Prospectus Filed Pursuant to Rule 424(b)(2) (424b2)
July 31 2020 - 2:46PM
Edgar (US Regulatory)
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
July 31, 2020
JPMorgan Chase Financial Company LLC
|
August 2020
|
Pricing Supplement
Registration Statement Nos. 333-236659
and 333-236659-01
Dated August , 2020
Filed pursuant to Rule 424(b)(2)
Structured
Investments
Opportunities in International Equities
Trigger Jump Securities Based on the Value of the
EURO STOXX 50® Index due September 6, 2022
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
The Trigger Jump Securities do not pay interest and do not guarantee
the return of any of the principal at maturity. At maturity, you will receive for each security that you hold an amount in cash
that will vary depending on the performance of the underlying index, as determined on the valuation date. If the final index value
is greater than or equal to the initial index value, you will receive for each security that you hold at maturity the greater of
a cash payment that reflects the index percent change and an upside payment in addition to the stated principal amount. If the
final index value is less than the initial index value by no more than 10%, you will receive the principal amount of your securities
at maturity. However, if the final index value is less than the initial index value by more than 10%, the payment due
at maturity will be less than the stated principal amount of the securities by an amount that is proportionate to the percentage
decrease in the final index value from the initial index value. This amount will be less than $9.00 and could be zero. Accordingly,
investors may lose their entire initial investment in the securities. The Trigger Jump Securities are for investors who are
willing to risk their principal and forgo current income in exchange for the upside payment feature that applies to a limited range
of the performance of the underlying index. The securities are unsecured and unsubordinated obligations of JPMorgan Chase Financial
Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan
Chase & Co., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program. Any payment on the securities
is subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co.,
as guarantor of the securities.
SUMMARY TERMS
|
|
Issuer:
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
|
Guarantor:
|
JPMorgan Chase & Co.
|
Underlying index:
|
EURO STOXX 50® Index (Bloomberg ticker: SX5E Index)
|
Aggregate principal amount:
|
$
|
Payment at maturity:
|
§ If the final index value is greater than or equal to the initial index value, you will receive at maturity a cash payment per $10 stated principal amount security equal to:
|
|
$10 + the greater of (a) $10 × index percent change and (b) the upside payment
|
|
§ If
the final index value is less than the initial index value but greater than or equal to the trigger level, you will
receive at maturity a cash payment per $10 stated principal amount security equal to:
$10
§ If
the final index value is less than the trigger level, you will receive at maturity a cash payment per $10 stated principal amount
security equal to:
|
|
$10 × index performance factor
|
|
This amount will be less than the stated principal amount of $10, and will represent a loss of more than 10%, and possibly all, of your principal amount.
|
Upside payment:
|
At least $1.115 per $10 stated principal amount security (at least 11.15% of the stated principal amount). The actual upside payment will be provided in the pricing supplement and will not be less than $1.115 per $10 stated principal amount security.
|
Trigger level:
|
, which is 90% of the initial index value
|
Index percent change:
|
(final index value – initial index value) / initial index value
|
Index performance factor:
|
final 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
|
Stated principal amount:
|
$10 per security
|
Issue price:
|
$10 per security (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:
|
August 31, 2022, 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:
|
September 6, 2022, 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:
|
48132L319 / US48132L3197
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
Commissions and issue price:
|
Price to public(1)
|
Fees and commissions
|
Proceeds to issuer
|
Per security
|
$10.00
|
$0.20(2)
|
$9.75
|
|
|
$0.05(3)
|
|
Total
|
$
|
$
|
$
|
|
(1)
|
See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the securities.
|
|
(2)
|
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley
Smith Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $0.20 per
$10 stated principal amount security. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement.
|
|
(3)
|
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each
$10 stated principal amount security
|
If the securities priced today and assuming an upside payment
equal to the minimum listed above, the estimated value of the securities would be approximately $9.659 per $10 stated principal
amount security. The estimated value of the securities on the pricing date will be provided in the pricing supplement and will
not be less than $9.30 per $10 stated principal amount security. See “Additional Information about the Securities —
The estimated value of the securities” in this document for additional information.
Investing in the securities involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-10
of the accompanying product supplement, “Risk Factors” beginning on page US-1 of the accompanying underlying supplement
and “Risk Factors” beginning on page 6 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The securities are not bank deposits, are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should read this document together with
the related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed via
the hyperlinks below. Please also see “Additional Information about the Securities” at the end of this document.
Product supplement no. 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
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
Investment Summary
The Trigger Jump Securities
The Trigger Jump Securities Based on the Value of the EURO STOXX
50® Index due September 6, 2022 (the “securities”) can be used:
|
§
|
As an alternative to direct exposure to the underlying index that provides a potential return equal to the greater of the index
percent change and at least 11.15% (as reflected in the upside payment of at least $1.115 per $10 stated principal amount security)
if the final index value is greater than or equal to the initial index value. The actual upside payment will be provided in the
pricing supplement and will not be less than $1.115 per $10 stated principal amount security.
|
|
§
|
To enhance returns and potentially outperform the underlying index in a moderately bullish scenario.
|
|
§
|
To obtain limited market downside protection against the loss of principal in the event of a decline of the underlying index
as of the valuation date, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., but only if the final
index value is greater than or equal to the trigger level.
|
If the final index value is less than
the trigger level, the securities are exposed on a 1-to-1 basis to any percentage decline of the final index value from the initial
index value. Accordingly, investors may lose their entire initial investment in the securities.
Maturity:
|
Approximately 24.5 months
|
Upside payment:
|
At least $1.115 per $10 stated principal amount security (at least 11.15% of the stated principal amount) (to be provided in the pricing supplement)
|
Trigger level:
|
90% of the initial index value
|
Minimum payment at maturity:
|
None. Investors may lose their entire initial investment in the securities
|
Interest:
|
None
|
Supplemental Terms of the Securities
For purposes of the accompanying
product supplement, the underlying index is an “Index.”
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
Key Investment Rationale
This investment offers a potential return at maturity based
on full participation in the positive performance of the underlying index, subject to a contingent minimum return, if the final
index value is greater than or equal to the initial index value, and provides limited market downside protection against a decline
in the underlying index of up to 10%, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. However, if
the final index value is less than 90% of the initial index value, which we refer to as the trigger level, the payment at maturity
will be less than $9 and could be zero.
Upside Scenario
|
If the final index value is greater than or equal to the initial index value, the payment at maturity for each security will be equal to $10.00 plus the greater of (a) $10 × the index percent change and (b) the upside payment of at least $1.115 per $10 stated principal amount security. The actual upside payment will be provided in the pricing supplement and will not be less than $1.115 per $10 stated principal amount security.
|
Par Scenario
|
If the final index value is less than the initial index value but is greater than or equal to the trigger level, which means that the underlying index has depreciated by no more than 10% from the initial index value, the payment at maturity will be $10 per $10 stated principal amount security.
|
Downside Scenario
|
If the final index value is less than the trigger level, which means that the underlying index has depreciated by more than 10% from the initial index value, you will lose 1% for every 1% decline of the level of the underlying index from the initial index value to the final index value (e.g., a 50% depreciation of the underlying index will result in the payment at maturity that is less than the stated principal amount by 50%, or $5 per $10 stated principal amount security).
|
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
How the Trigger Jump Securities Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the securities based on the following terms:
Stated principal amount:
|
$10 per stated principal amount security
|
Hypothetical upside payment:
|
$1.115 (11.15% of the stated principal amount) per $10 stated principal amount security (which represents the lowest hypothetical upside payment)*
|
Trigger level:
|
90% of the initial index value (-10% percent change in the final index value compared with the initial index value)
|
*The actual upside payment will be provided in
the pricing supplement and will not be less than $1.115 per $10 stated principal amount security.
Trigger Jump Securities Payoff Diagram
|
|
How it works
|
§
|
Upside Scenario: If the final index value is greater than or equal to the
initial index value, the payment at maturity is equal to the $10 stated principal amount plus the greater of (a) $10 ×
the index percent change and (b) the upside payment. Under the hypothetical terms of the securities, in the payoff diagram, an
investor would receive the payment at maturity of $11.115 per security if the index percent change is no more than 11.15% and would
receive $10 plus an amount that represents a 1-to-1 participation in the appreciation of the underlying index if the index
percent change is greater than 11.15%.
|
|
o
|
For example, if the underlying index appreciates 5%, investors will receive a 11.15% return, or $11.115 per $10 stated principal
amount security.
|
|
o
|
For example, if the underlying index appreciates 60%, investors will receive a 60% return, or $16.00 per $10 stated principal
amount security.
|
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
|
§
|
Par Scenario: If the final stock price is less than the initial stock price,
but is greater than or equal to the trigger level, the investor would receive the $10 stated principal amount per security.
|
o For
example, if the underlying stock depreciates 5%, investors will receive the $10 stated principal amount.
|
§
|
Downside Scenario: If the final index value is less than the trigger level,
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.
|
|
o
|
For example, if the final index value declines by 50% from the initial index value, investors will lose 50% of their principal
and the payment at maturity will be $5 per $10 stated principal amount security (50% of the stated principal amount).
|
The hypothetical returns and hypothetical
payments on the securities shown above apply only if you hold the securities for their entire term. These hypotheticals
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were
included, the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
Risk Factors
The
following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion
of these and other risks, you should read the sections entitled “Risk Factors” of the accompanying prospectus supplement,
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 securities.
|
§
|
The securities do not pay interest or guarantee the return of any
principal and your investment in the securities may result in a loss. The terms of the securities
differ from those of ordinary debt securities in that the securities
do not pay interest or guarantee the payment of any stated principal amount at maturity. If the final index value is less than
the trigger level, you will receive for each security that you hold a payment at maturity that is less than the $10 stated principal
amount of each security by an amount proportionate
to the decline in the closing level of the underlying index on the valuation date from the initial index value. There is no minimum
payment at maturity on the securities and, accordingly, you could lose your entire principal amount.
|
|
§
|
Your ability to receive the upside payment may terminate on the
valuation date. If the final index value is less than the initial index value, you will not
be entitled to receive the upside payment at maturity. Under these circumstances, you may lose some or all of your principal amount
at maturity.
|
|
§
|
The securities are subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit ratings or
credit spreads may adversely affect the market value of the securities. Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan
Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined by the
market for taking that credit risk is likely to adversely affect the market value of the securities. If we and JPMorgan Chase &
Co. were to default on our payment obligations, you may not receive any amounts owed to you under the securities and you could
lose your entire investment.
|
|
§
|
As a finance subsidiary, JPMorgan Financial has no independent operations
and has limited assets. As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond
the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements.
As a result, we are dependent upon payments from our affiliates to meet our obligations under the securities. If these affiliates
do not make payments to us and we fail to make payments on the securities, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co.
|
|
§
|
Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the securities and
other affiliates of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent
and as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used
to determine the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value
of the securities. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
The calculation agent will determine the initial index value, the trigger level 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 securities and the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in
connection with the securities could result in substantial returns for us or our affiliates while the value of the securities declines.
Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement
for additional information about these risks.
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
|
§
|
The benefit provided by the trigger level may terminate on the valuation date. If the final index value is less than
the trigger level, the benefit provided by the trigger level will terminate and you will be fully exposed to any depreciation of
the underlying index.
|
|
§
|
The estimated value of the securities will be lower than the original
issue price (price to public) of the securities. The estimated value of the securities is
only an estimate determined by reference to several factors. The original issue price of the securities will exceed the estimated
value of the securities because costs associated with selling, structuring and hedging the securities are included in the original
issue price of the securities. These costs include the selling commissions, the structuring fee, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated
cost of hedging our obligations under the securities. See “Additional Information about the Securities — The estimated
value of the securities” in this document.
|
|
§
|
The estimated value of the securities does not represent future
values of the securities and may differ from others’ estimates. The estimated value
of the securities is determined by reference to internal pricing models of our affiliates. This estimated value of the securities
is based on market conditions and other relevant factors existing at the time of pricing and assumptions about market parameters,
which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could
provide valuations for the securities that are greater than or less than the estimated value of the securities. In addition, market
conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates,
the value of the securities could change significantly based on, among other things, changes in market conditions, our or JPMorgan
Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any,
at which JPMS would be willing to buy securities from you in secondary market transactions. See “Additional Information about
the Securities — The estimated value of the securities” in this document.
|
|
§
|
The estimated value of the securities is derived by reference to an internal funding rate. The
internal funding rate used in the determination of the estimated value of the securities may differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference
may be based on, among other things, our and our affiliates’ view of the funding value of the securities as well as the higher
issuance, operational and ongoing liability management costs of the securities in comparison to those costs for the conventional
fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions,
which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the securities.
The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities
and any secondary market prices of the securities. See “Additional Information about the Securities — The estimated
value of the securities” in this document.
|
|
§
|
The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher
than the then-current estimated value of the securities for a limited time period. We generally expect that some of the costs
included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of
your securities by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling
commissions, the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our
internal secondary market funding rates for structured debt issuances. See “Additional Information about the Securities —
Secondary market prices of the securities” in this document for additional information relating to this initial period. Accordingly,
the estimated value of your securities during this initial period may be lower than the value of the securities as published by
JPMS (and which may be shown on your customer account statements).
|
|
§
|
Secondary market prices of the securities will likely be lower than
the original issue price of the securities. Any secondary market prices of the securities
will likely be lower than the original issue price of the securities because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices
may exclude selling commissions, the structuring fee, projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the securities. As a result, the price, if any, at which JPMS will be willing to buy securities
from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior
to the maturity date could result in a substantial loss to you. See the immediately following risk factor for information about
additional factors that will impact any secondary market prices of the securities.
|
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
The
securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities
to maturity. See “— Secondary trading may be limited” below.
|
§
|
Secondary market prices of the securities will be impacted by many
economic and market factors. The secondary market price of the securities during their
term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, structuring fee, projected hedging profits, if any, estimated hedging costs and the closing level of the underlying
index, including:
|
|
o
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
o
|
customary bid-ask spreads for similarly sized trades;
|
|
o
|
our internal secondary market funding rates for structured debt issuances;
|
|
o
|
the actual and expected volatility of the underlying index;
|
|
o
|
the time to maturity of the securities;
|
|
o
|
the dividend rates on the equity securities included in the underlying index;
|
|
o
|
interest and yield rates in the market generally;
|
|
o
|
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
|
|
o
|
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 securities, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing
to purchase your securities in the secondary market.
|
§
|
Investing in the securities is not equivalent to investing in the
underlying index. Investing in the securities is not equivalent to investing in the underlying
index or its component stocks. Investors in the securities 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 securities. 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 securities 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 securities are not directly exposed to fluctuations in foreign exchange rates. The
value of your securities 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 securities, you will not receive any additional payment or incur any reduction in any payment on the securities.
|
|
§
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the securities.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty
|
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
with respect to the securities
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 securities at maturity, if any. Any of these hedging or trading activities
on or prior to the pricing date could potentially affect the initial index value and the trigger level 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 securities or so that you do not suffer a loss on your initial investment in the securities. Additionally, these hedging
or trading activities during the term of the securities, including on the valuation date, could adversely affect the final index
value and, accordingly, the payment to you at maturity, if any. It is possible that these hedging or trading activities could result
in substantial returns for us or our affiliates while the value of the securities declines.
|
§
|
Secondary trading may be limited. The
securities will not be listed on a securities
exchange. There may be little or no secondary market for the securities.
Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities
easily. JPMS may act as a market maker for
the securities, but is not required to do so.
Because we do not expect that other market makers will participate significantly in the secondary market for the securities,
the price at which you may be able to trade your securities
is likely to depend on the price, if any, at which JPMS
is willing to buy the securities. If at any
time JPMS or another agent does not act as
a market maker, it is likely that there would be little or no secondary market for the securities.
|
|
§
|
The final terms and valuation of the securities will be provided in the pricing supplement. The final terms of the securities
will be provided in the pricing supplement. In particular, each of the estimated value of the securities and the upside payment
will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this document.
Accordingly, you should consider your potential investment in the securities based on the minimums for the estimated value of the
securities and the upside payment.
|
|
§
|
The tax consequences of an investment in the securities are uncertain. There is no direct legal authority as to the
proper U.S. federal income tax characterization of the securities, and we do not intend to request a ruling from the IRS. The IRS
might not accept, and a court might not uphold, the treatment of the securities described in “Additional Information about
the Securities ― Additional Provisions ― Tax considerations” in this document and in “Material U.S. Federal
Income Tax Consequences” in the accompanying product supplement. If the IRS were successful in asserting an alternative treatment
for the securities, the timing and character of any income or loss on the securities could differ materially and adversely from
our description herein. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules
and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should review
carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including possible
alternative treatments and the issues presented by this notice.
|
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
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
30, 2020:
Bloomberg Ticker Symbol:
|
SX5E
|
Current Closing Level:
|
3,208.20
|
52 Weeks Ago (on 7/30/2019):
|
3,462.85
|
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 30, 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 30, 2020 was 3,208.20. 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
|
3,545.72
|
3,589.91
|
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 30, 2020)
|
3,405.35
|
3,208.20
|
3,208.20
|
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
EURO STOXX 50®
Index Historical Performance – Daily Closing Levels*
January 2, 2015 to July
30, 2020
|
|
*The dotted line in the graph indicates the hypothetical
trigger level, equal to 90% of the closing level of the underlying index on July 30, 2020. The actual trigger level will be based
on the closing level of the underlying index on the pricing date.
|
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.
Additional Information about the Securities
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 securities will be postponed to the third business day following the valuation date as postponed.
|
Minimum ticketing size:
|
$1,000 / 100 securities
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation agent:
|
JPMS
|
The estimated value of the securities:
|
The estimated value of the securities set forth on the cover of this document is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum price at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value of the securities may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of the funding value of the securities as well as the higher issuance, operational and ongoing liability management costs of the securities in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
|
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
|
market inputs and assumptions, which may prove to be
incorrect, and is intended to approximate the prevailing market replacement funding rate for the securities. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities and any secondary
market prices of the securities. For additional information, see “Risk Factors — The estimated value of the securities
is derived by reference to an internal funding rate” in this document. The value of the derivative or derivatives underlying
the economic terms of the securities is derived from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, the estimated value of the securities on the pricing date is based on market conditions
and other relevant factors and assumptions existing at that time. See “Risk Factors — The estimated value of the securities
does not represent future values of the securities and may differ from others’ estimates” in this document.
The estimated value of the securities will be lower than
the original issue price of the securities because costs associated with selling, structuring and hedging the securities are included
in the original issue price of the securities. These costs include the selling commissions paid to JPMS and other affiliated or
unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities.
Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result
in a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging
our obligations under the securities may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates
will retain any remaining hedging profits. See “Risk Factors — The estimated value of the securities will be lower
than the original issue price (price to public) of the securities” in this document.
|
Secondary market prices of the securities:
|
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Secondary market prices of the securities will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.”
|
Tax considerations:
|
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 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 securities.
Based on current market conditions, in the opinion
of our special tax counsel, your securities should be treated as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax
Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, the gain or loss on your securities should be treated as long-term capital
gain or loss if you hold your securities for more than a year, whether or not you are an initial purchaser of securities at the
issue price. However, the IRS or a court may not respect this treatment of the securities, in which case the timing and character
of any income or loss on the securities could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and
|
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
|
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the issues presented by this notice.
|
Supplemental use of proceeds and hedging:
|
The securities are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the securities. See “How the Trigger Jump
Securities Work” in this document for an illustration of the risk-return profile of the securities and “EURO STOXX
50® Index Overview” in this document for a description of the market exposure provided by the securities.
The original issue price of the securities is equal
to the estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers
and the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities.
|
Benefit plan investor considerations:
|
See “Benefit Plan Investor Considerations” in the accompanying product supplement.
|
Supplemental plan of distribution:
|
Subject to regulatory constraints, JPMS intends to
use its reasonable efforts to offer to purchase the securities in the secondary market, but is not required to do so. JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management.
In addition, Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each
security.
We or our affiliate may enter into swap agreements
or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the
securities and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge
transactions. See “— Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging”
in the accompanying product supplement.
We expect that delivery of the securities will be made against
payment for the securities 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 securities (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
securities 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.
|
Where you can find more information:
|
You may revoke your offer to purchase the securities
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the securities prior to their issuance. In
the event of any changes to the terms of the securities, we will notify you and you will
be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we
may reject your offer to purchase.
You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these
securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This document, together with the documents listed below, contains
the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
stand-alone fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying product
supplement and the accompanying underlying supplement, as the securities involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the securities.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
• Product supplement
no. 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
|
JPMorgan Chase Financial Company LLC
|
Trigger Jump Securities Based on the Value of the EURO STOXX 50® Index due
September 6, 2022
|
Principal at Risk Securities
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024