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 June 5, 2023
June , 2023 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Capped Buffered Equity Notes Linked to the SPDR®
S&P® Regional Banking ETF due July 2, 2026
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| · | The notes are designed for investors who seek an unleveraged exposure to any appreciation of the SPDR® S&P®
Regional Banking ETF, up to a maximum return of at least 60.00%, at maturity. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose up to 80.00% 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 June 27, 2023 and are expected to settle on or about June 30, 2023. |
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-11 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-4 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 $37.50 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 $914.90 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will
be provided in the pricing supplement and will not be less than $900.00 per $1,000 principal amount note. See “The Estimated Value
of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit
Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated April
13, 2023, underlying supplement no. 1-I dated April 13, 2023
and the prospectus and prospectus supplement, each dated
April 13, 2023
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Fund: The
SPDR® S&P® Regional Banking ETF (Bloomberg ticker: KRE)
Maximum Return:
At least 60.00% (corresponding to a maximum payment at maturity of at least $1,600.00
per $1,000 principal amount note) (to be provided in the pricing supplement)
Buffer Amount: 20.00%
Pricing
Date: On or about June 27, 2023
Original Issue Date
(Settlement Date): On or about June 30, 2023
Observation Date*:
June 29, 2026
Maturity Date*: July
2, 2026
* 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)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement
Payment at Maturity:
If the Final Value is greater than the Initial Value, your payment
at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Fund Return), subject
to the Maximum Return
If the Final Value is equal to the Initial Value or is less than the
Initial Value by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Value is less than the Initial 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 × (Fund Return + Buffer
Amount)]
If the Final Value is less than
the Initial Value by more than the Buffer Amount, you will lose some or most of your principal amount at maturity.
Fund Return:
(Final Value
– Initial Value)
Initial Value
Initial Value: The
closing price of one share of the Fund on the Pricing Date
Final Value: The
closing price of one share of the Fund on the Observation Date
Share Adjustment
Factor: The Share Adjustment Factor is referenced in determining the closing
price of one share of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon
the occurrence of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments”
in the accompanying product supplement for further information.
PS-1
| Structured Investments
Capped Buffered Equity Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to a hypothetical Fund. The “total return” as used in this pricing
supplement is the number, expressed as a percentage that results from comparing the payment at maturity per $1,000 principal amount note
to $1,000. The hypothetical total returns and payments set forth below assume the following:
| · | an Initial Value of $100.00; |
| · | a Maximum Return of 60.00%; and |
| · | a Buffer Amount of 20.00%. |
The hypothetical Initial Value of $100.00 has been chosen
for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing price
of one share of the Fund on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual
closing prices of one share of the Fund, please see the historical information set forth under “The Fund” in this pricing
supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value |
Fund Return |
Total Return on the Notes |
Payment at Maturity |
$200.00 |
100.00% |
60.00% |
$1,600.00 |
$180.00 |
80.00% |
60.00% |
$1,600.00 |
$165.00 |
65.00% |
60.00% |
$1,600.00 |
$160.00 |
60.00% |
60.00% |
$1,600.00 |
$150.00 |
50.00% |
50.00% |
$1,500.00 |
$140.00 |
40.00% |
40.00% |
$1,400.00 |
$130.00 |
30.00% |
30.00% |
$1,300.00 |
$120.00 |
20.00% |
20.00% |
$1,200.00 |
$110.00 |
10.00% |
10.00% |
$1,100.00 |
$105.00 |
5.00% |
5.00% |
$1,050.00 |
$101.00 |
1.00% |
1.00% |
$1,010.00 |
$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% |
0.00% |
$1,000.00 |
$70.00 |
-30.00% |
-10.00% |
$900.00 |
$60.00 |
-40.00% |
-20.00% |
$800.00 |
$50.00 |
-50.00% |
-30.00% |
$700.00 |
$40.00 |
-60.00% |
-40.00% |
$600.00 |
$30.00 |
-70.00% |
-50.00% |
$500.00 |
$20.00 |
-80.00% |
-60.00% |
$400.00 |
$10.00 |
-90.00% |
-70.00% |
$300.00 |
$0.00 |
-100.00% |
-80.00% |
$200.00 |
PS-2
| Structured Investments
Capped Buffered Equity Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a sub-set of Fund Returns detailed in the table above (-80% to 100%). There can be no assurance that the
performance of the Fund will result in the return of any of your principal amount in excess of $200.00 per $1,000 principal amount note,
subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the
Notes Work
Upside Scenario:
If the Final Value is greater than the Initial Value,
investors will receive at maturity the $1,000 principal amount plus a return equal to the Fund Return, up to the Maximum Return
of at least 60.00%. Assuming a hypothetical Maximum Return of 60.00%, an investor will realize the maximum payment at maturity at a Final
Value at or above 160.00% of the Initial Value.
| · | If the closing price of one share of the Fund increases 5.00%, investors
will receive at maturity a 5.00% return, or $1,050.00 per $1,000 principal amount note. |
| · | Assuming a hypothetical Maximum Return of 60.00%, if the closing price of one share of the Fund increases
80.00%, investors will receive at maturity a return equal to the 60.00% Maximum Return, or $1,600.00 per $1,000 principal amount note,
which is the maximum payment at maturity. |
Par Scenario:
If the Final Value is equal to the Initial Value or is
less than the Initial Value by up to the Buffer Amount of 20.00%, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Initial Value by
more than the Buffer Amount of 20.00%, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value
is less than the Initial Value by more than the Buffer Amount.
| · | For example, if the closing price of one share of the Fund declines
60.00%, 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 ×
(-60.00% + 20.00%)] = $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.
PS-3
| Structured Investments
Capped Buffered Equity Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
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 and product
supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the Final Value is less than the Initial Value by more than 20.00%, you will lose 1% of the principal amount of your notes for every
1% that the Final Value is less than the Initial Value by more than 20.00%. Accordingly, under these circumstances, you will lose up to
80.00% of your principal amount at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN, |
regardless of any appreciation
of the Fund, 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 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.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES HELD BY THE FUND OR HAVE
ANY RIGHTS WITH RESPECT TO THE FUND OR THOSE SECURITIES. |
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.
Risks Relating to Conflicts of Interest
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.
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 (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
PS-4
| Structured Investments
Capped Buffered Equity Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
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.
| · | 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 price of one share of the Fund. 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.
Risks Relating to the Fund
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management risk, which
is the risk that the investment strategies of the 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 the Fund
and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY
NOT CORRELATE WITH THE PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund does not fully replicate its Underlying
Index (as defined under “The Fund” below) and may hold securities different from those included in its Underlying Index. In
addition, the performance of the 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 the Fund and its Underlying Index.
In addition, corporate actions with respect to the equity securities underlying
PS-5
| Structured Investments
Capped Buffered Equity Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
the Fund (such as mergers and spin-offs) may impact the
variance between the performances of the Fund and its Underlying Index. Finally, because the shares of the Fund are traded on a securities
exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset
value per share of the Fund.
During periods of market volatility, securities
underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the
ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market
value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | RISKS ASSOCIATED WITH THE BANKING INDUSTRY — |
All or substantially all of the equity securities
held by the Fund are issued by companies whose primary line of business is directly associated with the banking industry. As a result,
the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory
occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers. The
performance of bank stocks may be affected by extensive governmental regulation, which may limit both the amounts and types of loans and
other financial commitments they can make, the interest rates and fees they can charge and the amount of capital they must maintain. Profitability
is largely dependent on the availability and cost of capital funds and can fluctuate significantly when interest rates change. Credit
losses resulting from financial difficulties of borrowers can negatively impact the banking companies. Banks may also be subject to severe
price competition. Competition among banking companies is high and failure to maintain or increase market share may result in lost market
share. These factors could affect the banking industry and could affect the value of the equity securities held by the Fund and the price
of the Fund during the term of the notes, which may adversely affect the value of your notes.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment
in response to all events that could affect the shares of the Fund. 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.
PS-6
| Structured Investments
Capped Buffered Equity Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
The Fund
The Fund is an exchange-traded fund of the SPDR®
Series Trust, a registered investment company, that seeks to provide investment results that, before fees and expenses, correspond generally
to the total return performance of an index derived from the regional banking segment of the U.S. banking industry, which we refer to
as the Underlying Index with respect to the Fund. The Underlying Index for the Fund is currently the S&P® Regional
Banks Select IndustryTM Index. The S&P® Regional Banks Select IndustryTM Index is a modified
equal-weighted index that is designed to measure the performance of the GICS® regional banks sub-industry of the S&P
Total Market Index. For additional information about the Fund, see “Fund Descriptions — The SPDR® S&P®
Industry ETFs” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the Fund based on the weekly historical closing prices of one share of the Fund from January 5, 2018 through May 26, 2023. The closing
price of one share of the Fund on May 31, 2023 was $38.97. We obtained the closing prices above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices above and below may have been adjusted by Bloomberg
for actions taken by the Fund, such as stock splits.
The historical closing prices of one share of the
Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
the Fund on the Pricing Date or the Observation Date. There can be no assurance that the performance of the Fund will result in the return
of any of your principal amount in excess of $200.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co.
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
PS-7
| Structured Investments
Capped Buffered Equity Notes Linked to the SPDR®
S&P 500® ETF Trust |
|
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 1, 2025 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 — 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” 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
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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 — 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 (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — 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” 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 Fund”
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.
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 and the accompanying product 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):
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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.
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