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 August 11,
2022 |
Pricing supplement
To prospectus dated April 8, 2020,
prospectus supplement dated April 8, 2020, underlying supplement no. 1-II dated November 4, 2020 and product supplement no. 2-II dated
November 4, 2020
|
Registration Statement Nos. 333-236659 and 333-236659-01
Dated August , 2022
Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC |
Structured
Investments |
$
Digital Buffered Notes Linked to the Bloomberg Commodity
IndexSM due August 29, 2023
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co. |
General
| · | The
notes are designed for investors who seek a fixed return of 10.00% if the Final Value of the Bloomberg Commodity IndexSM is
greater than or equal to the Initial Value or is less than the Initial Value by up to the Buffer Percentage of at least 14.05%. |
| · | Investors
should be willing to forgo interest payments and be willing to lose some or all of their principal if the Final Value is less than the
Initial Value by more than the Buffer Percentage. |
| · | The
notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| · | Minimum denominations of $10,000 and integral multiples
of $1,000 in excess thereof |
Key Terms
Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Index: |
The Bloomberg Commodity IndexSM (Bloomberg ticker: BCOM) |
Payment at Maturity: |
If the Final Value is greater than or equal to the Initial Value or is less than the Initial Value by up to the Buffer Percentage, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Contingent Digital Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
$1,000 + ($1,000 × Contingent Digital Return) |
If the Final Value is less than the Initial Value by more than the Buffer Percentage, assuming a Buffer Percentage of 14.05%, at maturity you will lose 1.16347% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value by more than the Buffer Percentage. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|
$1,000 + [$1,000 × (Index Return + Buffer
Percentage) × Downside Leverage Factor]
In no event, however, will the payment at maturity be less than $0. |
|
If the Final Value is less than the Initial Value by more than the Buffer Percentage, you will lose some or all of your principal amount at maturity. |
Contingent Digital Return: |
10.00%, which reflects the maximum return on the notes. Accordingly, the maximum payment at maturity per $1,000 principal amount note is $1,100. |
Buffer Percentage: |
At least 14.05%. The actual Buffer Percentage will be provided in the pricing supplement and will not be less than 14.05%. |
Downside Leverage Factor: |
An amount equal to 1 / (1 – Buffer Percentage). Assuming a Buffer Percentage of 14.05%, the Downside Leverage Factor would be 1.16347. The actual Downside Leverage Factor will be provided in the pricing supplement and will be based on the Buffer Percentage. |
Index Return: |
Final Value – Initial Value
Initial Value |
Initial Value: |
The closing level of the Index on the Pricing Date, provided that if the Pricing Date is a Disrupted Day (as defined in the accompanying product supplement), the Initial Value will be the Adjusted Closing Level (as defined in the accompanying product supplement) of the Index with respect to the Pricing Date, in which case the Initial Value will not be determined for up to five scheduled trading days after the Pricing Date. For purposes of the proviso below, the Pricing Date is a Determination Date (as defined in the accompanying product supplement) |
Final Value: |
The Index level on the Observation Date |
Pricing Date: |
On or about August 11, 2022 |
Original Issue Date: |
On or about August 16, 2022 (Settlement Date) |
Observation Date†: |
August 24, 2023 |
Maturity Date†: |
August 29, 2023 |
CUSIP: |
48133MAW0 |
| † | Subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes —
Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Index” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement or early acceleration in the event
of a commodity hedging disruption event as described under “General Terms of Notes — Consequences of a Commodity Hedging Disruption
Event — Acceleration of the Notes” in the accompanying product supplement and in “Selected Risk Considerations —
Risks Relating to the Notes Generally — We May Accelerate Your Notes If a Commodity Hedging Disruption Event Occurs” in this
pricing supplement |
Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page S-2 of the prospectus supplement, “Risk Factors” beginning on page PS-11 of the accompanying product supplement,
“Risk Factors” beginning on page US-3 of the accompanying underlying supplement and “Selected Risk Considerations”
beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public
of the notes. |
| (2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions
it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $10.00 per $1,000 principal
amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
If the notes priced today, the
estimated value of the notes would be approximately $968.60 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 $960.00 per $1,000 principal amount note.
See “The Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Additional Terms Specific to the
Notes
You may revoke your offer to purchase the notes at any
time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or
reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with the
accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes, of which
these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying product
supplement and the accompanying underlying supplement, as the notes involve risks not associated with conventional debt securities. We
urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
Supplemental Terms of the Notes
For purposes of the notes offered by this pricing supplement:
(1) the consequences
of a commodity hedging disruption event are described under “General Terms of Notes — Consequences of a Commodity Hedging
Disruption Event — Acceleration of the Notes” in the accompanying product supplement; and
(2) the Observation
Date is a “Determination Date” as described in the accompanying product supplement and is subject to postponement as described
under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes
Linked to an Index” in the accompanying product supplement.
The notes are not commodity futures contracts or swaps and
are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The notes are offered
pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption, that is
available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, as set out in section
2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation promulgated
by the Commodity Futures Trading Commission.
| |
JPMorgan Structured Investments — | PS-1 |
Digital Buffered Notes Linked to the Bloomberg Commodity IndexSM | |
What Is the Total Return on the
Notes at Maturity, Assuming a Range of Performances for the Index?
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement
is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.
Each hypothetical total return or payment at maturity set forth below assumes an Initial Value of 100, a Buffer Percentage of 14.05% and
a Downside Leverage Factor of 1.16347 and reflects the Contingent Digital Return of 10.00%. The actual Buffer Percentage will be provided
in the pricing supplement and will not be less than 14.05% and the Downside Leverage Factor will be provided in the pricing supplement
and will be based on the Buffer Percentage.
The hypothetical Initial Value of 100 has been chosen
for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing level
of the Index on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing levels
of the Index, please see the historical information set forth under “Historical Information” in this pricing supplement.
Each hypothetical total return or payment at maturity
set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser
of the notes. The numbers appearing in the following table and in the examples below have been rounded for ease of analysis.
Final Value
|
Index
Return |
Total Return |
180.00 |
80.00% |
10.000% |
170.00 |
70.00% |
10.000% |
160.00 |
60.00% |
10.000% |
150.00 |
50.00% |
10.000% |
140.00 |
40.00% |
10.000% |
130.00 |
30.00% |
10.000% |
120.00 |
20.00% |
10.000% |
110.00 |
10.00% |
10.000% |
105.00 |
5.00% |
10.000% |
102.50 |
2.50% |
10.000% |
100.00 |
0.00% |
10.000% |
97.50 |
-2.50% |
10.000% |
95.00 |
-5.00% |
10.000% |
90.00 |
-10.00% |
10.000% |
85.95 |
-14.05% |
10.000% |
85.96 |
-14.06% |
-0.012% |
80.00 |
-20.00% |
-6.923% |
70.00 |
-30.00% |
-18.557% |
60.00 |
-40.00% |
-30.192% |
50.00 |
-50.00% |
-41.827% |
40.00 |
-60.00% |
-53.461% |
30.00 |
-70.00% |
-65.096% |
20.00 |
-80.00% |
-76.731% |
10.00 |
-90.00% |
-88.366% |
0.00 |
-100.00% |
-100.000% |
| |
JPMorgan Structured Investments — | PS-2 |
Digital Buffered Notes Linked to the Bloomberg Commodity IndexSM | |
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the payment at
maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases from
the Initial Value of 100 to a Final Value of 105.
Because the Final Value of 105 is greater than the Initial
Value of 100, regardless of the Index Return, the investor receives a payment at maturity of $1,100 per $1,000 principal amount note,
calculated as follows:
$1,000 + ($1,000 × 10.00%)
= $1,100
Example 2: The level of the Index decreases from
the Initial Value of 100 to a Final Value of 85.95.
Although the Index Return is negative, because the Final
Value of 85.95 is less than the Initial Value of 100 by up to the Buffer Percentage of 14.05%, the investor receives a payment at maturity
of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 10.00%)
= $1,100
Example 3: The level of the Index increases from
the Initial Value of 100 to a Final Value of 140.
Because the Final Value of 140 is greater than the Initial
Value of 100 and although the Index Return of 40% exceeds the Contingent Digital Return of 10.00%, the investor is entitled to only the
Contingent Digital Return and receives a payment at maturity of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 10.00%)
= $1,100
Example 4: The level of the Index decreases from
the Initial Value of 100 to a Final Value of 40.
Because the Final Value of 40 is less than the Initial
Value of 100 by more than the Buffer Percentage of 14.05% and the Index Return is -60%, the investor receives a payment at maturity of
$465.39 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60% +
14.05%) × 1.16347] = $465.39
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
| |
JPMorgan Structured Investments — | PS-3 |
Digital Buffered Notes Linked to the Bloomberg Commodity IndexSM | |
Selected Purchase Considerations
| · | FIXED APPRECIATION POTENTIAL — If the Final
Value is greater than or equal to the Initial Value or is less than the Initial Value by up to the Buffer Percentage, you will receive
a fixed return equal to the Contingent Digital Return of 10.00% at maturity, which also reflects the maximum return on the notes at maturity.
Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by
JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan
Chase & Co.’s ability to pay its obligations as they become due. |
| · | LIMITED PROTECTION AGAINST LOSS — We will pay
you at least your principal back at maturity if the Final Value is greater than or equal to the Initial Value or is less than the Initial
Value by up to the Buffer Percentage of at least 14.05%. The actual Buffer Percentage will be provided in the pricing supplement and will
not be less than 14.05%. If the Final Value is less than the Initial Value by more than the Buffer Percentage, assuming a Buffer Percentage
of 14.05%, you will lose 1.16347% of your principal amount at maturity for every 1% that the Final Value is less than the Initial Value
by more than the Buffer Percentage. Accordingly, under these circumstances, you will lose some or all of your principal amount at maturity.
|
| · | RETURN LINKED TO THE Bloomberg
COMMODITY IndexSM — The return on the notes is linked to the Bloomberg Commodity IndexSM. The Index
is composed of exchange-traded futures contracts on physical commodities and is designed to be a diversified benchmark for commodities
as an asset class. Its component weightings are determined primarily based on liquidity data, which is the relative amount of trading
activity of a particular commodity. The Index is an excess return index and not a total return index. An excess return index reflects
the returns that are potentially available through an unleveraged investment in the contracts composing the index. By contrast, a “total
return” index, in addition to reflecting those returns, also reflects interest that could be earned on funds committed to the trading
of the underlying futures contracts. For additional information about the Index, see “Commodity Index Descriptions — The Bloomberg
Commodity Indices” in the accompanying underlying supplement. |
| · | TAX TREATMENT — You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 2-II.
The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk
& Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes. |
Based on current market conditions, in
the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your
notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court
may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely
affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of
“prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors
in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying
property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S.
investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other
guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in
the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by this notice.
| |
JPMorgan Structured Investments — | PS-4 |
Digital Buffered Notes Linked to the Bloomberg Commodity IndexSM | |
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Index, any of the futures contracts underlying the Index, the commodity
to which those commodity futures contracts relate or any futures contracts or exchange-traded or over-the-counter instruments based on,
or other instruments related to, any of the foregoing. These risks are explained in more detail in the “Risk Factors” sections
of the accompanying prospectus supplement, product supplement and underlying supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE
NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the notes at maturity is
dependent on the performance of the Index and will depend on whether, and the extent to which, the Index Return is positive or negative.
Your investment will be exposed to a loss on a leveraged basis if the Final Value is less than the Initial Value by more than the Buffer
Percentage. In this case, assuming a Buffer Percentage of 14.05%, for every 1% that the Final Value is less than the Initial Value
by more than the Buffer Percentage, you will lose an amount equal to 1.16347% of the principal amount of your notes. Under these
circumstances, you will lose some or all of your principal amount at maturity. |
| · | YOUR MAXIMUM GAIN ON THE
NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN — If the Final Value is greater than or equal to the Initial Value or is less
than the Initial Value by up to the Buffer Percentage, for each $1,000 principal amount note, you will receive at maturity $1,000 plus
an additional return equal to the Contingent Digital Return, regardless of the appreciation of the Index, which may be significant. |
| · | YOUR ABILITY TO RECEIVE
THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE — If the Final Value is less than the Initial Value by more
than the Buffer Percentage, you will not be entitled to receive the Contingent Digital Return at maturity. Under these circumstances,
you will lose some or all of your principal amount at maturity. |
| · | 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. |
| · | WE MAY ACCELERATE YOUR NOTES IF A COMMODITY HEDGING DISRUPTION
EVENT OCCURS — If we or our affiliates are unable to effect transactions necessary to hedge our obligations under the notes
due to a commodity hedging disruption event, we may, in our sole and absolute discretion, accelerate the payment on your notes and pay
you an amount determined in good faith and in a commercially reasonable manner by the calculation agent. If the payment on your notes
is accelerated, your investment may result in a loss and you may not be able to reinvest your money in a comparable investment. Please
see “General Terms of Notes — Consequences of a Commodity Hedging Disruption Event — Acceleration of the Notes”
in the accompanying product supplement for more information. |
| · | NO INTEREST PAYMENTS — As a holder of the notes,
you will not receive any interest payments. |
| · | 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. |
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED
IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market conditions when the terms of the notes
are set and will be provided in the pricing supplement. In particular, each of the estimated value of the notes and the Buffer Percentage
will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this pricing supplement.
Accordingly, you should consider your potential investment in the notes based on the minimums for the estimated value of the notes and
the Buffer Percentage. |
| |
JPMorgan Structured Investments — | PS-5 |
Digital Buffered Notes Linked to the Bloomberg Commodity IndexSM | |
Risks Relating
to Conflicts of Interest
| · | POTENTIAL CONFLICTS — We and our affiliates
play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering
of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated
value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. In performing these duties,
our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates of
ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business
activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse
to yours and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities
of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product
supplement for additional information about these risks. |
Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE
ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes is only an estimate determined by reference
to several factors. The original issue price of the notes will exceed the estimated value of the notes because costs associated with selling,
structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions,
the projected profits, if any, that our 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, interest
rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are greater than or less
than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions
may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in
market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See “The Estimated
Value of the Notes” in this pricing supplement. |
| · | 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 is 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-rate debt of JPMorgan Chase
& Co. 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) 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 the notes from you in secondary market transactions, if at all, is likely to be lower than
the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you. 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”
above.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED
BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted by a number
of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits,
if any, estimated hedging costs and the level of the Index, including: |
| · | any actual or potential change in our or JPMorgan Chase
& Co.’s creditworthiness or credit spreads; |
| · | customary bid-ask spreads for similarly sized trades; |
| |
JPMorgan Structured Investments — | PS-6 |
Digital Buffered Notes Linked to the Bloomberg Commodity IndexSM | |
| · | our internal secondary market funding rates for structured
debt issuances; |
| · | the actual and expected volatility of the Index; |
| · | the time to maturity of the notes; |
| · | supply and demand trends for the commodities upon which
the futures contracts that compose the Index are based or the exchange-traded futures contracts on those commodities; |
| · | the market prices of the commodities upon which the futures
contracts that compose the Index are based or the exchange-traded futures contracts on those commodities; |
| · | interest and yield rates in the market generally; and |
| · | a variety of other economic, financial, political, regulatory,
geographical, agricultural, meteorological and judicial events. |
| · | 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. |
Risks Relating
to the Index
| · | COMMODITY FUTURES CONTRACTS ARE SUBJECT TO UNCERTAIN
LEGAL AND REGULATORY REGIMES — The
commodity futures contracts that underlie the Index are subject to legal and regulatory regimes that may change in ways that could adversely
affect our ability to hedge our obligations under the notes and affect the level of the Index. Any future regulatory changes may
have a substantial adverse effect on the value of your notes. Additionally, in October 2020, the U.S. Commodity Futures Trading
Commission adopted rules to establish revised or new position limits on 25 agricultural, metals and energy commodity derivatives contracts.
The limits would apply to a person’s combined position in the specified 25 futures contracts and options on futures (“core
referenced futures contracts”), futures and options on futures directly or indirectly linked to the core referenced futures contracts,
and economically equivalent swaps. These rules came into effect on January 1, 2022 for covered futures and options on futures contracts
and will come into effect on January 1, 2023 for covered swaps. The rules may reduce liquidity in the exchange-traded market for
those commodity-based futures contracts, which may, in turn, have an adverse effect on any payments on the notes. Furthermore, we
or our affiliates may be unable as a result of those restrictions to effect transactions necessary to hedge our obligations under the
notes resulting in a commodity hedging disruption event, in which case we may, in our sole and absolute discretion, accelerate the payment
on your notes. See “— Risks Relating to the Notes Generally — We May Accelerate Your Notes If a Commodity Hedging
Disruption Event Occurs” above. |
| · | PRICES OF COMMODITY FUTURES CONTRACTS ARE CHARACTERIZED
BY HIGH AND UNPREDICTABLE VOLATILITY, WHICH COULD LEAD TO HIGH AND UNPREDICTABLE VOLATILITY IN THE INDEX — Market prices of
the commodity futures contracts included in the Index tend to be highly volatile and may fluctuate rapidly based on numerous factors,
including changes in supply and demand relationships, governmental programs and policies, national and international monetary, trade,
political and economic events, wars and acts of terror, changes in interest and exchange rates, speculation and trading activities in
commodities and related contracts, weather, and agricultural, trade, fiscal and exchange control policies. The prices of commodities and
commodity futures contracts are subject to variables that may be less significant to the values of traditional securities, such as stocks
and bonds. These variables may create additional investment risks that cause the value of the notes to be more volatile than the values
of traditional securities. As a general matter, the risk of low liquidity or volatile pricing around the maturity date of a commodity
futures contract is greater than in the case of other futures contracts because (among other factors) a number of market participants
take physical delivery of the underlying commodities. Many commodities are also highly cyclical. The high volatility and cyclical nature
of commodity markets may render such an investment inappropriate as the focus of an investment portfolio. |
| · | A DECISION BY AN EXCHANGE
ON WHICH THE COMMODITY FUTURES CONTRACTS UNDERLYING THE INDEX ARE TRADED TO INCREASE MARGIN REQUIREMENTS FOR THOSE FUTURES CONTRACTS MAY
AFFECT THE LEVEL OF THE INDEX — If an exchange
on which the commodity futures contracts underlying the Index are traded increases the amount of collateral required to be posted to hold
positions in those futures contracts (i.e., the margin requirements), market participants who are unwilling or unable to post additional
collateral may liquidate their positions, which may cause the level of the Index to decline significantly. |
| · | THE NOTES DO NOT OFFER DIRECT EXPOSURE TO COMMODITY SPOT
PRICES — The notes are linked to the Index, which tracks commodity futures contracts, not physical commodities (or their spot
prices). The price of a futures contract reflects the expected value of the commodity upon delivery in the future, whereas the spot price
of a commodity reflects the immediate delivery value of the commodity. A variety of factors can lead to a disparity between the expected
future price of a commodity and the spot price at a given point in time, such as the cost of storing the commodity for the term of the
futures contract, interest charges incurred to finance the purchase of the commodity and expectations concerning supply and demand for
the commodity. The price movements of a futures contract are typically correlated with the movements of the spot price of the referenced
commodity, but the correlation is generally imperfect and price movements in the spot market may not be reflected in the futures market
(and vice versa). Accordingly, the notes may underperform a similar investment that is linked to commodity spot prices. |
| · | OWNING THE NOTES IS NOT THE SAME AS OWNING ANY COMMODITIES
OR COMMODITY FUTURES CONTRACTS — The return on your notes will not reflect the return you would realize if you actually purchased
the futures contracts that compose the Index, the commodities upon which the futures contracts that compose the Index are |
| |
JPMorgan Structured Investments — | PS-7 |
Digital Buffered Notes Linked to the Bloomberg Commodity IndexSM | |
based, or other exchange-traded or over-the-counter instruments
based on the Index. You will not have any rights that holders
of those assets or instruments have.
| · | HIGHER FUTURES PRICES OF THE COMMODITY FUTURES CONTRACTS
UNDERLYING THE INDEX RELATIVE TO THE CURRENT PRICES OF THOSE CONTRACTS MAY AFFECT THE LEVEL OF THE INDEX AND THE VALUE OF THE NOTES —
The Index is composed of futures contracts on physical commodities. Unlike equities, which typically entitle the holder to a continuing
stake in a corporation, commodity futures contracts normally specify a certain date for delivery of the underlying physical commodity.
As the exchange-traded futures contracts that compose the Index approach expiration, they are replaced by contracts that have a later
expiration. Thus, for example, a contract purchased and held in August may specify an October expiration. As time passes, the contract
expiring in October is replaced with a contract for delivery in November. This process is referred to as “rolling.” If the
market for these contracts is (putting aside other considerations) in “contango,” where the prices are higher in the distant
delivery months than in the nearer delivery months, the purchase of the November contract would take place at a price that is higher than
the price of the October contract, thereby creating a negative “roll yield.” Contango could adversely affect the level
of the Index and thus the value of notes linked to the Index. The futures contracts underlying the Index have historically been in contango. |
| · | SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE COMMODITY
MARKETS AND RELATED FUTURES MARKETS MAY ADVERSELY AFFECT THE LEVEL OF THE INDEX, AND THEREFORE THE VALUE OF THE NOTES — The
commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in
the markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges and some
foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices that may occur during a single day.
These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract
on any given day as a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a
particular contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular contract
or forcing the liquidation of contracts at disadvantageous times or prices. These circumstances could adversely affect the level of the
Index and, therefore, the value of your notes. |
| · | THE NOTES ARE LINKED TO AN EXCESS RETURN INDEX AND NOT
A TOTAL RETURN INDEX — The notes are linked to an excess return index and not a total return index. An excess return index,
such as the Index, reflects the returns that are potentially available through an unleveraged investment in the contracts composing that
index. By contrast, a “total return” index, in addition to reflecting those returns, also reflects interest that could be
earned on funds committed to the trading of the underlying futures contracts. |
| |
JPMorgan Structured Investments — | PS-8 |
Digital Buffered Notes Linked to the Bloomberg Commodity IndexSM | |
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 6, 2017 through August 5, 2022. The closing level
of the Index on August 10, 2022 was 120.7119. We obtained the closing levels of the Index above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should not
be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the Pricing Date
or the Observation Date. There can be no assurance that the performance of the Index will result in the return of any of your principal
amount.
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 is 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-rate
debt of JPMorgan Chase & Co. For additional information, see “Selected Risk Considerations — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an Internal
Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic terms of the notes
is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable
derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility, 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 — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
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
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be
Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
| |
JPMorgan Structured Investments — | PS-9 |
Digital Buffered Notes Linked to the Bloomberg Commodity IndexSM | |
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing
supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially
paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period
reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated
costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by
JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for
a Limited Time Period.”
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amounts Payable at Maturity” in this
pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return
Linked To The Bloomberg Commodity IndexSM” in this pricing supplement for a description of the market exposure provided
by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
We expect that delivery of the notes will be made against
payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third
business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1
of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days,
unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business
days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement
and should consult their own advisors.
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.
| |
JPMorgan Structured Investments — | PS-10 |
Digital Buffered Notes Linked to the Bloomberg Commodity IndexSM | |
Grafico Azioni JP Morgan Chase (NYSE:JPM)
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