424B2 1 ea170524_424b2.htm PRELIMINARY PRICING SUPPLEMENT

 

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 February 22, 2024

JPMorgan Chase Financial Company LLC February 2024

Pricing Supplement

Registration Statement Nos. 333-270004 and 333-270004-01

Dated February     , 2024

Filed pursuant to Rule 424(b)(2)

Structured Investments

Opportunities in U.S. Equities

Outperformance Jump Securities Based on the Performance of the Russell 2000® Index Relative to the Nasdaq-100 Index® due March 27, 2025

Principal at Risk Securities

Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.

The Outperformance Jump Securities, which we refer to as the securities, do not pay interest and do not guarantee the return of any of the principal at maturity. At maturity, you will receive for each security that you hold an amount in cash that will vary depending on the performance of the Russell 2000® Index (the “RTY” Index) relative to the performance of the Nasdaq-100 Index® (the “NDX Index), as determined on the valuation date. If the index return of the RTY Index (the “RTY return”) is greater than or equal to the index return of the NDX Index (the “NDX return”), you will receive for each security that you hold at maturity a fixed cash payment equal to an upside payment in addition to the stated principal amount. If the RTY return is less than the NDX return, the payment due at maturity will be less than the stated principal amount of the securities by an amount that is proportionate to the amount by which the RTY return is less than the NDX return and could be zero. The securities are for investors who seek an equity index-based return that reflects the relative, not absolute, performance of the RTY Index and the NDX Index and who are willing to risk their principal and forgo current income in exchange for the opportunity to receive a fixed positive return if the RTY return is greater than or equal to the NDX return. Investors will not directly participate in any outperformance of the RTY Index relative to the NDX Index. In addition, investors may lose their entire initial investment in the securities, including in cases where both underlying indices appreciate or both underlying indices depreciate over the term of the securities. The securities are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program. Any payment on the securities is subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co., as guarantor of the securities.

SUMMARY TERMS
Issuer: JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Underlying indices: Russell 2000® Index (Bloomberg ticker: RTY Index) (the “RTY Index”) and Nasdaq-100 Index® (Bloomberg ticker: NDX Index) (the “NDX Index”) (each an “underlying index”)
Aggregate principal amount: $
Payment at maturity: §        If the RTY return is greater than or equal to the NDX return, you will receive at maturity a cash payment per $1,000 stated principal amount security equal to:
  $1,000 + upside payment
  §        If the RTY return is less than the NDX return, you will receive at maturity a cash payment per $1,000 stated principal amount security equal to:
  $1,000 × (1 + outperformance return)
  This amount will be less than the stated principal amount of $1,000, and will represent a loss of some or all of your principal amount.
Upside payment: At least $162.00 per $1,000 stated principal amount security (at least 16.20% of the stated principal amount).  The actual upside payment will be provided in the pricing supplement and will not be less than $162.00 per $1,000 stated principal amount security.
RTY return: The index return of the RTY Index
NDX return: The index return of the NDX Index
Index return: With respect to each underlying index, (final index value – initial index value) / initial index value
Outperformance return: RTY return – NDX return, provided that the outperformance return will not be less than -100%.  The outperformance return will be a positive percentage if the RTY Index outperforms the NDX Index and a negative percentage if the RTY Index underperforms the NDX Index.
Initial index value: With respect to the RTY Index:           , which is its closing level on the pricing date
With respect to the NDX Index:           , which is its closing level on the pricing date
Final index value: With respect to each underlying index, its closing level on the valuation date
Stated principal amount: $1,000 per $1,000 stated principal amount security
Issue price: $1,000 per $1,000 stated principal amount security (see “Commissions and issue price” below)
Pricing date: February    , 2024 (expected to price on or about February 23, 2024)
Original issue date (settlement date): February   , 2024 (3 business days after the pricing date)
Valuation date*: March 24, 2025
Maturity date*: March 27, 2025
CUSIP / ISIN: 48134WC70 / US48134WC704
Listing: The securities will not be listed on any securities exchange.
Agent: J.P. Morgan Securities LLC (“JPMS”)
Commissions and issue price: Price to public(1) Fees and commissions Proceeds to issuer
Per security $1,000.00 $17.50(2) $977.50
    $5.00(3)  
Total $ $ $
(1)See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in this document for information about the components of the price to public of the securities.
(2)JPMS, acting as agent for JPMorgan Financial., will pay all of the selling commissions it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $17.50 per $1,000 stated principal amount security. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
(3)Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each $1,000 stated principal amount security.

* 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

If the securities priced today and assuming an upside payment equal to the minimum listed above, the estimated value of the securities would be approximately $955.50 per $1,000 stated principal amount security. The estimated value of the securities on the pricing date will be provided in the pricing supplement and will not be less than $930.00 per $1,000 stated principal amount security. See “Additional Information about the Securities — The estimated value of the securities” in this document for additional information.

Investing in the securities involves a number of risks. See “Risk Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-11 of the accompanying product supplement and “Risk Factors” beginning on page 6 of this document.

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.

The securities 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.

You should read this document together with the related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information about the Securities” at the end of this document.

Product supplement no. 4-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf

Underlying supplement no. 1-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf

Prospectus supplement and prospectus, each dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf

 

 

JPMorgan Chase Financial Company LLC

Outperformance Jump Securities Based on the Performance of the Russell 2000® Index Relative to the Nasdaq-100 Index® due March 27, 2025

Principal at Risk Securities

Investment Summary

The Outperformance Jump Securities

The Outperformance Jump Securities Based on the Performance of the Russell 2000® Index Relative to the Nasdaq-100 Index® due March 27, 2025 (the “securities”) can be used as an alternative to direct exposure to the underlying indices that provides a fixed, positive return of at least 16.20% (as reflected in the upside payment of at least $162.00 per $1,000 stated principal amount security) if the RTY return is greater than or equal to the NDX return. The actual upside payment will be provided in the pricing supplement and will not be less than $162.00 per $1,000 stated principal amount security.

If the RTY return is less than the NDX return, the securities are exposed on a 1-to-1 basis to the underperformance of the RTY Index relative to the NDX Index. Accordingly, investors may lose their entire initial investment in the securities.

Maturity: Approximately 13 months
Upside payment: At least $162.00 per $1,000 stated principal amount security (at least 16.20% of the stated principal amount) (to be provided in the pricing supplement)
Minimum payment at maturity: None.  Investors may lose their entire initial investment in the securities.
Interest: None

 

Supplemental Terms of the Securities

For purposes of the accompanying product supplement, each underlying index is an “Index.”

Any values of the underlying indices, and any values derived therefrom, included in this document may be corrected, in the event of manifest error or inconsistency, by amendment of this document and the corresponding terms of the securities. Notwithstanding anything to the contrary in the indenture governing the securities, that amendment will become effective without consent of the holders of the securities or any other party.

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JPMorgan Chase Financial Company LLC

Outperformance Jump Securities Based on the Performance of the Russell 2000® Index Relative to the Nasdaq-100 Index® due March 27, 2025

Principal at Risk Securities

Key Investment Rationale

This investment offers a fixed, positive return at maturity if the RTY return is greater than or equal to the NDX return. However, if the RTY return is less than the NDX return, the payment at maturity will be less than the stated principal amount and could be zero. Investors may lose their entire initial investment in the securities.

Upside Scenario If the RTY return is greater than or equal to the NDX return, the payment at maturity for each security will be equal to $1,000.00 plus the upside payment of at least $162.00 per $1,000 stated principal amount security.  The actual upside payment will be provided in the pricing supplement and will not be less than $162.00 per $1,000 stated principal amount security.
Downside Scenario

If the RTY return is less than the NDX return, you will lose 1% for every 1% that the RTY return is less than the NDX return. For example, if the RTY return is 10% and the NDX return is 65%, the outperformance return is -55%, resulting in a loss of 55% on the securities, even though both underlying indices have appreciated. In this scenario, the securities will pay $450 per security, or 45% of the stated principal amount.

Because the payment at maturity of the securities is based on the performance of the RTY Index relative to the NDX Index, you may suffer a loss even if both underlying indices appreciate over the term of the securities, if the RTY Index has increased by a lesser percentage than the NDX Index. Similarly, you may suffer a loss even if both underlying indices depreciate over the term of the securities, if the RTY Index has depreciated by a greater percentage than the NDX Index.

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JPMorgan Chase Financial Company LLC

Outperformance Jump Securities Based on the Performance of the Russell 2000® Index Relative to the Nasdaq-100 Index® due March 27, 2025

Principal at Risk Securities

How the Outperformance Jump Securities Work

Payoff Diagram

The payoff diagram below illustrates the payment at maturity on the securities based on the following terms:

Stated principal amount: $1,000 per $1,000 stated principal amount security
Hypothetical upside payment: $162.00 (16.20% of the stated principal amount) per $1,000 stated principal amount security (which represents the lowest hypothetical upside payment)*
   
*The actual upside payment will be provided in the pricing supplement and will not be less than $162.00 per $1,000 stated principal amount security.

Outperformance Jump Securities Payoff Diagram

How it works

§Upside Scenario: If the RTY return is greater than or equal to the NDX return, the payment at maturity in all cases is equal to and will not exceed the $1,000 stated principal amount plus the upside payment. Under the hypothetical terms of the securities, in the payoff diagram, an investor will receive the hypothetical payment at maturity of $1,162.00 per security if the RTY return is greater than or equal to the NDX return, as illustrated by the following examples:
oIf the RTY return is 40% and the NDX return is 10%, because the RTY return is greater than or equal to the NDX return, investors will receive a payment at maturity of $1,162.00 per security, representing a return of 16.20%, even though the outperformance return is 30%.
oIf the RTY return is 10% and the NDX return is -10%, because the RTY return is greater than or equal to the NDX return, investors will receive a payment at maturity of $1,162.00 per security, representing a return of 16.20%, even though the outperformance return is 20%.
oIf the RTY return is -20% and the NDX return is -30%, because the RTY return is greater than or equal to the NDX return, investors will receive a payment at maturity of $1,162.00 per security, representing a return of 16.20%.

 

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JPMorgan Chase Financial Company LLC

Outperformance Jump Securities Based on the Performance of the Russell 2000® Index Relative to the Nasdaq-100 Index® due March 27, 2025

Principal at Risk Securities

§Downside Scenario: If the RTY return is less than the NDX return, investors will receive an amount that is less than the stated principal amount by an amount proportionate to the amount that the RTY return is less than the NDX return, as illustrated by the following examples:
oIf the RTY return is 10% and the NDX return is 60%, because the RTY return is less than the NDX return and the outperformance return is -50%, investors will lose 50% of their principal and the payment at maturity will be $500 per $1,000 stated principal amount security (50% of the stated principal amount).
oIf the RTY return is -30% and the NDX return is 40%, because the RTY return is less than the NDX return and the outperformance return is -70%, investors will lose 70% of their principal and the payment at maturity will be $300 per $1,000 stated principal amount security (30% of the stated principal amount).
oIf the RTY return is -60% and the NDX return is -20%, because the RTY return is less than the NDX return and the outperformance return is -40%, investors will lose 40% of their principal and the payment at maturity will be $600 per $1,000 stated principal amount security (60% of the stated principal amount).

The hypothetical returns and hypothetical payments on the securities shown above apply only if you hold the securities for their entire term. 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.

 

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JPMorgan Chase Financial Company LLC

Outperformance Jump Securities Based on the Performance of the Russell 2000® Index Relative to the Nasdaq-100 Index® due March 27, 2025

Principal at Risk Securities

Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these and other risks, you should read the sections entitled “Risk Factors” of the accompanying prospectus supplement and the accompanying product supplement. We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.

Risks Relating to the Securities Generally

§The securities do not pay interest or guarantee the return of any principal and your investment in the securities may result in a loss. The terms of the securities differ from those of ordinary debt securities in that the securities do not pay interest or guarantee the payment of any stated principal amount at maturity. If the RTY return is less than the NDX return, you will receive for each security that you hold a payment at maturity that is less than the $1,000 stated principal amount of each security by an amount proportionate to the amount by which the RTY return is less than the NDX return. There is no minimum payment at maturity on the securities and, accordingly, you could lose your entire principal amount.
§Appreciation potential is fixed and limited. If the RTY return is greater than or equal to the NDX return, the appreciation potential of the securities is limited to the fixed upside payment of at least $162.00 per security (at least 16.20% of the stated principal amount), even if the RTY return is significantly greater than the NDX return. The actual upside payment will be provided in the pricing supplement. See “How the Outperformance Jump Securities Work” on page 4 above.
§Your ability to receive the upside payment may terminate on the valuation date. If the RTY return is less than the NDX return, you will not be entitled to receive the upside payment at maturity. Under these circumstances, you will lose some or all of your principal amount at maturity.
§The securities are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit ratings or credit spreads may adversely affect the market value of the securities. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined by the market for taking that credit risk is likely to adversely affect the market value of the securities. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the securities and you could lose your entire investment.
§The return on the securities is based on relative performance. The securities are linked to the performance of the RTY Index minus the performance of the NDX Index and thus are affected by the relative, not absolute, performance of the underlying indices. You may receive a lower return on your securities than you could receive by taking directly a long position in the RTY Index or a short position in the NDX Index. Unlike a long position in the RTY Index or a short position in the NDX Index, you may not earn a positive return even if the RTY Index appreciates or the NDX Index depreciates over the term of the securities. You may also not earn a positive return even if both underlying indices appreciate or both underlying indices depreciate, if in either case the RTY return is less than the NDX return. In order to earn a positive return on the securities, the RTY return must be greater than or equal to the NDX return, regardless of whether those index returns are positive or negative. If the RTY return is less than the NDX return, you will lose some or all of your principal amount at maturity, even if both index returns are positive or if both index returns are negative.
§Changes in the level of the RTY Index may be offset or negated entirely by changes in the level of the NDX Index. A positive RTY return may be offset or entirely negated by a positive NDX return. Similarly, a negative NDX return may be offset or entirely negated by a negative RTY return. Therefore, if the RTY return has a strong positive correlation with the NDX return, you may not receive the upside payment at maturity and may instead lose some or all of your principal amount at maturity even if the RTY Index appreciates or the NDX Index depreciates over the term of the securities. Conversely, if the RTY return is negatively correlated with the NDX return, a negative RTY return is likely to be accompanied by a positive NDX return, thereby increasing the negative outperformance return and adversely affecting the payment at maturity.
§You are exposed to the price risk of each underlying index. Your return on the securities is not linked to a basket consisting of the underlying indices. Rather, it will be contingent upon the independent performance of each underlying index. Unlike an instrument with a return linked to a basket of underlying

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JPMorgan Chase Financial Company LLC

Outperformance Jump Securities Based on the Performance of the Russell 2000® Index Relative to the Nasdaq-100 Index® due March 27, 2025

Principal at Risk Securities

assets in which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to each underlying index. Poor performance by the RTY index or strong performance by the NDX index over the term of the securities may negatively affect your return and may not be offset or mitigated by the performance of the other underlying index.

§As a finance subsidiary, JPMorgan Financial has no independent operations and has limited assets. As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. 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 securities. If these affiliates do not make payments to us and we fail to make payments on the securities, 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.
§Secondary trading may be limited. The securities will not be listed on a securities exchange. There may be little or no secondary market for the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. JPMS may act as a market maker for the securities, but is not required to do so. Because we do not expect that other market makers will participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which JPMS is willing to buy the securities. If at any time JPMS or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the securities.
§The final terms and estimated valuation of the securities will be provided in the pricing supplement. The final terms of the securities will be provided in the pricing supplement. In particular, each of the estimated value of the securities and the upside payment will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this document. Accordingly, you should consider your potential investment in the securities based on the minimums for the estimated value of the securities and the upside payment.
§The tax consequences of an investment in the securities are uncertain. There is no direct legal authority as to the proper U.S. federal income tax characterization of the securities, and we do not intend to request a ruling from the IRS. The IRS might not accept, and a court might not uphold, the treatment of the securities described in “Additional Information about the Securities ― Additional Provisions ― Tax considerations” in this document and in “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement. If the IRS were successful in asserting an alternative treatment for the securities, the timing and character of any income or loss on the securities could differ materially and adversely from our description herein. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the issues presented by this notice.

Risks Relating to Conflicts of Interest

§Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the securities and other affiliates of the issuer may be different from those of investors. We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used to determine the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value of the securities. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation

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JPMorgan Chase Financial Company LLC

Outperformance Jump Securities Based on the Performance of the Russell 2000® Index Relative to the Nasdaq-100 Index® due March 27, 2025

Principal at Risk Securities

agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities. The calculation agent will determine the initial index values and the final index values and will calculate the amount of payment you will receive at maturity, if any. Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events, the selection of a successor to either underlying index or calculation of the final index value of either underlying index in the event of a discontinuation or material change in method of calculation of that underlying index, may affect the payment to you at maturity.

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 securities and the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the securities could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.

§Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the securities. The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the securities on or prior to the pricing date and prior to maturity could adversely affect the levels of the underlying indices and, as a result, could decrease the amount an investor may receive on the securities at maturity, if any. Any of these hedging or trading activities on or prior to the pricing date could potentially affect the initial index values and therefore, could potentially increase the level that the final index value of the RTY Index must reach or decrease the level that the final index value of the NDX Index must reach, in each case before you receive a payment at maturity that exceeds the issue price of the securities or so that you do not suffer a loss on your initial investment in the securities. Additionally, these hedging or trading activities during the term of the securities, including on the valuation date, could adversely affect the final index values and, accordingly, the payment to you at maturity, if any. It is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while the value of the securities declines.

Risks Relating to the Estimated Value and Secondary Market Prices of the Securities

§The estimated value of the securities will be lower than the original issue price (price to public) of the securities. The estimated value of the securities is only an estimate determined by reference to several factors. The original issue price of the securities will exceed the estimated value of the securities because costs associated with selling, structuring and hedging the securities are included in the original issue price of the securities. These costs include the selling commissions, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities. See “Additional Information about the Securities — The estimated value of the securities” in this document.
§The estimated value of the securities does not represent future values of the securities and may differ from others’ estimates. The estimated value of the securities is determined by reference to internal pricing models of our affiliates. This estimated value of the securities is based on market conditions and other relevant factors existing at the time of pricing 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 securities that are greater than or less than the estimated value of the securities. 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 securities 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 securities from you in secondary market transactions. See “Additional Information about the Securities — The estimated value of the securities” in this document.
§The estimated value of the securities is derived by reference to an internal funding rate. The internal funding rate used in the determination of the estimated value of the securities 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 securities as well as the higher issuance, operational and ongoing liability management costs of the securities 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 securities. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities and any secondary market prices of

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JPMorgan Chase Financial Company LLC

Outperformance Jump Securities Based on the Performance of the Russell 2000® Index Relative to the Nasdaq-100 Index® due March 27, 2025

Principal at Risk Securities

the securities. See “Additional Information about the Securities — The estimated value of the securities” in this document.

§The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period. We generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. See “Additional Information about the Securities — Secondary market prices of the securities” in this document for additional information relating to this initial period. Accordingly, the estimated value of your securities during this initial period may be lower than the value of the securities as published by JPMS (and which may be shown on your customer account statements).
§Secondary market prices of the securities will likely be lower than the original issue price of the securities. Any secondary market prices of the securities will likely be lower than the original issue price of the securities 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, the structuring fee, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the securities. As a result, the price, if any, at which JPMS will be willing to buy securities 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 securities.

The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity. See “— Risks Relating to the Securities Generally — Secondary trading may be limited” above.

§Secondary market prices of the securities will be impacted by many economic and market factors.  The secondary market price of the securities 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, structuring fee, projected hedging profits, if any, estimated hedging costs and the closing level of each underlying index, including:
oany actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
ocustomary bid-ask spreads for similarly sized trades;
oour internal secondary market funding rates for structured debt issuances;
othe actual and expected volatility of each underlying index;
othe time to maturity of the securities;
othe dividend rates on the equity securities included in the underlying indices;
othe actual and expected positive or negative correlation between the underlying indices, or the actual or expected absence of any such correlation;
ointerest and yield rates in the market generally; and
oa 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 securities, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing to purchase your securities in the secondary market.

Risks Relating to the Underlying Indices

§Investing in the securities is not equivalent to investing, or taking a short position, in either underlying index.  Investing in the securities is not equivalent to investing, or taking a short position, in either underlying index or its component stocks.  Investors in the securities will not have voting rights or

 

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rights to receive dividends or other distributions or any other rights with respect to the stocks that constitute either underlying index.

§Adjustments to either underlying index could adversely affect the value of the securities.  The underlying index publisher of either underlying index may discontinue or suspend calculation or publication of that underlying index at any time.  In these circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued underlying index and is not precluded from considering indices that are calculated and published by the calculation agent or any of its affiliates.
§An investment in the securities is subject to risks associated with small capitalization stocks with respect to the RTY Index. The stocks that constitute the RTY 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. 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.
§The securities are subject to risks associated with securities issued by non-U.S. companies with respect to the NDX Index. Some of the equity securities included in the NDX Index have been issued by non-U.S. companies. Investments in securities linked to the value of non-U.S. equity securities involve risks associated with the home countries of the issuers of those non-U.S. equity securities. The prices of non-U.S. equity securities may be adversely affected by political, economic, financial and social factors in the home countries of the issuers of the non-U.S. companies, including changes in those countries’ government, economic and fiscal policies, currency exchange laws or other laws or restrictions.
§Governmental legislative and regulatory actions, including sanctions, could adversely affect your investment in the securities.  Governmental legislative and regulatory actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise restrict persons from holding the securities or the securities included in either underlying index, or engaging in transactions in them, and any such action could adversely affect the value of the securities or either underlying index.  These legislative and regulatory actions could result in restrictions on the securities.  You may lose a significant portion or all of your initial investment in the securities if you are forced to divest the securities due to the government mandates, especially if such divestment must be made at a time when the value of the securities has declined.

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Russell 2000® Index Overview

The Russell 2000® Index consists of the middle 2,000 companies included in the Russell 3000ETM Index and, as a result of the index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000® Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.

Information as of market close on February 21, 2024:

Bloomberg Ticker Symbol: RTY
Current Closing Level: 1,994.743
52 Weeks Ago (on 2/21/2023): 1,888.215
52 Week High (on 12/27/2023): 2,066.214
52 Week Low (on 10/27/2023): 1,636.938

 

The following table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the RTY Index for each quarter in the period from January 1, 2019 through February 21, 2024. The graph following the table sets forth the daily closing levels of the RTY Index during the same period. The closing level of the RTY Index on February 21, 2024 was 1,994.743. We obtained the closing level information above and in the table and graph below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical levels of the RTY Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the RTY Index on the valuation date. The payment of dividends on the stocks that constitute the RTY Index are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.

Russell 2000® Index High Low Period End
2019      
First Quarter 1,590.062 1,330.831 1,539.739
Second Quarter 1,614.976 1,465.487 1,566.572
Third Quarter 1,585.599 1,456.039 1,523.373
Fourth Quarter 1,678.010 1,472.598 1,668.469
2020      
First Quarter 1,705.215 991.160 1,153.103
Second Quarter 1,536.895 1,052.053 1,441.365
Third Quarter 1,592.287 1,398.920 1,507.692
Fourth Quarter 2,007.104 1,531.202 1,974.855
2021      
First Quarter 2,360.168 1,945.914 2,220.519
Second Quarter 2,343.758 2,135.139 2,310.549
Third Quarter 2,329.359 2,130.680 2,204.372
Fourth Quarter 2,442.742 2,139.875 2,245.313
2022      
First Quarter 2,272.557 1,931.288 2,070.125
Second Quarter 2,095.440 1,649.836 1,707.990
Third Quarter 2,021.346 1,655.882 1,664.716
Fourth Quarter 1,892.839 1,682.403 1,761.246
2023      
First Quarter 2,001.221 1,720.291 1,802.484
Second Quarter 1,896.333 1,718.811 1,888.734
Third Quarter 2,003.177 1,761.609 1,785.102
Fourth Quarter 2,066.214 1,636.938 2,027.074
2024      
First Quarter (through February 21, 2024) 2,061.478 1,913.166 1,994.743

 

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Russell 2000® Index Historical Performance – Daily Closing Levels

January 2, 2019 to February 21, 2024

§License Agreement. The “Russell 2000® Index” is a trademark of FTSE Russell and has been licensed for use by JPMorgan Chase Bank, National Association and its affiliates. For more information, see “Equity Index Descriptions — The Russell Indices — Disclaimers” in the accompanying underlying supplement.

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Nasdaq-100 Index® Overview

The Nasdaq-100 Index® is a modified market capitalization-weighted index of 100 of the largest non-financial securities listed on The Nasdaq Stock Market based on market capitalization. For additional information about the Nasdaq-100 Index®, see “Equity Index Descriptions — The Nasdaq-100 Index®” in the accompanying underlying supplement.

Information as of market close on February 21, 2024:

Bloomberg Ticker Symbol: NDX
Current Closing Level: 17,478.91
52 Weeks Ago (on 2/21/2023): 12,060.30
52 Week High (on 2/9/2024): 17,962.40
52 Week Low (on 3/10/2023): 11,830.28

 

The following table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the NDX Index for each quarter in the period from January 1, 2019 through February 21, 2024. The graph following the table sets forth the daily closing levels of the NDX Index during the same period. The closing level of the NDX Index on February 21, 2024 was 17,478.91. We obtained the closing level information above and in the table and graph below from Bloomberg, without independent verification. The historical levels of the NDX Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the NDX Index on the valuation date. The payment of dividends on the stocks that constitute the NDX Index are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.

Nasdaq-100 Index® High Low Period End
2019      
First Quarter 7,493.27 6,147.13 7,378.77
Second Quarter 7,845.73 6,978.02 7,671.08
Third Quarter 8,016.95 7,415.69 7,749.45
Fourth Quarter 8,778.31 7,550.79 8,733.07
2020      
First Quarter 9,718.73 6,994.29 7,813.50
Second Quarter 10,209.82 7,486.29 10,156.85
Third Quarter 12,420.54 10,279.25 11,418.06
Fourth Quarter 12,888.28 11,052.95 12,888.28
2021      
First Quarter 13,807.70 12,299.08 13,091.44
Second Quarter 14,572.75 13,001.63 14,554.80
Third Quarter 15,675.76 14,549.09 14,689.62
Fourth Quarter 16,573.34 14,472.12 16,320.08
2022      
First Quarter 16,501.77 13,046.64 14,838.49
Second Quarter 15,159.58 11,127.57 11,503.72
Third Quarter 13,667.18 10,971.22 10,971.22
Fourth Quarter 12,041.89 10,679.34 10,939.76
2023      
First Quarter 13,181.35 10,741.22 13,181.35
Second Quarter 15,185.48 12,725.11 15,179.21
Third Quarter 15,841.35 14,545.83 14,715.24
Fourth Quarter 16,906.80 14,109.57 16,825.93
2024      
First Quarter (through February 21, 2024) 17,962.40 16,282.01 17,478.91

 

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Principal at Risk Securities

Nasdaq-100 Index® Historical Performance – Daily Closing Levels*

January 2, 2019 to February 21, 2024

 

License Agreement. JPMorgan Chase & Co. or its affiliate has entered into a non-exclusive license agreement with Nasdaq, Inc. providing for the license to it and certain of its affiliates or subsidiaries, including JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the Nasdaq-100 Index® in connection with certain securities, including the securities. For more information, see “Equity Index Descriptions — The Nasdaq-100 Index® — License Agreement” in the accompanying underlying supplement.

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Principal at Risk Securities

Additional Information about the Securities

Please read this information in conjunction with the terms on the front cover of this document.

Additional Provisions:
Postponement of maturity date: If the scheduled maturity date is not a business day, then the maturity date will be the following business day.  If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the third business day following the valuation date as postponed.
Minimum ticketing size: $1,000 / 1 security
Trustee: Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
Calculation agent: JPMS
The estimated value of the securities:

The estimated value of the securities set forth on the cover of this document 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 securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum price at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value of the securities 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 securities as well as the higher issuance, operational and ongoing liability management costs of the securities 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 securities. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities and any secondary market prices of the securities. For additional information, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The estimated value of the securities is derived by reference to an internal funding rate” in this document. The value of the derivative or derivatives underlying the economic terms of the securities 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 securities on the pricing date is based on market conditions and other relevant factors and assumptions existing at that time. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The estimated value of the securities does not represent future values of the securities and may differ from others’ estimates” in this document.

The estimated value of the securities will be lower than the original issue price of the securities because costs associated with selling, structuring and hedging the securities are included in the original issue price of the securities. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the securities may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The estimated value of the securities will be lower than the original issue price (price to public) of the securities” in this document.

Secondary market prices of the securities: For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — Secondary market prices of the securities will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of

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  the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the securities.  The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates.  See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.”
Tax considerations:

You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the securities.

Based on current market conditions, in the opinion of our special tax counsel, your securities should be treated as “open transactions” that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your securities should be treated as long-term capital gain or loss if you hold your securities for more than a year, whether or not you are an initial purchaser of securities at the issue price. However, the IRS or a court may not respect this treatment of the securities, in which case the timing and character of any income or loss on the securities could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the issues presented by this notice.

Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to the securities 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 securities. You should consult your tax adviser regarding the potential application of Section 871(m) to the securities.

Supplemental use of proceeds and hedging:

The securities are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the securities. See “How the Outperformance Jump Securities Work” in this document for an illustration of the risk-return profile of the securities and “Russell 2000® Index Overview” and “Nasdaq-100 Index® Overview” in this document for a description of the market exposure provided by the securities.

The original issue price of the securities is equal to the estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the

 

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  structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities.
Benefit plan investor considerations: See “Benefit Plan Investor Considerations” in the accompanying product supplement.
Supplemental plan of distribution:

Subject to regulatory constraints, JPMS intends to use its reasonable efforts to offer to purchase the securities in the secondary market, but is not required to do so. JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each security.

We or our affiliate 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 securities 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 and hedging” above and “Use of Proceeds and Hedging” in the accompanying product supplement.

Where you can find more information:

You may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any changes to the terms of the securities, 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 document together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.

This document, together with the documents listed below, contains the terms of the securities 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, stand-alone 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 securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the 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):

Product supplement no. 4-I dated April 13, 2023:

http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf

• Underlying supplement no. 1-I dated April 13, 2023:

http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf

• Prospectus supplement and prospectus, each dated April 13, 2023:

http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf

Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617.

As used in this document, “we,” “us,” and “our” refer to JPMorgan Financial.

 

 

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