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 23, 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 Callable Contingent Yield
Notes (daily coupon observation)
Linked to the least performing of the Nikkei 225 Index, the Russell 2000®
Index and the S&P 500® Index due on or about August 27, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Trigger Callable 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 least performing of the Nikkei 225 Index, the Russell 2000® Index and the S&P 500® Index (each,
an “Underlying” and together the “Underlyings”). If the closing level of each Underlying is equal to or greater
than its Coupon Barrier on each day during a Quarterly Observation Period, JPMorgan Financial will make a Contingent Coupon payment with
respect to that Quarterly Observation Period. If the closing level of any Underlying is less than its Coupon Barrier on any day during
a Quarterly Observation Period, no Contingent Coupon payment will be made. JPMorgan Financial may, at its election, call the Notes early
on any Quarterly Observation End Date (other than the Final Valuation Date) regardless of the closing level of any Underlying on that
Quarterly Observation End Date. If JPMorgan Financial elects to call the Notes prior to maturity, JPMorgan Financial will pay the principal
amount plus any Contingent Coupon for the Quarterly Observation Period ending on the applicable Quarterly Observation End Date
and no further amounts will be owed to you. If JPMorgan Financial does not elect to call the Notes prior to maturity and the Final Value
of each Underlying is equal to or greater than its Downside Threshold, JPMorgan Financial will make a cash payment at maturity equal
to the principal amount of your Notes, in addition to any Contingent Coupon with respect to the final Quarterly Observation Period. If
JPMorgan Financial does not elect to call the Notes prior to maturity and the Final Value of any Underlying is less than its Downside
Threshold, JPMorgan Financial will pay you less than the full principal amount, if anything, at maturity, resulting in a loss of your
principal amount that is proportionate to the decline in the closing level of the Underlying with the Lowest Underlying Return (the “Least
Performing Underlying”) from its Initial Value to its Final Value. Investing in the Notes involves significant risks. You may
lose some or all of your principal amount at maturity. You may receive few or no quarterly Contingent Coupons during the term of the
Notes. You will be exposed to the market risk of each Underlying on each day of the Quarterly Observation Periods and on the Final Valuation
Date and any decline in the level of one Underlying may negatively affect your return and will not be offset or mitigated by a lesser
decline or any potential increase in the levels of the other Underlyings. 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 | Contingent Coupon: If
the closing level of each Underlying is equal to or greater than its Coupon Barrier on each
day during a Quarterly Observation Period, JPMorgan Financial will make a Contingent Coupon
payment with respect to that Quarterly Observation Period. JPMorgan Financial will not pay
you the Contingent Coupon for any Quarterly Observation Period in which the closing level
of any Underlying on any day during that Quarterly Observation Period is less than its Coupon
Barrier. |
| q | Issuer Callable: JPMorgan
Financial may, at its election, call the Notes on any Quarterly Observation End Date (other
than the Final Valuation Date), regardless of the closing level of any Underlying on that
Quarterly Observation End Date, and pay you the principal amount plus any Contingent
Coupon otherwise due for the Quarterly Observation Period ending on that Quarterly Observation
End Date. If the Notes are called, no further payments will be made after the Call Settlement
Date. |
Downside Exposure with Contingent Repayment of Principal Amount at
Maturity: If by maturity the Notes have not been called and each Underlying closes at or above its Downside Threshold on the Final
Valuation Date, JPMorgan Financial will pay you the principal amount per Note at maturity, in addition to any Contingent Coupon with
respect to the final Quarterly Observation Period. If any Underlying closes below its 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 level of the Least Performing Underlying from its Initial Value to its 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 24, 2024 |
Original Issue Date (Settlement Date)1 |
May 30, 2024 |
Quarterly Observation End Dates2 |
Quarterly
(see page 5) |
Final Valuation Date2 |
August 24, 2027 |
Maturity Date2 |
August 27, 2027 |
| 1 | Expected.
In the event that we make any change to the expected Trade Date and Settlement Date, the
Quarterly Observation End Dates, the Final Valuation Date and/or the Maturity Date will be
changed so that the stated term of the Notes remains the same. |
| 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 Multiple Underlyings”
in the accompanying product supplement or early acceleration in the event of a change-in-law
event as described under “General Terms of Notes — Consequences of a Change-in-Law
Event” in the accompanying product supplement and “Key Risks — Risks Relating
to the Notes Generally — We May Accelerate Your Notes If a Change-in-Law Event Occurs”
in this pricing 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 LEAST PERFORMING 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.
We are offering Trigger Callable Contingent Yield Notes linked to
the least performing of the Nikkei 225 Index, the Russell 2000® Index and the S&P 500® Index. The Notes
are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof. The Contingent Coupon Rate and
the Initial Value, Downside Threshold and Coupon Barrier for each Underlying will be finalized on the Trade Date and provided in the
pricing supplement. The actual Contingent Coupon Rate is expected to be, but will not be less than, the minimum Contingent Coupon Rate
listed below, but you should be willing to invest in the Notes if the Contingent Coupon Rate were set equal to that minimum Contingent
Coupon Rate.
Underlying |
Contingent
Coupon Rate |
Initial
Value |
Downside
Threshold* |
Coupon
Barrier* |
CUSIP
/ ISIN |
Nikkei 225 Index
(Bloomberg Ticker: NKY) |
At
least 10.00% per annum |
• |
60% of the Initial
Value |
70% of the Initial
Value |
48131F271 / US48131F2719 |
Russell
2000® Index (Bloomberg Ticker: RTY) |
|
• |
60%
of the Initial Value |
70%
of the Initial Value |
|
S&P 500® Index
(Bloomberg Ticker: SPX) |
• |
60% of the Initial Value |
70% of the Initial Value |
*Rounded to three decimal places for the Russell 2000®
Index and rounded to two decimal places for the Nikkei 225 Index and the S&P 500® Index
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, underlying supplement no.
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, the accompanying product supplement and the accompanying
underlying 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 least performing of the Nikkei 225 Index, the Russell 2000® Index and the S&P 500® Index |
|
$10 |
|
$0.10 |
|
$9.90 |
| (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 $0.10 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 $9.703
per $10 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 $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.
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.
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 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, 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 Nikkei 225 Index, the Russell 2000® Index and the S&P 500® Index is an “Index.”
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.
Investor
Suitability
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 Least Performing Underlying.
t You
are willing to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on the Final
Valuation Date and understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser decline
or any potential increase in the levels of the other Underlyings.
t You
accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
t You
understand and accept that you will not participate in any appreciation in the level of any Underlying and that your potential return
is limited to the 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 fluctuations
in the levels of the Underlyings.
t You
would be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the minimum Contingent Coupon Rate indicated
on the cover hereof (the actual Contingent Coupon Rate 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 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 stocks included in the
Underlyings.
t You
are able and willing to invest in Notes that may be called early at JPMorgan Financial’s election and 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 risks associated with the Underlyings.
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 Least Performing Underlying.
t You
are unwilling to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on the
Final Valuation Date or do not understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser
decline or any potential increase in the levels of the other Underlyings.
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
seek an investment that participates in the full appreciation in the level of any or all Underlyings 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 fluctuations
in the levels of the Underlyings.
t You
would not be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the minimum Contingent Coupon Rate indicated
on the cover hereof (the actual Contingent Coupon Rate 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 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 stocks included in the Underlyings.
t You
are unable or unwilling to invest in Notes that may be called early at JPMorgan Financial’s election, 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 risks associated with the Underlyings.
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 sections
titled “The Nikkei 225 Index,” “The Russell 2000® Index” and “The S&P 500®
Index” 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 |
Underlyings: |
|
Nikkei
225 Index
Russell 2000®
Index
S&P 500® Index |
Principal
Amount: |
|
$10 per Note (subject
to a minimum purchase of 100 Notes or $1,000) |
Term1: |
|
3.25 years, unless called
earlier at the election of JPMorgan Financial |
Issuer
Call Feature: |
|
JPMorgan
Financial may elect to call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of
the closing level of any Underlying on that Quarterly Observation End Date. 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 any Contingent Coupon
otherwise due for the Quarterly Observation Period ending on the applicable Quarterly Observation End Date, and no further payments
will be made on the Notes. Before JPMorgan Financial elects to call the Notes on a Quarterly Observation End Date, JPMorgan Financial
will deliver written notice to The Depository Trust Company (“DTC”) on or before that Quarterly Observation End Date. |
Contingent
Coupon: |
|
If
the closing level of each Underlying is equal to or greater than its Coupon Barrier on each
day during a Quarterly Observation Period, we will pay you the Contingent Coupon for that
Quarterly Observation Period on the relevant Coupon Payment Date.
If the closing level of any Underlying
is less than its Coupon Barrier on any day during a Quarterly Observation Period, the Contingent Coupon for that Quarterly Observation
Period 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 Contingent Coupon Rate, which is a per annum rate. You should
be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the minimum Contingent Coupon Rate set forth in
“Contingent Coupon Rate” below.
Contingent Coupon payments
on the Notes are not guaranteed. We will not pay you the Contingent Coupon for any Quarterly Observation Period in which the closing
level of any Underlying on any day during that Quarterly Observation Period is less than its Coupon Barrier. |
Quarterly
Observation Period: |
|
With respect to each Coupon
Payment Date, the period from but excluding the second immediately preceding Quarterly Observation End Date (or, in the case of the
first Coupon Payment Date, from but excluding the Pricing Date) to and including the immediately preceding Quarterly Observation
End Date. |
Contingent
Coupon Rate: |
|
At
least 10.00% per annum. The actual Contingent Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement
and is expected to be, but will not be less than, 10.00% per annum. |
Contingent
Coupon payments: |
|
At
least $0.25 per $10 principal amount Note. The actual Contingent Coupon payments will be based on the Contingent Coupon Rate and
finalized on the Trade Date and provided in the pricing supplement. |
|
Coupon
Payment Dates2: |
|
As specified
under the “Coupon Payment Dates / Call Settlement Dates (if called)” column of the table under “Quarterly Observation
Periods, Quarterly Observation End Dates and Coupon Payment Dates” below |
|
Call
Settlement Dates2: |
|
First Coupon
Payment Date following the applicable Quarterly Observation End Date |
|
Payment at Maturity (per $10 Note): |
|
If
JPMorgan Financial does not elect to call the Notes and the Final Value of each Underlying
is equal to or greater than its Downside Threshold, we will pay you a cash payment at
maturity per $10 principal amount Note equal to $10 plus any Contingent Coupon otherwise
due on the Maturity Date.
If JPMorgan Financial does
not elect to call the Notes and the Final Value of any Underlying is less than its 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 + Least Performing Underlying Return)
In this scenario, you will
be exposed to the decline of the Least Performing Underlying and you will lose some or all of your principal at maturity in an amount
proportionate to the negative Underlying Return of the Least Performing Underlying. |
|
Underlying Return: |
|
With
respect to each Underlying:
Final Value –
Initial Value
Initial Value |
|
Least
Performing Underlying: |
|
The
Underlying with the Lowest Underlying Return |
|
Least
Performing Underlying Return: |
|
The
lowest of the Underlying Returns of the Underlyings |
|
Initial
Value: |
|
With
respect to each Underlying, the closing level of that Underlying on the Trade Date |
|
Final
Value: |
|
With respect
to each Underlying, the closing level of that Underlying on the Final Valuation Date |
|
Downside
Threshold3: |
|
With respect
to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement |
|
Coupon
Barrier3: |
|
With respect
to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement |
|
1 |
See footnote 1 under “Key Dates” on the front
cover. |
2 |
See footnote 2 under “Key Dates” on the front cover. |
3 |
Rounded to three decimal places for the Russell
2000® Index and rounded to two decimal places for the Nikkei 225 Index and the S&P 500® Index. |
Trade Date |
|
The closing level of each Underlying (Initial
Value) is observed, the Downside Threshold and the Coupon Barrier of each Underlying are determined and the Contingent Coupon Rate
is finalized. |
|
|
|
Quarterly
(callable by JPMorgan Financial
at its election): |
|
If the closing level of each Underlying is equal to or
greater than its Coupon Barrier on each day during a Quarterly Observation Period, JPMorgan Financial will pay you a Contingent Coupon
on the related Coupon Payment Date.
JPMorgan Financial may, at its election and upon written
notice to DTC, call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of the closing
level of any Underlying on that Quarterly Observation End Date. If JPMorgan Financial elects to call the Notes, JPMorgan Financial
will pay you a cash payment per Note equal to the principal amount plus any Contingent Coupon otherwise due for the applicable
Quarterly Observation Period, and no further payments will be made on the Notes. |
|
|
|
Maturity Date |
|
The Final Value
of each Underlying is determined as of the Final Valuation Date.
If JPMorgan Financial does not elect to call the
Notes and the Final Value of each Underlying is equal to or greater than its Downside Threshold, we will pay you a cash payment
at maturity per $10 principal amount Note equal to $10 plus any Contingent Coupon otherwise due on the Maturity Date.
If JPMorgan Financial does not elect to call the Notes
and the Final Value of any Underlying is less than its Downside Threshold, we will pay you a cash payment at maturity that is
less than $10 per $10 principal amount, equal to:
$10 × (1 + Least Performing
Underlying Return) per Note
In this scenario, you will be exposed
to the decline of the Least Performing Underlying and you will lose some or all of your principal at maturity in an amount proportionate
to the negative Underlying Return of the Least Performing Underlying |
|
|
|
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME
OR ALL OF YOUR PRINCIPAL AMOUNT AT MATURITY. YOU MAY RECEIVE FEW OR NO QUARTERLY CONTINGENT COUPONS DURING THE TERM OF THE NOTES. YOU
WILL BE EXPOSED TO THE MARKET RISK OF EACH UNDERLYING ON EACH DAY OF THE QUARTERLY OBSERVATION PERIODS AND ON THE FINAL VALUATION DATE
AND ANY DECLINE IN THE LEVEL OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND WILL NOT BE OFFSET OR MITIGATED BY A LESSER DECLINE
OR ANY POTENTIAL INCREASE IN THE LEVELS OF THE OTHER UNDERLYINGS. 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.
Quarterly
Observation Periods, Quarterly Observation End Dates and Coupon Payment Dates
Quarterly
Observation Periods Ending on the
Following Quarterly Observation End Dates |
Coupon
Payment Dates /
Call Settlement Dates (if called) |
August
26, 2024 |
August
28, 2024 |
November
25, 2024 |
November
27, 2024 |
February
25, 2025 |
February
27, 2025 |
May 27,
2025 |
May 29,
2025 |
August
25, 2025 |
August
27, 2025 |
November
25, 2025 |
November
28, 2025 |
February
24, 2026 |
February
26, 2026 |
May 26,
2026 |
May 28,
2026 |
August
24, 2026 |
August
26, 2026 |
November
24, 2026 |
November
27, 2026 |
February
24, 2027 |
February
26, 2027 |
May 24,
2027 |
May 26,
2027 |
August
24, 2027* (the Final Valuation Date) |
August
27, 2027* (the Maturity Date) |
*The Notes are not callable at JPMorgan
Financial’s election on the Final Valuation Date. Thus, the Maturity Date is not a Call Settlement Date.
Each of the Quarterly Observation End 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 Multiple Underlyings” 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 upon early redemption or redemption 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 unless you hold
the Notes for more than one year, in which case the gain or loss should be long-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 a Quarterly Observation End 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, 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.
Key
Risks
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in any or all of the Underlyings. 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 JPMorgan Financial does not elect to call the Notes and the closing level of any Underlying
has declined below its Downside Threshold on the Final Valuation Date, you will be fully
exposed to any depreciation of the Least Performing Underlying from its Initial Value to
its 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 of the Least Performing Underlying. Under these circumstances, you will
lose 1% of your principal for every 1% that the Final Value of the Least Performing Underlying
is less than its 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 any Underlying. |
| 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 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 | We May Accelerate Your
Notes If a Change-in-Law Event Occurs — Upon the announcement or occurrence of
legal or regulatory changes that the calculation agent determines are likely to interfere
with your or our ability to transact in or hold the Notes or our ability to hedge or perform
our obligations under the Notes, we may, in our sole and absolute discretion, accelerate
the payment on your Notes and pay you an amount determined in good faith and in a commercially
reasonable manner by the calculation agent. If the payment on your Notes is accelerated,
your investment may result in a loss and you may not be able to reinvest your money in a
comparable investment. Please see “General Terms of Notes — Consequences of a
Change-in-Law Event” in the accompanying product supplement for more information. |
| t | You Are Not Guaranteed
Any Contingent Coupons — We will not necessarily make periodic coupon payments
on the Notes. If the closing level of any Underlying is less than its Coupon Barrier on any
day during a Quarterly Observation Period, we will not pay you the Contingent Coupon for
that Quarterly Observation Period and the Contingent Coupon that would otherwise be payable
will not be accrued and will be lost. This will be the case even if the closing levels of
the other Underlyings are greater than or equal to their respective Coupon Barriers on each
day during that Quarterly Observation Period, and even if the closing level of that Underlying
was higher than its Coupon Barrier on every other day during the Quarterly Observation Period.
If the closing level of any Underlying is less than its Coupon Barrier on any day during
each Quarterly Observation Period, 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
Any Underlying — The return potential of the Notes is limited to the specified
Contingent Coupon Rate, regardless of the appreciation of any Underlying, which may be significant.
In addition, the total return on the Notes will vary based on the number of Quarterly Observation
Periods during which the requirements for a Contingent Coupon have been met prior to maturity
or JPMorgan Financial electing to call the Notes. Further, if JPMorgan Financial elects to
call the Notes, you will not receive any Contingent Coupons or any other payments in respect
of any Quarterly Observation Periods after the Call Settlement Date. If JPMorgan Financial
does not elect to call the Notes, you may be subject to the risk of decline in the level
of each Underlying, even though you are not able to participate in any potential appreciation
of any Underlying. As a result, the return on an investment in the Notes could be less than
the return on a hypothetical direct investment in any Underlying. In addition, if JPMorgan
Financial does not elect to call the Notes and the Final Value of any Underlying is below
its Downside Threshold, you will lose some or all of 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 | Because the Notes Are
Linked to the Least Performing Underlying, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining a Significant Loss
on Your Investment at Maturity Than If the Notes Were Linked to a Single Underlying — The risk that you will not receive any
Contingent Coupons and lose some or all of your initial investment in the Notes at maturity is greater if you invest in the Notes as
opposed to substantially similar securities that are linked to the performance of a single Underlying or to two Underlyings. With three
Underlyings, it is more likely that the closing level of an Underlying will be less than its Coupon Barrier on any day during the Quarterly
Observation Periods or less than its Downside Threshold on the Final Valuation Date. Therefore, it is more likely that you will not receive
any Contingent Coupons and that you will suffer a significant loss on your investment at maturity. In addition, the performance of the
Underlyings may not be correlated or may be negatively correlated. |
The lower the correlation between any two
of the Underlyings, the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside Threshold on
any day during a Quarterly Observation Period or the Final Valuation Date, respectively, and with three Underlyings there is a greater
potential that one pair of Underlyings will have low or negative correlation.
In addition, for each additional Underlying
to which the Notes are linked, there is a greater potential for one pair of Underlyings to have low or negative correlation. Therefore,
the greater the number of Underlyings, the greater the potential for missed Contingent Coupons and for a loss of principal at maturity.
Although the correlation of the Underlyings’ performance may change over the term of the Notes, the Contingent Coupon Rate is determined,
in part, based on the correlation of the Underlyings’ performance, as calculated using internal models of our affiliates at the
time when the terms of the Notes are finalized. A higher Contingent Coupon Rate is generally associated with lower correlation
of the Underlyings and/or a greater number of Underlyings, which reflects a greater potential for missed Contingent Coupons and for a
loss of principal at maturity. The correlations referenced in setting the terms of the Notes are calculated using internal models of
our affiliates and are not derived from the returns of the Underlyings over the period set forth under “Correlation of the Underlyings”
below. In addition, other factors and inputs other than correlation may impact how the terms of the Notes are set and the performance
of the Notes.
| t | You Are Exposed to the
Risk of Decline in the Level of Each Underlying — Your return on the Notes and
your payment at maturity, if any, is not linked to a basket consisting of the Underlyings.
If JPMorgan Financial does not elect to call the Notes, your payment at maturity is contingent
upon the performance of each individual Underlying such that you will be equally exposed
to the risks related to each of the Underlyings. In addition, the performance of the Underlyings
may not be correlated. Poor performance by any of the Underlyings over the term of the Notes
may negatively affect whether you will receive a Contingent Coupon on any Coupon Payment
Date and your payment at maturity and will not be offset or mitigated by positive performance
by any of the other Underlyings. Accordingly, your investment is subject to the risk of decline
in the value of each Underlying. |
| t | Your Payment at Maturity
Will Be Determined by the Least Performing Underlying — Because the payment at
maturity will be determined based on the performance of the Least Performing Underlying,
you will not benefit from the performance of any of the other Underlyings. Accordingly,
if JPMorgan Financial does not elect to call the Notes and the Final Value of any Underlying
is less than its Downside Threshold, you will lose some or all of your principal amount at
maturity, even if the Final Value of either or both of the other Underlyings is greater than
or equal to its Initial Value. |
| 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 levels of all of the Underlyings
are above their respective Downside Thresholds. If by maturity the Notes have not been called,
either JPMorgan Financial will repay you the full principal amount per Note, with or without
the Contingent Coupon, or, if any Underlying closes below its 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 level of the Least Performing Underlying from its Initial Value to its Final
Value. This contingent repayment of principal applies only if you hold your Notes to maturity. |
| t | A Higher Contingent Coupon
Rate and/or a Lower Coupon Barrier and/or Downside Threshold May Reflect Greater Expected
Volatility of the Underlyings, Which Is Generally Associated with a Greater Risk of Loss
— Volatility is a measure of the degree of variation in the levels of the Underlyings
over a period of time.
The greater the expected volatilities of the Underlyings at the time the terms of the Notes
are set, the greater the expectation is at that time that the level of an Underlying could
close below its Coupon Barrier on any day during any Quarterly Observation Period, resulting
in the loss of one or more, or all, Contingent Coupon payments, or below its 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 Contingent Coupon Rate, the Coupon
Barrier and the Downside Threshold, are based, in part, on the expected volatilities of the
Underlyings at the time the terms of the Notes are set, where higher expected volatilities
will generally be reflected in a higher 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 Coupon Barrier and/or a lower Downside Threshold as compared to otherwise
comparable securities.
Accordingly, a higher Contingent Coupon Rate will generally be indicative of a greater risk
of loss while a lower Coupon Barrier or 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 each Underlying and the
potential loss of some or all of your principal at maturity. |
| t | Call and Reinvestment
Risk — JPMorgan Financial may, in its sole discretion, elect to call the Notes
on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of
the closing level of any Underlying on that Quarterly Observation End Date. If JPMorgan Financial
elects to call your Notes early, you will no longer have the opportunity to receive any Contingent
Coupons after the applicable Call Settlement Date. The first Quarterly Observation End Date,
and the first potential date on which JPMorgan Financial may elect to call the Notes, occurs
after approximately three months and therefore you may not have the opportunity to receive
any Contingent Coupons after approximately three months. In the event JPMorgan Financial
elects to call the Notes, there is no guarantee that you will 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. |
It is more likely that JPMorgan Financial will elect to
call the Notes prior to maturity when the expected interest payable on the Notes is greater than the interest that would be payable
on other instruments issued by JPMorgan Financial of comparable maturity, terms and credit rating trading in the market. The greater
likelihood of JPMorgan Financial calling the Notes in that environment increases the risk that you will not be able to reinvest the
proceeds from the called Notes in an equivalent investment with a similar interest rate. JPMorgan Financial is less likely to call
the Notes prior to maturity when the expected interest payable on the Notes is less than the interest that would be payable on other
comparable instruments issued by JPMorgan Financial, which includes when the level of any of the Underlyings is less than its Coupon
Barrier. Therefore, the Notes are more likely to remain outstanding when the expected interest payable on the Notes is less than
what would be payable on other comparable instruments and when your risk of not receiving a Contingent Coupon is relatively
higher.
| t | Each Quarterly Contingent
Coupon Is Based on the Closing Levels of the Underlyings on Each Day During the Applicable
Quarterly Observation Period — Whether a Contingent Coupon will be payable with
respect to a Quarterly Observation Period will be based solely on the closing levels of the
Underlyings on each day during that Quarterly Observation Period. If the closing level of
any Underlying on any day during a Quarterly Observation Period is less than its Coupon Barrier,
you will not receive any Contingent Coupon with respect to that Quarterly Observation Period.
As a result, a Contingent Coupon for a Quarterly Observation Period may be lost after the
first day of such period, but you will not know whether you will receive a Contingent Coupon
for a Quarterly Observation Period until the end of the related period. |
| t | Investing in the Notes
Is Not Equivalent to Investing in the Stocks Composing the Underlyings — Investing
in the Notes is not equivalent to investing in the stocks included in the Underlyings. As
an investor in the Notes, you will not have any ownership interest or rights in the stocks
included in the Underlyings, such as voting rights, dividend payments or other distributions. |
| t | We
Cannot Control Actions by the Sponsor of Any Underlying and That Sponsor Has No Obligation
to Consider Your Interests — We and our affiliates are not affiliated with the
sponsor of any Underlying and have no ability to control or predict its actions, including
any errors in or discontinuation of public disclosure regarding methods or policies relating
to the calculation of that Underlying. The sponsor of each Underlying is not involved in
this Note offering in any way and has no obligation to consider your interest as an owner
of the Notes in taking any actions that might affect the market value of your Notes. |
| t | Your Return on the
Notes Will Not Reflect Dividends on the Stocks Composing the Underlyings — Your
return on the Notes will not reflect the return you would realize if you actually owned the
stock included in the Underlyings and received the dividends on the stock included in the
Underlyings. This is because the calculation agent will determine whether a Contingent Coupon
is payable and, if the Notes are not called, will calculate the amount payable to you at
maturity of the Notes by reference to the closing level of each Underlying on each day during
the relevant Quarterly Observation Period and the Final Valuation Date, respectively, without
taking into consideration the value of dividends on the stock included in that Underlying. |
| 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 each Underlying does not close below
its Coupon Barrier on any day during the Quarterly Observation Periods, 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 Notes and the 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 of the Notes and the Contingent
Coupon Rate. |
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. |
| 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
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 Underlyings and could affect the level of an Underlying, and therefore the
market value of the Notes. |
| t | Potential JPMorgan
Financial Impact on the Level of an Underlying — Trading or transactions by JPMorgan
Financial or its affiliates in an Underlying and/or over-the-counter options, futures or
other instruments with returns linked to the performance of an Underlying may adversely affect
the level of that 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 levels
of the Underlyings, 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 levels of the Underlyings; |
| t | the time to maturity of the Notes; |
| t | whether the closing level
of any Underlying has been, or is expected to be, less than its Coupon Barrier on any day
during any Quarterly Observation Period and whether the Final Value of any Underlying is
expected to be less than its Downside Threshold; |
| t | the dividend rates on the equity securities underlying the
Underlyings; |
| t | the actual and expected
positive or negative correlation between any two of the Underlyings, or the actual or expected
absence of any such correlation; |
| t | interest and yield rates in the market generally; |
| t | the exchange rates and the
volatility of the exchange rates between the U.S. dollar and each of the currencies in which
the equity securities included in the Nikkei 225 Index trade and the correlation among those
rates and the levels of the Nikkei 225 Index; 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 | JPMorgan Chase &
Co. Is Currently One of the Companies that Make Up the S&P 500® Index
— JPMorgan Chase & Co. is currently one of the companies that make up the S&P
500® Index. JPMorgan Chase & Co. 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 S&P 500® Index and the Notes. |
| t | An Investment in the
Notes Is Subject to Risks Associated with Small Capitalization Stocks with Respect to the
Russell 2000® Index —
The equity securities included in the Russell 2000®
Index are issued by companies with relatively small market capitalization. The
stock prices of smaller companies may be more volatile than stock prices of large capitalization
companies. Small capitalization companies may be less able to withstand adverse economic,
market, trade and competitive conditions relative to larger companies. These companies tend
to be less well-established than large market capitalization 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. |
| t | Non-U.S.
Securities Risk with Respect to the Nikkei
225 Index — The equity securities
included in the Nikkei 225 Index have been issued by non-U.S. companies. Investments in securities
linked to the value of such non-U.S. equity securities involve risks associated with the
securities markets in the home countries of the issuers of those non-U.S. equity securities,
including risks of volatility in those markets, governmental intervention in those markets
and cross shareholdings in companies in certain countries. Also, there is generally less
publicly available information about companies in some of these jurisdictions than there
is about U.S. companies that are subject to the reporting requirements of the SEC. |
| t | No
Direct Exposure to Fluctuations in Foreign Exchange Rates with
Respect to the Nikkei 225 Index —
The value of your Notes will not be adjusted for exchange rate fluctuations between the U.S.
dollar and the currencies upon which the equity securities included in the Nikkei 225 Index
are based, although any currency fluctuations could affect the performance of the Nikkei
225 Index. Therefore, if the applicable currencies appreciate or depreciate relative to the
U.S. dollar over the term of the Notes, you will not receive any additional payment or incur
any reduction in any payment on the Notes. |
Hypothetical
Examples
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 issuer-elected call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering
of the Notes, with the assumptions set forth below.* We cannot predict the closing level of any Underlying on any day during the term
of the Notes, including on any day during any Quarterly Observation Period or on the Final Valuation Date. You should not take these
examples as an indication or assurance of the expected performance of the Notes. Numbers in the examples below have been rounded for
ease of analysis. In these examples, we refer to the Nikkei 225 Index, the Russell 2000® Index and the S&P 500®
Index as the “NKY Index,” the“RTY Index” and the “SPX Index,” respectively.
Principal Amount: |
$10.00 |
Term: |
3.25 years (unless earlier called) |
Hypothetical Initial Value: |
100.00 for the NKY Index, 100.000 for the RTY Index and 100.00 for the SPX Index |
Hypothetical Contingent Coupon Rate: |
10.00% per annum (or 2.50% per quarter) |
Quarterly Observation Periods/Quarterly
Observation End Dates: |
Quarterly |
Hypothetical Downside Threshold: |
60.00 for the NKY Index, 60.000 for the RTY Index and 60.00 for the SPX Index (which, with respect to each Underlying, is 60%
of the hypothetical Initial Value of that Underlying) |
Hypothetical Coupon Barrier: |
70.00 for the NKY Index, 70.000 for the RTY Index and 70.00 for the SPX Index (which, with respect to each Underlying, is 70%
of the hypothetical Initial Value of that Underlying) |
* |
Terms used for purposes of these hypothetical examples may
not represent the actual Contingent Coupon Rate, Initial Values, Coupon Barriers or Downside Thresholds. The actual Contingent Coupon
Rate will be finalized on the Trade Date and provided in the pricing supplement. The hypothetical Initial Values of 100.00 for the
NKY Index, 100.000 for the RTY Index and 100.00 for the SPX Index have been chosen for illustrative purposes only and may not represent
a likely actual Initial Value for any Underlying. The actual Initial Value and resulting Downside Threshold and Coupon Barrier of
each Underlying will be based on the closing level of that Underlying on the Trade Date. For historical data regarding the actual
closing levels of the Underlyings, please see the historical information set forth under the sections titled “The Nikkei 225
Index,” “The Russell 2000® Index”and “The S&P 500® Index” below.
|
The examples below are purely hypothetical. These examples
are intended to illustrate (a) the effect of an issuer-elected call, (b) how the payment of a Contingent Coupon with respect to any Quarterly
Observation Period will depend on whether the closing level of any Underlying is less than its Coupon Barrier on any day during that
Quarterly Observation Period, (c) how the value of the payment at maturity on the Notes will depend on whether the Final Value of any
Underlying is less than its Downside Threshold and (d) how the total return on the Notes may be less than the total return on a direct
investment in any or all Underlyings in certain scenarios. The “total return” as used in this pricing supplement is the number,
expressed as a percentage, that results from comparing the total payments per $10.00 principal amount Note over the term of the Notes
to the $10.00 initial issue price.
Example 1 — JPMorgan Financial Elects to Call the Notes
on the First Quarterly Observation End Date
Quarterly
Observation
Period |
|
Lowest
Closing
Level During
Applicable
Quarterly
Observation Period |
|
Payment
(per Note) |
First Quarterly Observation Period |
|
NKY Index: 90.00
RTY Index: 105.000
SPX Index: 110.00 |
|
Issuer elects to call the Notes. Closing level
of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.25
on Call Settlement Date. |
Total Payments (per $10.00 Note): |
|
Payment on Call Settlement Date: |
$10.25 ($10.00 + $0.25) |
|
|
Total: |
$10.25 |
|
|
Total Return: |
2.50% |
On the first Quarterly Observation End Date, JPMorgan Financial
elects to call the Notes. Because the closing level of each Underlying is above its applicable Coupon Barrier on each day during the
first Quarterly Observation Period, JPMorgan Financial will pay you on the Call Settlement Date $10.25 per $10.00 principal amount Note,
which is equal to your principal amount plus the Contingent Coupon due on the Coupon Payment Date that is also the Call Settlement
Date. No further amounts will be owed to you under the Notes.
Example 2 — Notes Are NOT Called and the Final Value
of Each Underlying Is Above Its Downside Threshold
Quarterly
Observation
Period |
|
Lowest
Closing
Level During
Applicable
Quarterly
Observation
Period |
|
Final
Value |
|
Payment
(per Note) |
First Quarterly Observation Period |
|
NKY Index:
105.00
RTY Index:
115.000
SPX Index:
110.00
|
|
N/A |
|
Notes NOT called at the election of the Issuer.
Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent
Coupon of $0.25 on first Coupon Payment Date. |
Second Quarterly Observation Period |
|
NKY Index:
90.00
RTY Index:
80.000
SPX Index:
80.00
|
|
N/A |
|
Notes NOT called at the election of the Issuer.
Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent
Coupon of $0.25 on second Coupon Payment Date. |
Third to Twelfth Quarterly Observation Periods |
|
Various (at least one Underlying below
Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of
at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent
Coupon on any of the third to twelfth Coupon Payment Dates. |
Thirteenth Quarterly Observation Period (the final Quarterly Observation Period) |
|
NKY Index:
80.00
RTY Index:
110.000
SPX Index:
85.00
|
|
NKY Index:
85.00
RTY Index:
110.000
SPX Index:
90.00
|
|
Notes NOT callable. Final Value of each Underlying above its Downside
Threshold and closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer repays
principal plus pays Contingent Coupon of $0.25 on Maturity Date. |
Total Payments (per $10.00
Note): |
|
Payment at Maturity: |
$10.25 ($10.00 + $0.25) |
|
|
Prior Contingent Coupons: |
$0.50 ($0.25 × 2) |
|
|
Total: |
$10.75 |
|
|
Total Return: |
7.50% |
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal to its Downside
Threshold and the closing level of each Underlying is greater than or equal to its Coupon Barrier on each day during the final Quarterly
Observation Period, JPMorgan Financial will pay you on the Maturity Date $10.25 per $10.00 principal amount Note, which is equal to your
principal amount plus the Contingent Coupon due on the Coupon Payment Date that is also the Maturity Date.
In addition, because the closing level of each Underlying was
greater than or equal to its Coupon Barrier on each day during the first and second Quarterly Observation Periods, JPMorgan Financial
will pay the Contingent Coupon of $0.25 on the first and second Coupon Payment Dates. However, because the closing level of at least
one Underlying was less than its Coupon Barrier on at least one day during each of the third through twelfth Quarterly Observation Periods,
JPMorgan Financial will not pay any Contingent Coupon on the Coupon Payment Date following the applicable Quarterly Observation Period.
Accordingly, JPMorgan Financial will have paid a total of $10.75 per $10.00 principal amount Note for a 7.50% total return over the term
of the Notes.
Example 3 — Notes Are NOT Called and the Final Value
of Each Underlying Is Above Its Downside Threshold
Quarterly
Observation
Period |
|
Lowest
Closing
Level During
Applicable
Quarterly
Observation
Period |
|
Final
Value |
|
Payment
(per Note) |
First Quarterly Observation Period |
|
NKY Index: 105.00
RTY Index: 115.000
SPX Index: 110.00
|
|
N/A |
|
Notes NOT called at the election of the Issuer.
Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent
Coupon of $0.25 on first Coupon Payment Date. |
Second Quarterly Observation Period |
|
NKY Index: 90.00
RTY Index: 80.000
SPX Index:
80.00
|
|
N/A |
|
Notes NOT called at the election of the Issuer.
Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent
Coupon of $0.25 on second Coupon Payment Date. |
Third to Twelfth Quarterly Observation Periods |
|
Various (at least one Underlying below
Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of
at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent
Coupon on any of the third to twelfth Coupon Payment Dates. |
Thirteenth Quarterly Observation Period (the final Quarterly Observation Period) |
|
NKY Index:
60.00
RTY Index:
90.000
SPX Index:
80.00
|
|
NKY Index:
80.00
RTY Index:
110.000
SPX Index:
90.00
|
|
Notes NOT callable. Final Value of each Underlying above its Downside
Threshold but closing level of NKY Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer
repays principal but does not pay Contingent Coupon. |
Total Payments (per $10.00
Note): |
|
Payment at Maturity: |
$10.00 |
|
|
Prior Contingent Coupons: |
$0.50 ($0.25 × 2) |
|
|
Total: |
$10.50 |
|
|
Total Return: |
5.00% |
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal to its Downside
Threshold but the closing level of at least one Underlying is less than its Coupon Barrier on at least one day during the final Quarterly
Observation Period, JPMorgan Financial will pay you on the Maturity Date $10.00 per $10.00 principal amount Note, which is equal to your
principal amount, but JPMorgan Financial will not pay any Contingent Coupon on the Maturity Date.
In addition, because the closing level of each Underlying was greater
than or equal to its Coupon Barrier on each day during the first and second Quarterly Observation Periods, JPMorgan Financial will pay
the Contingent Coupon of $0.25 on the first and second Coupon Payment Dates. However, because the closing level of at least one Underlying
was less than its Coupon Barrier on at least one day during each of the third through twelfth Quarterly Observation Periods, JPMorgan
Financial will not pay any Contingent Coupon on the Coupon Payment Date following the applicable Quarterly Observation Period. Accordingly,
JPMorgan Financial will have paid a total of $10.50 per $10.00 principal amount Note for a 5.00% total return over the term of the Notes.
Example 4 — Notes Are NOT Called and the Final Value of Any Underlying
Is Below Its Downside Threshold
Quarterly
Observation
Period |
|
Lowest
Closing
Level During
Applicable
Quarterly
Observation
Period |
|
Final
Value |
|
Payment
(per Note) |
First Quarterly Observation Period |
|
NKY Index:
30.00
RTY Index: 40.000
SPX Index:
45.00
|
|
N/A |
|
Notes NOT called at the election of the Issuer.
Closing level of each Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT
pay Contingent Coupon on first Coupon Payment Date. |
Second Quarterly Observation Period |
|
NKY
Index: 80.00
RTY
Index: 105.000
SPX
Index:
45.00
|
|
N/A |
|
Notes NOT
called at the election of the Issuer. Closing level of SPX Index below its Coupon Barrier on at least one day during Quarterly Observation
Period; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date. |
Third to Twelfth Quarterly Observation Periods |
|
Various (at least one Underlying below
Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of
at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent
Coupon on any of the third to twelfth Coupon Payment Dates. |
Thirteenth Quarterly Observation Period (the final Quarterly
Observation Period) |
|
NKY Index:
80.00
RTY Index:
45.000
SPX Index:
100.00
|
|
NKY Index:
80.00
RTY Index:
45.000
SPX Index:
110.00
|
|
Notes NOT callable. Closing level of RTY Index below its Downside
Threshold; Issuer DOES NOT pay Contingent Coupon on Maturity Date, and Issuer will repay less than the principal amount resulting
in a loss proportionate to the decline of the Least Performing Underlying. |
Total Payments (per $10.00
Note): |
|
Payment at Maturity: |
$4.50 |
|
|
Prior Contingent Coupons: |
$0.00 |
|
|
Total: |
$4.50 |
|
|
Total Return: |
-55.00% |
|
|
|
|
|
|
|
|
|
In this example, the Issuer does not elect to call the Notes and the
Notes remain outstanding until maturity. Because the Final Value of at least one Underlying is less than its Downside Threshold on the
Final Valuation Date, at maturity, JPMorgan Financial will pay you a total of $4.50 per $10.00 principal amount, for a -55.00% total
return on the Notes, calculated as follows:
$10.00 × (1 + Least Performing Underlying
Return)
Step 1: Determine the Underlying Return of each Underlying:
Underlying Return of the NKY Index:
Final
Value – Initial Value |
= |
80.00
– 100.00 |
= -20.00% |
Initial Value |
100.00 |
Underlying Return of the RTY Index:
Final
Value – Initial Value |
= |
45.000
– 100.000 |
= -55.00% |
Initial Value |
100.000 |
Underlying Return of the SPX Index:
Final
Value – Initial Value |
= |
110.00
– 100.00 |
= 10.00% |
Initial Value |
100.00 |
Step 2: Determine the Least Performing Underlying. The RTY
Index is the Underlying with the lowest Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10.00 × (1 + Least Performing Underlying
Return) = $10.00 × (1 + -55.00%) = $4.50
In addition, because the closing level of at least one Underlying
is less than its Coupon Barrier on at least one day during each Quarterly Observation Period, JPMorgan Financial will not pay any Contingent
Coupons over the term of the Notes. Accordingly, JPMorgan Financial will have paid a total of $4.50 per
$10.00 principal amount Note for a -55.00% total return over the term of 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 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.
The
Underlyings
Included on the following pages is a brief description of
the Underlyings. This information has been obtained from publicly available sources, without independent verification. We obtained the
closing levels information set forth below from the Bloomberg Professional® service
(“Bloomberg”), without independent verification. You should not take the historical levels of any Underlying as an indication
of future performance.
The
Nikkei 225 Index
The Nikkei 225 Index is a stock index that measures the composite
price performance of selected Japanese stocks. The Nikkei 225 Index is based on 225 underlying stocks (the “Nikkei underlying stocks”)
trading on the Tokyo Stock Exchange (“TSE”) Prime Market, representing a broad cross-section of Japanese industries. All
Nikkei underlying stocks are stocks listed on the TSE Prime Market. Stocks listed on the TSE Prime Market are among the most actively
traded stocks on the TSE. For additional information about the Nikkei 225 Index, see the information set forth under “Equity Index
Descriptions ― The Nikkei 225 Index” in the accompanying underlying
supplement.
Historical Information Regarding the Nikkei 225 Index
The graph below illustrates the daily performance of the Nikkei 225
Index from January 2, 2014 through May 21, 2024, based on information from Bloomberg, without independent verification. The closing level
of the Nikkei 225 Index on May 21, 2024 was 38,946.93. The actual Initial Value of the Nikkei 225 Index will be the closing level of
the Nikkei 225 Index on the Trade Date. We obtained the closing levels of the Nikkei 225 Index above and below from Bloomberg, without
independent verification.
The dotted lines represent a hypothetical Downside Threshold of 23,368.16
and a hypothetical Coupon Barrier of 27,262.85, equal to 60% and 70%, respectively, of the closing level of the Nikkei 225 Index on May
21, 2024. The actual Downside Threshold and Coupon Barrier will be based on the closing level of the Nikkei 225 Index on the Trade Date
(the Initial Value) and will be equal to 60% and 70%, respectively, of the Initial Value of the Nikkei 225 Index.
Past performance of the Nikkei 225 Index is not indicative
of the future performance of the Nikkei 225 Index.
The
Russell 2000® Index
The Russell 2000® Index consists of the middle 2,000
companies included in the Russell 3000E™ 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 the information set forth under “Equity Index Descriptions — The Russell Indices” in the accompanying underlying
supplement.
Historical Information Regarding the Russell 2000®
Index
The graph below illustrates the daily performance of the Russell 2000®
Index from January 2, 2014 through May 21, 2024, based on information from Bloomberg, without independent verification. The closing
level of the Russell 2000® Index on May 21, 2024 was 2,098.355. The actual Initial Value of the Russell 2000®
Index will be the closing level of the Russell 2000® Index on the Trade Date. We obtained the closing levels of
the Russell 2000® Index above and below from Bloomberg, without independent verification.
The dotted lines represent a hypothetical Downside Threshold of 1,259.013
and a hypothetical Coupon Barrier of 1,468.849, equal to 60% and 70%, respectively, of the closing level of the Russell 2000®
Index on May 21, 2024. The actual Downside Threshold and Coupon Barrier will be based on the closing level of the Russell 2000®
Index on the Trade Date (the Initial Value) and will be equal to 60% and 70%, respectively, of the Initial Value of the Russell
2000® Index.
Past performance of the Russell 2000®
Index is not indicative of the future performance of the Russell 2000® Index.
The
S&P 500® Index
The S&P 500® Index consists of stocks of 500 companies
selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P 500®
Index, see the information set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
Historical Information Regarding the S&P 500®
Index
The graph below illustrates the daily performance of the S&P 500®
Index from January 2, 2014 through May 21, 2024, based on information from Bloomberg, without independent verification. The closing
level of the S&P 500® Index on May 21, 2024 was 5,321.41. The actual Initial Value of the S&P 500®
Index will be the closing level of the S&P 500® Index on the Trade Date. We obtained the closing levels of the S&P
500® Index above and below from Bloomberg, without independent verification.
The dotted lines represent a hypothetical Downside Threshold of 3,192.85
and a hypothetical Coupon Barrier of 3,724.99, equal to 60% and 70%, respectively, of the closing level of the S&P 500®
Index on May 21, 2024. The actual Downside Threshold and Coupon Barrier will be based on the closing level of the S&P 500®
Index on the Trade Date (the Initial Value) and will be equal to 60% and 70%, respectively, of the Initial Value of the S&P
500® Index.
Past performance of the S&P 500®
Index is not indicative of the future performance of the S&P 500® Index.
Correlation
of the Underlyings
The graph below illustrates the daily performance of the Nikkei
225 Index, the Russell 2000® Index and the S&P 500® Index from January 2, 2014 through May 21, 2024.
For comparison purposes, each Underlying has been normalized to have a closing level of 100.00 on January 2, 2014 by dividing the closing
level of that Underlying on each day by the closing level of that Underlying on January 2, 2014 and multiplying by 100.00. We obtained
the closing levels used to determine the normalized closing levels set forth below from Bloomberg, without independent verification.
Past performance of the Underlyings is not indicative
of the future performance of the Underlyings.
The correlation of a pair of Underlyings represents a statistical
measurement of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing
and direction. The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation
(i.e., the value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant),
0 indicating no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings) and -1.0
indicating perfect negative correlation (i.e., as the value of one Underlying increases, the value of the other Underlying decreases
and the ratio of their returns has been constant).
The closer the relationship of the returns of a pair of Underlyings
over a given period, the more positively correlated those Underlyings are. The graph above illustrates the historical performance of
each of the Underlyings relative to the other Underlyings over the time period shown and provides an indication of how close the relative
performance of one Underlying has historically been to another.
The lower (or more negative) the correlation between two Underlyings,
the less likely it is that those Underlyings will move in the same direction and, therefore, the greater the potential for one of those
Underlyings to close below its Coupon Barrier or Downside Threshold on any Observation Date or the Final Valuation Date, respectively.
This is because the less positively correlated a pair of Underlyings are, the greater the likelihood that at least one of the Underlyings
will decrease in value. However, even if two Underlyings have a higher positive correlation, one or both of those Underlyings might
close below its Coupon Barrier or Downside Threshold on any Observation Date or the Final Valuation Date, respectively, as both of those
Underlyings may decrease in value together.
In addition, for each additional Underlying to which the Notes are
linked, there is a greater potential for one pair of Underlyings to have low or negative correlation. Therefore, the greater the number
of Underlyings, the greater the potential for missed Contingent Coupons and for a loss of principal at maturity. Although the correlation
of the Underlyings’ performance may change over the term of the Notes, the Contingent Coupon Rate is determined, in part, based
on the correlations of the Underlyings’ performance calculated using internal models of our affiliates at the time when the terms
of the Notes are finalized. A higher Contingent Coupon Rate is generally associated with lower correlation of the Underlyings and/or
a greater number of Underlyings, which reflects a greater potential for missed Contingent Coupons and for a loss of principal at maturity.
The correlations referenced in setting the terms of the Notes are calculated using internal models of our affiliates and are not
derived from the returns of the Underlyings over the period set forth above. In addition, other factors and inputs other than correlation
may impact how the terms of the Notes are set and the performance of the Notes.
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
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 four 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 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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