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 April 2, 2020
April , 2020
|
Registration Statement Nos. 333-222672 and 333-222672-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index due July 20, 2021
Fully and Unconditionally Guaranteed by JPMorgan Chase &
Co.
|
·
|
The notes are designed for investors who seek a higher interest rate than the yield on a conventional debt security with the
same maturity issued by us. The notes will pay at least 6.00% per annum interest over the term of the notes, assuming no automatic
call, payable at a rate of at least 1.50% per quarter.
|
|
·
|
The notes will be automatically called if the closing level of each Index on any Review Date (other than the final Review Date)
is greater than or equal to its Initial Value.
|
|
·
|
The earliest date on which an automatic call may be initiated is October 15, 2020.
|
|
·
|
Investors in the notes should be willing to accept the risk of losing some or all of their principal and be willing to forgo
dividend payments, in exchange for Interest Payments.
|
|
·
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
|
|
·
|
Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance
of each of the Indices individually, as described below.
|
|
·
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Minimum denominations of $1,000 and integral multiples thereof
|
|
·
|
The notes are expected to price on or about April 15, 2020 and are expected to settle on or about April 20, 2020.
|
Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning on page US-1 of the accompanying
underlying supplement and “Selected Risk Considerations” beginning on page PS-4 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
(1) See “Supplemental Use of Proceeds” in this pricing
supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated
dealers. In no event will these selling commissions exceed $2.50 per $1,000 principal amount note. See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement.
|
If the notes priced today, the estimated value of the notes would be approximately
$917.10 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided
in the pricing supplement and will not be less than $870.00 per $1,000 principal amount note. See “The Estimated Value of
the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance
Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated April
5, 2018, underlying supplement no. 1-I dated April 5, 2018
and the prospectus and prospectus supplement, each dated April 5, 2018
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan
Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Indices:
The S&P 500® Index (Bloomberg ticker: SPX) and the Russell 2000®
Index (Bloomberg ticker: RTY)
Interest
Payments: If the notes have not been automatically called, you will receive on each Interest Payment Date for each $1,000
principal amount note an Interest Payment equal to at least $15.00 (equivalent to an Interest Rate of at least 6.00% per annum,
payable at a rate of at least 1.50% per quarter) (to be provided in the pricing supplement).
Interest
Rate: At least 6.00% per annum, payable at a rate of at least 1.50% per quarter (to
be provided in the pricing supplement)
Trigger Value: With respect to
each Index, 70.00% of its Initial Value
Pricing Date:
On or about April 15, 2020
Original
Issue Date (Settlement Date): On or about April 20, 2020
Review Dates*:
October 15, 2020, January 15, 2021, April 15, 2021 and July 15, 2021 (final Review Date)
Interest
Payment Dates*: July 20, 2020, October 20, 2020, January 21, 2021, April 20, 2021 and the Maturity Date
Maturity
Date*: July 20, 2021
Call Settlement Date*: If
the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately
following that Review Date
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product
supplement
Automatic Call:
If the closing level of each Index on any Review Date (other than the final
Review Date) is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment for the Interest Payment Date occurring
on the applicable Call Settlement Date, payable on that Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of each Index
is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the Interest Payment applicable to the Maturity Date.
If the notes have not been automatically called and the Final Value of either
Index is less than its Trigger Value, your payment at maturity per $1,000 principal amount note, in addition to the Interest Payment
applicable to the Maturity Date, will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
If the notes have not been automatically called and the Final Value of either
Index is less than its Trigger Value, you will lose more than 30.00% of your principal amount at maturity and could lose all of
your principal amount at maturity.
Lesser Performing Index: The
Index with the Lesser Performing Index Return
Lesser Performing Index Return: The
lower of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing
level of that Index on the Pricing Date
Final
Value: With respect to each Index, the closing level of that Index on the final Review
Date
PS-1
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
How the Notes
Work
Payments in Connection with Review Dates Preceding the
Final Review Date
Payment at Maturity If the Notes Have
Not Been Automatically Called
PS-2
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
Total Interest Payments
The table below illustrates the hypothetical total Interest Payments
per $1,000 principal amount note over the term of the notes based on a hypothetical Interest Rate of 6.00% per annum, depending
on how many Interest Payments are made prior to automatic call or maturity. If the notes have not been automatically called, the
hypothetical total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the maximum amount
shown in the table below. The actual Interest Rate will be provided in the pricing supplement and will be at least 6.00% per annum.
Number of Interest
Payments
|
Total Interest Payments
|
5
|
$75.00
|
4
|
$60.00
|
3
|
$45.00
|
2
|
$30.00
|
Hypothetical Payout
Examples
The following examples illustrate payments on the notes
linked to two hypothetical Indices, assuming a range of performances for the hypothetical Lesser Performing Index on the Review
Dates. Each hypothetical payment set forth below assumes that the closing level of the Index that is not the Lesser Performing
Index on each Review Date is greater than or equal to its Initial Value.
In addition, the hypothetical payments set forth below assume
the following:
|
·
|
an Initial Value for the Lesser Performing Index of 100.00;
|
|
·
|
a Trigger Value for the Lesser Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value); and
|
|
·
|
an Interest Rate of 6.00% per annum (payable at a rate of 1.50% per quarter).
|
The hypothetical Initial Value of the Lesser Performing
Index of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either Index.
The actual Initial Value of each Index will be the closing level of that Index on the Pricing Date and will be provided in the
pricing supplement. For historical data regarding the actual closing levels of each Index, please see the historical information
set forth under “The Indices” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following
examples have been rounded for ease of analysis.
Example 1 — Notes are automatically called on the
first Review Date.
Date
|
Closing Level of Lesser
Performing Index
|
|
First Review Date
|
105.00
|
Notes are automatically called
|
|
Total Payment
|
$1,030.00 (3.00% return)
|
Because the closing level of each Index on the first Review
Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000
principal amount note, of $1,015.00 (or $1,000 plus the Interest Payment applicable to the corresponding Interest Payment
Date), payable on the applicable Call Settlement Date. When added to the Interest Payments received with respect to the prior Interest
Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,030.00. No further payments will be made on
the notes.
PS-3
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
Example 2 — Notes have NOT been automatically called
and the Final Value of the Lesser Performing Index is greater than or equal to its Trigger Value.
Date
|
Closing Level of Lesser
Performing Index
|
|
First Review Date
|
95.00
|
Notes NOT automatically called
|
Second Review Date
|
90.00
|
Notes NOT automatically called
|
Third Review Date
|
85.00
|
Notes NOT automatically called
|
Final Review Date
|
80.00
|
Final Value of Lesser Performing Index is greater than or equal to its Trigger Value
|
|
Total Payment
|
$1,075.00 (7.50% return)
|
Because the notes have not been automatically called and
the Final Value of the Lesser Performing Index is greater than or equal to its Trigger Value, the payment at maturity, for each
$1,000 principal amount note, will be $1,015.00 (or $1,000 plus the Interest Payment applicable to the Maturity Date). When
added to the Interest Payments received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000
principal amount note, is $1,075.00.
Example
3 — Notes have NOT been automatically called and the Final Value of the Lesser Performing Index is less than its Trigger
Value.
Date
|
Closing Level of Lesser
Performing Index
|
|
First Review Date
|
40.00
|
Notes NOT automatically called
|
Second Review Date
|
45.00
|
Notes NOT automatically called
|
Third Review Date
|
35.00
|
Notes NOT automatically called
|
Final Review Date
|
50.00
|
Final Value of Lesser Performing Index is less than its Trigger Value
|
|
Total Payment
|
$575.00 (-42.50% return)
|
Because the notes have not been automatically called, the
Final Value of the Lesser Performing Index is less than its Trigger Value and the Lesser Performing Index Return is -50.00%, the
payment at maturity will be $515.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] + $15.00 = $515.00
When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $575.00.
The hypothetical returns and hypothetical payments on the
notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected Risk
Considerations
An investment in the notes involves significant risks. These
risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement and underlying
supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value of either Index is less than its Trigger Value, you will lose
1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial
Value. Accordingly, under these circumstances, you will lose more than 30.00% of your principal amount at maturity and could lose
all of your principal amount at maturity.
PS-4
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan Chase
& Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the
value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts
owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities. 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.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES,
|
regardless of any appreciation of either Index, which
may be significant. You will not participate in any appreciation of either Index.
We and our affiliates play a variety of roles in
connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates
in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines.
Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX,
|
but JPMorgan Chase & Co. will not have any obligation
to consider your interests in taking any corporate action that might affect the level of the S&P 500® Index.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
|
Payments on the notes are not linked to a basket
composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by either of the Indices
over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively affect your
payment at maturity and will not be offset or mitigated by positive performance by the other Index.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of either Index is less than its
Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you
will be fully exposed to any depreciation of the Lesser Performing Index.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called, the term
of the notes may be reduced to as short as approximately six months and you will not receive any Interest Payments after the applicable
Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at
a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called
before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
PS-5
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX —
|
Small capitalization companies may be less able to
withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies
are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward
stock price pressure under adverse market conditions.
|
·
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE LEVEL OF THAT INDEX IS VOLATILE.
|
The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is
willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment in
the notes based on the minimums for the estimated value of the notes and the Interest Rate.
|
·
|
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.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
See “The Estimated Value of the Notes”
in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to
that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated
Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes”
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your
notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your
customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes will likely
be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and,
PS-6
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
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 the notes from you in secondary market transactions, if at all,
is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss
to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes during their
term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors”
in the accompanying product supplement.
The Indices
The S&P 500® Index consists of stocks of 500
companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
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 “Equity Index Descriptions — The Russell Indices” in the accompanying underlying
supplement.
Historical Information
The following graphs set forth the historical performance
of each Index based on the weekly historical closing levels from January 2, 2015 through March 27, 2020. The closing level of the
S&P 500® Index on April 1, 2020 was 2,470.50. The closing level of the Russell 2000® Index on
April 1, 2020 was 1,071.994. We obtained the closing levels above and below from the Bloomberg Professional® service
(“Bloomberg”), without independent verification.
The historical closing levels of each Index should not
be taken as an indication of future performance, and no assurance can be given as to the closing level of either Index on the Pricing
Date or any Review Date. There can be no assurance that the performance of the Indices will result in the return of any of your
principal amount.
PS-7
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
Tax Treatment
You should review
carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
no. 4-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, and on current market conditions, in determining
our reporting responsibilities we intend to treat the notes for U.S. federal income tax purposes as units each comprising: (x)
a cash-settled Put Option written by you that is terminated if an automatic call occurs and that, if not terminated, in circumstances
where the payment due at maturity is less than the principal amount (excluding accrued but unpaid interest) requires you to pay
us an amount equal to the principal amount multiplied by the absolute value of the Lesser Performing Index Return and (y) a Deposit
of $1,000 per $1,000 principal amount note to secure your potential obligation under the Put Option, as more fully described in
“Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Units Each
Comprising a Put Option and a Deposit” in the accompanying product supplement, and in particular in the subsection thereof
entitled “—Notes with a Term of More than One Year.” By purchasing the notes, you agree (in the absence of an
administrative determination or judicial ruling to the contrary) to follow this treatment and the allocation described in the following
paragraph. However, there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character
of any income or loss on the notes could be materially and adversely affected. 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 on a number of issues, the most relevant of which for investors in the notes are the character of income or
loss (including whether the Put Premium might be currently included as ordinary income) and the degree, if any, to which income
realized by non-U.S. investors should be subject to withholding tax. While it is not clear whether the notes would be viewed as
similar to the typical prepaid forward contract described in the notice, it is possible that any Treasury regulations or other
guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the notes, possibly with retroactive effect.
In determining our reporting responsibilities, we intend
to treat a portion of each Interest Payment equal to approximately 2.40% per annum times the amount of the Deposit times the number
of days in the applicable period divided by 365 as interest on the Deposit (so that the amount allocated as interest on the Deposit
will vary from Interest Payment to Interest Payment depending on the number of days in the applicable period) and the remainder
of each Interest Payment as Put Premium. Assuming that the treatment of the notes as units each comprising a Put Option and a Deposit
is respected, amounts treated as interest on the Deposit will be taxed as ordinary income, while the Put Premium will not be taken
into account prior to sale or settlement, including a settlement following an automatic call.
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 (such an index, a “Qualified
Index”). Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January
1, 2023 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,
PS-8
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
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.
Withholding under legislation commonly referred to as
“FATCA” will apply to amounts treated as interest or other “fixed or determinable annual or periodical”
income (“FDAP Income”) for U.S. federal income tax purposes paid with respect to the notes, and (if they are treated,
in whole or in part, as debt instruments) could also apply to payments of gross proceeds of a taxable disposition, including an
early redemption or redemption at maturity, of a note, although under recently proposed regulations (the preamble to which specifies
that taxpayers are permitted to rely on them pending finalization), no withholding will apply to payments of gross proceeds (other
than any amount treated as FDAP Income). You should consult your tax adviser regarding the potential application of FATCA to the
notes.
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 all aspects of the U.S. federal income tax consequences of an investment in the notes,
including possible alternative treatments and the issues presented by the 2007 notice. Purchasers who are not initial purchasers
of notes at the issue price should also consult their tax advisers with respect to the tax consequences of an investment in the
notes, including possible alternative treatments, as well as the allocation of the purchase price of the notes between the Deposit
and the Put Option.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the cover
of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt
component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or
derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at
which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used
in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income
instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other
things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing
liability management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan
Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect,
and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate
and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of
the notes. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes Is Derived
by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based
on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent future
values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant
factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could
change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes
from you in secondary market transactions.
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 JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
PS-9
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
Secondary Market
Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will
be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over
an initial predetermined period. These costs can include 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. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental Use
of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Indices”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, 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.
Supplemental Plan
of Distribution
We expect that delivery of the notes will be made against
payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be
the third business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to
settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
Additional Terms
Specific to the Notes
You may revoke your offer to purchase the notes at any time
prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
You should read this pricing supplement together with the
accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of
which these notes are a part, 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 product supplement and the accompanying underlying supplement, as the notes involve risks not associated with
conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest
in the notes.
PS-10
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
PS-11
| Structured Investments
Auto Callable Yield Notes Linked to the Lesser Performing of the
S&P 500® Index and the Russell 2000® Index
|
|
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