Feed to the latest filings at the SEC
Date Filed : Jun 23, 2022
The information in this preliminary pricing supplement isnot complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these notesin any jurisdiction where the offer or sale is not permitted.
Filed Pursuant to Rule 424(b)(2) Registration Statement Nos. 333-236659 and 333-236659-01 Dated June , 2022
JPMorgan Chase Financial Company LLC Trigger AutocallableContingent Yield Notes
Linked to the common stock of The Boeing Company dueon or about June 27, 2023
Fully and Unconditionally Guaranteed by JPMorganChase & Co.
q Automatically Callable: JPMorgan Financial will automatically call the Notes and pay you the principal amount plus the Contingent Coupon otherwise due for a quarterly Observation Date if the closing price of one share of the Underlying on that quarterly Observation Date is equal to or greater than the Initial Value. No further payments will be made on the Notes. If the Notes are not called, investors will have the potential for downside equity market risk at maturity.
q Contingent Coupon: If the closing price of one share of the Underlying on a quarterly Observation Date (including the Final Valuation Date) is equal to or greater than the Coupon Barrier, JPMorgan Financial will make a Contingent Coupon payment with respect to that Observation Date. Otherwise, no coupon will be payable with respect to that Observation Date.
q Downside Exposure with Contingent Repayment of Principal Amount at Maturity: If by maturity the Notes have not been called and the Underlying closes at or above the Downside Threshold on the Final Valuation Date, JPMorgan Financial will pay you the principal amount per Note at maturity, in addition to the Contingent Coupon. If by maturity the Notes have not been called and the Underlying closes below the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate to the decline in the price of one share of the Underlying from the Initial Value to the Final Value. The contingent repayment of principal applies only if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.
THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE 7 OF THIS PRICING SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING ON PAGE S-2 OF THE ACCOMPANYING PROSPECTUS SUPPLEMENT, AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-12 OF THE ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
Common stock of The Boeing Company
(Bloomberg ticker: BA)
*The Initial Value is the closing price of one share of theUnderlying on June 22, 2022 and is not the closing price of one share of the Underlying on the Trade Date.
See “Additional Information about JPMorgan Financial,JPMorgan Chase & Co. and the Notes” in this pricing supplement. The Notes will have the terms specified in the prospectus andthe prospectus supplement, each dated April 8, 2020, product supplement no. UBS-1-II dated November 4, 2020 and this pricing supplement.The terms of the Notes as set forth in this pricing supplement, to the extent they differ or conflict with those set forth in the accompanyingproduct supplement, will supersede the terms set forth in that product 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 pricingsupplement or the accompanying prospectus, the accompanying prospectus supplement and the accompanying product supplement. Any representationto the contrary is a criminal offense.
If the Notes priced today and assuming a Contingent CouponRate equal to the minimum Contingent Coupon Rate listed above, the estimated value of the Notes would be approximately $9.692 per $10principal amount Note. The estimated value of the Notes, when the terms of the Notes are set, will be provided in the pricing supplementand will not be less than $9.30 per $10 principal amount Note. See “The Estimated Value of the Notes” in this pricingsupplement for additional information.
The Notes are not bank deposits, are not insured by theFederal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
AdditionalInformation about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
You may revoke your offer to purchase the Notes at any timeprior to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or reject any offerto 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 willbe asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may rejectyour offer to purchase.
You should read this pricing supplement together with the accompanyingprospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these Notesare a part, and the more detailed information contained in the accompanying product supplement. This pricing supplement, together withthe documents listed below, contains the terms of the Notes and supersedes all other prior or contemporaneous oral statements as wellas 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 productsupplement, as the Notes involve risks not associated with conventional debt securities.
You may access these documents on the SEC website at www.sec.govas 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, the “Issuer,” “JPMorgan Financial,”“we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
SupplementalTerms of the Notes
For purposes of the accompanying product supplement, the common stockof The Boeing Company is an “Underlying Stock.”
The Notes may be suitable for you if, among other considerations:
The Notes may not be suitable for you if, among other considerations:
The suitability considerations identified above are not exhaustive.Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investmentdecision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability of aninvestment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks” sectionof this pricing supplement and the “Risk Factors” sections of the accompanying prospectus supplement and the accompanyingproduct supplement for risks related to an investment in the Notes. For more information on the Underlying, please see the section titled“The Underlying” below.
If the closing price2 of the Underlying is equal to or greater than the Coupon Barrier on any Observation Date, we will pay you the Contingent Coupon for that Observation Date on the relevant Coupon Payment Date.
If the closing price2 of one share of the Underlying is less than the Coupon Barrier on any Observation Date, the Contingent Coupon for that Observation Date will not accrue or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
Each Contingent Coupon will be a fixed amount based on equal quarterly installments at the Contingent Coupon Rate, which is a per annum rate. You should be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the bottom of the range set forth in “Contingent Coupon Rate” below.
Contingent Coupon payments on the Notes are not guaranteed. We will not pay you the Contingent Coupon for any Observation Date on which the closing price of one share of the Underlying is less than the Coupon Barrier.
Contingent Coupon payments
If the Notes are not automatically called and the Final Value is equal to or greater than the Downside Threshold, we will pay you a cash payment at maturity per $10 principal amount Note equal to $10 plus the Contingent Coupon otherwise due on the Maturity Date.
If the Notes are not automatically called and the Final Value is less than the Downside Threshold, we will pay you a cash payment at maturity that is less than $10 per $10 principal amount Note resulting in a loss on your principal amount proportionate to the negative Underlying Return, equal to:
$10 × (1 + Underlying Return)
Final Value – Initial Value
(June 23, 2022)
If the closing price of one share of the Underlying is equal to or greater than the Coupon Barrier on any Observation Date, JPMorgan Financial will pay you a Contingent Coupon on the Coupon Payment Date.
The Notes will also be called if the closing price of one share of the Underlying on any Observation Date is equal to or greater than the Initial Value. If the Notes are called, JPMorgan Financial will pay you a cash payment per Note equal to the principal amount plus the Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes.
The Final Value is determined as of the Final Valuation Date.
If the Notes have not been called and the Final Value is equal to or greater than the Downside Threshold, at maturity JPMorgan Financial will repay the principal amount equal to $10.00 per Note plus the Contingent Coupon otherwise due on the Maturity Date.
If the Notes have not been called and the Final Value is less than the Downside Threshold, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount proportionate to the decline of the Underlying, equal to a return of:
$10 × (1 + Underlying Return) per Note
ObservationDates and Coupon Payment Dates
Each of the Observation Dates, and thereforethe Coupon Payment Dates, is subject to postponement in the event of a market disruption event and as described under “General Termsof 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 accompanyingproduct supplement.
WhatAre the Tax Consequences of the Notes?
You should review carefully the section entitled “Material U.S.Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-II. In determining our reporting responsibilitieswe intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent couponsand (ii) any Contingent Coupons 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 thatthis is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt.
Sale, Exchange or Redemption of a Note. Assuming the treatmentdescribed above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity), you shouldrecognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes,which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated as ordinary income, consistentwith the position referred to above). This gain or loss should be short-term capital gain or loss, whether or not you are an initial purchaserof the Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes between the timeyour right to a Contingent Coupon is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary incomeequal to the Contingent Coupon. Although uncertain, it is possible that proceeds received from the sale or exchange of your Notes priorto an Observation Date but that can be attributed to an expected Contingent Coupon payment could be treated as ordinary income. You shouldconsult your tax adviser regarding this issue.
As described above, there are other reasonable treatments that theIRS 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 forwardcontracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrueincome over the term of their investment. It also asks for comments on a number of related topics, including the character of income orloss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the instrumentsare linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or otherguidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the Notes, possiblywith retroactive effect. The discussions above and in the accompanying product supplement do not address the consequences to taxpayerssubject to special tax accounting rules under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federalincome tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by the noticedescribed above.
Non-U.S. Holders — Tax Considerations.The U.S. federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a positionthat Contingent Coupons are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agentmay nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an applicableincome 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 Statesperson, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Notes inlight of your particular circumstances.
Section871(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 financialinstruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, includingfor 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) instrumentsissued prior to January 1, 2023 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividendsfor U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, we expect that Section 871(m) willnot apply to the Notes with regard to Non-U.S. Holders. Ourdetermination 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 Section871(m) will be provided in the pricing supplement for the Notes. Youshould consult your tax adviser regarding the potential application of Section 871(m) to the Notes.
In the event of any withholding on the Notes, wewill not be required to pay any additional amounts with respect to amounts so withheld.
An investment in the Notes involves significant risks. Investing inthe Notes is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk Factors”sections of the accompanying prospectus supplement and the accompanying product supplement. We also urge you to consult your investment,legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
Downside Threshold on the Final ValuationDate, resulting in the loss of a significant portion or all of your principal at maturity. In addition, the economic terms of theNotes, including the Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold, are based, in part, on the expected volatilityof the Underlying at the time the terms of the Notes are set, where a higher expected volatility will generally be reflected in a higherContingent Coupon Rate than the fixed rate we would pay on conventional debt securities of the same maturity and/or on otherwise comparablesecurities and/or a lower Coupon Barrier and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly,a higher Contingent Coupon Rate will generally be indicative of a greater risk of loss while a lower Coupon Barrier or Downside Thresholddoes not necessarily indicate that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principalat maturity. You should be willing to accept the downside market risk of the Underlying and the potential loss of some or all ofyour principal at maturity.
Risks Relating to Conflictsof Interest
Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes
The Notes are not designed to be short-termtrading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See “— Risks Relating tothe Notes Generally — Lack of Liquidity” above.
Additionally, independent pricing vendorsand/or third party broker-dealers may publish a price for the Notes, which may also be reflected on customer account statements. Thisprice 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 thesecondary market.
Risks Relating to the Underlying
Hypothetical terms only. Actual termsmay vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on a CouponPayment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Noteslinked to a hypothetical Underlying and assume an Initial Value of $100.00, a Downside Threshold and Coupon Barrier of $50.00 (which is50.00% of the hypothetical Initial Value) and a Contingent Coupon Rate of 13.25%* per annum. The hypothetical Initial Value of $100.00has been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value, Downside Thresholdand Coupon Barrier are based on the closing price of one share of the Underlying on June 22, 2022 and are specified on the cover of thispricing supplement. For historical data regarding the actual closing prices of one share of the Underlying, please see the historicalinformation set forth under “The Underlying” in this pricing supplement.
The examples below are purely hypothetical and are not based on anyspecific offering of Notes linked to any specific Underlying. These examples are intended to illustrate how the value of any payment onthe Notes will depend on the closing price of one share on the Observation Dates.
Example 1 — Notes Are Automatically Called on the First ObservationDate
Because the Notes are automatically called on the first ObservationDate, we will pay you on the applicable Call Settlement Date a total of $10.3313 per Note, reflecting your principal amount plusthe applicable Contingent Coupon. No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Third ObservationDate
Because the Notes are automatically called on the third ObservationDate, we will pay you on the applicable Call Settlement Date a total of $10.3313 per Note, reflecting your principal amount plusthe applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $0.6626 received in respect ofprior Observation Dates, we will have paid you a total of $10.9939 per Note for a 9.939% total return on the Notes. No further amountswill be owed on the Notes.
Example 3 — Notes Are NOT Automatically Called andthe Final Value Is at or above the Downside Threshold
At maturity, we will pay you a total of $10.3313 per Note, reflectingyour principal amount plus the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $0.6626received in respect of prior Observation Dates, we will have paid you a total of $10.9939 per Note for a 9.939% total return on the Notes.
Example 4 — Notes Are NOT Automatically Called andthe Final Value Is below the Downside Threshold
Because the Notes are not automatically called, the Final Value of$40.00 is below the Downside Threshold and the Underlying Return is -60%, at maturity we will pay you $4.00 per Note. When thatamount is added to the Contingent Coupon payments of $0.9939 received in respect of prior Observation Dates, we will have paid you $4.9939per Note for a loss on the Notes of 50.061%.
Example 5 — Notes Are NOT Automatically Called andthe Final Value is below the Downside Threshold
Because the Notes are not automatically called, the Final Value is belowthe Downside Threshold and the Underlying Return is -70%, at maturity we will pay you $3.00 per Note for a loss on the Notes of 70.00%. Because there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on the Notes.
The hypothetical returns and hypothetical payments on the Notes shownabove apply only if you hold the Notes for their entire term or until automatically called. These hypotheticals do not reflectfees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypotheticalreturns and hypothetical payments shown above would likely be lower.
According to its publicly available filings with the SEC,The Boeing Company, which we refer to as Boeing, is an aerospace firm that operates in four principal segments: commercial airplanes;defense, space & security; global services; and Boeing Capital. The common stock of Boeing, par value $5.00 per share (Bloomberg ticker:BA), is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Boeing in the accompanying productsupplement. Boeing’s SEC file number is 001-00442.
The following table sets forth the quarterly high and low closing pricesof one share of the Underlying, based on daily closing prices of one share of the Underlying as reported by the Bloomberg Professional®service (“Bloomberg”), without independent verification. This information given below is for the four calendar quarters ineach of 2017, 2018, 2019, 2020 and 2021 and the first calendar quarter of 2022. Partial data is provided for the second calendar quarterof 2022. The closing price of one share of the Underlying on June 22, 2022 was $137.16. We obtained the closing prices above and belowfrom Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such asstock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of one share of the Underlying has experiencedsignificant fluctuations. The historical performance of the Underlying should not be taken as an indication of future performance, andno assurance can be given as to the closing prices of one share of the Underlying during the term of the Notes. There can be no assurancethat the performance of the Underlying will result in the return of any of your principal amount.
*As of the date of this pricing supplement, availableinformation for the second calendar quarter of 2022 includes data for the period from April 1, 2022 through June 22, 2022. Accordingly,the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period onlyand do not reflect complete data for the second calendar quarter of 2022.
The graph below illustrates the daily performance of the Underlyingfrom January 3, 2012 through June 22, 2022, based on information from Bloomberg, without independent verification. The dotted line representsthe Downside Threshold and Coupon Barrier of $68.58, equal to 50.00% of the closing price of one share of the Underlying on June 22, 2022.
Past performance of the Underlying is not indicative of the futureperformance of the Underlying.
SupplementalPlan of Distribution
We and JPMorgan Chase & Co. have agreed to indemnify UBS and JPMSagainst liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to make relatingto these liabilities as described in the prospectus supplement and the prospectus. We will agree that UBS may sell all or a part of theNotes that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to purchasethe Notes in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related hedgetransactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and JPMS and/oran affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “SupplementalUse of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying product supplement.
We expect that delivery of the Notes will be made against payment forthe Notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third businessday following the Trade Date of the Notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the SecuritiesExchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the partiesto that trade expressly agree otherwise. Accordingly, purchasers who wish to trade Notes on any date prior to two business days beforedelivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and shouldconsult their own advisors.
TheEstimated Value of the Notes
The estimated value of the Notes set forth on the cover of this pricingsupplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the samematurity as the Notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economicterms of the Notes. The estimated value of the Notes does not represent a minimum price at which JPMS would be willing to buy your Notesin any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value of theNotes 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 valuesof the Notes as well as the higher issuance, operational and ongoing liability management costs of the Notes in comparison to those costsfor the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputsand assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for theNotes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the Notesand any secondary market prices of the Notes. For additional information, see “Key Risks — Risks Relating to the EstimatedValue and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an Internal FundingRate” in this pricing supplement. The value of the derivative or derivatives underlying the economic terms of the Notes is derivedfrom internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivativeinstruments 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 whenthe terms of the Notes are set based on market conditions and other relevant factors and assumptions existing at that time. See “KeyRisks — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the NotesDoes Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the Notes will be lower than the original issueprice of the Notes because costs associated with selling, structuring and hedging the Notes are included in the original issue price ofthe Notes. These costs include the selling commissions paid to UBS, the projected profits, if any, that our affiliates expect to realizefor 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 profitthat 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 inhedging our obligations under the Notes. See “Key Risks — Risks Relating to the Estimated Value and Secondary Market Pricesof 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.
SecondaryMarket Prices of the Notes
For information about factors that will impact any secondary market pricesof the Notes, see “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — SecondaryMarket Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition, we generallyexpect that some of the costs included in the original issue price of the Notes will be partially paid back to you in connection withany repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined period that is intended tobe up to five months. The length of any such initial period reflects secondary market volumes for the Notes, 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 andwhen these costs are incurred, as determined by our affiliates. See “Key Risks — Risks Relating to the Estimated Value andSecondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer AccountStatements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
SupplementalUse of Proceeds
The Notes are offered to meet investor demand for products that reflectthe risk-return profile and market exposure provided by the Notes. See “Hypothetical Examples” in this pricing supplementfor an illustration of the risk-return profile of the Notes and “The Underlying” in this pricing supplement for a descriptionof the market exposure provided by the Notes.
The original issue price of the Notes is equal to the estimatedvalue of the Notes plus the selling commissions paid to UBS, plus (minus) the projected profits (losses) that our affiliates expect torealize for assuming risks inherent in hedging our obligations under the Notes, plus the estimated cost of hedging our obligations underthe Notes.
SupplementalInformation About the Form of the Notes
The Notes will initially be represented by a type of global securitythat we refer to as a master note. A master note represents multiple securities that may be issued at different times and that mayhave different terms. The trustee and/or paying agent will, in accordance with instructions from us, make appropriate entries ornotations in its records relating to the master note representing the Notes to indicate that the master note evidences the Notes.