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 January 27, 2023
Pricing supplement
To
prospectus dated April 8, 2020,
prospectus supplement dated April 8, 2020 and
product supplement no. 1-II dated November 4, 2020
|
Registration Statement Nos. 333-236659 and 333-236659-01
Dated January , 2023; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC |
|
Structured
Investments
|
$
Callable Fixed to Floating Rate
Notes Linked to the 30-Year U.S. Dollar SOFR ICE Swap Rate and the
2-Year U.S. Dollar SOFR ICE Swap Rate due February 2,
2028
Fully and Unconditionally
Guaranteed by JPMorgan Chase & Co.
|
General
|
· |
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.
maturing February 2, 2028, subject to postponement as described
below. |
|
· |
The
notes are designed for investors who (i) believe that the 30-Year
U.S. Dollar SOFR ICE Swap Rate will be greater than the 2-Year U.S.
Dollar SOFR ICE Swap Rate on each Determination Date by more than
0.10% and (ii) who seek periodic interest payments that will accrue
(a) for the Initial Interest Periods, at a rate of 8.50% per annum
and (b) for each other Interest Period, at a per annum rate
equal to (i) the Spread (the 30-Year SOFR ICE Swap Rate
minus the 2-Year SOFR ICE Swap Rate) on the applicable
Determination Date for such Interest Period multiplied by
(ii) the Multiplier, subject to the Minimum Interest
Rate. |
|
· |
The
notes have a relatively long maturity relative to other fixed
income products. Longer dated notes may be more risky than shorter
dated notes. See “Selected Risk Considerations” in this pricing
supplement. |
|
· |
After
the Initial Interest Periods, if the Spread on the applicable
Determination Date times the Multiplier is less than or
equal to 1.00%, the Interest Rate for such Interest Period will be
equal to the Minimum Interest Rate of 1.00% per annum. 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. |
|
· |
Interest on the notes
after the Initial Interest Periods will be calculated based on the
applicable Interest Rate for such Interest Period, which will be
equal to (i) the Spread on the applicable Determination Date
times (ii) the Multiplier (subject to the Minimum Interest
Rate). In no event will the Interest Rate be less than the Minimum
Interest Rate of 1.00% per annum. |
|
· |
At our
option, we may call your notes prior to their scheduled Maturity
Date on one of the Redemption Dates set forth below. For more
information, see “Key Terms” and “Selected Risk Considerations” in
this pricing supplement. |
|
· |
The
terms of the notes as set forth below, to the extent they differ or
conflict with those set forth in the accompanying product
supplement, will supersede the terms set forth in product
supplement. |
|
· |
Notes
may be purchased in minimum denominations of $1,000 and in integral
multiples of $1,000 thereafter. |
|
· |
The
notes are expected to price on or about January 31, 2023 and are
expected to settle on or about February 2, 2023. |
Key Terms
Issuer: |
JPMorgan
Chase Financial Company LLC |
Guarantor: |
JPMorgan
Chase & Co. |
Payment
at Maturity: |
On the
Maturity Date, we will pay you the outstanding principal amount of
your notes plus any accrued and unpaid interest. |
Redemption
Feature: |
On the
2nd day of each February, May, August and November of each year
(each, a “Redemption Date”), commencing on February 2, 2024 and
ending on the Maturity Date, we may redeem your notes in whole but
not in part at a price equal to 100% of the principal amount being
redeemed plus any accrued and unpaid interest to but excluding the
Redemption Date, subject to the Business Day Convention and the
Interest Accrual Convention described below and in the accompanying
product supplement. If we intend to redeem your notes,
we will deliver notice to The Depository Trust Company (“DTC”) at
least 5 Business Days prior to the applicable Redemption
Date. |
Interest: |
We will
pay you interest on each Interest Payment Date based on the
applicable Day Count Fraction and subject to the Interest Accrual
Convention, as applicable, described below and in the accompanying
product supplement. |
Initial
Interest Period(s): |
The
Interest Periods during the period beginning on and including the
Original Issue Date of the notes and ending on but excluding
February 2, 2024. |
Initial
Interest Rate: |
8.50%
per annum |
Interest
Period: |
The
period beginning on and including the Original Issue Date of the
notes and ending on but excluding the first Interest Payment Date,
and each successive period beginning on and including an Interest
Payment Date and ending on but excluding the next succeeding
Interest Payment Date, subject to the Interest Accrual Convention
described below and in the accompanying product
supplement. |
Interest
Payment Dates: |
Interest
on the notes will be payable in arrears on the 2nd day of each
February, May, August and November of each year, commencing on May
2, 2023 to and including the Maturity Date, subject to the Business
Day Convention and Interest Accrual Convention described below and
in the accompanying product supplement. |
Interest
Rate: |
For
each Initial Interest Period, the Initial Interest Rate. For each
Interest Period (other than an Initial Interest Period), (i) the
Spread times (ii) the Multiplier, subject to the Minimum
Interest Rate. If, on the applicable Determination
Date, the Spread times the Multiplier is equal to or less than
1.00%, interest will accrue at a rate of 1.00% per annum for that
Interest Period. |
Spread: |
With
respect to each Interest Period (after the Initial Interest
Periods), the 30-Year SOFR ICE Swap Rate minus the 2-Year
SOFR ICE Swap Rate, as determined on the applicable Determination
Date. If, on the applicable Determination Date, the
30-Year SOFR ICE Swap Rate does not exceed the 2-Year SOFR ICE Swap
Rate by more than 0.10%, interest will accrue at a rate of 1.00%
per annum for that Interest Period. |
Multiplier: |
10.0 |
Minimum
Interest Rate: |
With
respect to each Interest Period (other than an Initial Interest
Period), 1.00% per annum |
Business
Day: |
Any day
other than a day on which banking institutions in the City of New
York are authorized or required by law, regulation or executive
order to close or a day on which transactions in dollars are not
conducted |
Determination
Date: |
For
each Interest Period (other than the Initial Interest Periods), the
second U.S. Government Securities Business Day immediately
preceding the beginning of the applicable Interest
Period. |
U.S.
Government Securities Business Day: |
Any
day, other than a Saturday, Sunday or a day on which the Securities
Industry and Financial Markets Association (“SIFMA”) recommends
that the fixed income departments of its members be closed for the
entire day for purposes of trading in U.S. government
securities. |
30-Year
SOFR ICE Swap Rate: |
With
respect to any Determination Date, the 30-Year U.S. Dollar SOFR ICE
Swap Rate, which is the rate for a U.S. dollar swap with a
designated maturity of 30 years, referencing the Secured Overnight
Financing Rate (“SOFR”) (compounded in arrears for twelve months
using standard market conventions), that appears on Bloomberg
Screen USISSO30 Page (or any successor page) at approximately 11:00
a.m., New York City time, on the Determination Date, as determined
by the Calculation Agent. On the applicable
Determination Date, if the 30-Year SOFR ICE Swap Rate cannot be
determined by reference to Bloomberg Screen USISSO30 Page (or any
successor page), then the Calculation Agent will determine the
30-Year SOFR ICE Swap Rate in accordance with the procedures set
forth under “The Underlyings — Base Rates — USD ICE Swap Rate” in
the accompanying product supplement. |
2-Year
SOFR ICE Swap Rate: |
With respect to any Determination Date, the 2-Year U.S. Dollar SOFR
ICE Swap Rate, which is the rate for a U.S. dollar swap with a
designated maturity of 2 years, referencing the Secured Overnight
Financing Rate (“SOFR”) (compounded in arrears for twelve months
using standard market conventions), that appears on Bloomberg
Screen USISSO02 Page (or any successor page) at approximately 11:00
a.m., New York City time, on the Determination Date, as determined
by the Calculation Agent. On the applicable Determination Date, if
the 2-Year SOFR ICE Swap Rate cannot be determined by reference to
Bloomberg Screen USISSO02 Page (or any successor page), then the
Calculation Agent will determine the 2-Year SOFR ICE Swap Rate in
accordance with the procedures set forth under “The Underlyings —
Base Rates — USD ICE Swap Rate” in the accompanying product
supplement.
We refer to the 30-Year SOFR ICE Swap Rate and the 2-Year SOFR ICE
Swap Rate each as a “ICE Swap Rate” and together as the “ICE Swap
Rates”.
|
Other
Key Terms: |
Please
see “Additional Key Terms” in this pricing supplement for other key
terms. |
Investing in the Callable Fixed to Floating Rate Notes involves a
number of risks. See “Risk Factors” beginning on page PS-18 of the
accompanying product supplement and “Selected Risk Considerations”
beginning on page PS-2 of this pricing supplement.
Neither the U.S. Securities and Exchange Commission, or 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, the accompanying product supplement or the accompanying
prospectus supplement and prospectus. Any representation to the
contrary is a criminal offense.
|
Price
to Public (1)(2) |
Fees
and Commissions (2) |
Proceeds
to Issuer |
Per
note |
$ |
$ |
$ |
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. If the notes priced today, the selling commissions would
be approximately $10.00 per $1,000 principal amount note and in no
event will these selling commissions exceed $15.00 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 $969.60 per $1,000 principal amount note. The
estimated value of the notes, when the terms of the notes are set,
will be provided in the pricing supplement and will not be less
than $962.50 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 and are not insured or guaranteed by
the Federal Deposit Insurance Corporation or any other governmental
agency, nor are they obligations of, or guaranteed by, a
bank.
January , 2023

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):
|
· |
Product
supplement no. 1-II dated November 4, 2020: |
https://www.sec.gov/Archives/edgar/data/19617/000095010320021464/dp139380_424b2-psupp1ii.htm
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.
Additional Key Terms
Pricing
Date: |
January
31, 2023, subject to the Business Day Convention. |
Original
Issue Date (Settlement Date): |
On or
about February 2, 2023, subject to the Business Day
Convention. |
Maturity
Date: |
February
2, 2028, subject to the Business Day Convention. |
Business
Day Convention: |
Following |
Interest
Accrual Convention: |
Unadjusted |
Day
Count Fraction: |
30/360 |
CUSIP: |
48133U2P6 |
|
|
JPMorgan
Structured Investments — |
PS-
1
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
Selected Purchase Considerations
|
· |
PRESERVATION
OF CAPITAL AT MATURITY OR UPON EARLY REDEMPTION – Regardless of
the performance of the ICE Swap Rates, we will pay you at least the
principal amount of your notes if you hold the notes to maturity or
to the Redemption Date, if any, on which we elect to redeem the
notes 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 at
maturity or upon early redemption 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. |
|
· |
PERIODIC
INTEREST PAYMENTS — The notes offer periodic interest payments
on each Interest Payment Date. For the Initial Interest Periods,
the notes will pay at a fixed Interest Rate. After the Initial
Interest Periods, the notes will pay an interest rate per annum
equal to (i) the Spread times (ii) the Multiplier, provided that
such rate will not be less than the Minimum Interest Rate of 1.00%
per annum. The yield on the notes may be less than the overall
return you would receive from a conventional debt security that you
could purchase today with the same maturity as the
notes. |
|
· |
POTENTIAL
EARLY REDEMPTION BY US AT OUR OPTION — At our option, we may
redeem the notes, in whole but not in part, on each of the
Redemption Dates set forth above, commencing on February 2, 2024,
at a price equal to 100% of the principal amount being redeemed
plus any accrued and unpaid interest, subject to the Business Day
Convention and the Interest Accrual Convention described on the
cover of this pricing supplement and in the accompanying product
supplement. Any accrued and unpaid interest on notes redeemed will
be paid to the person who is the holder of record of such notes at
the close of business on the Business Day immediately preceding the
applicable Redemption Date. Even in cases where the notes are
called before maturity, noteholders are not entitled to any fees or
commissions described on the front cover of this pricing
supplement. |
|
· |
TAXED
AS CONTINGENT PAYMENT DEBT INSTRUMENTS — You should review
carefully the section entitled “Material U.S. Federal Income Tax
Consequences” in the accompanying product supplement. Subject to
the limitations described therein, the notes will be treated for
U.S. federal income tax purposes as “contingent payment debt
instruments.” You will generally be required to accrue and
recognize original issue discount (“OID”) as interest income in
each year at the “comparable yield,” as determined by us, even
though the actual interest payments made with respect to the notes
during a taxable year may differ from the amount of OID that must
be accrued during that taxable year. In addition, solely for
purposes of determining the amount of OID that you will be required
to accrue, we are also required to construct a “projected payment
schedule” in respect of the notes representing a series of payments
the amount and timing of which would produce a yield to maturity on
the notes equal to the comparable yield. You will be required to
make adjustments to the amount of OID you must recognize each
taxable year to reflect the difference, if any, between the actual
amount of interest payments made and the projected amount of the
interest payments (as reflected in the projected payment schedule).
Under the forgoing rules, you will not be required to separately
include in income the interest payments you receive with respect to
the notes. Generally, amounts received at maturity or earlier sale
or disposition in excess of your tax basis, if any, will be treated
as additional interest income while any loss will be treated as an
ordinary loss to the extent of all previous interest inclusions
with respect to the notes, which will be deductible against other
income (e.g., employment and interest income), with the balance
treated as capital loss, the deductibility of which may be subject
to limitations. Purchasers who are not initial purchasers of notes
at the issue price should consult their tax advisors with respect
to the tax consequences of an investment in the notes, including
the treatment of the difference, if any, between their basis in the
notes and the notes’ adjusted issue price. |
|
· |
Non-U.S.
Holders should also note that a withholding tax of 30% could be
imposed on payments made on the notes to certain foreign entities
unless information reporting and diligence requirements are met, as
described in “Material U.S. Federal Income Tax Consequences
—
Tax
Consequences to Non-U.S. Holders” in the accompanying product
supplement. |
|
· |
COMPARABLE
YIELD AND PROJECTED PAYMENT SCHEDULE — We will determine the
comparable yield for the notes and will provide that comparable
yield, and the related projected payment schedule, in the final
pricing supplement for the notes. If the notes had been issued on
January 26, 2023 and we had determined the comparable yield on that
date, it would have been an annual rate of 5.69%, compounded
semiannually. The actual comparable yield that we will determine
for the notes may be higher or lower than 5.69%, and will depend
upon a variety of factors, including actual market conditions and
our borrowing costs for debt instruments of comparable maturities
at the time of issuance. Neither the comparable yield nor the
projected payment schedule constitutes a representation by us
regarding the actual amount of any payment that we will pay on the
notes. |
Selected Risk Considerations
An
investment in the notes involves significant risks. These risks are
explained in more detail in the “Risk Factors” section of the
accompanying product supplement.
|
· |
THE
NOTES ARE NOT ORDINARY DEBT SECURITIES BECAUSE, OTHER THAN DURING
THE INITIAL INTEREST PERIODS, THE INTEREST RATE ON THE NOTES IS A
FLOATING RATE AND MAY BE EQUAL TO THE MINIMUM INTEREST RATE—
The terms of the notes differ from those of ordinary debt
securities in that the rate of interest you will receive after the
Initial Interest Periods is not fixed, but will vary based on the
Spread on the applicable Determination Date, provided that the
Interest Rate for any Interest Period after the Initial Interest
Periods |
|
|
JPMorgan
Structured Investments — |
PS-
2
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
will not be less than the Minimum
Interest Rate. If the Interest Rate for an Interest Period after
the Initial Interest Periods is equal to the Minimum Interest Rate,
which will occur if the 30-Year SOFR ICE Swap Rate does not exceed
the 2-Year SOFR ICE Swap Rate by more than 0.10% on the applicable
Determination Date, interest will be payable with respect to that
Interest Period at the Minimum Interest Rate of 1.00% per annum.
Accordingly, if the 30-Year SOFR ICE Swap Rate does not exceed the
2-Year SOFR ICE Swap Rate by more than 0.10% on the Determination
Date applicable to some or all of the Interest Periods after the
Initial Interest Periods, interest on the notes will accrue at the
Minimum Interest Rate for an extended period over the term of the
notes.
|
· |
THE INTEREST RATE ON THE NOTES MAY BE BELOW THE RATE OTHERWISE
PAYABLE ON SIMILAR VARIABLE RATE notes ISSUED BY US
—The
value of the notes will depend on the Interest Rate on the notes,
which after the Initial Interest Periods will be affected by the
Spread. If the Spread times the Multiplier is less than or equal to
1.00% on any Determination Date, interest will accrue at the
Minimum Interest Rate of 1.00% per annum and the Interest Rate on
the notes may be less than returns on similar variable rate notes
issued by us that are not linked to the ICE Swap Rates or that are
only linked to one of the ICE Swap Rates. We have no control over
any fluctuations in the ICE Swap Rates. |
|
· |
LONGER
DATED NOTES MAY BE MORE RISKY THAN SHORTER DATED NOTES — By
purchasing a note with a longer tenor, you are more exposed to
fluctuations in interest rates than if you purchased a note with a
shorter tenor. Specifically, you may be negatively affected if
certain interest rate scenarios occur. The applicable discount
rate, which is the prevailing rate in the market for notes of the
same tenor, will likely be higher for notes with longer tenors than
if you had purchased a note with a shorter tenor. Therefore,
assuming the notes have not been called and that short term rates
rise, as described above, the market value of a longer dated note
will be lower than the market value of a comparable short term note
with similar terms. |
|
· |
WE
MAY CALL YOUR NOTES PRIOR TO THEIR SCHEDULED MATURITY DATE — We
may choose to call the notes early or choose not to call the notes
early on any Redemption Date in our sole discretion. If the notes
are called early, you will receive the principal amount of your
notes plus accrued and unpaid interest to, but not including the
Redemption Date. The aggregate amount that you will receive through
and including the Redemption Date may be less than the aggregate
amount that you would have received had the notes not been called
early. If we call the notes early, you will not receive interest
payments after the applicable Redemption 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 redeemed prior to the Maturity Date. We may choose to
call the notes early, for example, if U.S. interest rates decrease
significantly or if volatility of U.S. interest rates decreases
significantly. |
|
· |
VARIABLE
RATE NOTES DIFFER FROM FIXED RATE NOTES — After the Initial
Interest Periods, the rate of interest on your notes will be
variable and determined based on (i) the Spread times (ii)
the Multiplier on the applicable Determination Date,
provided that this rate will not be less than the Minimum
Interest Rate, which may be less than returns otherwise payable on
notes issued by us with similar maturities. You should consider,
among other things, the overall potential annual percentage rate of
interest to maturity of the notes as compared to other investment
alternatives. |
|
· |
CREDIT
RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE &
CO.—
The
notes are subject to our and JPMorgan Chase & Co.’s credit
risks, and our and JPMorgan Chase & Co.’s credit ratings and
credit spreads may adversely affect the market value of the
notes. Investors are dependent on our and JPMorgan Chase
& Co.’s ability to pay all amounts due on the notes. Any actual
or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for
taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default
on our payment obligations, you may not receive any amounts owed to
you under the notes and you could lose your entire
investment. |
|
· |
AS
A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT
OPERATIONS AND HAS LIMITED ASSETS — As a finance subsidiary of
JPMorgan Chase & Co., we have no independent operations beyond
the issuance and administration of our securities. Aside from the
initial capital contribution from JPMorgan Chase & Co.,
substantially all of our assets relate to obligations of our
affiliates to make payments under loans made by us or other
intercompany agreements. As a result, we are dependent upon
payments from our affiliates to meet our obligations under the
notes. If these affiliates do not make payments to us and we fail
to make payments on the notes, you may have to seek payment under
the related guarantee by JPMorgan Chase & Co., and that
guarantee will rank pari passu with all other unsecured and
unsubordinated obligations of JPMorgan Chase & Co. |
|
· |
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 as well as
modeling and structuring the economic terms of the notes, 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 |
|
|
JPMorgan
Structured Investments — |
PS-
3
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
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 the Notes
Generally” in the accompanying product supplement for additional
information about these risks.
|
· |
THE
INTEREST RATE ON THE NOTES IS BASED ON THE SPREAD, AND THEREFORE ON
THE PERFORMANCE AND RELATIVE PERFORMANCE OF LONGER AND SHORTER TERM
INTEREST RATES, WHICH MAY RESULT IN THE APPLICATION OF THE MINIMUM
INTEREST RATE — The Spread is calculated as (a) the 30-Year
SOFR ICE Swap Rate minus (b) the 2-Year SOFR ICE Swap Rate.
The ICE Swap Rates may be influenced by a number of factors,
including (but not limited to) monetary policies, fiscal policies,
inflation, general economic conditions and public expectations with
respect to such factors. The effect that any single factor may have
on the ICE Swap Rates or may be partially offset by other factors.
We cannot predict the factors that may cause the ICE Swap Rates,
and consequently the Spread, to increase or decrease. As the
Interest Rate after the Initial Interests Periods will be equal to
(i) the Spread times (ii) the Multiplier, if the Spread
times the Multiplier is equal to or less than 1.00% (indicating
that the 30-Year SOFR ICE Swap Rate does not exceed the 2-Year SOFR
ICE Swap Rate by more than 0.10%) on a Determination Date, the
Interest Rate for the corresponding Interest Period will be equal
to the Minimum Interest Rate. The amount of interest you accrue on
the notes in any Interest Period (other than an Initial Interest
Period) may therefore decrease even if either or both of the ICE
Swap Rates increase. Under these circumstances, particularly if
short term interest rates rise significantly relative to long term
interest rates, the Interest Rate during any Interest Period (other
than an Initial Interest Period) may be equal to 1.00% per annum,
and you will not be compensated for any loss in value due to
inflation and other factors relating to the value of money over
time during such period. |
|
· |
THE
ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE
PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of
the notes is only an estimate determined by reference to several
factors. The original issue price of the notes will exceed the
estimated value of the notes because costs associated with selling,
structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling
commissions, the projected profits, if any, that our affiliates
expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our
obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement. |
|
· |
THE
ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF
THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — 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 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. |
|
· |
THE
ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL
FUNDING RATE — The internal funding rate used in the
determination of the estimated value of the notes may differ from
the market-implied funding rate for vanilla fixed income
instruments of a similar maturity issued by JPMorgan Chase &
Co. or its affiliates. Any difference may be based on, among other
things, our and our affiliates’ view of the funding value of the
notes as well as the higher issuance, operational and ongoing
liability management costs of the notes in comparison to those
costs for the conventional fixed income instruments of JPMorgan
Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and
is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and
any potential changes to that rate may have an adverse effect on
the terms of the notes and any secondary market prices of the
notes. See “The Estimated Value of the Notes” in this pricing
supplement. |
|
· |
THE
VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED
ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT
ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We
generally expect that some of the costs included in the original
issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period.
These costs can include 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). |
|
· |
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 (a) exclude selling commissions and (b) |
|
|
JPMorgan
Structured Investments — |
PS-
4
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
may exclude 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.
|
· |
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, and
estimated hedging costs, including, but not limited to: |
|
· |
the
performance of the ICE Swap Rates; |
|
· |
any
actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads; |
|
· |
customary
bid-ask spreads for similarly sized trades; |
|
· |
our
internal secondary market funding rates for structured debt
issuances; |
|
· |
the
time to maturity of the notes; |
|
· |
the
expected positive or negative correlation between the ICE Swap
Rates or the expected absence of such correlation; |
|
· |
interest
and yield rates in the market generally, as well as the volatility
of those rates; |
|
· |
the
likelihood, or expectation, that the notes will be redeemed by us,
based on prevailing market interest rates or otherwise;
and |
|
· |
a
variety of other economic, financial, political, regulatory and
judicial events. |
Like many long- term notes with short term call dates, secondary
prices can drop sharply if the market shifts from assuming a call
to assuming the note will be left outstanding indefinitely,
particularly when after the call date passes, the payout shifts
from fixed rate to floating.
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.
|
· |
SECONDARY
MARKET PRICES OF THE NOTES ARE SENSITIVE TO BOTH INTEREST
RATES — If
interest rates rise generally, the secondary market prices of the
notes will be adversely impacted because of the relatively long
term of the notes and the increased probability that that the
Interest Rate for the notes will be less than such
rates. |
|
· |
LACK
OF LIQUIDITY — The notes will not be listed on any securities
exchange. JPMS intends to offer to purchase the notes in the
secondary market but is not required to do so. Even if there is a
secondary market, it may not provide enough liquidity to allow you
to trade or sell the notes easily. Because other dealers are not
likely to make a secondary market for the notes, the price at which
you may be able to trade your notes is likely to depend on the
price, if any, at which JPMS is willing to buy the
notes. |
|
· |
MARKET FACTORS MAY INFLUENCE WHETHER WE EXERCISE OUR RIGHT
TO REDEEM THE NOTES PRIOR TO THEIR SCHEDULED MATURITY — We have
the right to redeem the notes prior to the Maturity Date, in whole
but not in part, on the specified Redemption Dates. It is more
likely that we will redeem the notes prior to the Maturity Date if
the Spread times the Multiplier is greater than or equal to 1.00%
on the applicable Determination Date (meaning the 30-Year SOFR ICE
Swap Rate exceeds the 2-Year SOFR ICE Swap Rate by more than 0.10%
on such date). If the notes are called prior to the Maturity Date,
you may be unable to invest in certificates of deposit with similar
risk and yield as the notes. Your ability to realize a higher than
market yield on the notes is limited by our right to redeem the
notes prior to their scheduled maturity, which may adversely affect
the value of the notes in the secondary market, if any. |
|
· |
The INTEREST RATE will be affected by a number of factors
— After
the Initial Interest Periods, the interest rate will depend
primarily on the ICE Swap Rates. A number of factors can affect the
value of your notes and/or the amount of interest that you will
receive, including, but not limited to: |
|
· |
supply
and demand for overnight U.S. Treasury repurchase
agreements; |
|
· |
sentiment
regarding underlying strength in the U.S. and global
economies; |
|
· |
expectations
regarding the level of price inflation; |
|
· |
sentiment
regarding credit quality in the U.S. and global credit
markets; |
|
· |
central
bank policy regarding interest rates; |
|
· |
inflation
and expectations concerning inflation; |
|
· |
performance
of capital markets; and |
|
· |
any
statements from public government officials regarding the cessation
of the ICE SWAP Rates and/or SOFR. |
These and other factors may have a negative effect on the
performance of the ICE SWAP Rates and on the value of the notes in
the secondary market.
|
|
JPMorgan
Structured Investments — |
PS-
5
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
|
· |
The ICE Swap Rates may be volatile—The
ICE Swap Rates are subject to volatility due to a variety of
factors affecting interest rates generally, including but not
limited to: |
|
· |
sentiment regarding the
U.S. and global economies; |
|
· |
expectation regarding
the level of price inflation; |
|
· |
sentiment regarding
credit quality in U.S. and global credit markets; |
|
· |
central
bank policy regarding interest rates; and |
|
· |
performance of capital
markets. |
|
· |
THE
ICE SWAP RATES AND THE MANNER IN WHICH THEY ARE CALCULATED MAY
CHANGE IN THE FUTURE — There can be no assurance that the
method by which the ICE Swap Rates are calculated will continue in
its current form. Any changes in the method of calculation could
reduce the 30-Year SOFR ICE Swap Rate and/or the 2-Year SOFR ICE
Swap Rate and may negatively impact the Spread and, therefore, the
interest payable on the notes after the Initial Interest
Periods. |
|
· |
THE
ICE SWAP RATES AND SOFR HAVE LIMITED HISTORIES AND FUTURE
PERFORMANCE CANNOT BE PREDICTED BASED ON HISTORICAL PERFORMANCE
— The publication of the U.S.
Dollar SOFR ICE Swap Rate began in November 2021, and, therefore,
has a limited history. IBA launched the U.S. Dollar SOFR ICE Swap
Rate for use as a reference rate for financial instruments in order
to aid the market’s transition to SOFR and away from LIBOR.
However, the composition and characteristics of SOFR differ from
those of LIBOR in material respects, and the historical performance
of LIBOR and the U.S. Dollar LIBOR ICE Swap Rate will have no
bearing on the performance of SOFR or the
ICE SWAP Rates. |
In addition,
the publication of SOFR began in April 2018, and, therefore, it has
a limited history. The future performance of the
ICE SWAP Rates and SOFR cannot be
predicted based on the limited historical performance. The levels
of ICE SWAP Rates
and SOFR
during the term of the notes may bear little or no relation to the
historical actual or historical indicative data. Prior observed
patterns, if any, in the behavior of market variables and their
relation to the ICE SWAP
Rates and SOFR, such as
correlations, may change in the future. While some pre-publication
historical data for SOFR has been released by the Federal Reserve
Bank of New York (the “New York Fed”), production of such
historical indicative SOFR data inherently involves assumptions,
estimates and approximations.
No future
performance of the ICE SWAP
Rates or SOFR may be inferred
from any of the historical actual or historical indicative SOFR
data. Hypothetical or historical performance data are not
indicative of, and have no bearing on, the potential performance of
the ICE SWAP Rates
or SOFR.
Changes in the levels of SOFR will affect the ICE SWAP Rates and, therefore, the
return on the notes and the trading price of the notes, but it is
impossible to predict whether such levels will rise or fall. There
can be no assurance that the ICE SWAP Rates or SOFR will be
positive.
|
· |
ANY FAILURE OF SOFR
TO GAIN MARKET ACCEPTANCE COULD ADVERSELY AFFECT THE NOTES —
According to the ARRC, SOFR was developed for use in certain U.S.
dollar derivatives and other financial contracts as an alternative
to LIBOR in part because it is considered a good representation of
general funding conditions in the overnight U.S. Treasury
repurchase agreement market. However, as a rate based on
transactions secured by U.S. Treasury securities, it does not
measure bank-specific credit risk and, as a result, is less likely
to correlate with the unsecured short-term funding costs of banks
than competing replacement rates for LIBOR that reflect
bank-specific credit risk. This may mean that market participants
would not consider SOFR a suitable substitute, replacement or
successor for all of the purposes for which LIBOR historically has
been used (including, without limitation, as a representation of
the unsecured short-term funding costs of banks), which may, in
turn, lessen market acceptance of SOFR. Any failure of SOFR to gain
market acceptance could adversely affect the ICE SWAP Rates, the
return on and value of the notes and the price at which investors
can sell the notes in the secondary market. |
|
· |
THE ADMINISTRATOR OF
SOFR MAY MAKE CHANGES THAT COULD ADVERSELY AFFECT THE LEVEL OF SOFR
OR DISCONTINUE SOFR AND HAS NO OBLIGATION TO CONSIDER YOUR INTEREST
IN DOING SO — SOFR is a relatively new rate, and Federal
Reserve Bank of New York (“FRBNY”) (or a successor), as
administrator of SOFR, may make methodological or other changes
that could change the value of SOFR, including changes related to
the method by which SOFR is calculated, eligibility criteria
applicable to the transactions used to calculate SOFR, or timing
related to the publication of SOFR. If the manner in which SOFR is
calculated is changed, that change may result in a reduction in the
ICE SWAP Rates and of the amount of interest payable on the notes,
which may adversely affect the trading prices of the notes. The
administrator of SOFR may withdraw, modify, amend, suspend or
discontinue the calculation or dissemination of SOFR in its sole
discretion and without notice and has no obligation to consider the
interests of holders of the notes in calculating, withdrawing,
modifying, amending, suspending or discontinuing SOFR. In that
case, the method by which the ICE SWAP Rates is calculated will
change, which could reduce the Spread. |
|
· |
THE ICE SWAP RATES
MAY BE DETERMINED BY THE
CALCULATION AGENT IN ITS SOLE DISCRETION OR, IF THEY ARE
DISCONTINUED OR CEASED TO BE PUBLISHED PERMANENTLY OR INDEFINITELY,
REPLACED BY A SUCCESSOR OR SUBSTITUTE INTEREST RATE
—If
on a Determination Date, the 30-Year SOFR ICE Swap Rate cannot be
determined by reference to Bloomberg Screen USISSO30 Page (or any
successor page) at approximately 11:00 a.m., New York City time or
the 2-Year SOFR ICE Swap Rate cannot be determined by reference to
Bloomberg Screen USISSO02 Page (or any successor page) at
approximately 11:00 a.m., New York City time, then the Calculation
Agent, after consulting such sources as it deems comparable to the
foregoing display page, or any such source it deems reasonable from
which to estimate the relevant rate for U.S. dollar swaps
referencing SOFR, will |
|
|
JPMorgan
Structured Investments — |
PS-
6
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
determine the 30-Year SOFR ICE Swap
Rate or the 2-Year SOFR ICE Swap Rate for that Determination Date
in its sole discretion.
Notwithstanding the
foregoing, if the Calculation Agent determines in its sole
discretion on or prior to the relevant Determination Date that the
relevant rate for U.S. dollar swaps referencing SOFR has been
discontinued or that rate has ceased to be published permanently or
indefinitely, then the Calculation Agent will use as the 30-Year
SOFR ICE Swap Rate or the 2-Year SOFR ICE Swap Rate for that
Determination Date a substitute or successor rate that it has
determined in its sole discretion, after consulting an investment
bank of national standing in the United States (which may be an
affiliate of ours) or any other source it deems reasonable, to be a
commercially reasonable replacement rate. If the Calculation Agent
has determined a substitute or successor rate in accordance with
the foregoing, the Calculation Agent may determine in its sole
discretion, after consulting an investment bank of national
standing in the United States (which may be an affiliate of ours)
or any other source it deems reasonable, the Business Day
Convention, the Interest Accrual Convention, the definitions of
business day, Day Count Fraction and Determination Date and any
other relevant methodology for calculating that substitute or
successor rate, including any adjustment factor it determines is
needed to make that substitute or successor rate comparable to the
relevant rate for U.S. dollar swaps referencing SOFR, in a manner
that is consistent with industry-accepted practices for that
substitute or successor rate. Any of the foregoing determinations
or actions by the Calculation Agent could result in adverse
consequences to the Spread on the Determination Date and the
Interest Rate which could adversely affect the return on and the
market value of the notes. See “What is an ICE Swap Rate?”
below.
|
· |
the 30-Year SOFR ICE Swap RATE or the 2-Year SOFR ICE Swap Rate
May Not Be Published on a Determination DATE —
The 30-Year SOFR ICE Swap Rate may not be available on Bloomberg
Screen USISSO30 Page (or any successor page) or the 2-Year SOFR ICE
Swap Rate may not be available on Bloomberg Screen USISSO02 Page
(or any successor page) on a Determination Date because such rate
is not published by the Intercontinental Exchange (ICE). The
30-Year SOFR ICE Swap Rate and the 2-Year SOFR ICE Swap Rate may
not be published by the ICE for various reasons. If the 30-Year
SOFR ICE Swap Rate cannot be determined using the Bloomberg Screen
USISSO30 Page (or any successor page) or the 2-Year SOFR ICE Swap
Rate cannot be determined using the Bloomberg Screen USISSO02 Page
(or any successor page) due to the non-publication of such rate on
a Determination Date, such rate may be determined by the
Calculation Agent in its sole discretion. |
|
· |
The 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, the estimated value of
the notes will be provided in the pricing supplement, and the
estimated value of the notes may be equal to the low end of the
applicable range set forth on the cover of this pricing supplement.
Accordingly, you should consider your potential investment in the
notes based on the low end of the range for the estimated value of
the notes. |
|
· |
TAX
DISCLOSURE — The information under “Taxed as Contingent Payment
Debt Instruments" in this pricing supplement remains subject to
confirmation by our tax counsel. We will notify you of any
revisions to the information under “Taxed as Contingent Payment
Debt Instruments" in a supplement to this pricing supplement on or
before the business day immediately preceding the issue date, or if
the information cannot be confirmed by our tax counsel, we may
terminate this offering of notes. |
|
|
JPMorgan
Structured Investments — |
PS-
7
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
Hypothetical Interest Rate for the Interest Period after the
final Initial Interest Period
The
Interest Rate for the Initial Interest Periods will be 8.50% per
annum. For each Interest Period after the Initial Interest Period,
the Interest Rate will be equal to (i) the Spread on the applicable
Determination Date times (ii) the Multiplier, subject to the
Minimum Interest Rate. The following table illustrates the Interest
Rate determination for the Interest Period after the final Initial
Interest Period for a hypothetical range of performances for of the
ICE Swap Rates and reflects the Multiplier of 10.0 and the Minimum
Interest Rate of 1.00% per annum. The hypothetical Spread and
interest payments set forth in the following examples are for
illustrative purposes only and may not be the actual Spread or
interest payment applicable to a purchaser of the notes.
Hypothetical Spread
|
|
|
|
Hypothetical Interest Rate (for the
Interest Period after the final Initial
Interest Period)
|
4.50% |
× |
10.0 |
= |
45.00% |
3.50% |
× |
10.0 |
= |
35.00% |
2.50% |
× |
10.0 |
= |
25.00% |
2.00% |
× |
10.0 |
= |
20.00% |
1.75% |
× |
10.0 |
= |
17.50% |
1.50% |
× |
10.0 |
= |
15.00% |
1.00% |
× |
10.0 |
= |
10.00% |
0.50% |
× |
10.0 |
= |
5.00% |
0.25% |
× |
10.0 |
= |
2.50% |
0.20% |
× |
10.0 |
= |
2.00% |
0.10% |
× |
10.0 |
= |
1.00% |
0.09% |
× |
10.0 |
= |
1.00%* |
0.00% |
× |
10.0 |
= |
1.00%* |
-1.00% |
× |
10.0 |
= |
1.00%* |
-1.50% |
× |
10.0 |
= |
1.00%* |
-2.00% |
× |
10.0 |
= |
1.00%* |
*The Interest Rate cannot be less than the Minimum Interest Rate of
1.00% per annum.
These returns 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 total returns shown above
would be lower.
|
|
JPMorgan
Structured Investments — |
PS-
8
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
Hypothetical Examples of Calculation of the Interest Rate on the
Notes for an Interest Period
The
following examples illustrate how to calculate the Interest Rate on
the notes for three hypothetical Interest Periods after the Initial
Interest Periods. The following examples assume that we have not
called the notes prior to their scheduled Maturity Date, the
Multiplier for the Interest Period is 10.0 and the actual number of
days in the applicable Interest Period is 90. The hypothetical
Interest Rates in the following examples are for illustrative
purposes only and may not correspond to the actual Interest Rates
for any Interest Period applicable to a purchaser of the notes. The
numbers appearing in the following examples have been rounded for
ease of analysis.
Example 1: On the applicable Determination Date, the 30-Year
SOFR ICE Swap Rate is 4.60% and the 2-Year SOFR ICE Swap Rate is
3.00%. Because the 30-Year SOFR ICE Swap Rate (4.60%) is greater
than the 2-Year SOFR ICE Swap Rate (3.00%), the Spread is positive
and is equal to 1.60%. Accordingly, the Interest Rate is 16.00%
calculated as follows:
MAX [0, 10.0 × (4.60% - 3.00%)] = 16.00% per annum
The
quarterly interest payment per $1,000 principal amount note is
calculated as follows:
$1,000 × 16.00% × (90/360) = $40.00
Example 2: On the applicable Determination Date, the 30-Year
SOFR ICE Swap Rate is 1.50% and the 2-Year SOFR ICE Swap Rate is
5.00%. Because the 30-Year SOFR ICE Swap Rate (1.50%) is less than
the 2-Year SOFR ICE Swap Rate (5.00%), the Spread is negative and
is equal to -3.50%. However, because (i) the Spread times (ii) the
Multiplier is less than the Minimum Interest Rate of 1.00% per
annum, the Interest Rate is equal to the Minimum Interest Rate.
The
quarterly interest payment per $1,000 principal amount note is
calculated as follows:
$1,000 × 1.00% × (90/360) = $2.50
The
hypothetical payments on the notes shown above apply only if the
notes are not called prior to maturity and you hold the notes for
their entire term. These hypotheticals do not reflect fees or
expenses that would be associated with any sale in the secondary
market. If these fees and expenses were included, the hypothetical
payments shown above would likely be lower.
|
|
JPMorgan
Structured Investments — |
PS-
9
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
What is an ICE Swap Rate?
An ICE Swap Rate is a rate
for a U.S. dollar swap with a Designated Maturity and which appears
on a designated Bloomberg Screen; the 30-Year SOFR ICE Swap Rate
appears on Bloomberg Screen USISSO30 Page (or any successor page)
at approximately 11:00 a.m., New York City time and the 2-Year SOFR
ICE Swap Rate appears on Bloomberg Screen USISSO02 Page (or any
successor page) at approximately 11:00 a.m., New York City time, in
each case, on each Determination Date, as determined by the
Calculation Agent, provided that, if no such rate appears on
Bloomberg Screen USISSO30 Page (or any successor page) or Bloomberg
Screen USISSO02 Page (or any successor page), as applicable, on
that day at approximately 11:00 a.m., New York City time, then the
Calculation Agent, after consulting such sources as it deems
comparable to the foregoing display page, or any such source it
deems reasonable from which to estimate the relevant rate for U.S.
dollar swaps referencing SOFR, will determine the ICE Swap Rate for
that day in its sole discretion. The “Designated Maturity” is 2
years or 30 years, as the case may be, depending on whether the
2-Year SOFR ICE Swap Rate or the 30-Year SOFR ICE Swap Rate is
being calculated.
Notwithstanding the
foregoing, if the Calculation Agent determines in its sole
discretion on or prior to the relevant Determination Date that the
relevant rate for U.S. dollar swaps referencing SOFR has been
discontinued or that rate has ceased to be published permanently or
indefinitely, then the Calculation Agent will use as the 30-Year
SOFR ICE Swap Rate or the 2-Year SOFR ICE Swap Rate for that
Determination Date a substitute or successor rate that it has
determined in its sole discretion, after consulting an investment
bank of national standing in the United States (which may be an
affiliate of ours) or any other source it deems reasonable, to be a
commercially reasonable replacement rate. If the Calculation Agent
has determined a substitute or successor rate in accordance with
the foregoing, the Calculation Agent may determine in its sole
discretion, after consulting an investment bank of national
standing in the United States (which may be an affiliate of ours)
or any other source it deems reasonable, the Business Day
Convention, the Interest Accrual Convention, the definitions of
business day, Day Count Fraction and Determination Date and any
other relevant methodology for calculating that substitute or
successor rate, including any adjustment factor it determines is
needed to make that substitute or successor rate comparable to the
relevant rate for U.S. dollar swaps referencing SOFR, in a manner
that is consistent with industry-accepted practices for that
substitute or successor rate. Any of the foregoing determinations
or actions by the Calculation Agent could result in adverse
consequences to the Spread on the Determination Date and the
Interest Rate which could adversely affect the return on and the
market value of the notes.
Historical Information
The following graphs set forth the weekly historical performance of
the ICE Swap Rates and the Spread from November 26, 2021 through
January 20, 2023. Please note that recently, the frequency at which no ICE
Swap Rate was published for any index maturity has been increasing
and the frequency of non-publication may continue to
increase. We obtained the rates used to construct the graph
below from Bloomberg Financial Markets. We make no representation
or warranty as to the accuracy or completeness of the information
obtained from Bloomberg Financial Markets.
The 30-Year SOFR ICE Swap Rate, as it appeared on Bloomberg Screen
USISSO30 Page on
January 26, 2023 was 2.975%. The 2-Year SOFR ICE Swap Rate, as it
appeared on Bloomberg Screen USISSO02 Page on January 26, 2023
was 4.203%. The Spread on January 26, 2023 was -1.228%.
The ICE Swap Rates and the Spread
data in the following graphs were obtained from Bloomberg Financial
Markets at approximately 3:30 p.m. on the relevant dates and may
not be indicative of the Spread, which is determined on any date of
determination by reference to the 30-Year SOFR ICE Swap Rate on
Bloomberg Screen USISSO30 Page (or any successor page) at
approximately 11:00 a.m., New York City time and the 2-Year SOFR
ICE Swap Rate on Bloomberg Screen USISSO02 Page (or any successor
page) at approximately 11:00 a.m., New York City time.
The historical ICE Swap Rates and the Spread should not be taken as
an indication of future performance, and no assurance can be given
as to the ICE Swap Rates or the Spread on any Determination Date.
We cannot give you assurance that the performance of the ICE Swap
Rates and the Spread will result in any positive interest payments
in any Interest Period subsequent to the final Initial Interest
Period. You should note
that publication of the U.S. Dollar SOFR ICE Swap Rate began on
November 8, 2021, and it therefore has a limited
history.
|
|
JPMorgan
Structured Investments — |
PS-
10
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |


|
|
JPMorgan
Structured Investments — |
PS-
11
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |

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.
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,
|
|
JPMorgan
Structured Investments — |
PS-
12
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
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 Use of Proceeds
The net
proceeds we receive from the sale of the notes will be used for
general corporate purposes and, in part, by us or one or more of
our affiliates in connection with hedging our obligations under the
notes.
The
notes are offered to meet investor demand for products that reflect
the risk-return profile and market exposure provided by the notes.
See “Selected Purchase Considerations” and “Hypothetical Examples
of Calculation of the Interest Rate on the Notes for an Interest
Period” in this pricing supplement for a description of the
risk-return profile and market exposure payable under 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.
For
purposes of the notes offered by this pricing supplement, the first
and second paragraph of the section entitled “Use of Proceeds and
Hedging” on page PS-37 of the accompanying product supplement are
deemed deleted in their entirety. Please refer instead to the
discussion set forth above.
Supplemental Information About the Form of the Notes
The
notes will initially be represented by a type of global security
that we refer to as a master note. A master note represents
multiple securities that may be issued at different times and that
may have different terms. The trustee and/or paying agent
will, in accordance with instructions from us, make appropriate
entries or notations in its records relating to the master note
representing the notes to indicate that the master note evidences
the notes.
Supplemental Plan of Distribution
We
expect that delivery of the notes will be made against payment for
the notes on or about the settlement date set forth on the front
cover of this pricing supplement, which will be the second business
day following the pricing date of the notes (this settlement cycle
being referred to as T+2).
|
|
JPMorgan
Structured Investments — |
PS-
13
|
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
Annex A — SOFR
SOFR is published by the Federal Reserve Bank of New York (“FRBNY”)
and is intended to be a broad measure of the cost of borrowing cash
overnight collateralized by Treasury securities. FRBNY reports that
SOFR includes all trades in the Broad General Collateral Rate, plus
bilateral Treasury repurchase agreement (“repo”) transactions
cleared through the delivery-versus-payment service offered by the
Fixed Income Clearing Corporation (the “FICC”), a subsidiary of The
Depository Trust & Clearing Corporation (“DTCC”). SOFR is
filtered by FRBNY to remove a portion of the foregoing transactions
considered to be “specials.” According to FRBNY, “specials” are
repos for specific-issue collateral which take place at
cash-lending rates below those for general collateral repos because
cash providers are willing to accept a lesser return on their cash
in order to obtain a particular security.
FRBNY reports that SOFR is calculated as a volume-weighted median
of transaction-level tri-party repo data collected from The Bank of
New York Mellon, which currently acts as the clearing bank for the
tri-party repo market, as well as General Collateral Finance Repo
transaction data and data on bilateral Treasury repo transactions
cleared through the FICC’s delivery-versus-payment service. FRBNY
notes that it obtains information from DTCC Solutions LLC, an
affiliate of DTCC.
FRBNY currently publishes SOFR daily on its website. FRBNY states
on its publication page for SOFR that use of SOFR is subject to
important disclaimers, limitations and indemnification obligations,
including that FRBNY may alter the methods of calculation,
publication schedule, rate revision practices or availability of
SOFR at any time without notice. Information contained in the
publication page for SOFR is not incorporated by reference in, and
should not be considered part of, this pricing supplement.
|
|
JPMorgan
Structured Investments — |
PS-14 |
Callable Fixed to Floating Rate Notes Linked to
the 30-Year U.S. Dollar SOFR ICE Swap Rate and the 2-Year U.S.
Dollar SOFR ICE Swap Rate due February 2, 2028 |
Grafico Azioni JP Morgan Chase (NYSE:JPM)
Storico
Da Feb 2023 a Mar 2023
Grafico Azioni JP Morgan Chase (NYSE:JPM)
Storico
Da Mar 2022 a Mar 2023