 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 Coupons is uncertain, and although we believe it is reasonable to take a position that Contingent
Coupons 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 Coupon 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, 2025 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.
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the applicable Underlying. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement. We also urge you to consult
your investment, legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
| t | Your
Investment in the Notes May Result in a Loss — The Notes differ from ordinary
debt securities in that JPMorgan Financial will not necessarily repay the full principal
amount of the Notes. If the Notes are not called and the closing price of one share of the
applicable Underlying has declined below the applicable Downside Threshold on the Final Valuation
Date, you will be fully exposed to any depreciation in the closing price of one share of
the applicable Underlying from the applicable Initial Value to the applicable Final Value.
In this case, JPMorgan Financial will repay less than the full principal amount at maturity,
resulting in a loss of principal that is proportionate to the negative Underlying Return.
Under these circumstances, you will lose 1% of your principal for every 1% that the applicable
Final Value is less than the applicable Initial Value and could lose your entire principal
amount. As a result, your investment in the Notes may not perform as well as an investment
in a security that does not have the potential for full downside exposure to the applicable
Underlying at maturity. |
| t | Credit
Risks of JPMorgan Financial and JPMorgan Chase & Co. — The Notes are
unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company
LLC, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase &
Co. The Notes will rank pari passu with all of our other unsecured and unsubordinated
obligations, and the related guarantee by JPMorgan Chase & Co. will rank pari passu
with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations.
The Notes and related guarantees are not, either directly or indirectly, an obligation of
any third party. Any payment to be made on the Notes, including any repayment of principal,
depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their
obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan
Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the
event JPMorgan Financial and JPMorgan Chase & Co. were to default on their obligations,
you may not receive any amounts owed to you under the terms of the Notes and you could lose
your entire investment. |
| t | As
a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Limited Assets
— As a finance subsidiary of JPMorgan Chase & Co., we have no independent
operations beyond the issuance and administration of our securities. Aside from the initial
capital contribution from JPMorgan Chase & Co., substantially all of our assets relate
to obligations of our affiliates to make payments under loans made by us or other intercompany
agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the Notes. If these affiliates do not make payments to us and we fail 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. |
| t | You
Are Not Guaranteed Any Contingent Coupons — We will not necessarily make
periodic coupon payments on the Notes. If the closing price of one share of the applicable
Underlying on an Observation Date is less than the applicable Coupon Barrier, we will not
pay you the applicable Contingent Coupon for that Observation Date and the applicable Contingent
Coupon that would otherwise be payable will not be accrued and will be lost. If the closing
price of one share of the applicable Underlying is less than the applicable Coupon Barrier
on each of the Observation Dates, we will not pay you any Contingent Coupon during the term
of, and you will not receive a positive return on, your Notes. Generally, this non-payment
of the Contingent Coupon coincides with a period of greater risk of principal loss on your
Notes. |
| t | Return
on the Notes Limited to the Sum of Any Contingent Coupons and You Will Not Participate in
Any Appreciation of the Applicable Underlying — The return potential of
the Notes is limited to the specified Contingent Coupon Rate, regardless of the appreciation
in the closing price of one share of the applicable Underlying, which may be significant.
In addition, the total return on the Notes will vary based on the number of Observation Dates
on which the requirements for a Contingent Coupon have been met prior to maturity or an automatic
call. Further, if the Notes are called, you will not receive any Contingent Coupons or any
other payments in respect of any Observation Dates after the applicable Call Settlement Date.
Because the Notes could be called as early as the first Observation Date, the total return
on the Notes could be minimal. If the Notes are not called, you may be subject to the applicable
Underlying’s risk of decline even though you are not able to participate in any
potential appreciation in the price of the applicable Underlying. Generally, the longer the
Notes remain outstanding, the less likely it is that they will be automatically called, due
to the decline in the price of the applicable Underlying and the shorter time remaining for
the price of the applicable Underlying to recover to or above the applicable Initial Value
on a subsequent Observation Date. As a result, the return on an investment in the Notes could
be less than the return on a direct investment in the applicable Underlying. In addition,
if the Notes are not called and the applicable Final Value is below the applicable Downside
Threshold, you will have a loss on your principal amount and the overall return on the Notes
may be less than the amount that would be paid on a conventional debt security of JPMorgan
Financial of comparable maturity. |
| t | Contingent
Repayment of Principal Applies Only If You Hold the Notes to Maturity —
If you are able to sell your Notes in the secondary market, if any, prior to maturity, you
may have to sell them at a loss relative to your initial investment even if the closing price
of one share of the applicable Underlying is above the applicable Downside Threshold. If
by maturity the Notes have not been called, either JPMorgan Financial will repay you the
full principal amount per Note plus the applicable Contingent Coupon, or if the price
of one share of the applicable Underlying closes below the applicable Downside Threshold
on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount,
if anything, at maturity, resulting in a loss on your principal amount that is proportionate
to the decline in the closing price of one share of the applicable Underlying from the |
applicable
Initial Value to the applicable Final Value. This contingent repayment of principal applies only if you hold your Notes to maturity.
| t | A
Higher Applicable Contingent Coupon Rate and/or a Lower Applicable Coupon Barrier and/or
Applicable Downside Threshold May Reflect Greater Expected Volatility of the Applicable Underlying,
Which Is Generally Associated With a Greater Risk of Loss — Volatility is
a measure of the degree of variation in the price of the applicable Underlying over a period
of time. The greater the expected volatility of the applicable Underlying at
the time the terms of the Notes are set, the greater the expectation is at that time that the price of the applicable Underlying could
close below the applicable Coupon Barrier on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon payments,
or below the applicable Downside Threshold on the Final Valuation Date, resulting in the loss of a significant portion or all of your
principal at maturity. In addition, the economic terms of the Notes, including the applicable Contingent Coupon Rate, the applicable
Coupon Barrier and the applicable Downside Threshold, are based, in part, on the expected volatility of the applicable Underlying at
the time the terms of the Notes are set, where a higher expected volatility will generally be reflected in a higher applicable Contingent
Coupon Rate than the fixed rate we would pay on conventional debt securities of the same maturity and/or on otherwise comparable securities
and/or a lower applicable Coupon Barrier and/or a lower applicable Downside Threshold as compared to otherwise comparable securities.
Accordingly, a higher applicable Contingent Coupon Rate will generally be indicative of a greater risk of loss while a lower applicable
Coupon Barrier or applicable Downside Threshold does not necessarily indicate that the Notes have a greater likelihood of paying Contingent
Coupon payments or returning your principal at maturity. You should be willing to accept the downside market risk of the applicable Underlying
and the potential loss of some or all of your principal at maturity. |
| t | Reinvestment
Risk — If your Notes are called early, the holding period over which
you would have the opportunity to receive any Contingent Coupons could be as short as approximately
three months. 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 in the event the Notes are called prior to the Maturity Date. |
| t | Each
Contingent Coupon Is Based Solely on the Closing Price of One Share of the Applicable Underlying
on the Applicable Observation Date — Whether a Contingent Coupon will be
payable with respect to an Observation Date will be based solely on the closing price of
one share of the applicable Underlying on that Observation Date. As a result, you will not
know whether you will receive a Contingent Coupon until the related Observation Date. Moreover,
because each Contingent Coupon is based solely on the closing price of one share of the applicable
Underlying on the applicable Observation Date, if that closing price is less than the applicable
Coupon Barrier, you will not receive any Contingent Coupon with respect to that Observation
Date, even if the closing price of one share of the applicable Underlying was higher on other
days during the period before that Observation Date. |
| t | No
Dividend Payments or Voting Rights or Other Ownership Rights in the Applicable Underlying
— As a holder of the Notes, you will not have any ownership interest or
rights in the applicable Underlying, such as voting rights or rights to receive cash dividends
or other distributions. In addition, the issuer of the applicable Underlying will not have
any obligation to consider your interests as a holder of the Notes in taking any corporate
action that might affect the value of the applicable Underlying and the Notes. |
| t | No
Assurances That the Investment View Implicit in the Notes Will Be Successful —
While the Notes are structured to provide for Contingent Coupons if the applicable Underlying
does not close below the applicable Coupon Barrier on the Observation Dates, we cannot assure
you of the economic environment during the term or at maturity of your Notes. |
| t | 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. |
| t | Tax
Treatment — Significant aspects of the tax treatment of the Notes are uncertain.
You should consult your tax adviser about your tax situation. |
| t | The
Final Terms and Valuation of the Notes Will Be Finalized on the Trade Date and 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 finalized on the Trade
Date and provided in the pricing supplement. In particular, each of the estimated value of
the applicable Notes and the applicable Contingent Coupon Rate will be finalized on the Trade
Date and provided in the pricing supplement, and each may be as low as the applicable minimum
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 and the Contingent
Coupon Rate of the applicable Notes. |
Risks
Relating to Conflicts of Interest
| t | 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 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. We and/or our affiliates may also currently or from time to
time engage in business with the issuer of the applicable Underlying, including extending
loans to, |
| | or making equity investments in, the issuer of the applicable Underlying or providing
advisory services to the issuer of the applicable Underlying. As a prospective purchaser
of the Notes, you should undertake an independent investigation of the issuer of the applicable
Underlying as in your judgment is appropriate to make an informed decision with respect to
an investment in the Notes. |
| t | Potentially
Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates —
JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations
(for example, with respect to the issuer of the applicable Underlying) that are inconsistent
with investing in or holding the Notes, and that may be revised at any time. Any such research,
opinions or recommendations may or may not recommend that investors buy or hold the applicable
Underlying and could affect the value of the applicable Underlying, and therefore the market
value of the Notes. |
| t | Potential
JPMorgan Financial Impact on the Market Price of the Applicable Underlying —
Trading or transactions by JPMorgan Financial or its affiliates in the applicable Underlying
and/or over-the-counter options, futures or other instruments with returns linked to the
performance of the applicable Underlying may adversely affect the market price of the applicable
Underlying and, therefore, the market value of the Notes. |
Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes
| t | 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. |
| t | 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. |
| t | 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. |
| t | 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 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). |
| t | 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 factor 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 “—
Risks Relating to the Notes Generally — Lack of Liquidity” above.
| t | Many
Economic and Market Factors Will Impact the Value of the Notes — As described
under “The Estimated Value of the Notes” in this pricing supplement, the Notes can be thought of as securities that combine
a fixed-income debt component with one or more derivatives. As a result, the factors that influence the values of fixed-income
debt and derivative instruments will also influence the terms of the Notes at issuance and their value in the secondary market.
Accordingly, 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 price of the applicable Underlying, including: |
| t | any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads; |
| t | customary bid-ask spreads for similarly sized trades; |
| t | our internal secondary market funding rates for structured debt
issuances; |
| t | the actual and expected volatility in the closing price of one
share of the applicable Underlying; |
| t | the time to maturity of the Notes; |
| t | the likelihood of an automatic call being triggered; |
| t | whether the closing price
of one share of the applicable Underlying has been, or is expected to be, less than the applicable
Coupon Barrier on any Observation Date and whether the applicable Final Value is expected
to be less than the Downside Threshold; |
| t | the dividend rate on the applicable Underlying; |
| t | the occurrence of certain
events affecting the issuer of the applicable Underlying that may or may not require an adjustment
to the closing price and the Stock Adjustment Factor of the applicable Underlying, including
a merger or acquisition; |
| t | interest and yield rates in the market generally; and |
| t | a variety of other economic, financial, political, regulatory
and judicial events. |
Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the 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.
Risks Relating to the Underlyings
| t | Single
Stock Risk — The price of the applicable Underlying can rise or fall sharply
due to factors specific to that Underlying and its issuer, such as stock price volatility,
earnings, financial conditions, corporate, industry and regulatory developments, management
changes and decisions and other events, as well as general market factors, such as general
stock market volatility and levels, interest rates and economic and political conditions.
For additional information regarding each Underlying and its issuer, please see “The
Underlyings” and the section applicable to that Underlying issuer in this pricing supplement
and that issuer’s SEC filings referred to in those sections. We urge you to review
financial and other information filed periodically with the SEC by the applicable Underlying
issuer. |
| t | No
Affiliation with the Applicable Underlying Issuer — We are not affiliated
with the issuer of the applicable Underlying. We have not independently verified any of the
information about the applicable Underlying issuer contained in this pricing supplement.
You should make your own investigation into the applicable Underlying and its issuer. We
are not responsible for the applicable Underlying issuer’s public disclosure of information,
whether contained in SEC filings or otherwise. |
| t | Anti-Dilution
Protection Is Limited and May Be Discretionary — Although the calculation
agent will adjust the closing price and the Stock Adjustment Factor of the applicable Underlying
for certain corporate events (such as stock splits and stock dividends) affecting the applicable
Underlying, the calculation agent is not required to make an adjustment for every corporate
event that can affect the applicable Underlying. If an event occurs that does not require
the calculation agent to make these adjustments, the market value of your Notes, whether
the Notes will be automatically called and any payment on the Notes may be materially and
adversely affected. You should also be aware that the calculation agent may make any such
adjustment, determination or calculation in a manner that differs from what is described
in the accompanying product supplement as it deems necessary to ensure an equitable result.
Subject to the foregoing, the calculation agent is under no obligation to consider your interests
as a holder of the Notes in making these determinations. |
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on a Coupon
Payment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Notes
linked to a hypothetical Underlying and assume an Initial Value of $100.00, a Downside Threshold and Coupon Barrier of $80.00* (which
is 80.00%* of the hypothetical Initial Value) and a Contingent Coupon Rate of 6.00% per annum. The hypothetical Initial Value of $100.00
has been chosen for illustrative purposes only and may not represent a likely actual Initial Value for any Underlying. The actual Initial
Value, Downside Threshold and Coupon Barrier for each Underlying are based on the closing price of one share of that Underlying on May
14, 2024 and are specified on the cover of this pricing supplement.* For historical data regarding the actual closing prices of one share
of each Underlying, please see the historical information set forth under “The Underlyings” in this pricing supplement.
Principal Amount: |
$10.00 |
Term: |
Approximately 1 year (unless earlier called) |
Hypothetical Initial Value: |
$100.00 |
Hypothetical Contingent Coupon Rate: |
6.00%* per annum (or 1.50% per quarter) |
Observation Dates: |
Quarterly |
Hypothetical Downside Threshold: |
$80.00 (which is 80.00% of the hypothetical Initial Value) |
Hypothetical Coupon Barrier: |
$80.00 (which is 80.00% of the hypothetical Initial Value) |
* |
The actual Contingent Coupon Rate for each
Underlying will be finalized on the Trade Date and provided in the pricing supplement. The actual value of any Contingent
Coupon payments you will receive over the term of the Notes, the actual value of the payment upon automatic call or at maturity and
the actual Initial Value, Downside Threshold and Coupon Barrier for each Underlying applicable to your Notes may be more or less
than the amounts displayed in these hypothetical scenarios. |
The examples below are purely hypothetical and are not based
on any specific offering of Notes linked to any specific Underlying. These examples are intended to illustrate how the value of any payment
on the Notes will depend on the closing price on the Observation Dates.
Example 1 — Notes Are Automatically Called on the First
Observation Date
Date |
Closing Price |
Payment (per Note) |
First Observation Date |
$110.00 (at or above Initial Value) |
$10.15 |
|
|
|
|
|
Total Payment: |
$10.15 (1.50% return) |
|
|
|
|
Because the Notes are automatically called on the first Observation
Date, we will pay you on the applicable Call Settlement Date a total of $10.15 per Note, reflecting your principal amount plus
the applicable Contingent Coupon. No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Third
Observation Date
Date |
Closing Price |
Payment (per Note) |
First Observation Date |
$90.00 (at or above Coupon Barrier; below Initial Value) |
$0.15 (Contingent Coupon) |
Second Observation Date |
$80.00 (at or above Coupon Barrier; below Initial Value) |
$0.15 (Contingent Coupon) |
Third Observation Date |
$105.00 (at or above Initial Value) |
$10.15 (Payment upon Automatic Call) |
|
|
|
|
|
Total Payment: |
$10.45 (4.50% return) |
|
|
|
|
Because the Notes are automatically called on the third Observation
Date, we will pay you on the applicable Call Settlement Date a total of $10.15 per Note, reflecting your principal amount plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $0.30 received in respect of prior Observation
Dates, we will have paid you a total of $10.45 per Note for a 4.50% total return on the Notes. No further amounts will be owed on the
Notes.
Example 3 — Notes Are NOT Automatically Called and
the Final Value Is at or Above the Downside Threshold
Date |
Closing Price |
Payment (per Note) |
First Observation Date |
$90.00 (at or above Coupon Barrier; below Initial Value) |
$0.15 (Contingent Coupon) |
Second Observation Date |
$85.00 (at or above Coupon Barrier; below Initial Value) |
$0.15 (Contingent Coupon) |
Third Observation Date |
$40.00 (below Coupon Barrier) |
$0.00 |
Final Valuation Date |
$85.00 (at or above Downside Threshold; below Initial Value) |
$10.15 (Payment at Maturity) |
|
|
|
|
|
Total Payment: |
$10.45 (4.50% return) |
|
|
|
|
At maturity, we will pay you a total of $10.15 per Note, reflecting
your principal amount plus the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $0.30
received in respect of prior Observation Dates, we will have paid you a total of $10.45 per Note for a 4.50% total return on the Notes.
Example 4 — Notes Are NOT Automatically Called and
the Final Value Is Below the Downside Threshold
Date |
Closing Price |
Payment (per Note) |
First Observation Date |
$90.00 (at or above Coupon Barrier; below Initial Value) |
$0.15 (Contingent Coupon) |
Second Observation Date |
$85.00 (at or above Coupon Barrier; below Initial Value) |
$0.15 (Contingent Coupon) |
Third Observation Date |
$80.00 (at or above Coupon Barrier; below Initial Value) |
$0.15 (Contingent Coupon) |
Final Valuation Date |
$60.00 (below Downside Threshold) |
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -40%) =
$10.00 × 60% =
$6.00 (Payment at Maturity) |
|
|
|
|
|
Total Payment: |
$6.45 (-35.50% return) |
|
|
|
|
Because the Notes are not automatically called, the Final Value
of $60.00 is below the Downside Threshold and the Underlying Return is -40%, at maturity we will pay you $6.00 per Note. When that amount
is added to the Contingent Coupon payments of $0.45 received in respect of prior Observation Dates, we will have paid you $6.45 per Note
for a loss on the Notes of 35.50%.
Example 5 — Notes Are NOT Automatically Called and
the Final Value Is Below the Downside Threshold
Date |
Closing Price |
Payment (per Note) |
First Observation Date |
$65.00 (below Coupon Barrier) |
$0.00 |
Second Observation Date |
$60.00 (below Coupon Barrier) |
$0.00 |
Third Observation Date |
$55.00 (below Coupon Barrier) |
$0.00 |
Final Valuation Date |
$50.00 (below Downside Threshold) |
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -50%) =
$10.00 × 50% =
$5.00 (Payment at Maturity) |
|
|
|
|
|
Total Payment: |
$5.00 (-50.00% return) |
|
|
|
|
Because the Notes are not automatically called, the Final Value is
below the Downside Threshold and the Underlying Return is -50%, at maturity we will pay you $5.00 per Note for a loss on the Notes of
50.00%. Because there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on the Notes.
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.
Included on the following pages is a brief description of the
issuers of the Underlyings. This information has been obtained from publicly available sources, without independent verification. We
obtained the closing price information set forth below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. You should not take the historical prices of any Underlying as an indication of future performance.
Each of the Underlyings is registered under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required to
file financial and other information specified by the SEC periodically. Information filed by the issuer of each Underlying with the SEC
can be reviewed electronically through a web site maintained by the SEC. The address of the SEC’s web site is http://www.sec.gov.
Information filed with the SEC by the issuer of each Underlying under the Exchange Act can be located by reference to its SEC file number
provided below. We do not make any representation that these publicly available documents are accurate or complete.
According to its publicly available filings with the SEC, Amazon.com,
Inc., which we refer to as Amazon, serves consumers through its online and physical stores; manufactures and sells electronic devices;
develops and produces media content; offers subscription services, such as Amazon Prime; offers programs that enable sellers to sell
their products in its stores and to fulfill orders using Amazon’s services; offers developers and enterprises a set of on-demand
technology services, including compute, storage, database, analytics, machine learning and other services; offers programs that allow
authors, independent publishers, musicians, filmmakers, Twitch streamers, skill and app developers and others to publish and sell content;
and provides advertising services to sellers, vendors, publishers, authors and others, through programs such as sponsored ads, display
and video advertising. The common stock of Amazon, par value $0.01 per share (Bloomberg ticker: AMZN), is listed on The Nasdaq
Stock Market, which we refer to as the relevant exchange for purposes of Amazon in the accompanying product supplement. Amazon’s
SEC file number is 000-22513.
Historical Information Regarding the Common Stock of Amazon
The graph below illustrates the daily performance of the common
stock of Amazon from January 2, 2014 through May 14, 2024, based on information from Bloomberg, without independent verification. The
closing price of one share of the common stock of Amazon on May 14, 2024 was $187.07. We obtained the closing prices above and below
from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as
stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of one share of the common stock
of Amazon has experienced significant fluctuations. The historical performance of the common stock of Amazon should not be taken as an
indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock of Amazon during
the term of the Notes. There can be no assurance that the performance of the common stock of Amazon will result in the return of any
of your principal amount or the payment of any Contingent Coupon.
The dotted line represents the Downside Threshold and Coupon Barrier of
$130.95, equal to 70.00% of the closing price of one share of the common stock of Amazon on May 14, 2024.
Past performance of the Underlying is not indicative of the
future performance of the Underlying.
According to its publicly available filings with the SEC, Marathon
Oil Corporation, which we refer to as Marathon Oil, is an exploration and production company that explores for, produces and markets
crude oil and condensate, natural gas liquids and natural gas as well as produces and markets products manufactured from natural gas,
such as liquefied natural gas and methanol. The common stock of Marathon Oil, par value $1.00 per share (Bloomberg ticker: MRO), is listed
on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Marathon Oil in the accompanying product supplement.
Marathon Oil’s SEC file number is 001-01513.
Historical Information Regarding the Common Stock of Marathon
Oil
The graph below illustrates the daily performance of the common stock of
Marathon Oil, from January 2, 2014 through May 14, 2024 based on information from Bloomberg, without independent verification. The closing
price of one share of the common stock of Marathon Oil on May 14, 2024 was $26.57. We obtained the closing prices above and below from
Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock
splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of one share of the common stock of
Marathon Oil has experienced significant fluctuations. The historical performance of the common stock of Marathon Oil should not be taken
as an indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock of Marathon
Oil during the term of the Notes. There can be no assurance that the performance of the common stock of Marathon Oil will result in the
return of any of your principal amount or the payment of any Contingent Coupon.
The dotted line represents the Downside Threshold and Coupon Barrier of
$18.60, equal to 70.00% of the closing price of one share of the common stock of Marathon Oil on May 14, 2024.
Past performance of the Underlying is not indicative of the
future performance of the Underlying.
Supplemental Plan of Distribution |
We and JPMorgan Chase & Co. have agreed to indemnify UBS
and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to make
relating to these liabilities as described in the prospectus supplement and the prospectus. We will agree that UBS may sell all or a
part of the Notes that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to
purchase the Notes in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and JPMS
and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental
Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying product supplement.
The Estimated Value of the Notes |
For each offering 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 values 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 “Key Risks
— 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 “Key Risks — 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 UBS, 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 “Key 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” 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 “Key Risks — 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 this pricing 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 that is intended
to be up to five months. The length of any such initial period reflects secondary market volumes for the Notes, 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 “Key Risks — 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 Examples” in this pricing supplement
for an illustration of the risk-return profile of the Notes and the section for the applicable Underlying set forth under “The
Underlyings” 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 UBS, 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.
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