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 November 8, 2019.
Pricing
supplement
|
|
|
To
prospectus dated April 5, 2018,
prospectus
supplement dated April 5, 2018 and
product
supplement no. 4-I dated April 5, 2018
JPMorgan
Chase Financial Company LLC
|
Registration
Statement Nos. 333-222672 and 333-222672-01
Dated
November , 2019
Rule
424(b)(2)
|
|
Structured
Investments
|
$
Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation due November 25,
2020
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
|
|
|
|
General
|
●
|
The
notes are designed for investors who seek a Contingent Interest Payment if, (1) with
respect to any Review Date (other than the final Review Date), the closing price of one
share of the Reference Stock or, (2) with respect to the final Review Date, the Final
Stock Price is greater than or equal to 78.75% of the Initial Stock Price, which we refer
to as the Interest Barrier. Investors should be willing to forgo fixed interest and dividend
payments, in exchange for the opportunity to receive Contingent Interest Payments.
|
|
●
|
Investors
in the notes should be willing to accept the risk of losing some or all of their principal
if a Trigger Event (as defined below) has occurred and the risk that no Contingent Interest
Payment may be made with respect to some or all Review Dates. Contingent Interest Payments
should not be viewed as periodic interest payments.
|
|
●
|
If
the closing price of one share of the Reference Stock is greater than or equal to the
Interest Barrier on any Review Date, investors will receive, in addition to the Contingent
Interest Payment with respect to that Review Date, any previously unpaid Contingent Interest
Payments for prior Review Dates.
|
|
●
|
The
notes will be automatically called if the closing price of one share of the Reference
Stock on any Review Date (other than the final Review Date) is greater than or equal
to the Initial Stock Price. The earliest date on which an automatic call may be initiated,
is February 20, 2020.
|
|
●
|
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 $10,000 and integral multiples of $1,000 in excess thereof
|
Key
Terms
Issuer:
|
JPMorgan Chase Financial Company
LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
|
Guarantor:
|
JPMorgan Chase & Co.
|
Reference Stock:
|
The common stock of Microsoft Corporation, par
value $0.00000625 per share (Bloomberg Ticker: MSFT). We refer to Microsoft Corporation as “Microsoft.”
|
Contingent
Interest
Payments:
|
If the notes have not been automatically called
and (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference
Stock on that Review Date or (2) with respect to the final Review Date, the Final Stock Price is greater than or equal to
the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent
Interest Payment equal to at least $22.50* plus any previously unpaid Contingent Interest Payments for any prior Review
Dates.
|
|
If the Contingent Interest Payment is not paid
on any Interest Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the
closing price of one share of the Reference Stock on the Review Date related to that later Interest Payment Date is greater
than or equal to the Interest Barrier. You will not receive any unpaid Contingent Interest Payments if the closing price of
one share of the Reference Stock or the Final Stock Price, as applicable, on each subsequent Review Date is less than the
Interest Barrier.
|
|
*The actual Contingent Interest Payment
will be provided in the pricing supplement and will not be less than $22.50 per $1,000 principal amount note.
|
Interest
Barrier / Trigger
Level:
|
An amount that represents 78.75% of the Initial
Stock Price
|
Automatic Call:
|
If, with respect to any Review Date (other than
the final Review Date), the closing price of one share of the Reference Stock is greater than or equal to the
Initial Stock Price, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date plus (c) any previously
unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date.
|
Payment at Maturity:
|
If the notes have not been automatically called
and a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date plus(c)
any previously unpaid Contingent Interest Payments for any prior Review Dates.
|
|
If
the notes have not been automatically called and a Trigger Event has occurred, at maturity you will lose
1% of the principal amount of your notes for every 1% that the Final Stock Price is less than the Initial Stock Price.
Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000
+ ($1,000 x Stock Return)
|
|
If the notes have not been automatically called
and a Trigger Event has occurred, you will lose more than 21.25% of the principal amount of your notes at maturity and could
lose all of the principal amount of your notes at maturity.
|
Trigger Event:
|
A Trigger Event occurs if the Final Stock Price
(i.e., the arithmetic averaging of the closing prices of one share of the Reference Stock on the Ending Averaging Dates)
is less than the Trigger Level.
|
Stock Return:
|
(Final Stock Price – Initial Stock Price)
|
|
Initial
Stock Price
|
Initial Stock Price:
|
The closing price of one share of the Reference
Stock on the Pricing Date
|
Final Stock Price:
|
The arithmetic average of the closing prices of
one share of the Reference Stock on the Ending Averaging Dates
|
Stock Adjustment Factor:
|
The Stock Adjustment Factor is referenced in determining
the closing price of one share of the Reference Stock and is set initially at 1.0 on the Pricing Date. The Stock Adjustment
Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The
Underlyings —Reference Stocks— Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks
— Reorganization Events” in the accompanying product supplement for further information.
|
Pricing Date:
|
On or about November 8, 2019
|
Original Issue Date (Settlement Date):
|
On or about November 14, 2019
|
Review Dates†:
|
February 20, 2020, May 21, 2020, August 20, 2020
and November 20, 2020 (final Review Date)
|
Ending Averaging Dates†:
|
November 16, 2020, November 17, 2020, November
18, 2020, November 19, 2020 and the final Review Date
|
Interest Payment Dates†:
|
February 25, 2020, May 27, 2020, August 25, 2020
and the Maturity Date
|
Call Settlement Date†:
|
If the notes are automatically called on any Review
Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date
|
Maturity Date†:
|
November 25, 2020
|
CUSIP:
|
48132FM52
|
Other Key Terms:
|
See “Additional Key Terms” in this
pricing supplement
|
†
|
Subject to postponement in
the event of certain market disruption events and as described under “General Terms of Notes — Postponement of
a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a
Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement.
|
Investing
in the notes involves a number of risks. See “Risk Factors” beginning on page PS-10 of the accompanying product supplement
and “Selected Risk Considerations” beginning on page PS-5 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, 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 $10.00 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 $983.00 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 $970.00 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.
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. 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” section of 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):
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.
|
JPMorgan Structured Investments -
|
PS - 1
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation
What
Are the Payments on the Notes, Assuming a Range of Performances for the Reference Stock?
If the
notes have not been automatically called and, (1) with respect to any Review Date (other than the final Review Date), the closing
price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is greater than
or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note
a Contingent Interest Payment equal to at least $22.50 plus any previously unpaid Contingent Interest Payments for any prior Review
Dates. The actual Contingent Interest Payment will be provided in the pricing supplement and will not be less than $22.50 per
$1,000 principal amount note. If, (1) with respect to any Review Date (other than the final Review Date), the closing price of
one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than the Interest
Barrier, no Contingent Interest Payment will be made with respect to that Review Date. We refer to the Interest Payment Date immediately
following any Review Date on which the closing price of one share of the Reference Stock or Final Stock Price, as applicable,
is less than the Interest Barrier as a “No-Coupon Date.” The following table assumes a Contingent Interest Payment
of $22.50 per $1,000 principal amount note and illustrates the hypothetical total Contingent Interest Payments per $1,000 principal
amount note over the term of the notes depending on how many No-Coupon Dates occur.
Number
of
No-Coupon Dates
|
Total
Contingent Coupon
Payments
|
0
No-Coupon Dates
|
$90.00
|
1
No-Coupon Date
|
$67.50
|
2
No-Coupon Dates
|
$45.00
|
3
No-Coupon Dates
|
$22.50
|
4
No-Coupon Dates
|
$0.00
|
The following
table illustrates the hypothetical payments on the notes in different hypothetical scenarios. Each hypothetical payment set forth
below assumes an Initial Stock Price of $150, an Interest Barrier and a Trigger Level of $118.125 (equal to 78.75% of the hypothetical
Initial Stock Price) and a Contingent Interest Payment of $22.50. The actual Contingent Interest Payment will be provided in the
pricing supplement and will not be less than $22.50 per $1,000 principal amount note. Each hypothetical payment set forth below
is for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following table and examples have been rounded for ease of analysis.
Review
Dates Prior to the Final Review
Date
|
Final
Review Date
|
Closing
Price of One
Share of the
Reference
Stock
|
Appreciation
/
Depreciation
of the
Reference
Stock at
Review Date
|
Payment
on
Interest
Payment
Date or Call
Settlement
Date (1)(2)
|
Final
Stock
Price
|
Appreciation
/
Depreciation
of the
Reference
Stock at
Final Review
Date
|
Payment
at
Maturity If a
Trigger
Event Has
Not
Occurred
(2)(3)
|
Payment
at
Maturity If a
Trigger
Event Has
Occurred (3)
|
$270.000
|
80.00%
|
$1,022.50
|
$270.000
|
80.00%
|
$1,022.50
|
N/A
|
$255.000
|
70.00%
|
$1,022.50
|
$255.000
|
70.00%
|
$1,022.50
|
N/A
|
$240.000
|
60.00%
|
$1,022.50
|
$240.000
|
60.00%
|
$1,022.50
|
N/A
|
$225.000
|
50.00%
|
$1,022.50
|
$225.000
|
50.00%
|
$1,022.50
|
N/A
|
$210.000
|
40.00%
|
$1,022.50
|
$210.000
|
40.00%
|
$1,022.50
|
N/A
|
$195.000
|
30.00%
|
$1,022.50
|
$195.000
|
30.00%
|
$1,022.50
|
N/A
|
$187.500
|
25.00%
|
$1,022.50
|
$187.500
|
25.00%
|
$1,022.50
|
N/A
|
$180.000
|
20.00%
|
$1,022.50
|
$180.000
|
20.00%
|
$1,022.50
|
N/A
|
$172.500
|
15.00%
|
$1,022.50
|
$172.500
|
15.00%
|
$1,022.50
|
N/A
|
$165.000
|
10.00%
|
$1,022.50
|
$165.000
|
10.00%
|
$1,022.50
|
N/A
|
$157.500
|
5.00%
|
$1,022.50
|
$157.500
|
5.00%
|
$1,022.50
|
N/A
|
$150.000
|
0.00%
|
$1,022.50
|
$150.000
|
0.00%
|
$1,022.50
|
N/A
|
$142.500
|
-5.00%
|
$22.50
|
$142.500
|
-5.00%
|
$1,022.50
|
N/A
|
$135.000
|
-10.00%
|
$22.50
|
$135.000
|
-10.00%
|
$1,022.50
|
N/A
|
$127.500
|
-15.00%
|
$22.50
|
$127.500
|
-15.00%
|
$1,022.50
|
N/A
|
$120.000
|
-20.00%
|
$22.50
|
$120.000
|
-20.00%
|
$1,022.50
|
N/A
|
$118.125
|
-21.25%
|
$22.50
|
$118.125
|
-21.25%
|
$1,022.50
|
N/A
|
$118.110
|
-21.26%
|
N/A
|
$118.110
|
-21.26%
|
N/A
|
$787.40
|
$112.500
|
-25.00%
|
N/A
|
$112.500
|
-25.00%
|
N/A
|
$750.00
|
$105.000
|
-30.00%
|
N/A
|
$105.000
|
-30.00%
|
N/A
|
$700.00
|
$90.000
|
-40.00%
|
N/A
|
$90.000
|
-40.00%
|
N/A
|
$600.00
|
$75.000
|
-50.00%
|
N/A
|
$75.000
|
-50.00%
|
N/A
|
$500.00
|
$60.000
|
-60.00%
|
N/A
|
$60.000
|
-60.00%
|
N/A
|
$400.00
|
$45.000
|
-70.00%
|
N/A
|
$45.000
|
-70.00%
|
N/A
|
$300.00
|
$30.000
|
-80.00%
|
N/A
|
$30.000
|
-80.00%
|
N/A
|
$200.00
|
$15.000
|
-90.00%
|
N/A
|
$15.000
|
-90.00%
|
N/A
|
$100.00
|
$0.000
|
-100.00%
|
N/A
|
$0.000
|
-100.00%
|
N/A
|
$0.00
|
|
JPMorgan Structured Investments -
|
PS - 2
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation
|
(1)
|
The
notes will be automatically called if the closing price of one share of the Reference
Stock on any Review Date (other than the final Review Date) is greater than or equal
to the Initial Stock Price.
|
|
(2)
|
You
will receive a Contingent Interest Payment in connection with a Review Date if, (1) with
respect to any Review Date (other than the final Review Date), the closing price of one
share of the Reference Stock or, (2) with respect to the final Review Date, the Final
Stock Price is greater than or equal to the Interest Barrier plus any previously
unpaid Contingent Interest Payments for any prior Review Dates. The applicable amount
shown in the table above does not include any previously unpaid Contingent Interest Payments
that may be payable on the applicable Interest Payment Date.
|
|
(3)
|
A
Trigger Event occurs if the Final Stock Price (i.e., the arithmetic average of
the closing prices of one share of the Reference Stock on the Ending Averaging Dates)
is less than the Trigger Level.
|
Hypothetical
Examples of Amounts Payable on the Notes
The following
examples illustrate how payments on the notes in different hypothetical scenarios are calculated.
Example
1: The price of one share of the Reference Stock increases from the Initial Stock Price of $150 to a closing level of $180 on
the first Review Date. Because the closing price of one share of the Reference Stock on the first Review Date is greater than
the Interest Barrier, the investor is entitled to receive a Contingent Interest Payment in connection with the first Review Date.
In addition, because the closing price of one share of the Reference Stock on the first Review Date is greater than the Initial
Stock Price, the notes are automatically called. Accordingly, the investor receives a payment of $1,022.50 per $1,000 principal
amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $22.50 per $1,000 principal amount
note and repayment of principal equal to $1,000 per $1,000 principal amount note.
Example
2: A Contingent Interest Payment is not paid in connection with the first Review Date but is paid in connection with the second
Review Date, the closing price of one share of the Reference Stock is less than the Initial Stock Price of $150 on each of the
Review Dates preceding the third Review Date and the price of one share of the Reference Stock increases from the Initial Stock
Price of $150 to a closing price of $180 on the third Review Date. The investor receives a payment of $45.00 per $1,000 principal
amount note in connection with the second Review Date (reflecting the Contingent Interest Payment for the second Review Date and
the unpaid Contingent Interest Payment for the first Review Date), but the notes are not automatically called on any of the Review
Dates preceding the third Review Date because the closing price of one share of the Reference Stock is less than the Initial Stock
Price on each of the Review Dates preceding the third Review Date. Because the closing price of one share of the Reference Stock
on the third Review Date is greater than the Interest Barrier, the investor is entitled to receive a Contingent Interest Payment
in connection with the third Review Date. In addition, because the closing price of one share of the Reference Stock on the third
Review Date is greater than the Initial Stock Price, the notes are automatically called. Accordingly, the investor receives
a payment of $1,022.50 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest
Payment of $22.50 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note.
As a result, the total amount paid on the notes over the term of the notes is $1,067.50 per $1,000 principal amount note.
Example
3: The notes are not automatically called prior to maturity, Contingent Interest Payments are paid in connection with each of
the Review Dates preceding the final Review Date and the price of one share of the Reference Stock increases from the Initial
Stock Price of $150 to a Final Stock Price of $180 — A Trigger Event has not occurred. The investor receives a payment
of $22.50 per $1,000 principal amount note in connection with each of the Review Dates preceding the final Review Date. Because
the notes are not automatically called prior to maturity and a Trigger Event has not occurred, the investor receives at maturity
a payment of $1,022.50 per $1,000 principal amount note. This payment consists of a Contingent Interest Payment of $22.50 per
$1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total amount paid
on the notes over the term of the notes is $1,090.00 per $1,000 principal amount note. This represents the maximum total
payment an investor may receive over the term of the notes.
Example
4: The notes are not automatically called prior to maturity, a Contingent Interest Payment is paid in connection with the second
Review Date but not paid in connection with the first or third Review Dates and the price of one share of the Reference Stock
decreases from the Initial Stock Price of $150 to a Final Stock Price of $119 — A Trigger Event has not occurred. The
investor receives a payment of $45.00 per $1,000 principal amount note in connection with the second Review Date (reflecting the
Contingent Interest Payment for the second Review Date and the unpaid Contingent Interest Payment for the first Review Date).
Because the notes are not automatically called prior to maturity and a Trigger Event has not occurred, even though the Final Stock
Price is less than the Initial Stock Price, the investor receives at maturity a payment of $1,045.00 per $1,000 principal amount
note. This payment consists of Contingent Interest Payments of $45.00 per $1,000 principal amount note (reflecting the Contingent
Interest Payment for the final Review Date and the unpaid Contingent Interest Payment for the third Review Date) and repayment
of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of the notes is
$1,090.00 per $1,000 principal amount note. This represents the maximum total payment an investor may receive over the term
of the notes.
Example
5: The notes are not automatically called prior to maturity, Contingent Interest Payments are paid in connection with each of
the Review Dates preceding the final Review Date and the price of one share of the Reference Stock decreases from the Initial
Stock Price of $150 to a Final Stock Price of $60 — A Trigger Event has occurred. The investor receives a payment of
$22.50 per $1,000 principal amount note in connection with each of the Review Dates preceding the final Review Date. Because the
notes are not automatically called prior to maturity, a Trigger Event has occurred and the Stock Return is -60%, the investor
receives a payment at maturity of $400 per $1,000 principal amount note, calculated as follows:
$1,000
+ ($1,000 × -60%) = $400
|
JPMorgan Structured Investments -
|
PS - 3
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation
The total
value of the payments on the notes over the term of the notes is $467.50 per $1,000 principal amount note.
Example
6: The notes are not automatically called prior to maturity, no Contingent Interest Payments are paid in connection with the Review
Dates preceding the final Review Date and the price of one share of the Reference Stock decreases from the Initial Stock Price
of $150 to a Final Stock Price of $45 — A Trigger Event has occurred. Because the notes are not automatically called
prior to maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date,
a Trigger Event has occurred and the Stock Return is -70%, the investor receives no payments over the term of the notes, other
than a payment at maturity of $300 per $1,000 principal amount note, calculated as follows:
$1,000
+ ($1,000 × -70%) = $300
The hypothetical
payments on the notes shown above apply only if you hold the notes for their entire term or until automatically called. 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 payments shown above would likely be lower.
Selected
Purchase Considerations
|
●
|
CONTINGENT
INTEREST PAYMENTS — The notes offer the potential to earn a Contingent Interest
Payment in connection with each Review Date of at least $22.50* per $1,000 principal
amount note. If the notes have not been automatically called and, (1) with respect to
any Review Date (other than the final Review Date), the closing price of one share of
the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price
is greater than or equal to the Interest Barrier, you will receive on the applicable
Interest Payment Date a Contingent Interest Payment for that Review Date plus
any previously unpaid Contingent Interest Payments for any prior Review Dates. If, (1)
with respect to any Review Date (other than the final Review Date), the closing price
of one share of the Reference Stock or, (2) with respect to the final Review Date, the
Final Stock Price is less than the Contingent Interest Barrier, no Contingent Interest
Payment will be made with respect to that Review Date. You will not receive any unpaid
Contingent Interest Payments if the closing price of one share of the Reference Stock
or the Final Stock Price, as applicable, on each subsequent Review Date is less than
the Interest Barrier. If the closing price of one share of the Reference Stock or the
Final Stock Price, as applicable, on each Review Date is less than the Interest Barrier,
you will not receive any Contingent Interest Payments over the term of the notes. If
payable, a Contingent Interest Payment will be made to the holders of record at the close
of business on the business day immediately preceding the applicable Interest Payment
Date. Because the notes are our unsecured and unsubordinated obligations, the payment
of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment
of any amount on the notes is subject to our ability to pay our obligations as they become
due and JPMorgan Chase & Co.’s ability to pay its obligations as they become
due.
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* The actual Contingent
Interest Payment will be provided in the pricing supplement and will not be less
than $22.50 per $1,000 principal amount note.
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POTENTIAL
EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE — If the closing price
of one share of the Reference Stock on any Review Date (other than the final Review Date)
is greater than or equal to the Initial Stock Price, your notes will be automatically
called prior to the Maturity Date. Under these circumstances, you will receive a cash
payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the
Contingent Interest Payment applicable to that Review Date plus (c) any previously unpaid
Contingent Interest Payments for any prior Review Dates, payable on the applicable Call
Settlement Dates. Even in cases where the notes are called before maturity, you are not
entitled to any fees and commissions described on the front cover of this pricing supplement.
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THE
NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY
CALLED — If the notes have not been automatically called, we will pay you your
principal back at maturity only if a Trigger Event has not occurred. However, if the
notes have not been automatically called and a Trigger Event has occurred, you will lose
some or all of the principal amount of your notes at maturity.
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RETURN
LINKED TO A SINGLE REFERENCE STOCK — The return on the notes is linked to the
performance of a single Reference Stock, which is the common stock of Microsoft. For
additional information see “The Reference Stock” in this pricing supplement.
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TAX
TREATMENT — You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no.
4-I. In determining our reporting responsibilities we intend to treat (i) the notes for
U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in
the section entitled “Material U.S. Federal Income Tax Consequences — Tax
Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with
Associated Contingent Coupons” in the accompanying product supplement. Based on
the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that
this is a reasonable treatment, but that there are other reasonable treatments that the
IRS or a court may adopt, in which case the timing and character of any income or loss
on the notes could be materially 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 and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. 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
affect the tax consequences of an investment in the notes, possibly with retroactive
effect. The discussions above and in the accompanying product supplement do not address
the consequences to taxpayers subject to special tax accounting rules under Section 451(b)
of the Code. You should consult your tax adviser
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JPMorgan Structured Investments -
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PS - 4
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation
regarding
the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues
presented by the notice described above.
Non-U.S.
Holders — Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain,
and although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances.
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 (such an index, a “Qualified Index”). Additionally, a recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 2021 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.
FATCA.
Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the notes
that are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for
U.S. federal income tax purposes (such as interest, if the notes are recharacterized, in whole or in part, as debt instruments,
or Contingent Interest Payments if they are otherwise treated as FDAP Income). If the notes are recharacterized, in whole or in
part, as debt instruments, withholding could also apply to payments of gross proceeds of a taxable disposition, including an early
redemption or redemption at maturity, although under recently proposed regulations (the preamble to which specifies that taxpayers
are permitted to rely on them pending finalization), no withholding will apply to payments of gross proceeds (other than any amount
treated as FDAP Income). You should consult your tax adviser regarding the potential application of FATCA to the notes.
In
the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Reference Stock.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement.
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YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any
return of principal. If the notes have not been automatically called and a Trigger Event
has occurred, you will lose 1% of the principal amount of your notes at maturity for
every 1% that the Final Stock Price is less than the Initial Stock Price. Under these
circumstances, you will lose more than 21.25% of your principal amount at maturity and
could lose all of the principal amount of your notes at maturity.
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THE
NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
The terms of the notes differ from those of conventional debt securities in that,
among other things, whether we pay interest is linked to the performance of the Reference
Stock. Contingent Interest Payments should not be viewed as periodic interest payments.
If the notes have not been automatically called and if, (1) with respect to any Review
Date (other than the final Review Date), the closing price of one share of the Reference
Stock or, (2) with respect to the final Review Date, the Final Stock Price is greater
than or equal to the Interest Barrier, we will make a Contingent Interest Payment with
respect to that Review Date (and will pay you any previously unpaid Contingent Interest
Payments for any prior Review Dates). If, (1) with respect to any Review Date (other
than the final Review Date), the closing price of one share of the Reference Stock or,
(2) with respect to the final Review Date, the Final Stock Price is less than the Contingent
Interest Barrier, no Contingent Interest Payment will be made with respect to that Review
Date. You will not receive any unpaid Contingent Interest Payments if the closing price
of one share of the Reference Stock or the Final Stock Price, as applicable, on each
subsequent Review Date is less than the Interest Barrier. Accordingly, if, (1) with respect
to any Review Date (other than the final Review Date), the closing price of one share
of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock
Price is less than the Interest Barrier, you will not receive any Contingent Interest
Payments over the term of the notes.
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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
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JPMorgan Structured Investments -
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PS - 5
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation
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.
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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.
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THE
AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — If the notes are
automatically called, the amount of Contingent Interest Payments made on the notes may
be less than the amount of Contingent Interest Payments that might have been payable
if the notes were held to maturity, and, for each $1,000 principal amount note, you will
receive on the applicable Call Settlement Date $1,000 plus the Contingent Interest
Payment applicable to the relevant Review Date plus any previously unpaid Contingent
Interest Payments for any prior Review Dates.
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REINVESTMENT
RISK — If your notes are automatically called, the term of the notes may be
reduced to as short as approximately three months and you will not receive any Contingent
Interest Payments after the applicable Call Settlement Date. There is no guarantee that
you would be able to reinvest the proceeds from an investment in the notes at a comparable
return and/or with a comparable interest rate for a similar level of risk in the event
the notes are automatically called prior to the Maturity Date.
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THE
APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION
OF THE REFERENCE STOCK — The appreciation potential of the notes is limited
to the sum of any Contingent Interest Payments that may be paid over the term of the
notes, regardless of any appreciation of the Reference Stock, which may be significant.
You will not participate in any appreciation of the Reference Stock. Accordingly, the
return on the notes may be significantly less than the return on a direct investment
in the Reference Stock during the term of the notes.
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POTENTIAL
CONFLICTS — 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 when
the terms of the notes are set, which we refer to as the estimated value of the notes.
In performing these duties, our and JPMorgan Chase & Co.’s economic interests
and the economic interests of the calculation agent and other affiliates of ours are
potentially adverse to your interests as an investor in the notes. In addition, our and
JPMorgan Chase & Co.’s business activities, including hedging and trading activities,
could cause our and JPMorgan Chase & Co.’s economic interests to be adverse
to yours and could adversely affect any payment on the 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. Please refer to “Risk Factors — Risks Relating
to Conflicts of Interest” in the accompanying product supplement for additional
information about these risks.
We and/or our affiliates may also currently or from time to time engage in business with
Microsoft, including extending loans to, or making equity investments in, Microsoft or
providing advisory services to Microsoft. In addition, one or more of our affiliates
may publish research reports or otherwise express opinions with respect to Microsoft,
and these reports may or may not recommend that investors buy or hold the Reference Stock.
As a prospective purchaser of the notes, you should undertake an independent investigation
of the Reference Stock issuer that in your judgment is appropriate to make an informed
decision with respect to an investment in the notes.
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THE
BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE
— If the Final Stock Price is less than the Trigger Level and the notes have
not been automatically called, the benefit provided by the Trigger Level will terminate
and you will be fully exposed to any depreciation of the Reference Stock.
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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.
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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 “The Estimated Value of the Notes” in this pricing supplement.
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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
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JPMorgan Structured Investments -
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PS - 6
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation
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.
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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 “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).
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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 “— Lack of
Liquidity” below.
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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 Reference Stock, including:
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any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads;
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customary
bid-ask spreads for similarly sized trades;
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our
internal secondary market funding rates for structured debt issuances;
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the
actual and expected volatility of the Reference Stock;
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the
time to maturity of the notes;
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whether
the closing price of one share of the Reference Stock or Final Stock Price, as applicable,
has been, or is expected to be, less than the Interest Barrier on any Review Date and
whether a Trigger Event is expected to occur;
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the
likelihood of an automatic call being triggered;
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the
dividend rate on the Reference Stock;
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interest
and yield rates in the market generally;
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the
occurrence of certain events affecting the issuer of the Reference Stock that may or
may not require an adjustment to the Stock Adjustment Factor, including a merger or acquisition;
and
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a
variety of other economic, financial, political, regulatory and judicial events.
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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.
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NO
OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK— As a holder of the notes,
you will not have any ownership interest or rights in the Reference Stock, such as voting
rights or dividend payments. In addition, the issuer of the Reference Stock 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 Reference Stock and the notes.
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NO
AFFILIATION WITH THE REFERENCE STOCK ISSUER — We are not affiliated with the
issuer of the Reference Stock. We assume no responsibility for the adequacy of the information
about the Reference Stock issuer contained in this pricing supplement. You should undertake
your own investigation into the Reference Stock and its issuer. We are not responsible
for the Reference Stock issuer’s public disclosure of information, whether contained
in SEC filings or otherwise.
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SINGLE
STOCK RISK — The price of the Reference Stock can fall sharply due to factors
specific to the Reference Stock and its issuer, such as stock price volatility, earnings,
financial conditions, corporate, industry and regulatory developments, management changes
and decisions and other events, as well as general market factors, such as general stock
market volatility and levels, interest rates and economic and political conditions.
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VOLATILITY
RISK — Greater expected volatility with respect to the Reference Stock indicates
a greater likelihood as of the Pricing Date that the closing price of one share of the
Reference Stock or the Final Stock Price, as applicable, could be below the Interest
Barrier on any Review Date or below the Trigger Level on the Final Review Date. The Reference
Stock’s volatility, however, can change significantly over the term of the notes.
The price of one share of the Reference Stock could fall sharply at any time during the
term of the notes, which could result in the loss of one or more, or all, Contingent
Interest Payments or a significant loss of principal.
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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
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PS - 7
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation
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.
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THE
ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY
— The calculation agent will make adjustments to the Stock Adjustment Factor
for certain corporate events affecting the Reference Stock. However, the calculation
agent will not make an adjustment in response to all events that could affect the Reference
Stock. 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. You should also be aware
that the calculation agent may make adjustments in response to events that are not described
in the accompanying product supplement to account for any diluting or concentrative effect,
but the calculation agent is under no obligation to do so or to consider your interests
as a holder of the notes in making these determinations.
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THE
FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE 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 pricing supplement. In particular,
each of the estimated value of the notes and the Contingent Interest Payment will be
provided in the pricing supplement and each may be as low as the applicable minimum set
forth on the cover of this pricing supplement. Accordingly, you should consider your
potential investment in the notes based on the minimums for the estimated value of the
notes and the Contingent Interest Payment.
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JPMorgan Structured Investments -
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PS - 8
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation
The
Reference Stock
Public
Information
All information
contained herein on the Reference Stock and on Microsoft is derived from publicly available sources and is provided for informational
purposes only. According to its publicly available filings with the SEC, Microsoft Corporation develops, licenses and supports
a range of software products, services and devices. The common stock of Microsoft, par value $0.00000625 per share (Bloomberg
ticker: MSFT), is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and
is listed on The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of Microsoft in the accompanying
product supplement. Information provided to or filed with the SEC by Microsoft pursuant to the Exchange Act can be located by
reference to SEC file number 000-14278, and can be accessed through www.sec.gov. We do
not make any representation that these publicly available documents are accurate or complete.
Historical
Information Regarding the Reference Stock
The following
graph sets forth the historical performance of the Reference Stock based on the weekly historical closing prices of one share
of the Reference Stock from January 3, 2014 through November 1, 2019. The closing price of one share of the Reference Stock on
November 7, 2019 was $144.26. We obtained the closing prices above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices may have been adjusted by Bloomberg for
corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical
closing prices of one share of the Reference Stock 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 Reference Stock on the Pricing Date, any Ending Averaging Date or any
Review Date, including the final Review Date. There can be no assurance that the performance of the Reference Stock will result
in the return of any of your principal amount at maturity or the payment of any interest.
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Historical
Performance of Microsoft Corporation
Source:
Bloomberg
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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.
See “Selected Risk Considerations — The Estimated Value of the Notes Does Not Represent Future Values of the Notes
and May Differ from Others’ Estimates” in this pricing supplement.
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation
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. We or one or more of our affiliates will retain
any profits realized in hedging our obligations under the notes. 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 “Selected Risk Considerations — Secondary
Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in 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 an initial predetermined
period that 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.
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.
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 “What Are the Payments on the Notes, Assuming a Range of Performances for the Reference Stock?” and “Hypothetical
Examples of Amounts Payable on the Notes” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Reference Stock” 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.
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JPMorgan Structured Investments -
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PS - 10
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Microsoft Corporation
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