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.
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-236659 and
333-236659-01
Subject to Completion. Dated January
22, 2021.
Pricing Supplement to the
Prospectus and Prospectus Supplement, each dated April 8, 2020, the
Underlying Supplement No. 1-II dated November 4, 2020 and the
Product Supplement No. 4-II dated November 4, 2020
JPMorgan
Chase Financial Company LLC
Medium-Term
Notes, Series A
$
Capped Buffered Enhanced Participation Equity Notes due 2022
(Linked to the Russell 1000® Value Index)
Fully and Unconditionally Guaranteed by
JPMorgan Chase & Co.
The notes will not bear interest. The amount that you
will be paid on your notes on the stated maturity date (March 2, 2022, subject to adjustment) is based on the performance of the
Russell 1000® Value Index (which we refer to as the underlier) as measured from and including the trade date (on
or about January 27, 2021) to and including the determination date (February 28, 2022, subject to adjustment). If the final underlier
level on the determination date is greater than the initial underlier level (set on the trade date), the return on your notes will
be positive, subject to the maximum settlement amount (expected to be between $1,095.70 and $1,112.35 for each $1,000 principal
amount note). If the final underlier level declines by up to 10.00% from the initial underlier level, you will receive the principal
amount of your notes. If the final underlier level declines by more than 10.00% from the initial underlier level, the return on
your notes will be negative. You could lose your entire investment in the notes. Any payment on the notes is subject to the
credit risk of JPMorgan Chase Financial Company LLC (“JPMorgan Financial”), as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
To determine your payment at maturity, we will calculate the
underlier return, which is the percentage increase or decrease in the final underlier level from the initial underlier level. On
the stated maturity date, for each $1,000 principal amount note, you will receive an amount in cash equal to:
|
·
|
if the underlier return is positive (the final underlier level is greater than the initial underlier level),
the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) 1.50 times (c) the underlier
return, subject to the maximum settlement amount;
|
|
·
|
if the underlier return is zero or negative but not below -10.00% (the final underlier level is equal
to or less than the initial underlier level but not by more than 10.00%), $1,000; or
|
|
·
|
if the underlier return is negative and is below -10.00% (the final underlier level is less than the initial
underlier level by more than 10.00%), the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times
(b) approximately 1.1111 times (c) the sum of the underlier return plus 10.00%. You will receive less than
$1,000.
|
Your investment in the notes involves certain risks,
including, among other things, our credit risk. See “Risk Factors” on page S-2 of the accompanying prospectus supplement,
“Risk Factors” on page PS-12 of the accompanying product supplement, “Risk Factors” on page US-3 of the
accompanying underlying supplement and “Selected Risk Factors” on page PS-12 of this pricing supplement.
The foregoing is only a brief summary of the terms of your
notes. You should read the additional disclosure provided herein so that you may better understand the terms and risks of your
investment.
If the notes priced today and assuming a maximum settlement
amount equal to the middle of the range listed above, the estimated value of the notes would be approximately $979.70 per $1,000
principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the final pricing
supplement and will not be less than $970.70 per $1,000 principal amount note. See “Summary Information — The
Estimated Value of the Notes” on page PS-7 of this pricing supplement for additional information about the estimated value
of the notes and “Summary Information — Secondary Market Prices of the Notes” on page PS-8 of this pricing supplement
for information about secondary market prices of the notes.
Original issue date (settlement date): on or about February
3, 2021
Original issue price: 100.00% of the principal amount
Underwriting commission/discount: up to 1.09% of the principal
amount*
Net proceeds to the issuer: %
of the principal amount
See “Summary Information — Supplemental Use of Proceeds”
on page PS-8 of this pricing supplement for information about the components of the original issue price of the notes.
*J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to an unaffiliated dealer. In no event
will these selling commissions exceed 1.09% of the principal amount. See “Plan of Distribution (Conflicts of Interest)”
on page PS-89 of the accompanying product supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this pricing
supplement, the accompanying product supplement, the accompanying underlying supplement, the accompanying prospectus supplement
or the accompanying prospectus. Any representation to the contrary is a criminal offense.
The notes are not bank deposits, are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing Supplement dated January ,
2021
The original issue price, fees and commissions and net proceeds
listed above relate to the notes we sell initially. We may decide to sell additional notes after the date of this pricing supplement,
at issue prices and with fees and commission and net proceeds that differ from the amounts set forth above. The return (whether
positive or negative) on your investment in notes will depend in part on the price you pay for your notes.
We may use this pricing supplement in the initial sale of
the notes. In addition, JPMS or any other affiliate of ours may use this pricing supplement in a market-making transaction in
a note after its initial sale. Unless JPMS or its agents inform the purchaser otherwise in the confirmation of sale, this
pricing supplement is being used in a market-making transaction.
SUMMARY
INFORMATION
You may revoke your offer to purchase the notes at any time
prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
You should read this pricing supplement together with the
accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of
which these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and
supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative
pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational
materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement,
as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax,
accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
● Product
supplement no. 4-II dated November 4, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320021467/crt_dp139322-424b2.pdf
● Underlying
supplement no. 1-II dated November 4, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320021471/crt_dp139381-424b2.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 pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Underlier: the Russell 1000® Value Index
(Bloomberg symbol, “RLV Index”), as published by FTSE Russell. The accompanying product supplement refers to the underlier
as the “Index.”
Principal amount: each note will have a principal amount
of $1,000; $ in the aggregate for all the offered notes; the aggregate
principal amount of the offered notes may be increased if the issuer, at its sole option, decides to sell an additional amount
of the offered notes on a date subsequent to the date of this pricing supplement
Purchase at amount other than principal amount: the
amount we will pay you at the stated maturity date for your notes will not be adjusted based on the price you pay for your notes,
so if you acquire notes at a premium (or discount) to the principal amount and hold them to the stated maturity date, it could
affect your investment in a number of ways. The return on your investment in the notes will be lower (or
higher) than it would have been had you purchased the notes
at the principal amount. Also, the stated buffer level would not offer the same benefit to your investment as would be the case
if you had purchased the notes at the principal amount. Additionally, the cap level would be triggered at a lower (or higher) percentage
return than indicated below, relative to your initial investment. See “Selected Risk Factors — Risks Relating to the
Notes Generally — If You Purchase Your Notes at a Premium to the Principal Amount, the Return on Your Investment Will Be
Lower Than the Return on Notes Purchased at the Principal Amount and the Impact of Certain Key Terms of the Notes Will Be Negatively
Affected” on page PS-13 of this pricing supplement.
Payment on the stated maturity date: for each $1,000
principal amount note, we will pay you on the stated maturity date an amount in cash equal to:
|
·
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if the final underlier level is greater than or equal to the cap level, the maximum settlement amount;
|
|
·
|
if the final underlier level is greater than the initial underlier level but less than the cap level, the sum
of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the upside participation rate times (c)
the underlier return;
|
|
·
|
if the final underlier level is equal to or less than the initial underlier level but greater than or
equal to the buffer level, $1,000; or
|
|
·
|
if the final underlier level is less than the buffer level, the sum of (i) $1,000 plus (ii) the product
of (a) $1,000 times (b) the buffer rate times (c) the sum of the underlier return plus the buffer amount.
You will receive less than $1,000.
|
Initial underlier level (to be set on the trade date and
will be the closing level of the underlier on the trade date): .
The accompanying product supplement refers to the initial underlier level as the “Initial Value.”
Final underlier level: the closing level of the underlier
on the determination date. In certain circumstances, the closing level of the underlier will be based on the alternative calculation
of the underlier 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)” on page PS-46 of the accompanying
product supplement or “The Underlyings — Indices — Discontinuation of an Index; Alteration of Method of Calculation”
on page PS-70 of the accompanying product supplement. The accompanying product supplement refers to the final underlier level as
the “Final Value.”
Underlier return: the quotient of (i) the final
underlier level minus the initial underlier level divided by (ii) the initial underlier level, expressed as a percentage
Upside participation rate: 1.50
Cap level (to be provided in the final pricing supplement):
expected to be between 106.38% and 107.49% of the initial underlier level
Maximum settlement amount (to be provided in the final
pricing supplement): expected to be between $1,095.70 and $1,112.35
Buffer level: 90.00% of the initial underlier level
Buffer amount: 10.00%
Buffer rate: the quotient of the initial underlier
level divided by the buffer level, which equals approximately 1.1111
Trade date: on or about January 27, 2021
Original issue date (settlement date): on or about
February 3, 2021
Determination date: February 28, 2022, subject to postponement
in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination
Date —
Notes Linked to a Single Underlying — Notes Linked
to a Single Underlying (Other Than a Commodity Index)” on page PS-46 of the accompanying product supplement
Stated maturity date: March 2, 2022, subject to postponement
in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Payment
Date” on page PS-46 of the accompanying product supplement. The accompanying product supplement refers to the stated maturity
date as the “maturity date.”
No interest: The offered notes will not bear interest.
No listing: The offered notes will not be listed on
any securities exchange or interdealer quotation system.
No redemption: The offered notes will not be subject
to redemption right or price dependent redemption right.
Closing level: as described under “The Underlyings
— Indices — Level of an Index” on page PS-67 of the accompanying product supplement
Business day: as described under “General Terms
of Notes — Postponement of a Payment Date” on page PS-46 of the accompanying product supplement
Trading day: as described under “General Terms
of Notes — Postponement of a Determination Date — Additional Defined Terms” on page PS-49 of the accompanying
product supplement
Use of proceeds and hedging: as described under “Use
of Proceeds and Hedging” on page PS-45 of the accompanying product supplement, as supplemented by “ — Supplemental
Use of Proceeds” below
Tax treatment: You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. The following
discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk &
Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion of our
special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S.
federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you
hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS
or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially
and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules
and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your
tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by this notice.
Section 871(m) of the
Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless
an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding
regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury
regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1,
2023 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, we expect that Section
871(m) will not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may
disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the
potential application of Section 871(m) will be provided in the pricing supplement for the notes. You should consult your tax adviser
regarding the potential application of Section 871(m) to the notes.
ERISA: as described under “Benefit Plan Investor
Considerations” on page PS-91 of the accompanying product supplement
Supplemental plan of distribution: as described under
“Plan of Distribution (Conflicts of Interest)” on page PS-89 of the accompanying product supplement; we estimate that
our share of the total offering expenses, excluding underwriting discounts and commissions, will be approximately $ .
We expect to agree to sell to JPMS, and JPMS expects to agree to purchase from us, the aggregate principal amount of the notes
specified on the front cover of this pricing supplement. JPMS proposes initially to offer the notes to the public at the original
issue price set forth on the cover page of this pricing supplement, and to an unaffiliated dealer at that price and to pay that
dealer a selling commission not in excess of 1.09% of the principal amount.
We expect to deliver the notes against payment therefor in
New York, New York on or about February 3, 2021, which is the fifth scheduled business day following the date of this pricing supplement
and of the pricing of the notes. 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 any such trade expressly agree otherwise. Accordingly,
purchasers who wish to trade notes on any date prior to two business days before delivery will be required, by virtue of the fact
that the notes are initially expected to settle in five business days (T + 5), to specify alternative settlement arrangements to
prevent a failed settlement.
Conflicts of interest: JPMS has a “conflict of
interest” within the meaning of FINRA Rule 5121 in any offering of the notes in which it participates because JPMorgan Chase
& Co. owns, directly or indirectly, all of the outstanding equity securities of JPMS, because JPMS and we are under common
control by JPMorgan Chase & Co. and because the net proceeds received from the sale of the notes will be used, in part, by
JPMS or its affiliates in connection with hedging our obligations under the notes. The offering of the notes will comply with the
requirements of Rule 5121 of Financial Industry Regulatory Authority, Inc. (“FINRA”) regarding a FINRA member firm’s
underwriting of securities of an affiliate. In accordance with FINRA Rule 5121, neither JPMS nor any other affiliated agent of
ours may make sales in the offering of the notes to any of its discretionary accounts without the specific written approval of
the customer.
Calculation agent: JPMS
CUSIP no.: 48132RA59
ISIN no.: US48132RA595
FDIC: the notes are not bank deposits and are not insured
by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a
bank.
Supplemental Terms of the Notes
For purposes of the notes offered by this pricing supplement,
all references to each of the following terms used in the accompanying product supplement will be deemed to refer to the corresponding
term used in this pricing supplement, as set forth in the table below:
Product Supplement Term
|
Pricing Supplement Term
|
Index
|
underlier
|
Initial Value
|
initial underlier level
|
Final Value
|
final underlier level
|
pricing date
|
trade date
|
maturity date
|
stated maturity date
|
term sheet
|
preliminary pricing supplement
|
In addition, the following terms used in this pricing supplement
are not defined in the accompanying product supplement: underlier return, upside participation rate, maximum settlement amount,
cap level, buffer level, buffer amount and buffer rate. Accordingly, please refer to “Key Terms” on page PS-3 of this
pricing supplement for the definitions of these terms.
The Estimated Value of the Notes
The estimated value of the notes when the terms of the notes
are set, which we refer to as the estimated value of the notes, set forth on the cover of this pricing supplement is equal to the
sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the notes,
valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of
the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to buy your notes
in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value
of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued
by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the
notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” on page PS-15 of this pricing supplement. The value of
the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our affiliates.
These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other
inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors,
as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined
when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at that time.
See “Selected Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates”
on page PS-14 of this pricing supplement.
The estimated value of the notes will be lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and the unaffiliated dealer, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces
beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits realized in hedging our obligations under the notes, if any, may be allowed to other affiliated or
unaffiliated dealers, and we or one or more of our affiliates
will retain any remaining hedging profits. A fee will also be paid to SIMON Markets LLC, an electronic platform affiliated with
Goldman Sachs & Co. LLC, who is acting as a dealer in connection with the distribution of the notes. See “Selected Risk
Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the
Notes Will Be Lower Than the Original Issue Price of the Notes” on page PS-14 of this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” on
page PS-16 of this pricing supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over the period from the trade date through April 27, 2021. The length of any such initial period reflects the
structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated
costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Factors
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published
by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the
Notes for a Limited Time Period” on page PS-15 of this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Examples” on page
PS-9 of this pricing supplement for an illustration of the risk-return profile of the notes and “The Underlier” on
page PS-17 of this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and the unaffiliated dealer, plus (minus) the projected profits (losses)
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the estimated
cost of hedging our obligations under the notes.
HYPOTHETICAL EXAMPLES
The following table and chart are provided for purposes of
illustration only. They should not be taken as an indication or prediction of future investment results and are intended merely
to illustrate the impact that the various hypothetical underlier levels on the determination date could have on the payment at
maturity assuming all other variables remain constant.
The examples below are based on a range of final underlier
levels that are entirely hypothetical; no one can predict what the underlier level will be on any day throughout the term of your
notes, and no one can predict what the final underlier level will be on the determination date. The underlier has been highly volatile
in the past — meaning that the underlier level has changed considerably in relatively short periods — and its performance
cannot be predicted for any future period.
The information in the following examples reflects hypothetical
rates of return on the offered notes assuming that they are purchased on the original issue date at the principal amount and held
to the stated maturity date. If you sell your notes in a secondary market prior to the stated maturity date, your return will depend
upon the market value of your notes at the time of sale, which may be affected by a number of factors that are not reflected in
the table below, such as interest rates, the volatility of the underlier and our and JPMorgan Chase & Co.’s creditworthiness.
In addition, the estimated value of the notes will be less than the original issue price. For more information on the estimated
value of the notes, see “Summary Information — The Estimated Value of the Notes” on page PS-7 of this pricing
supplement. The information in the table also reflects the key terms and assumptions in the box below.
Key Terms and Assumptions
|
Principal amount
|
$1,000
|
Upside participation rate
|
1.50
|
Cap level
|
106.38% of the initial underlier level
|
Maximum settlement amount
|
$1,095.70
|
Buffer level
|
90.00% of the initial underlier level
|
Buffer rate
|
approximately 1.1111
|
Buffer amount
|
10.00%
|
Neither a market disruption event nor a non-trading day occurs
on the originally scheduled determination date
During the term of the notes, the underlier is not discontinued,
the method of calculating the underlier does not change in any material respect and the underlier is not modified so that its level
does not, in the opinion of the calculation agent, fairly represent the level of the underlier had those modifications not been
made
Notes purchased on original issue date at the principal amount
and held to the stated maturity date
|
Moreover, we have not yet set the initial underlier level
that will serve as the baseline for determining the underlier return and the amount that we will pay on your notes, if any, at
maturity. We will not do so until the trade date. As a result, the actual initial underlier level may differ substantially from
the underlier level prior to the trade date.
For these reasons, the actual performance of the underlier
over the term of your notes, as well as the amount payable at maturity, if any, may bear little relation to the hypothetical examples
shown below or to the historical underlier levels shown elsewhere in this pricing supplement. For information about the historical
levels of the underlier during recent periods, see “The Underlier — Historical Closing Levels of the Underlier”
below. Before investing in the offered notes, you should consult publicly available information to determine the levels of the
underlier between the date of this pricing supplement and the date of your purchase of the offered notes.
Also, the hypothetical examples shown below do not take into
account the effects of applicable taxes. Because of the U.S. tax treatment applicable to your notes, tax liabilities could affect
the after-tax rate of return on your notes to a comparatively greater extent than the after-tax return on the underlier stocks.
The levels in the left column of the table below represent hypothetical
final underlier levels and are expressed as percentages of the initial underlier level. The amounts in the right column represent
the hypothetical payments at maturity, based on the corresponding hypothetical final underlier level (expressed as a percentage
of the initial underlier level), and are expressed as percentages of the principal amount of a note (rounded to the nearest one-thousandth
of a percent). Thus, a hypothetical payment at maturity of 100.000% means that the value of the cash payment that we would deliver
for each $1,000 of the outstanding principal amount of the offered notes on the stated maturity date would equal 100.000% of the
principal amount of a note, based on the corresponding hypothetical final underlier level (expressed as a percentage of the initial
underlier level) and the assumptions noted above.
Hypothetical Final Underlier Level
(as Percentage of Initial Underlier Level)
|
Hypothetical Payment at Maturity
(as Percentage of Principal Amount)
|
150.000%
|
109.570%
|
140.000%
|
109.570%
|
130.000%
|
109.570%
|
120.000%
|
109.570%
|
110.000%
|
109.570%
|
106.380%
|
109.570%
|
105.000%
|
107.500%
|
102.500%
|
103.750%
|
100.000%
|
100.000%
|
95.000%
|
100.000%
|
90.000%
|
100.000%
|
80.000%
|
88.889%
|
75.000%
|
83.333%
|
50.000%
|
55.556%
|
25.000%
|
27.778%
|
0.000%
|
0.000%
|
If, for example, the final underlier level were determined
to be 25.000% of the initial underlier level, the payment that we would deliver on your notes at maturity would be approximately
27.778% of the principal amount of your notes, as shown in the table above. As a result, if you purchased your notes on the original
issue date at the principal amount and held them to the stated maturity date, you would lose approximately 72.222% of your investment
(if you purchased your notes at a premium to principal amount you would lose a correspondingly higher percentage of your investment).
In addition, if the final underlier level were determined to be 150.000% of the initial underlier level, the payment that we would
deliver on your notes at maturity would be capped at the maximum settlement amount (expressed as a percentage of the principal
amount), or 109.570% of each $1,000 principal amount note, as shown in the table above. As a result, if you held your notes to
the stated maturity date, you would not benefit from any increase in the final underlier level over 106.380% of the initial underlier
level.
The following chart also shows a graphical illustration of
the hypothetical payments at maturity (expressed as a percentage of the principal amount of your notes) that we would pay on your
notes on the stated maturity date, if the final underlier level (expressed as a percentage of the initial underlier level) were
any of the hypothetical levels shown on the horizontal axis. The chart shows that any hypothetical final underlier level (expressed
as a percentage of the initial underlier level) of less than 90.000% (the section left of the 90.000% marker on the horizontal
axis) would result in a hypothetical payment at maturity of less than 100.000% of the principal amount of your notes (the section
below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the holder of the notes. The chart
also shows that any hypothetical final underlier level (expressed as a percentage of the initial underlier level) of greater than
or equal to 106.380% (the section right of the 106.380% marker on the horizontal axis) would result in a capped return on your
investment.
The payments at maturity shown above are entirely hypothetical;
they are based on closing levels for the underlier that may not be achieved on the determination date and on assumptions that may
prove to be erroneous. The actual market value of your notes on the stated maturity date or at any other time, including any time
you may wish to sell your notes, may bear little relation to the hypothetical payments at maturity shown above, and these amounts
should not be viewed as an indication of the financial return on an investment in the offered notes. The hypothetical payments
at maturity on notes held to the stated maturity date in the examples above assume you purchased your notes at their principal
amount and have not been adjusted to reflect the actual price you pay for your notes. The return on your investment (whether positive
or negative) in your notes will be affected by the amount you pay for your notes. If you purchase your notes for a price other
than the principal amount, the return on your investment will differ from, and may be significantly lower than, the hypothetical
returns suggested by the above examples. Please read “Selected Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market
Factors” on page PS-16 of this pricing supplement.
The hypothetical returns on the notes shown above apply only
if you hold the notes 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 shown above would likely be
lower.
We cannot predict the actual final underlier
level or what the market value of your notes will be on any particular day, nor can we predict the relationship between the underlier
level and the market value of your notes at any time prior to the stated maturity date. The actual amount that you will receive,
if any, at maturity and the rate of return on the offered notes will depend on the actual initial underlier level, cap level and
maximum settlement amount we will provide in the final pricing supplement and the actual final underlier level determined by the
calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be
inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any, on the stated maturity date may be very
different from the information reflected in the table and chart above.
Selected
Risk Factors
An investment in your notes is
subject to the risks described below, as well as the risks described under the “Risk Factors” sections of the accompanying
prospectus supplement, the accompanying product supplement and the accompanying underlying supplement. Your notes are a riskier
investment than ordinary debt securities. Also, your notes are not equivalent to investing directly in the underlier stocks, i.e.,
the stocks underlying the underlier to which your notes are linked. You should carefully consider whether the offered notes are
suited to your particular circumstances.
Risks Relating to the Notes Generally
You May Lose Some or All of Your Investment
in the Notes
The notes do not guarantee any return of principal. The return
on the notes at maturity is linked to the performance of the underlier and will depend on whether, and the extent to which, the
underlier return is positive or negative. Your investment will be exposed to loss on a leveraged basis if the final underlier level
is less than the initial underlier level by more than 10%. For every 1% that the final underlier level is less than the initial
underlier level by more than 10%, you will lose an amount equal to approximately 1.1111% of the principal amount of your notes.
Accordingly, you could lose some or all of your initial investment at maturity. Also, the market price of your notes prior to the
stated maturity date may be significantly lower than the purchase price you pay for your notes. Consequently, if you sell your
notes before the stated maturity date, you may receive far less than the amount of your investment in the notes.
Your Maximum Gain on the Notes Is Limited
to the Maximum Settlement Amount
If the final underlier level is greater than the initial underlier
level, for each $1,000 principal amount note, you will receive at maturity a payment that will not exceed the maximum settlement
amount, regardless of the appreciation in the underlier, which may be significant. Accordingly, the amount payable on your notes
may be significantly less than it would have been had you invested directly in the underlier. The maximum settlement amount will
be provided in the final pricing supplement and is expected to be between $1,095.70 and $1,112.35.
The Notes Are Subject to the Credit
Risks of JPMorgan Financial and JPMorgan Chase & Co.
The notes are subject to our and JPMorgan Chase & Co.’s
credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value
of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes.
Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by
the market for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co.
were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your
entire investment.
As a Finance Subsidiary, JPMorgan Financial
Has No Independent Operations and Has Limited Assets
As a finance subsidiary of JPMorgan Chase & Co., we have
no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans
made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek
payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other
unsecured and unsubordinated obligations of JPMorgan Chase & Co.
No Interest or Dividend Payments or
Voting Rights
As a holder of the notes, you will not receive interest payments.
As a result, even if the amount payable for your notes on the stated maturity date exceeds the principal amount of your notes,
the overall return you earn on your notes may be less than you would have earned by investing in a non-index-linked debt
security of comparable maturity that bears interest at a prevailing
market rate. In addition, as a holder of the notes, you will not have voting rights or rights to receive cash dividends or other
distributions or other rights that holders of the underlier stocks would have.
We May Sell an Additional Aggregate
Principal Amount of the Notes at a Different Issue Price
At our sole option, we may decide to sell an additional aggregate
principal amount of the notes subsequent to the date of this pricing supplement. The issue price of the notes in the subsequent
sale may differ substantially (higher or lower) from the original issue price you paid as provided on the cover of this pricing
supplement.
If You Purchase Your Notes at a Premium
to the Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Principal Amount
and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected
The amount you will be paid for your notes on the stated maturity
date will not be adjusted based on the price you pay for the notes. If you purchase notes at a price that differs from the principal
amount of the notes, then the return on your investment in the notes held to the stated maturity date will differ from, and may
be substantially less than, the return on notes purchased at the principal amount. If you purchase your notes at a premium to the
principal amount and hold them to the stated maturity date the return on your investment in the notes will be lower than it would
have been had you purchased the notes at the principal amount or a discount to the principal amount. In addition, the impact of
the buffer level and the cap level on the return on your investment will depend upon the price you pay for your notes relative
to the principal amount. For example, if you purchase your notes at a premium to the principal amount, the cap level will permit
only a lower percentage increase in your investment in the notes than would have been the case for notes purchased at the principal
amount or a discount to the principal amount. Similarly, the buffer level, while still providing an increase in the return on the
notes if the final underlier level is greater than or equal to the buffer level but less than the cap level, will allow a greater
percentage decrease in your investment in the notes than would have been the case for notes purchased at the principal amount or
a discount to the principal amount.
Lack of Liquidity
The notes will not be listed on any securities exchange. JPMS
intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market,
it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make
a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which JPMS is willing to buy the notes.
The Final Terms and Valuation of the
Notes Will Be Provided in the Final Pricing Supplement
The final terms of the notes will be based on relevant market
conditions when the terms of the notes are set and will be provided in the final pricing supplement. In particular, each of the
estimated value of the notes, the cap level and the maximum settlement amount will be provided in the final pricing supplement
and each may be as low as the applicable minimum set forth on the cover of this pricing supplement or under “Summary Information
— Key Terms,” as applicable. Accordingly, you should consider your potential investment in the notes based on the minimums
for the estimated value of the notes, the cap level and the maximum settlement amount.
The Tax Consequences of an Investment
in the Notes Are Uncertain
There is no direct legal authority as to the proper U.S. federal
income tax characterization of the notes, 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 notes described in “Key Terms — Tax treatment” in this pricing
supplement 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 notes, the timing and character of any income or loss on the notes
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 notes, 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 notes, including possible alternative treatments and the issues presented
by this notice.
Risks Relating to Conflicts of Interest
Potential Conflicts of Interest
We and our affiliates play a variety of roles in connection
with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our
obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the
notes. Also, the distributor from which you purchase the notes may conduct hedging activities for us in connection with the notes.
In performing these duties, our and JPMorgan Chase & Co.’s economic interests, the economic interests of any distributor
performing such duties and the economic interests of the calculation agent and other affiliates of ours are potentially adverse
to your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, and the
business activities of any distributor from which you purchase the notes, 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
notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with
the notes could result in substantial returns for us or our affiliates while the value of the notes declines. If the distributor
from which you purchase notes is to conduct hedging activities for us in connection with the notes, that distributor may profit
in connection with such hedging activities and such profit, if any, will be in addition to the compensation that the distributor
receives for the sale of the notes to you. You should be aware that the potential to earn fees in connection with hedging activities
may create a further incentive for the distributor to sell the notes to you in addition to the compensation they would receive
for the sale of the notes. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” on page PS-18
of the accompanying product supplement for additional information about these risks.
Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes
The Estimated Value of the Notes Will
Be Lower Than the Original Issue Price of the Notes
The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes because costs
associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “Summary Information
— The Estimated Value of the Notes” on page PS-7 of this pricing supplement.
The Estimated Value of the Notes Does
Not Represent Future Values of the Notes and May Differ from Others’ Estimates
The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on
market conditions and other relevant factors existing at that time 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 notes that are greater than or less than the estimated
value of the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may
prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes
in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors,
which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See
“Summary Information — The Estimated Value of the Notes” on page PS-7 of this pricing supplement.
The Estimated Value of the Notes Is
Derived by Reference to an Internal Funding Rate
The internal funding rate used in the determination of the
estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to
that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “Summary
Information — The Estimated Value of the Notes” on page PS-7 of this pricing supplement.
The Value of the Notes as Published
by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the
Notes for a Limited Time Period
We generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in
an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, projected
hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for
structured debt issuances. See “Summary Information — Secondary Market Prices of the Notes” on page PS-8 of this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during
this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account
statements).
Secondary Market Prices of the Notes
Will Likely Be Lower Than the Original Issue Price of the Notes
Any secondary market prices of the notes will likely be lower
than the original issue price of the notes because, among other things, secondary market prices take into account our internal
secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a
result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is
likely to be lower than the original issue price. Any sale by you prior to the maturity date could result in a substantial loss
to you. See the immediately following risk consideration for information about additional factors that will impact any secondary
market prices of the notes.
The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity. See “— Risks Relating to the Notes Generally
— Lack of Liquidity” on page PS-13 of this pricing supplement.
Secondary Market Prices of the Notes
Will Be Impacted by Many Economic and Market Factors
The secondary market price of the notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling
commissions, projected hedging profits, if any, estimated hedging costs and the level of the underlier, 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 underlier;
|
|
·
|
the time to maturity of the notes;
|
|
·
|
the dividend rates on the underlier stocks;
|
|
·
|
interest and yield rates in the market generally; 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 notes, which may also be reflected on customer account statements. This price may be
different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary
market.
Risks Relating to the Underlier
JPMorgan Chase & Co. Is Currently
One of the Companies that Make Up the Underlier
JPMorgan Chase & Co. is currently one of the companies
that make up the underlier. JPMorgan Chase & Co. will not have any obligation to consider your interests as a holder of the
notes in taking any corporate action that might affect the value of the underlier and the notes.
The Investment Strategy Represented
by the Underlier May Not Be Successful
The Underlier measures the capitalization-weighted price performance
of the stocks included in the Russell 1000® Index that are determined by FTSE Russell to be value oriented, with
lower price-to-book ratios and lower forecasted growth values. A “value” investment strategy is premised on the goal
of investing in stocks that are determined to be relatively cheap or “undervalued” under the assumption that the value
of those stocks will increase over time as the market comes to reflect the “fair” market value of those stocks. However,
the value characteristics referenced by the Underlier may not be accurate predictors of undervalued stocks, and there is no guarantee
that undervalued stocks will appreciate. In addition, the Underlier’s selection methodology includes a significant bias against
stocks with strong growth characteristics, and stocks with strong growth characteristics may outperform stocks with weak growth
characteristics. There is no assurance that the Underlier will outperform any other index or strategy that tracks U.S. stocks selected
using other criteria and may underperform the Russell 1000® Index as a whole. It is possible that the stock selection
methodology of the Underlier will adversely affect its return and, consequently, the level of the Underlier and the value and return
of the notes.
THE Underlier
All information contained in this pricing supplement regarding
the Russell 1000® Value Index, including, without limitation, its make-up, method of calculation and changes in
its components, has been derived from publicly available information, without independent verification. This information reflects
the policies of, and is subject to change by, FTSE Russell. The Russell 1000® Value Index is calculated, maintained
and published by FTSE Russell. FTSE Russell has no obligation to publish, and may discontinue the publication of, the Russell 1000®
Value Index.
The Russell 1000® Value Index is reported by
Bloomberg under the ticker symbol “RLV.”
The Russell 1000® Value Index measures the
capitalization-weighted price performance of the stocks included in the Russell 1000® Index (each, a “Russell
1000 Component Stock” and collectively, the “Russell 1000 Component Stocks”) that are determined by FTSE Russell
to be value oriented, with lower price-to-book ratios and lower forecasted growth values. The Russell 1000® Index
measures the capitalization-weighted price performance of 1,000 U.S. large-capitalization stocks listed on eligible U.S. exchanges.
For more information about the Russell 1000® Index, see “Equity Index Descriptions — The Russell Indices”
in the accompanying underlying supplement.
FTSE Russell uses a “non-linear probability” method
to assign stocks to the Russell 1000® Value Index and the Russell 1000® Growth Index (the “Growth
Index”), an index that measures the capitalization-weighted price performance of the Russell 1000 Component Stocks determined
by FTSE Russell to be growth oriented, with higher price-to-book ratios and higher forecasted growth values. The term “probability”
is used to indicate the degree of certainty that a stock is value or growth based on its relative book-to-price (B/P) ratio, I/B/E/S
forecast medium-term growth (2 year) and sales per share historical growth (5 year). This method allows stocks to be represented
as having both growth and value characteristics, while preserving the additive nature of the indices.
The process for assigning growth and value weights is applied
separately to the Russell 1000 Component Stocks. The Russell 1000 Component Stocks are ranked by their adjusted book-to-price ratio
(B/P), their I/B/E/S forecast medium-term growth (2 year) and sales per share historical growth (5 year). These rankings are converted
to standardized units, where the value variable represents 50% of the score and the two growth variables represent the remaining
50%. They are then combined to produce a Composite Value Score (“CVS”).
The Russell 1000 Component Stocks are then ranked by their
CVS, and a probability algorithm is applied to the CVS distribution to assign growth and value weights to each stock. In general,
a stock with a lower CVS is considered growth, a stock with a higher CVS is considered value, and a stock with a CVS in the middle
range is considered to have both growth and value characteristics, and is weighted proportionately in the growth and value indices.
Stocks are always fully represented by the combination of their growth and value weights (e.g., a stock that is given a 20% weight
in the Russell 1000® Value Index will have an 80% weight in the Growth Index).
Stock A, in the figure below, is a security with 20% of its
available shares assigned to the Russell 1000® Value Index and the remaining 80% assigned to the Growth Index. Hence,
the sum of a stock’s market capitalization in the Russell 1000® Value Index and the Growth Index will always
equal its market capitalization in the Russell 1000® Index.
In the figure above, the quartile breaks are calculated such
that approximately 25% of the available market capitalization lies in each quartile. Stocks at the median are divided 50% in each
of the Russell 1000® Value Index and the Growth Index. Stocks below the first quartile are 100% in the Growth Index.
Stocks above the third quartile are 100% in the Russell 1000® Value Index. Stocks falling between the first and
third quartile breaks are in both the Russell 1000® Value Index and the Growth Index to varying degrees, depending
on how far they are above or below the median and how close they are to the first or third quartile breaks.
Roughly 70% of the available market capitalization is classified
as all growth or all value. The remaining 30% have some portion of their market value in either the Russell 1000®
Value Index or the Growth Index, depending on their relative distance from the median value score. Note that there is a small position
cutoff rule. If a stock’s weight is more than 95% in one index, its weight is increased to 100% in that index.
In an effort to mitigate unnecessary turnover, FTSE Russell
implements a banding methodology at the CVS level of the growth and value style algorithm. If a company’s CVS change from
the previous year is greater than or equal to +/- 0.10 and if the company remains in the same core index (i.e., the Russell 1000®
Index), then the CVS remains unchanged during the next reconstitution process. Keeping the CVS static for these companies does
not mean the probability (growth/value) will remain unchanged in all cases due to the relation of a CVS score to the overall index.
However, this banding methodology is intended to reduce turnover caused by smaller, less meaningful movements while continuing
to allow the larger, more meaningful changes to occur, signaling a true change in a company’s relation to the market.
In calculating growth and value weights, stocks with missing
or negative values for B/P, or missing values for I/B/E/S growth, or missing sales per share historical growth (6 years of quarterly
numbers are required), are allocated by using the mean value score of the base index (the Russell 1000® Index),
the Russell Global Sectors (ICB) industry, subsector or sector group into which the company falls. Each missing (or negative B/P)
variable is substituted with the industry, subsector or sector group independently. An industry must have five members or the substitution
reverts to the subsector, and so forth to the sector. In addition, a weighted value score is calculated for securities with low
analyst coverage for I/B/E/S medium-term growth. For securities with coverage by a single analyst, 2/3 of the industry, subsector,
or sector group value score is weighted with 1/3 the security’s independent value score. For those securities with coverage
by two analysts, 2/3 of the independent security’s value score is used and only 1/3 of the industry, subsector, or sector
group is weighted. For those securities with at least three analysts contributing to the I/B/E/S medium-term growth, 100% of the
independent security’s value score is used.
For more information about the index calculation methodology
used for the Russell 1000® Value Index, see “Equity Index Descriptions — The Russell Indices”
on page US-80 of the accompanying underlying supplement. For purposes of this pricing supplement, all references to the Russell
Indices contained in the above-referenced section are deemed to include the Russell 1000® Value Index.
In addition, information about the Russell 1000®
Value Index may be obtained from other sources, including, but not limited to, the underlier sponsor’s website (including
information regarding the
underlier’s top five sectors). We are not incorporating
by reference into this pricing supplement the website or any material it includes. Neither we nor any agent or dealer for
this offering makes any representation that this publicly available information regarding the underlier is accurate or complete.
Disclaimers
The notes are not sponsored,
endorsed, sold, or promoted by London Stock Exchange Group plc or its affiliates (collectively, “LSE”) or any successor
thereto or index owner and neither LSE nor any party hereto makes any representation or warranty whatsoever, whether express or
implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities generally
or in the notes particularly or the ability of the Russell 1000® Value Index to track general stock market performance
or a segment of the same. LSE’s publication of the Russell 1000® Value Index in no way suggests or implies
an opinion by LSE as to the advisability of investment in any or all of the securities upon which the Russell 1000®
Value Index is based. LSE’s only relationship to JPMorgan Financial, JPMorgan Chase & Co. and their affiliates
is the licensing of certain trademarks and trade names of LSE and of the Russell 1000® Value Index, which are determined,
composed and calculated by LSE without regard to JPMorgan Financial, JPMorgan Chase & Co. and their affiliates or the notes.
LSE is not responsible for and has not reviewed the notes or any associated literature or publications and LSE makes no representation
or warranty express or implied as to their accuracy or completeness, or otherwise. LSE reserves the right, at any time and
without notice, to alter, amend, terminate or in any way change the Russell 1000® Value Index. LSE has no
obligation or liability in connection with the administration, marketing or trading of the notes.
“Russell 1000® Value Index” and
“Russell 1000® Index” are trademarks of LSE and have been licensed for use by JPMorgan Chase Bank, National
Association and its affiliates. This transaction is not sponsored, endorsed, sold, or promoted by LSE and LSE makes no representation
regarding the advisability of entering into this transaction.
LSE DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS
OF THE RUSSELL 1000® VALUE INDEX OR ANY DATA INCLUDED THEREIN AND LSE SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS,
OR INTERRUPTIONS THEREIN. LSE MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY JPMORGAN FINANCIAL,
JPMORGAN CHASE & CO. AND/OR THEIR AFFILIATES, INVESTORS, OWNERS OF THE PRODUCT(S), OR ANY OTHER PERSON OR ENTITY FROM THE USE
OF THE RUSSELL 1000® VALUE INDEX OR ANY DATA INCLUDED THEREIN. LSE MAKES NO EXPRESS OR IMPLIED WARRANTIES,
AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RUSSELL
1000® VALUE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL LSE
HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF
THE POSSIBILITY OF SUCH DAMAGES.
Historical Closing Levels of the Underlier
The closing level of the underlier has fluctuated in the past
and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing level of the
underlier during any period shown below is not an indication that the underlier is more or less likely to increase or decrease
at any time during the term of your notes.
You should not take the historical levels of the underlier
as an indication of the future performance of the underlier. We cannot give you any assurance that the future performance of
the underlier or the underlier stocks will result in a return of any of your initial investment on the stated maturity date. In
light of the increased volatility currently being experienced by the financial services sector and U.S. and global securities markets,
and recent market declines, it may be substantially more likely that you could lose all or a substantial portion of your investment
in the notes.
Neither we nor any of our affiliates make any representation
to you as to the performance of the underlier. The actual performance of the underlier over the term of the offered notes, as well
as the amount payable at maturity, may bear little relation to the historical levels shown below.
The graph below shows the closing levels of the underlier on each
day from January 4, 2016 through January 21, 2021. The closing level of the underlier on January 21, 2021 was 1,390.523. We obtained
the closing levels shown above and in the graph below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification.
We and JPMorgan Chase & Co. have not authorized anyone
to provide any information other than that contained or incorporated by reference in this pricing supplement, the accompanying
underlying supplement, the accompanying product supplement and the accompanying prospectus supplement and prospectus with respect
to the notes offered by this pricing supplement and with respect to JPMorgan Financial or JPMorgan Chase & Co. We and JPMorgan
Chase & Co. take no responsibility for, and can provide no assurance as to the reliability of, any other information that others
may give you. This pricing supplement, together with the accompanying underlying supplement, the accompanying product supplement
and the accompanying prospectus supplement and prospectus, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. The information
in this pricing supplement, the accompanying underlying supplement, the accompanying product supplement and the accompanying prospectus
supplement and prospectus may be accurate only as of the dates of each of these documents, respectively. This pricing supplement,
the accompanying underlying supplement, the accompanying product supplement and the accompanying prospectus supplement and prospectus
do not constitute an offer to sell or a solicitation of an offer to buy the notes in any circumstances in which such offer or solicitation
is unlawful.
TABLE OF CONTENTS
Pricing Supplement
Page
Summary Information
|
PS-3
|
Hypothetical Examples
|
PS-9
|
Selected Risk Factors
|
PS-12
|
The Underlier
|
PS-17
|
Product Supplement No. 4-II dated November
4, 2020
Risk Factor Summary
|
PS-1
|
Description of Notes
|
PS-3
|
Estimated Value and Secondary Market Prices of the Notes
|
PS-10
|
Risk Factors
|
PS-12
|
Use of Proceeds and Hedging
|
PS-45
|
General Terms of Notes
|
PS-46
|
The Underlyings
|
PS-55
|
Material U.S. Federal Income Tax Consequences
|
PS-79
|
Plan of Distribution (Conflicts of Interest)
|
PS-89
|
Benefit Plan Investor Considerations
|
PS-91
|
Underlying Supplement No. 1-II dated November
4, 2020
Risk Factor Summary
|
US-1
|
Risk Factors
|
US-3
|
Equity Index Descriptions
|
US-36
|
The Dow Jones Industrial Average™
|
US-36
|
The EURO STOXX® Select Dividend 30 Index
|
US-39
|
The FTSE® 100 Index
|
US-44
|
The Hang Seng Indices
|
US-47
|
The MSCI Indices
|
US-56
|
The MSCI 25/50 Indices
|
US-64
|
The NASDAQ-100 Index®
|
US-69
|
The NASDAQ-100® Technology Sector IndexSM
|
US-74
|
The Nikkei 225 Index
|
US-77
|
The Russell Indices
|
US-80
|
The S&P/ASX 200 Index
|
US-85
|
The S&P 500® Low Volatility High
Dividend Index
|
US-89
|
The S&P Select Industry Indices
|
US-92
|
The S&P Select Sector Indices
|
US-99
|
The S&P U.S. Indices
|
US-103
|
The STOXX Benchmark Indices
|
US-109
|
The Swiss Market Index
|
US-116
|
The TOPIX® Index
|
US-120
|
Commodity Index Descriptions
|
US-124
|
The Bloomberg Commodity Indices
|
US-124
|
The S&P GSCI®
Indices
|
US-136
|
Fund Descriptions
|
US-145
|
The Invesco QQQ TrustSM, Series 1
|
US-145
|
The iShares® 20+ Year Treasury Bond
ETF
|
US-146
|
The iShares® ETFs
|
US-151
|
The Select Sector SPDR® Funds
|
US-158
|
The SPDR® EURO STOXX 50®
ETF
|
US-160
|
The SPDR® Gold Trust
|
US-161
|
The SPDR® S&P 500®
ETF Trust
|
US-162
|
The SPDR® S&P® Industry
ETFs
|
US-163
|
The United States Oil Fund, LP
|
US-165
|
The VanEck Vectors® ETFs
|
US-166
|
The Vanguard FTSE Emerging Markets ETF
|
US-180
|
Prospectus Supplement dated April 8, 2020
About This Prospectus Supplement
|
S-1
|
Risk Factors
|
S-2
|
Description of Notes of JPMorgan Chase & Co.
|
S-5
|
Description of Warrants of JPMorgan Chase & Co.
|
S-11
|
Description of Units of JPMorgan Chase & Co.
|
S-14
|
Description of Notes of JPMorgan Chase Financial Company
LLC
|
S-17
|
Description of Warrants of JPMorgan Chase Financial Company
LLC
|
S-23
|
United States Federal Taxation
|
S-28
|
Plan of Distribution (Conflicts of Interest)
|
S-29
|
Notice to Investors; Selling Restrictions
|
S-31
|
Prospectus dated April 8, 2020
Where You Can Find More Information
|
1
|
JPMorgan Chase & Co.
|
2
|
JPMorgan Chase Financial Company LLC
|
2
|
Use of Proceeds
|
2
|
Important Factors That May Affect Future Results
|
3
|
Description of Debt Securities of JPMorgan Chase & Co.
|
5
|
Description of Warrants of JPMorgan Chase & Co.
|
13
|
Description of Units of JPMorgan Chase & Co.
|
16
|
Description of Purchase Contracts of JPMorgan Chase &
Co.
|
18
|
Description of Debt Securities of JPMorgan Chase Financial
Company LLC
|
20
|
Description of Warrants of JPMorgan Chase Financial Company
LLC
|
28
|
Forms of Securities
|
34
|
Plan of Distribution (Conflicts of Interest)
|
38
|
Independent Registered Public Accounting Firm
|
41
|
Legal Matters
|
41
|
Benefit Plan Investor Considerations
|
41
|
$
JPMorgan Chase Financial Company LLC
Capped Buffered Enhanced Participation Equity Notes due 2022
(Linked to the Russell 1000® Value Index)
Medium-Term Notes, Series A
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
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