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 3, 2020
April , 2020
|
Registration Statement
Nos. 333-222672 and 333-222672-01; Rule 424(b)(2)
|
JPMorgan
Chase Financial Company LLC
Structured Investments
Uncapped Dual Directional Contingent Buffered Equity Notes
Linked to the Lesser Performing of the Dow Jones Industrial Average™ and the Russell 2000® Index due October 6, 2022
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
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●
|
The notes are designed for investors who seek an uncapped
return equal to any appreciation, or a capped, unleveraged return equal to the absolute value of any depreciation (up to the Contingent
Buffer Amount of 30.00%), of the lesser performing of the
Dow Jones Industrial Average™ and the Russell 2000® Index, which we refer to as the Indices, at
maturity.
|
|
●
|
Investors should be willing to forgo interest and dividend payments and be willing to lose some
or all of their principal amount at maturity.
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|
●
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
|
|
●
|
Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance
of each of the Indices individually, as described below.
|
|
●
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
●
|
The notes are expected to price on or about April 3, 2020
and are expected to settle on or about April 13, 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-3 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 $30.00 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 $927.80 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 $900.00 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 Dow Jones Industrial Average™ (Bloomberg
ticker: INDU) and the Russell 2000® Index
(Bloomberg ticker: RTY)
Upside Leverage Factor: At
least 1.00 (to be provided in the pricing supplement)
Contingent Buffer Amount: 30.00%
Pricing Date: On
or about April 3, 2020
Original Issue Date (Settlement Date): On
or about April 13, 2020
Observation Date*: October
3, 2022
Maturity Date*: October
6, 2022
* 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
|
|
Payment at Maturity:
If the Final Value
of each Index is greater than its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as
follows:
$1,000
+ ($1,000 × Lesser Performing Index Return × Upside Leverage Factor)
If (i) the Final Value
of one Index is greater than its Initial Value and the Final Value of the other Index is equal to its Initial Value or is less
than its Initial Value by up to the Contingent Buffer Amount or (ii) the Final Value of each Index is equal to its Initial Value
or is less than its Initial Value by up to the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount note
will be calculated as follows:
$1,000
+ ($1,000 × Absolute Index Return of the Lesser Performing Index)
If the Final Value
of either Index is less than its Initial Value by more than the Contingent Buffer Amount, your payment at maturity per $1,000 principal
amount note will be calculated as follows:
$1,000
+ ($1,000 × Lesser Performing Index Return)
If the Final Value of either Index
is less than its Initial Value by more than the Contingent Buffer Amount, you will lose more than 30.00% of your principal amount
at maturity and could lose all of your principal amount at maturity.
Absolute Index
Return: With respect to each Index, the absolute
value of its Index Return. For example, if the Index Return of an Index is -5%, its Absolute Index Return will equal 5%.
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 Observation Date
|
PS-1
| Structured Investments
Uncapped Dual Directional Contingent Buffered Equity Notes
Linked to the Lesser Performing of the Dow Jones Industrial Average™ and the Russell 2000® Index
|
|
Hypothetical
Payout Profile
The following table illustrates the hypothetical total return
and payment at maturity on the notes linked to two hypothetical Indices. The “total return” as used in this pricing
supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount
note to $1,000. The hypothetical total returns and payments set forth below assume the following:
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●
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an Initial Value for the Lesser Performing Index of 100.00;
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|
●
|
an Upside Leverage Factor of 1.00; and
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|
●
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a Contingent Buffer Amount of 30.00%.
|
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 total return or hypothetical payment at
maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Value of
the Lesser
Performing
Index
|
Lesser
Performing
Index Return
|
Absolute Index Return
of the Lesser
Performing Index
|
Total Return on the
Notes
|
Payment at Maturity
|
180.00
|
80.00%
|
N/A
|
80.00%
|
$1,800.00
|
165.00
|
65.00%
|
N/A
|
65.00%
|
$1,650.00
|
150.00
|
50.00%
|
N/A
|
50.00%
|
$1,500.00
|
140.00
|
40.00%
|
N/A
|
40.00%
|
$1,400.00
|
130.00
|
30.00%
|
N/A
|
30.00%
|
$1,300.00
|
120.00
|
20.00%
|
N/A
|
20.00%
|
$1,200.00
|
110.00
|
10.00%
|
N/A
|
10.00%
|
$1,100.00
|
105.00
|
5.00%
|
N/A
|
5.00%
|
$1,050.00
|
101.00
|
1.00%
|
N/A
|
1.00%
|
$1,010.00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$1,000.00
|
95.00
|
-5.00%
|
5.00%
|
5.00%
|
$1,050.00
|
90.00
|
-10.00%
|
10.00%
|
10.00%
|
$1,100.00
|
80.00
|
-20.00%
|
20.00%
|
20.00%
|
$1,200.00
|
70.00
|
-30.00%
|
30.00%
|
30.00%
|
$1,300.00
|
69.99
|
-30.01%
|
N/A
|
-30.01%
|
$699.90
|
60.00
|
-40.00%
|
N/A
|
-40.00%
|
$600.00
|
50.00
|
-50.00%
|
N/A
|
-50.00%
|
$500.00
|
40.00
|
-60.00%
|
N/A
|
-60.00%
|
$400.00
|
30.00
|
-70.00%
|
N/A
|
-70.00%
|
$300.00
|
20.00
|
-80.00%
|
N/A
|
-80.00%
|
$200.00
|
10.00
|
-90.00%
|
N/A
|
-90.00%
|
$100.00
|
0.00
|
-100.00%
|
N/A
|
-100.00%
|
$0.00
|
PS-2
| Structured Investments
Uncapped Dual Directional Contingent Buffered Equity Notes
Linked to the Lesser Performing of the Dow Jones Industrial Average™ and the Russell 2000® Index
|
|
How the Notes
Work
Index Appreciation Upside Scenario:
If the Final Value of each Index is greater than its Initial
Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Lesser Performing Index Return
times the Upside Leverage Factor of at least 1.00.
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●
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Assuming a hypothetical Upside Leverage Factor of 1.00, if the closing level of the Lesser Performing Index increases 10.00%,
investors will receive at maturity a return of 10.00%, or $1,100.00 per $1,000 principal amount note.
|
Index Par or Index Depreciation Upside Scenario:
If (i) the Final Value of one Index is greater than its Initial
Value and the Final Value of the other Index is equal to its Initial Value or is less than its Initial Value by up to the Contingent
Buffer Amount of 30.00% or (ii) the Final Value of each
Index is equal to its Initial Value or is less than its Initial Value by up to the Contingent Buffer Amount of 30.00%,
investors will receive at maturity the $1,000 principal amount plus a return equal to the Absolute Index Return of the Lesser
Performing Index.
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●
|
For example, if the closing level of
the Lesser Performing Index declines
10.00%, investors will receive at maturity a return of 10.00%, or $1,100.00 per $1,000 principal amount note.
|
Downside Scenario:
If the Final Value of either Index is less than its Initial
Value by more than the Contingent Buffer Amount of 30.00%,
investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Lesser Performing Index
is less than its Initial Value.
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●
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For example, if the closing level of the Lesser Performing Index declines 50.00%,
investors will lose 50.00% of their principal amount and
receive only $500.00 per $1,000 principal amount note at
maturity.
|
The hypothetical returns and hypothetical payments on the
notes shown above apply only if you hold the notes for their entire term. 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.
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●
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the Final Value of either Index is less than its Initial Value by more than
30.00%, 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.
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|
●
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE CONTINGENT BUFFER AMOUNT IF THE LESSER PERFORMING INDEX RETURN IS NEGATIVE
—
Because the payment at maturity will not reflect the Absolute Index Return of the Lesser Performing Index if its Final Value is
less than its Initial Value by more than the Contingent Buffer Amount, the Contingent Buffer Amount is effectively a cap on your
return at maturity if the Lesser Performing Index Return is negative. The maximum payment at maturity if the Lesser Performing
Index Return is negative is $1,300.00 per $1,000 principal
amount note.
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●
|
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.
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|
●
|
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.
|
PS-3
| Structured Investments
Uncapped Dual Directional Contingent Buffered Equity Notes
Linked to the Lesser Performing of the Dow Jones Industrial Average™ and the Russell 2000® Index
|
|
|
●
|
POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that
hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us
or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement.
|
|
●
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE DOW JONES INDUSTRIAL AVERAGE™,
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 Dow Jones Industrial Average™.
|
|
●
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock price pressure under adverse market conditions.
|
|
●
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual
Index. Poor performance by either of the Indices over the term of the notes may 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 CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
If the Final Value of either Index is less than its Initial Value by more than the Contingent Buffer Amount, the benefit provided
by the Contingent Buffer Amount will terminate, and you will be fully exposed to any depreciation of the Lesser Performing Index.
|
|
●
|
THE NOTES DO NOT PAY INTEREST.
|
|
●
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
●
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INITIAL VALUE BY MORE THAN THE CONTINGENT BUFFER AMOUNT IS GREATER
IF THE LEVEL OF THAT INDEX IS VOLATILE.
|
|
●
|
LACK OF LIQUIDITY—
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which 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 Upside
Leverage Factor.
|
|
●
|
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.
|
PS-4
| Structured Investments
Uncapped Dual Directional Contingent Buffered Equity Notes
Linked to the Lesser Performing of the Dow Jones Industrial Average™ and the Russell 2000® Index
|
|
|
●
|
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).
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|
●
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also,
because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs
that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy
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.
|
PS-5
| Structured Investments
Uncapped Dual Directional Contingent Buffered Equity Notes
Linked to the Lesser Performing of the Dow Jones Industrial Average™ and the Russell 2000® Index
|
|
The Indices
The Dow Jones Industrial Average™ consists
of 30 common stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones
Industrial Average™, see “Equity Index Descriptions — The Dow Jones Industrial Average™”
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
Dow Jones Industrial Average™ on April 2, 2020 was 21,413.44. The closing level of the Russell 2000® Index
on April 2, 2020 was 1,085.808. 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 the Observation Date. There can be no assurance that the performance of the Indices will result in the return of any of
your principal amount.
Historical Performance of the Dow Jones
Industrial Average™
Source: Bloomberg
|
PS-6
| Structured Investments
Uncapped Dual Directional Contingent Buffered Equity Notes
Linked to the Lesser Performing of the Dow Jones Industrial Average™ and the Russell 2000® Index
|
|
Historical Performance of the Russell
2000® Index
Source: Bloomberg
|
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. 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 notes.
Based on current market conditions, in the opinion of our
special tax counsel it is reasonable to treat the notes 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 notes should be treated as long-term capital gain or loss if you
hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS
or a court may not respect this treatment, 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 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 notes, possibly with retroactive effect. You should consult your
tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by 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 (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, 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.
PS-7
| Structured Investments
Uncapped Dual Directional Contingent Buffered Equity Notes
Linked to the Lesser Performing of the Dow Jones Industrial Average™ and the Russell 2000® Index
|
|
Withholding under legislation commonly referred to as “FATCA”
may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the notes,
as well as to payments of gross proceeds of a taxable disposition, including 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 interest). You should consult your tax
adviser regarding the potential application of FATCA to the notes.
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.
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.
PS-8
| Structured Investments
Uncapped Dual Directional Contingent Buffered Equity Notes
Linked to the Lesser Performing of the Dow Jones Industrial Average™ and the Russell 2000® Index
|
|
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and
“How the Notes Work” 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 fifth business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+5”).
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.
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-9
| Structured Investments
Uncapped Dual Directional Contingent Buffered Equity Notes
Linked to the Lesser Performing of the Dow Jones Industrial Average™ and the Russell 2000® Index
|
|
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