Registration Statement Nos. 333-236659
and 333-236659-01
The PLUS will pay no interest and do not guarantee any return of your
principal at maturity. At maturity, if the underlying index has appreciated in value, investors will receive the stated principal
amount of their investment plus leveraged upside performance of the underlying index, subject to a maximum payment at maturity.
However, if the underlying index has declined in value, at maturity investors will lose 1% for every 1% decline. The PLUS are for
investors who seek an equity-based return and who are willing to risk their principal and forgo current income and upside above
the maximum payment at maturity in exchange for the leverage feature that applies to a limited range of positive performance of
the underlying index. At maturity, an investor will receive an amount in cash that may be greater than, equal to, or less than
the stated principal amount based upon the closing level of the underlying index on the valuation date. The PLUS 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 PLUS is subject to the credit risk of JPMorgan Financial, as issuer of the PLUS,
and the credit risk of JPMorgan Chase & Co., as guarantor of the PLUS. The investor may lose some or all of the stated principal
amount of the PLUS.
SUMMARY TERMS
|
Issuer:
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
|
Guarantor:
|
JPMorgan Chase & Co.
|
Underlying index:
|
EURO STOXX 50® Index (Bloomberg ticker: SX5E Index)
|
Aggregate principal amount:
|
$
|
Payment at maturity:
|
If the final index value is greater than the initial index
value, for each $10 stated principal amount PLUS,
$10 + leveraged upside payment
In no event will the payment at maturity exceed the maximum
payment at maturity.
If the final index value is less than or equal to the initial
index value, for each $10 stated principal amount PLUS,
$10 × index performance factor
This amount will be less than or equal to the stated principal
amount of $10 per PLUS.
|
Leveraged upside payment:
|
$10 × leverage factor × index percent increase
|
Index percent increase:
|
(final index value – initial index value) / initial index value
|
Initial index value:
|
The closing level of the underlying index on the pricing date
|
Final index value:
|
The closing level of the underlying index on the valuation date
|
Leverage factor:
|
300%
|
Index performance factor:
|
final index value / initial index value
|
Maximum payment at maturity:
|
At least $11.575 (at least 115.75% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be provided in the pricing supplement and will not be less than $11.575 per PLUS.
|
Stated principal amount:
|
$10 per PLUS
|
Issue price:
|
$10 per PLUS (see “Commissions and issue price” below)
|
Pricing date:
|
August , 2020 (expected to price on or about August 14, 2020)
|
Original issue date (settlement date):
|
August , 2020 (3 business days after the pricing date)
|
Valuation date:
|
November 30, 2021, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” in the accompanying product supplement
|
Maturity date:
|
December 3, 2021, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
CUSIP / ISIN:
|
48132L327 / US48132L3270
|
Listing:
|
The PLUS 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 PLUS
|
$10.00
|
$0.175(2)
|
$9.775
|
|
|
$0.05(3)
|
|
Total
|
$
|
$
|
$
|
|
(1)
|
See “Additional Information about the PLUS — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the PLUS.
|
|
(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 $0.175 per
$10 stated principal amount PLUS. 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 $0.05 for each
$10 stated principal amount PLUS
|
If the PLUS priced today and assuming a maximum payment at
maturity equal to the minimum listed above, the estimated value of the PLUS would be approximately $9.677 per $10 stated principal
amount PLUS. The estimated value of the PLUS on the pricing date will be provided in the pricing supplement and will not be less
than $9.30 per $10 stated principal amount PLUS. See “Additional Information about the PLUS — The estimated value of
the PLUS” in this document for additional information.
Investing in the PLUS involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “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 “Risk Factors” beginning on page 5 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the PLUS 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 PLUS 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 PLUS” at the end of this document.
Product supplement no. MS-1-I dated April 8,
2020: http://www.sec.gov/Archives/edgar/data/19617/000095010320007233/crt-dp125067_424b2.pdf
Underlying supplement no. 1-I dated April 8,
2020: http://www.sec.gov/Archives/edgar/data/19617/000095010320007221/crt-dp125705_424b2.pdf
Prospectus supplement and prospectus, each dated
April 8, 2020: http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Performance Leveraged Upside Securities
Principal at Risk Securities
The PLUS Based on the Value of the EURO STOXX 50®
Index due December 3, 2021 (the “PLUS”) can be used:
|
§
|
As an alternative to direct exposure to the underlying index that enhances returns for a certain range of positive performance
of the underlying index.
|
|
§
|
To potentially achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum
payment at maturity, while using fewer dollars by taking advantage of the leverage factor.
|
The PLUS are exposed on a 1:1 basis to
the negative performance of the underlying index.
Maturity:
|
Approximately 15.5 months
|
Leverage factor:
|
300%
|
Maximum payment at maturity:
|
At least $11.575 (at least 115.75% of the stated principal amount) per PLUS (to be provided in the pricing supplement)
|
Minimum payment at maturity:
|
None. Investors may lose their entire initial investment in the PLUS.
|
Supplemental Terms of the PLUS
For purposes of the accompanying
product supplement, the underlying index is an “Index.”
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
PLUS offer leveraged exposure to an underlying asset, which
may be equities, commodities and/or currencies, without any protection against negative performance of the underlying asset. If
the underlying asset has decreased in value, investors are fully exposed to the negative performance of the underlying asset. At
maturity, if the underlying asset has appreciated, investors will receive the stated principal amount of their investment plus
leveraged upside performance of the underlying asset, subject to the maximum payment at maturity. At maturity, if the underlying
asset has depreciated, the investor will lose 1% for every 1% decline. Investors may lose some or all of the stated principal
amount of the PLUS.
Leveraged
Performance
|
The PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the underlying index.
|
Upside
Scenario
|
The underlying index increases in value and, at maturity, the PLUS pay the stated principal amount of $10 plus a return equal to 300% of the index percent increase, subject to the maximum payment at maturity of at least $11.575 (at least 115.75% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be provided in the pricing supplement.
|
Par
Scenario
|
The final index value is equal to the initial index value and, at maturity, the PLUS pay the stated principal amount of $10 per PLUS.
|
Downside
Scenario
|
The underlying index declines in value and, at maturity, the PLUS pay an amount that is less than the stated principal amount by an amount that is proportionate to the percentage decline of the final index value from the initial index value. (Example: if the underlying index decreases in value by 20%, the PLUS will pay an amount that is less than the stated principal amount by 20%, or $8 per PLUS.)
|
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the PLUS based on the following terms:
Stated principal amount:
|
$10 per PLUS
|
Leverage factor:
|
300%
|
Hypothetical maximum payment at maturity:
|
$11.575 (115.75% of the stated principal amount) per PLUS (which represents the lowest hypothetical maximum payment at maturity)*
|
*The actual maximum payment at maturity will be provided in the pricing supplement and will not be less than $11.575 per PLUS.
|
PLUS Payoff Diagram
|
|
How it works
|
§
|
Upside
Scenario. If the final index value is greater than the initial index value, for each $10 principal amount PLUS, investors
will receive the $10 stated principal amount plus a return equal to 300% of the appreciation of the underlying index over
the term of the PLUS, subject to the maximum payment at maturity. Under the hypothetical terms of the PLUS, an investor will realize
the hypothetical maximum payment at maturity at a final index value of 105.25% of the initial index value.
|
|
§
|
Par
Scenario. If the final index value is equal to the initial index value, investors will receive the stated principal
amount of $10 per PLUS.
|
|
§
|
Downside
Scenario. If the final index value is less than the initial index value, investors will receive an amount that is less
than the stated principal amount by an amount proportionate to the percentage decrease of the final index value from the initial
index value.
|
|
§
|
For example, if the underlying index depreciates 50%, investors will lose 50% of their principal and receive only $5 per PLUS
at maturity, or 50% of the stated principal amount.
|
The hypothetical returns and
hypothetical payments on the PLUS shown above apply only if you hold the PLUS 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.
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the PLUS. For further discussion of these and
other risks, you should read the sections entitled “Risk Factors” of the accompanying prospectus supplement, the accompanying
product supplement and the accompanying underlying supplement. We urge you to consult your investment, legal, tax, accounting and
other advisers in connection with your investment in the PLUS.
|
§
|
The
PLUS do not pay interest or guarantee the return of any principal and your investment in the PLUS may result in a loss.
The terms of the PLUS differ from those of ordinary debt securities in that the PLUS do not pay interest or guarantee the payment
of any principal amount at maturity. If the final index value is less than the initial index value, the payment at maturity will
be an amount in cash that is less than the stated principal amount of each PLUS by an amount proportionate to the decrease in
the value of the underlying index and may be zero.
|
|
§
|
The appreciation potential of the PLUS is limited by the maximum
payment at maturity. The appreciation potential of the PLUS is limited by the maximum payment at maturity of at least
$11.575 (at least 115.75% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be provided in
the pricing supplement. Because the maximum payment at maturity will be limited to at least 115.75% of the stated principal amount
for the PLUS, any increase in the final index value by more than 5.25% (if the maximum payment at maturity is set at 115.75% of
the stated principal amount) will not further increase the return on the PLUS.
|
|
§
|
The PLUS 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 PLUS. Investors are dependent on our
and JPMorgan Chase & Co.’s ability to pay all amounts due on the PLUS. 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 PLUS. If we and JPMorgan Chase & Co.
were to default on our payment obligations, you may not receive any amounts owed to you under the PLUS 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 PLUS. If these affiliates do not make payments to us and we fail to make
payments on the PLUS, 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.
|
|
§
|
Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the PLUS 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 PLUS, including acting as calculation agent and
as an agent of the offering of the PLUS, hedging our obligations under the PLUS and making the assumptions used to determine the
pricing of the PLUS and the estimated value of the PLUS, which we refer to as the estimated value of the PLUS. In performing these
duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other
affiliates of ours are potentially adverse to your interests as an investor in the PLUS. The calculation agent will determine the
initial index value and the final index value 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 the underlying index or calculation of the final index value in the event of a discontinuation or material change
in method of calculation of the 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 PLUS and the value
of the PLUS. It is possible that hedging or trading activities of ours or our affiliates in connection with the PLUS could result
in substantial returns for us or our affiliates while the value of the PLUS declines. Please refer to “Risk Factors —
Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
§
|
The estimated value of the PLUS will be lower than the original issue price (price to public) of the PLUS.
The estimated value of the PLUS is only an estimate determined by reference to several factors. The original issue price
of the PLUS will exceed the estimated value of the PLUS because costs associated with selling, structuring and hedging the PLUS
are included in the original issue price of the PLUS. 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 PLUS and
the estimated cost of hedging our obligations under the PLUS. See “Additional Information about the PLUS — The estimated
value of the PLUS” in this document.
|
|
§
|
The estimated value of the PLUS does not represent future values of the PLUS and may differ from others’ estimates.
The estimated value of the PLUS is determined by reference to internal pricing models of our affiliates. This estimated
value of the PLUS 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 PLUS that are greater than or less than the estimated value of the PLUS. 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 PLUS 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 PLUS from you in secondary market transactions. See “Additional Information about the
PLUS — The estimated value of the PLUS” in this document.
|
|
§
|
The estimated value of the PLUS is derived by reference to an internal funding rate.
The internal funding rate used in the determination of the estimated value of the PLUS 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 PLUS as well as
the higher issuance, operational and ongoing liability management costs of the PLUS 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 PLUS. The
use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the PLUS and
any secondary market prices of the PLUS. See “Additional Information about the PLUS — The estimated value of the PLUS”
in this document.
|
|
§
|
The value of the PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than
the then-current estimated value of the PLUS for a limited time period.
We generally expect that some of the costs included in the original issue price of the PLUS will be partially paid back
to you in connection with any repurchases of your PLUS 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 PLUS — Secondary market prices of the PLUS” in this document for additional information relating to this
initial period. Accordingly, the estimated value of your PLUS during this initial period may be lower than the value of the PLUS
as published by JPMS (and which may be shown on your customer account statements).
|
|
§
|
Secondary market prices of the PLUS will likely be lower than the original issue price of the PLUS.
Any secondary market prices of the PLUS will likely be lower than the original issue price of the PLUS 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 and the structuring fee, projected hedging profits,
if any, and estimated hedging costs that are included in the original issue price of the PLUS. As a result, the price, if any,
at which JPMS will be willing to buy PLUS 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 PLUS.
|
The PLUS are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your PLUS to maturity. See “— Secondary trading
may be limited” below.
|
§
|
Secondary market prices of the PLUS will be impacted by many economic
and market factors. The secondary market price of the PLUS during their term will be impacted by a number of economic
and
|
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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 the underlying index, including:
|
○
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
○
|
customary bid-ask spreads for similarly sized trades;
|
|
○
|
our internal secondary market funding rates for structured debt issuances;
|
|
○
|
the actual and expected volatility of the underlying index;
|
|
○
|
the time to maturity of the PLUS;
|
|
○
|
the dividend rates on the equity securities included in the underlying index;
|
|
○
|
interest and yield rates in the market generally;
|
|
○
|
the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the
equity securities included in the underlying index trade and the correlation among those rates and the levels of the underlying
index; and
|
|
○
|
a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the PLUS, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the PLUS, if any, at which JPMS may be willing to purchase your
PLUS in the secondary market.
|
§
|
Investing in the PLUS is not equivalent to investing in the underlying
index. Investing in the PLUS is not equivalent to investing in the underlying index or its
component stocks. Investors in the PLUS will not have voting rights or rights to receive dividends or other distributions or any
other rights with respect to the stocks that constitute the underlying index.
|
|
§
|
Adjustments to the underlying index could adversely affect the value
of the PLUS. The underlying index publisher may discontinue or suspend calculation or publication
of the 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.
|
|
§
|
The PLUS are subject to risks associated with securities issued
by non-U.S. companies. The equity securities included in the underlying index have been issued
by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated
with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility
in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there
is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies
that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing
and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting
companies.
|
|
§
|
The PLUS are not directly exposed to fluctuations in foreign exchange
rates. The value of your PLUS will not be adjusted for exchange rate fluctuations between
the U.S. dollar and the currencies upon which the equity securities included in the underlying index are based, although any currency
fluctuations could affect the performance of the underlying index. Therefore, if the applicable currencies appreciate or depreciate
relative to the U.S. dollar over the term of the PLUS, you will not receive any additional payment or incur any reduction in any
payment on the PLUS.
|
|
§
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the PLUS.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the
PLUS on or prior to the pricing date and prior to
maturity could adversely affect the value of the underlying index and, as a result, could decrease the amount an investor may receive
on the PLUS at maturity, if any. Any of these hedging or trading activities on or prior to the pricing date could potentially
affect the initial index value and, therefore, could potentially increase the level that the final index value must reach before
you receive a payment at maturity that exceeds the issue price of the PLUS or so that
|
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
you do not suffer a loss on your initial investment
in the PLUS. Additionally, these hedging or trading activities during the term of the PLUS,
including on the valuation date, could adversely affect the final index value and, accordingly, the amount of cash an investor
will receive 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 PLUS declines.
|
§
|
Secondary trading may be limited. The
PLUS will not be listed on a securities exchange. There may be little or no secondary market for the PLUS. Even if there is a secondary
market, it may not provide enough liquidity to allow you to trade or sell the PLUS easily.
JPMS may act as a market maker for the PLUS, 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 PLUS, the price at which you may be able to trade your PLUS is likely
to depend on the price, if any, at which JPMS
is willing to buy the PLUS. 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 PLUS.
|
|
§
|
The final terms and valuation of the PLUS will be provided in the pricing supplement.
The final terms of the PLUS will be provided in the pricing supplement. In particular, each of the estimated value
of the PLUS and the maximum payment at maturity 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 PLUS based
on the minimums for the estimated value of the PLUS and the maximum payment at maturity.
|
|
§
|
The tax consequences of an investment in the PLUS are uncertain. There is no direct legal authority as to the proper
U.S. federal income tax characterization of the PLUS, 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 PLUS described in “Additional Information about the PLUS ―
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 PLUS, the timing
and character of any income or loss on the PLUS 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 PLUS, 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 PLUS, including possible alternative treatments and the issues presented by this
notice.
|
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
EURO STOXX 50® Index Overview
The EURO STOXX 50® Index consists of 50 component
stocks of market sector leaders from within the Eurozone. For additional information about the EURO STOXX 50® Index,
see “Equity Index Descriptions ― The STOXX Benchmark Indices” in the accompanying underlying supplement.
Information as of market close on July 29, 2020:
Bloomberg Ticker Symbol:
|
SX5E
|
Current Closing Level:
|
3,300.16
|
52 Weeks Ago (on 7/29/2019):
|
3,523.58
|
52 Week High (on 2/19/2020):
|
3,865.18
|
52 Week Low (on 3/18/2020):
|
2,385.82
|
The following table sets forth the published high and low
closing levels, as well as end-of-quarter closing levels, of the underlying index for each quarter in the period from January 1,
2015 through July 29, 2020. The graph following the table sets forth the daily closing levels of the underlying index during the
same period. The closing level of the underlying index on July 29, 2020 was 3,300.16. 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 underlying index should not be taken as an indication of future performance,
and no assurance can be given as to the closing level of the underlying index on the valuation date. The payment of dividends on
the stocks that constitute the underlying index are not reflected in its closing level and, therefore, have no effect on the calculation
of the payment at maturity.
EURO STOXX 50® Index
|
High
|
Low
|
Period End
|
2015
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
2016
|
|
|
|
First Quarter
|
3,178.01
|
2,680.35
|
3,004.93
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
Third Quarter
|
3,091.66
|
2,761.37
|
3,002.24
|
Fourth Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
2017
|
|
|
|
First Quarter
|
3,500.93
|
3,230.68
|
3,500.93
|
Second Quarter
|
3,658.79
|
3,409.78
|
3,441.88
|
Third Quarter
|
3,594.85
|
3,388.22
|
3,594.85
|
Fourth Quarter
|
3,697.40
|
3,503.96
|
3,503.96
|
2018
|
|
|
|
First Quarter
|
3,672.29
|
3,278.72
|
3,361.50
|
Second Quarter
|
3,592.18
|
3,340.35
|
3,395.60
|
Third Quarter
|
3,527.18
|
3,293.36
|
3,399.20
|
Fourth Quarter
|
3,414.16
|
2,937.36
|
3,001.42
|
2019
|
|
|
|
First Quarter
|
3,409.00
|
2,954.66
|
3,351.71
|
Second Quarter
|
3,514.62
|
3,280.43
|
3,473.69
|
Third Quarter
|
3,571.39
|
3,282.78
|
3,569.45
|
Fourth Quarter
|
3,782.27
|
3,413.31
|
3,745.15
|
2020
|
|
|
|
First Quarter
|
3,865.18
|
2,385.82
|
2,786.90
|
Second Quarter
|
3,384.29
|
2,662.99
|
3,234.07
|
Third Quarter (through July 29, 2020)
|
3,405.35
|
3,228.45
|
3,300.16
|
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
EURO STOXX 50®
Index Historical Performance – Daily Closing Levels
January
2, 2015 to July 29, 2020
|
|
License
Agreement. The EURO STOXX 50® Index and STOXX® are the intellectual property (including registered
trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license.
The securities based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited
and its Licensors and neither Stoxx Limited nor any of its Licensors shall have any liability with respect thereto. See “Equity
Index Descriptions — The STOXX Benchmark Indices — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information about the PLUS
Please read this information in conjunction with the summary
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 PLUS will be postponed to the third business day following the valuation date as postponed.
|
Minimum ticketing size:
|
$1,000 / 100 PLUS
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation agent:
|
JPMS
|
The estimated value of the PLUS:
|
The estimated value of the PLUS 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 PLUS, valued using the internal funding rate described below, and (2) the derivative or
derivatives underlying the economic terms of the PLUS. The estimated value of the PLUS does not represent a minimum price at which
JPMS would be willing to buy your PLUS in any secondary market (if any exists) at any time. The internal funding rate used in the
determination of the estimated value of the PLUS 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 PLUS as well as the higher issuance, operational and ongoing liability
management costs of the PLUS 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 PLUS. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the PLUS and any secondary market prices of the PLUS. For additional
information, see “Risk Factors — The estimated value of the PLUS 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 PLUS 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 PLUS on the pricing date is based on market conditions and other relevant factors and assumptions existing at that
time. See “Risk Factors — The estimated value of the PLUS does not represent future values of the PLUS and may differ
from others’ estimates” in this document.
The estimated value of the PLUS will be lower than
the original issue price of the PLUS because costs associated with selling, structuring and hedging the PLUS are included in the
original issue price of the PLUS. 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 PLUS and the estimated cost of hedging our obligations under the PLUS. 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 PLUS 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 — The estimated value of the PLUS will be lower than the original issue price (price
to public) of the PLUS” in this document.
|
Secondary market prices of the PLUS:
|
For information about factors that will impact any secondary market prices of the PLUS, see “Risk Factors — Secondary market prices of the PLUS will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the PLUS will be partially paid back to you in connection with any repurchases of your PLUS 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 PLUS. The length of any such initial period reflects the structure of the PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the PLUS and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the PLUS for a limited time period.”
|
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Tax considerations:
|
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-1-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 PLUS.
Based on current market conditions, in the opinion
of our special tax counsel, your PLUS 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 PLUS should be treated as long-term capital gain or loss if you
hold your PLUS for more than a year, whether or not you are an initial purchaser of PLUS at the issue price. However, the IRS or
a court may not respect this treatment of the PLUS, in which case the timing and character of any income or loss on the PLUS 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 PLUS, possibly with retroactive effect. You
should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the PLUS, including possible
alternative treatments and the issues presented by this notice.
|
Supplemental use of proceeds and hedging:
|
The PLUS are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the PLUS. See “How the PLUS Work” in this document
for an illustration of the risk-return profile of the PLUS and “EURO STOXX 50® Index Overview” in this
document for a description of the market exposure provided by the PLUS.
The original issue price of the PLUS is equal to
the estimated value of the PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the
structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the PLUS, plus the estimated cost of hedging our obligations under the PLUS.
|
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 PLUS 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
PLUS.
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
PLUS 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.
We expect that delivery of the PLUS will be made against
payment for the PLUS on or about the original issue date set forth on the front cover of this document, which will be the third
business day following the pricing date of the PLUS (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 PLUS 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.
|
JPMorgan Chase Financial
Company LLC
PLUS Based
on the Value of the EURO STOXX 50® Index due December 3, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Where you can find more information:
|
You may revoke your offer to purchase the PLUS 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 PLUS prior to their issuance. In the event of any changes to the terms of the PLUS, 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
PLUS 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 PLUS 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, the accompanying product
supplement and the accompanying underlying supplement, as the PLUS 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 PLUS.
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. MS-1-I dated April
8, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320007233/crt-dp125067_424b2.pdf
• Underlying supplement no. 1-I dated April
8, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320007221/crt-dp125705_424b2.pdf
• Prospectus supplement and prospectus, each
dated April 8, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.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.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley.
|