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 October
20, 2020
October , 2020
|
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
Capped Buffered Return Enhanced Notes Linked
to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE
ETF and the iShares® MSCI Emerging Markets ETF due November 3, 2022
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
·
|
The notes are designed for investors who seek a return of 2.00 times any appreciation of an unequally weighted basket of the
iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging
Markets ETF, up to a maximum return of at least 17.00% at maturity.
|
|
·
|
Because the iShares® Russell 3000 ETF makes up 80.00% of the Basket, we expect that generally the market value
of your notes and your payment at maturity will depend to a greater extent on the performance of the iShares® Russell
3000 ETF.
|
|
·
|
Investors should be willing to forgo interest and dividend payments and be willing to lose up to 90.00% of their principal
amount at maturity.
|
|
·
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
|
|
·
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
·
|
The notes are expected to price on or about October 30, 2020 and are expected to settle on or about November 4, 2020.
|
Investing in the notes 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 “Selected Risk Considerations” beginning on page PS-3 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer
to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated
or unaffiliated dealers. In no event will these selling commissions exceed $9.00 per $1,000 principal amount note. See “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement.
|
If the notes priced today, the estimated value of the notes
would be approximately $963.60 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes
are set, will be provided in the pricing supplement and will not be less than $920.00 per $1,000 principal amount note. See “The
Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I
dated April 8, 2020, underlying supplement no. 1-I dated April 8, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary
of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Basket: The
notes are linked to an unequally weighted basket consisting of the following:
|
·
|
80.00% of the iShares® Russell 3000 ETF (Bloomberg ticker: IWV);
|
·
|
10.00% of the iShares® MSCI EAFE ETF (Bloomberg ticker: EFA); and
|
·
|
10.00%
of the iShares® MSCI Emerging Markets ETF (Bloomberg ticker: EEM) (each, a “Fund” and together, the
“Funds”).
|
Upside Leverage
Factor: 2.00
Maximum Return:
At least 17.00% (corresponding to a maximum payment at maturity of
at least $1,170.00 per $1,000 principal amount note) (to be provided in the pricing supplement)
Buffer Amount:
10.00%
Pricing Date:
On or about October 30, 2020
Original Issue
Date (Settlement Date): On or about November 4, 2020
Observation
Date *: October 31, 2022
Maturity Date*:
November 3, 2022
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
|
Payment at Maturity:
If the Final Basket Value is greater than the Initial Basket
Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Basket Return ×
Upside Leverage Factor), subject to the Maximum Return
If the Final Basket Value is equal to the Initial Basket Value
or is less than the Initial Basket Value by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Basket Value is less than the Initial Basket Value
by more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Basket Return
+ Buffer Amount)]
If the Final Basket Value is less than the Initial Basket Value
by more than the Buffer Amount, you will lose some or most of your principal amount at maturity.
Basket Return:
(Final Basket Value – Initial Basket
Value)
Initial Basket Value
Initial Basket
Value: Set equal to 100 on the Pricing Date
Final Basket
Value: The closing level of the Basket on the Observation Date
Closing Level of the Basket:
100 × [1 + (80.00% × Fund Return of the iShares®
Russell 3000 ETF) + (10.00% × Fund Return of the iShares® MSCI EAFE ETF) + (10.00% × Fund Return of
the iShares® MSCI Emerging Markets ETF)]
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial Value:
With respect to each Fund, the closing price of one share of that Fund
on the Pricing Date
Final Value:
With respect to each Fund, the closing price of one share of that Fund
on the Observation Date
Share Adjustment
Factor: With respect to each Fund, the Share Adjustment Factor is referenced
in determining the closing price of one share of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor
of each Fund is subject to adjustment upon the occurrence of certain events affecting that Fund. See “The Underlyings —
Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information.
|
PS-1 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
Hypothetical
Payout Profile
The following table illustrates the hypothetical
total return at maturity on the notes. The “total return” as used in this pricing supplement is the number, expressed
as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical
total returns set forth below assume the following:
|
·
|
an Initial Basket Value of 100.00;
|
|
·
|
an Upside Leverage Factor of 2.00;
|
|
·
|
a Maximum Return of 17.00%; and
|
|
·
|
a Buffer Amount of 10.00%.
|
Each hypothetical total return or hypothetical
payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Basket Value
|
Basket Return
|
Total Return on the Notes
|
Payment at Maturity
|
180.00
|
80.00%
|
17.00%
|
$1,170.00
|
165.00
|
65.00%
|
17.00%
|
$1,170.00
|
150.00
|
50.00%
|
17.00%
|
$1,170.00
|
140.00
|
40.00%
|
17.00%
|
$1,170.00
|
130.00
|
30.00%
|
17.00%
|
$1,170.00
|
120.00
|
20.00%
|
17.00%
|
$1,170.00
|
110.00
|
10.00%
|
17.00%
|
$1,170.00
|
108.50
|
8.50%
|
17.00%
|
$1,170.00
|
105.00
|
5.00%
|
10.00%
|
$1,100.00
|
101.00
|
1.00%
|
2.00%
|
$1,020.00
|
100.00
|
0.00%
|
0.00%
|
$1,000.00
|
95.00
|
-5.00%
|
0.00%
|
$1,000.00
|
90.00
|
-10.00%
|
0.00%
|
$1,000.00
|
80.00
|
-20.00%
|
-10.00%
|
$900.00
|
70.00
|
-30.00%
|
-20.00%
|
$800.00
|
60.00
|
-40.00%
|
-30.00%
|
$700.00
|
50.00
|
-50.00%
|
-40.00%
|
$600.00
|
40.00
|
-60.00%
|
-50.00%
|
$500.00
|
30.00
|
-70.00%
|
-60.00%
|
$400.00
|
20.00
|
-80.00%
|
-70.00%
|
$300.00
|
10.00
|
-90.00%
|
-80.00%
|
$200.00
|
0.00
|
-100.00%
|
-90.00%
|
$100.00
|
PS-2 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
How
the Notes Work
Upside Scenario:
If the Final Basket Value is greater than the
Initial Basket Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Basket Return
times the Upside Leverage Factor of 2.00, up to the Maximum Return of at least 17.00%. Assuming a hypothetical Maximum Return
of 17.00%, an investor will realize the maximum payment at maturity at a Final Basket Value at or above 108.50% of the Initial
Basket Value.
|
·
|
If the closing level of the Basket increases 5.00%, investors will receive
at maturity a 10.00% return, or $1,100.00 per $1,000 principal amount note.
|
|
·
|
Assuming a hypothetical Maximum Return of 17.00%, if the closing level of
the Basket increases 50.00%, investors will receive at maturity a return equal to the 17.00% Maximum Return, or $1,170.00 per $1,000
principal amount note, which is the maximum payment at maturity.
|
Par Scenario:
If the Final Basket Value is equal to the Initial
Basket Value or is less than the Initial Basket Value by up to the Buffer Amount of 10.00%, investors will receive at maturity
the principal amount of their notes.
Downside Scenario:
If the Final Basket Value is less than the Initial
Basket Value by more than the Buffer Amount of 10.00%, investors will lose 1% of the principal amount of their notes for every
1% that the Final Basket Value is less than the Initial Basket Value by more than the Buffer Amount.
|
·
|
For example, if the closing level of the Basket declines 50.00%, investors
will lose 40.00% of their principal amount and receive only $600.00 per $1,000 principal amount note at maturity, calculated as
follows:
|
$1,000
+ [$1,000 × (-50.00% + 10.00%)] = $600.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement,
product supplement and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the Final Basket Value is less than the Initial Basket Value by more than 10.00%, you will lose 1 % of the principal
amount of your notes for every 1% that the Final Basket Value is less than the Initial Basket Value by more than 10.00%. Accordingly,
under these circumstances, you will lose up to 90.00% of your principal amount at maturity.
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM RETURN,
|
regardless of any appreciation of the
Basket, which may be significant.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and
JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan
Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely
to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you
may not receive any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
—
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments
under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet
our obligations under the notes. If these affiliates do not make payments to
PS-3 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
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.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours
or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement.
|
·
|
THE NOTES DO NOT PAY INTEREST.
|
|
·
|
CORRELATION (OR LACK OF CORRELATION) OF THE FUNDS —
|
The notes are linked to an unequally
weighted Basket composed of three Funds. Because the iShares® Russell 3000 ETF makes up 80.00% of the Basket, we
expect that generally the market value of your notes and your payment at maturity will depend to a greater extent on the performance
of the iShares® Russell 3000 ETF. In calculating the Final Basket Value, an increase in the price of one share of
one of the Funds may be moderated, or more than offset, by lesser increases or declines in the prices of one share of the other
Funds. In addition, high correlation of movements in the prices of one share of the Funds during periods of negative returns among
the Funds could have an adverse effect on the payment at maturity on the notes.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON ANY FUND OR THE SECURITIES HELD BY ANY FUND OR HAVE ANY RIGHTS
WITH RESPECT TO ANY FUND OR THOSE SECURITIES.
|
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject to management
risk, which is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation of
which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the
market price of the shares of each Fund and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate
its Underlying Index (as defined under “The Basket” below) and may hold securities different from those included in
its Underlying Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are not
included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance
of each Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such
as mergers and spin-offs) may impact the variance between the performances of that Fund and its Underlying Index. Finally, because
the shares of each Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value
of one share of each Fund may differ from the net asset value per share of that Fund.
During periods of market volatility,
securities underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of a Fund. As a result,
under these circumstances, the market value of shares of a Fund may vary substantially from the net asset value per share of that
Fund. For all of the foregoing reasons, the performance of each Fund may not correlate with the performance of its Underlying Index
as well as the net asset value per share of that Fund, which could materially and adversely affect the value of the notes in the
secondary market and/or reduce any payment on the notes.
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE iSHARES® RUSSELL 3000 ETF —
|
Some of the equity securities held
by the iShares® Russell 3000 ETF are issued by companies with relatively small market capitalization. Small
capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger
companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock price pressure under adverse market conditions.
PS-4 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
|
·
|
NON-U.S. SECURITIES RISK
WITH RESPECT TO THE iShares®
MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF —
|
The
equity securities held by the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF 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. 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.
|
·
|
EMERGING MARKETS RISK WITH RESPECT TO THE iSHARES® MSCI EMERGING MARKETS ETF —
|
The
equity securities held by the iShares® MSCI Emerging Markets ETF have been issued by non-U.S. companies located
in emerging markets countries. Countries with emerging markets may have relatively unstable governments, may present the
risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may
have less protection of property rights than more developed countries. The economies of countries with emerging markets may
be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from
extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and
may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult
or impossible at times.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE
iShares®
MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
—
|
Because the prices of the equity securities
held by the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF are converted into
U.S. dollars for purposes of calculating the net asset value of that Fund, holders of the notes will be exposed to currency exchange
rate risk with respect to each of the currencies in which the equity securities held by that Fund trade. Your net exposure will
depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity securities
held by either of those Funds denominated in each of those currencies. If, taking into account the relevant weighting, the U.S.
dollar strengthens against those currencies, the price of either of those Funds will be adversely affected and any payment on the
notes may be reduced.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
The notes will not be listed on any
securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential
investment in the notes based on the minimums for the estimated value of the notes and the Maximum Return.
|
·
|
THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC)
OF THE NOTES —
|
The estimated value of the notes is
only an estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value
of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the
Notes” in this pricing supplement.
PS-5 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the
determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments
of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things,
our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase &
Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended
to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
|
Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices
may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original
issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date
could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Basket. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may
be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
PS-6 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
The return on the notes is linked to an unequally
weighted basket consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares®
MSCI Emerging Markets ETF. Because the iShares® Russell 3000 ETF makes up 80.00% of the Basket, we expect that generally
the market value of your notes and your payment at maturity will depend to a greater extent on the performance of the iShares®
Russell 3000 ETF.
The iShares® Russell 3000 ETF is
an exchange-traded fund of iShares® Trust, a registered investment company, that seeks to track the investment results,
before fees and expenses, of a broad-based index composed of U.S. equities, which we refer to as the Underlying Index with respect
to the iShares® Russell 3000 ETF. The Underlying Index for the iShares® Russell 3000 ETF is currently
the Russell 3000® Index. The Russell 3000® Index is designed to designed to represent the broad U.S.
equity market. For additional information about the iShares® Russell 3000 ETF, see “Fund Descriptions —
The iShares® ETFs” in the accompanying underlying supplement.
The iShares® MSCI EAFE ETF is an
exchange-traded fund of iShares® Trust, a registered investment company, that seeks to track the investment results,
before fees and expenses, of an index composed of large- and mid-capitalization developed market equities, excluding the United
States and Canada, which we refer to as the Underlying Index with respect to the iShares® MSCI EAFE ETF. The Underlying
Index for the iShares® MSCI EAFE ETF is currently the MSCI EAFE® Index. The MSCI EAFE®
Index is a free float-adjusted market capitalization index intended to measure the equity market performance of certain developed
markets, excluding the United States and Canada. For additional information about the iShares® MSCI EAFE ETF, see
“Fund Descriptions — The iShares® ETFs” in the accompanying underlying supplement.
The iShares® MSCI Emerging Markets
ETF is an exchange-traded fund of iShares®, Inc., a registered investment company, that seeks to track the investment
results, before fees and expenses, of an index composed of large- and mid-capitalization emerging market equities, which we refer
to as the Underlying Index with respect to the iShares® MSCI Emerging Markets ETF. The Underlying Index for the
iShares® MSCI Emerging Markets ETF is currently the MSCI Emerging Markets Index. The MSCI Emerging Markets Index
is a free float-adjusted market capitalization index that is designed to measure the equity market performance of global emerging
markets. For additional information about the iShares® MSCI Emerging Markets ETF, see “Fund Descriptions —
The iShares® ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of the Basket as a whole, as well as each Fund, based on the weekly historical closing prices of one share of each
Fund from January 2, 2015 through October 16, 2020. The graph of the historical performance of the Basket assumes that the closing
level of the Basket on January 2, 2015 was 100 and that the weights of the Funds were as specified under “Key Terms —
Basket” in this pricing supplement on that date. The closing price of one share of the iShares® Russell 3000
ETF on October 19, 2020 was $201.34. The closing price of one share of the iShares® MSCI EAFE ETF on October 19,
2020 was $64.50. The closing price of one share of the iShares® MSCI Emerging Markets ETF on October 19, 2020 was
$45.43. We obtained the closing prices of one share of the Funds above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices of one share of each Fund above and below
may have been adjusted by Bloomberg for actions taken by that Fund, such as stock splits.
The historical closing levels of the Basket and
the historical closing prices of one share of each Fund should not be taken as an indication of future performance, and no assurance
can be given as to the closing level of the Basket on the Observation Date or the closing prices of one share of the Funds on the
Pricing Date or the Observation Date. There can be no assurance that the performance of the Basket will result in the return of
any of your principal amount in excess of $100.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co.
PS-7 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
PS-8 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell
LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the
opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, subject to the possible application of the “constructive ownership”
rules, 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. The notes could be treated as “constructive
ownership transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the
notes that would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain”
(as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income
had accrued for tax purposes at a constant yield over your holding period for the notes. Our special tax counsel has not expressed
an opinion with respect to whether the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult
their tax advisers regarding the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment
of the notes described above, in which case the timing and character of any income or loss on your 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 described above. 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 the potential application of the constructive
ownership rules, 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
PS-9 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
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.
The
Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed
income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on,
among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be
incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes
Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes will be
lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, if
any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates
PS-10 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile”
and “How the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and
“The Basket” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is
equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be
made against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement,
which will be the third business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to
settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes, in which case we may reject your offer to purchase.
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the
accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying 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):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-11 | Structured Investments
Capped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the iShares® Russell 3000 ETF, the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Aug 2024 to Sep 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Sep 2023 to Sep 2024