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 October 3, 2022.
Pricing supplement |
|
To prospectus dated April 8, 2020,
prospectus supplement dated April 8, 2020 and
product supplement no. 4-II dated November 4, 2020
JPMorgan
Chase Financial Company LLC |
Registration Statement Nos. 333-236659 and 333-236659-01
Dated October , 2022
Rule 424(b)(2) |
Structured
Investments |
$
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. due October 25, 2023
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co. |
General
| ● | The notes are designed for investors who seek a Contingent Interest Payment if, (1) with respect to any Review Date (other than the
final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock
Price is greater than or equal to 56.62% of the Initial Stock Price, which we refer to as the Interest Barrier. Investors should be willing
to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments. |
| ● | Investors in the notes should be willing to accept the risk of losing some or all of their principal if a Trigger Event (as defined
below) has occurred and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates. Contingent
Interest Payments should not be viewed as periodic interest payments. |
| ● | If the closing price of one share of the Reference Stock is greater than or equal to the Interest Barrier on any Review Date, investors
will receive, in addition to the Contingent Interest Payment with respect to that Review Date, any previously unpaid Contingent Interest
Payments for prior Review Dates. |
| ● | The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the
final Review Date) is greater than or equal to the Initial Stock Price. The earliest date on which an automatic call may be initiated,
is January 20, 2023. |
| ● | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| ● | Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof |
Key Terms
Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Reference Stock: |
The common stock of Amazon.com, Inc., par value $0.01 per share (Bloomberg Ticker: AMZN). We refer to Amazon.com, Inc. as “Amazon.com.” |
Contingent Interest
Payments: |
If the notes have not been automatically called and (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock on that Review Date or (2) with respect to the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at least $37.50* plus any previously unpaid Contingent Interest Payments for any prior Review Dates. |
|
If the Contingent Interest Payment is not paid on any Interest Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing price of one share of the Reference Stock on the Review Date related to that later Interest Payment Date is greater than or equal to the Interest Barrier. You will not receive any unpaid Contingent Interest Payments if the closing price of one share of the Reference Stock or the Final Stock Price, as applicable, on each subsequent Review Date is less than the Interest Barrier. |
|
*The actual Contingent Interest Payment will be provided in the pricing supplement and will not be less than $37.50 per $1,000 principal amount note. |
Interest Barrier / Trigger
Level: |
An amount that represents 56.62% of the Initial Stock Price |
Automatic Call: |
If, with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock is greater than or equal to the Initial Stock Price, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date. |
Payment at Maturity: |
If the notes have not been automatically called and a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date plus(c) any previously unpaid Contingent Interest Payments for any prior Review Dates. |
|
If the notes have not been automatically called and a Trigger
Event has occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Final Stock
Price is less than the Initial Stock Price. Under these circumstances, your payment at maturity per $1,000 principal amount note will
be calculated as follows:
$1,000 + ($1,000 x Stock Return) |
|
If the notes have not been automatically called and a Trigger Event has occurred, you will lose more than 43.38% of the principal amount of your notes at maturity and could lose all of the principal amount of your notes at maturity. |
Trigger Event: |
A Trigger Event occurs if the Final Stock Price (i.e., the arithmetic averaging of the closing prices of one share of the Reference Stock on the Ending Averaging Dates) is less than the Trigger Level. |
Stock Return: |
(Final Stock Price – Initial Stock Price) |
|
Initial Stock Price |
Initial Stock Price: |
The closing price of one share of the Reference Stock on the Pricing Date |
Final Stock Price: |
The arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates |
Stock Adjustment Factor: |
The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings —Reference Stocks— Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further information. |
Pricing Date: |
On or about October 7, 2022 |
Original Issue Date: |
On or about October 13, 2022 (Settlement Date) |
Review Dates†: |
January 20, 2023, April 21, 2023, July 21, 2023 and October 20, 2023 (final Review Date) |
Ending Averaging Dates†: |
October 16, 2023, October 17, 2023, October 18, 2023, October 19, 2023 and the final Review Date |
Interest Payment Dates†: |
January 25, 2023, April 26, 2023, July 26, 2023 and the Maturity Date |
Call Settlement Date†: |
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date |
Maturity Date†: |
October 25, 2023 |
CUSIP: |
48133NYL6 |
Other Key Terms: |
See “Additional Key Terms” in this pricing supplement |
† |
Subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement. |
Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page
PS-12 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal
offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public
of the notes. |
| (2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions
it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $10.00 per $1,000 principal
amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
If the notes priced today, the estimated value of the
notes would be approximately $981.70 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are
set, will be provided in the pricing supplement and will not be less than $970.00 per $1,000 principal amount note. See “The
Estimated Value of the Notes” in this pricing supplement for additional information.
The
notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not
obligations of, or guaranteed by, a bank.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to
the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer
to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you will
be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may reject
your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these notes
are a part, and the more detailed information contained in the accompanying product supplement. This pricing supplement, together with
the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well
as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things,
the matters set forth in the “Risk Factors” section of the accompanying prospectus supplement and accompanying product supplement,
as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows
(or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan
Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our” refer
to JPMorgan Financial.
JPMorgan Structured Investments - | PS - 1 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. | |
What Are the Payments on the Notes, Assuming
a Range of Performances for the Reference Stock?
If the notes have not been automatically called and, (1) with respect to
any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to the
final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, you will receive on the applicable Interest
Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at least $37.50 plus any previously unpaid Contingent
Interest Payments for any prior Review Dates. The actual Contingent Interest Payment will be provided in the pricing supplement and will
not be less than $37.50 per $1,000 principal amount note. If, (1) with respect to any Review Date (other than the final Review Date),
the closing price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than
the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. We refer to the Interest Payment Date
immediately following any Review Date on which the closing price of one share of the Reference Stock or Final Stock Price, as applicable,
is less than the Interest Barrier as a “No-Coupon Date.” The following table assumes a Contingent Interest Payment of $37.50
per $1,000 principal amount note and illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note
over the term of the notes depending on how many No-Coupon Dates occur.
Number of
No-Coupon Dates |
Total Contingent Coupon
Payments |
0 No-Coupon Dates |
$150.00 |
1 No-Coupon Date |
$112.50 |
2 No-Coupon Dates |
$75.00 |
3 No-Coupon Dates |
$37.50 |
4 No-Coupon Dates |
$0.00 |
The following table illustrates the hypothetical payments on the notes
in different hypothetical scenarios. Each hypothetical payment set forth below assumes an Initial Stock Price of $100, an Interest Barrier
and a Trigger Level of $56.62 (equal to 56.62% of the hypothetical Initial Stock Price) and a Contingent Interest Payment of $37.50. The
actual Contingent Interest Payment will be provided in the pricing supplement and will not be less than $37.50 per $1,000 principal amount
note. Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
Review Dates Prior to the Final Review
Date |
Final Review Date |
Closing
Price of One
Share of the
Reference
Stock |
Appreciation
/
Depreciation
of the
Reference
Stock
at
Review Date |
Payment on
Interest
Payment
Date or Call
Settlement
Date (1)(2) |
Final Stock
Price |
Appreciation
/
Depreciation
of the
Reference
Stock at
Final Review
Date |
Payment at
Maturity If a
Trigger
Event Has
Not
Occurred
(2)(3) |
Payment at
Maturity If a
Trigger
Event Has
Occurred (3) |
$180.000 |
80.00% |
$1,037.50 |
$180.000 |
80.00% |
$1,037.50 |
N/A |
$170.000 |
70.00% |
$1,037.50 |
$170.000 |
70.00% |
$1,037.50 |
N/A |
$160.000 |
60.00% |
$1,037.50 |
$160.000 |
60.00% |
$1,037.50 |
N/A |
$150.000 |
50.00% |
$1,037.50 |
$150.000 |
50.00% |
$1,037.50 |
N/A |
$140.000 |
40.00% |
$1,037.50 |
$140.000 |
40.00% |
$1,037.50 |
N/A |
$130.000 |
30.00% |
$1,037.50 |
$130.000 |
30.00% |
$1,037.50 |
N/A |
$125.000 |
25.00% |
$1,037.50 |
$125.000 |
25.00% |
$1,037.50 |
N/A |
$120.000 |
20.00% |
$1,037.50 |
$120.000 |
20.00% |
$1,037.50 |
N/A |
$115.000 |
15.00% |
$1,037.50 |
$115.000 |
15.00% |
$1,037.50 |
N/A |
$110.000 |
10.00% |
$1,037.50 |
$110.000 |
10.00% |
$1,037.50 |
N/A |
$105.000 |
5.00% |
$1,037.50 |
$105.000 |
5.00% |
$1,037.50 |
N/A |
$100.000 |
0.00% |
$1,037.50 |
$100.000 |
0.00% |
$1,037.50 |
N/A |
$95.000 |
-5.00% |
$37.50 |
$95.000 |
-5.00% |
$1,037.50 |
N/A |
$90.000 |
-10.00% |
$37.50 |
$90.000 |
-10.00% |
$1,037.50 |
N/A |
$85.000 |
-15.00% |
$37.50 |
$85.000 |
-15.00% |
$1,037.50 |
N/A |
$80.000 |
-20.00% |
$37.50 |
$80.000 |
-20.00% |
$1,037.50 |
N/A |
$75.000 |
-25.00% |
$37.50 |
$75.000 |
-25.00% |
$1,037.50 |
N/A |
$70.000 |
-30.00% |
$37.50 |
$70.000 |
-30.00% |
$1,037.50 |
N/A |
$60.000 |
-40.00% |
$37.50 |
$60.000 |
-40.00% |
$1,037.50 |
N/A |
$56.620 |
-43.38% |
$37.50 |
$56.620 |
-43.38% |
$1,037.50 |
N/A |
$56.610 |
-43.39% |
N/A |
$56.610 |
-43.39% |
N/A |
$566.10 |
$50.000 |
-50.00% |
N/A |
$50.000 |
-50.00% |
N/A |
$500.00 |
$40.000 |
-60.00% |
N/A |
$40.000 |
-60.00% |
N/A |
$400.00 |
$30.000 |
-70.00% |
N/A |
$30.000 |
-70.00% |
N/A |
$300.00 |
$20.000 |
-80.00% |
N/A |
$20.000 |
-80.00% |
N/A |
$200.00 |
$10.000 |
-90.00% |
N/A |
$10.000 |
-90.00% |
N/A |
$100.00 |
$0.000 |
-100.00% |
N/A |
$0.000 |
-100.00% |
N/A |
$0.00 |
JPMorgan Structured Investments - | PS - 2 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. | |
| (1) | The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the
final Review Date) is greater than or equal to the Initial Stock Price. |
| (2) | You will receive a Contingent Interest Payment in connection with a Review Date if, (1) with respect to any Review Date (other than
the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final
Stock Price is greater than or equal to the Interest Barrier plus any previously unpaid Contingent Interest Payments for any prior
Review Dates. The applicable amount shown in the table above does not include any previously unpaid Contingent Interest Payments that
may be payable on the applicable Interest Payment Date. |
| (3) | A Trigger Event occurs if the Final Stock Price (i.e., the arithmetic average of the closing prices of one share of the Reference
Stock on the Ending Averaging Dates) is less than the Trigger Level. |
Hypothetical Examples of Amounts Payable on
the Notes
The following examples illustrate how payments on the notes in different
hypothetical scenarios are calculated.
Example 1: The price of one share of the Reference Stock increases from
the Initial Stock Price of $100 to a closing level of $120 on the first Review Date. Because the closing price of one share of the
Reference Stock on the first Review Date is greater than the Interest Barrier, the investor is entitled to receive a Contingent Interest
Payment in connection with the first Review Date. In addition, because the closing price of one share of the Reference Stock on the first
Review Date is greater than the Initial Stock Price, the notes are automatically called. Accordingly, the investor receives a payment
of $1,037.50 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $37.50
per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note.
Example 2: A Contingent Interest Payment is not paid in connection with
the first Review Date but is paid in connection with the second Review Date, the closing price of one share of the Reference Stock is
less than the Initial Stock Price of $100 on each of the Review Dates preceding the third Review Date and the price of one share of the
Reference Stock increases from the Initial Stock Price of $100 to a closing price of $120 on the third Review Date. The investor receives
a payment of $75.00 per $1,000 principal amount note in connection with the second Review Date (reflecting the Contingent Interest Payment
for the second Review Date and the unpaid Contingent Interest Payment for the first Review Date), but the notes are not automatically
called on any of the Review Dates preceding the third Review Date because the closing price of one share of the Reference Stock is less
than the Initial Stock Price on each of the Review Dates preceding the third Review Date. Because the closing price of one share of the
Reference Stock on the third Review Date is greater than the Interest Barrier, the investor is entitled to receive a Contingent Interest
Payment in connection with the third Review Date. In addition, because the closing price of one share of the Reference Stock on the third
Review Date is greater than the Initial Stock Price, the notes are automatically called. Accordingly, the investor receives a payment
of $1,037.50 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $37.50
per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. As a result, the total
amount paid on the notes over the term of the notes is $1,112.50 per $1,000 principal amount note.
Example 3: The notes are not automatically called prior to maturity,
Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and the price of one
share of the Reference Stock increases from the Initial Stock Price of $100 to a Final Stock Price of $120 — A Trigger Event has
not occurred. The investor receives a payment of $37.50 per $1,000 principal amount note in connection with each of the Review Dates
preceding the final Review Date. Because the notes are not automatically called prior to maturity and a Trigger Event has not occurred,
the investor receives at maturity a payment of $1,037.50 per $1,000 principal amount note. This payment consists of a Contingent Interest
Payment of $37.50 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total
amount paid on the notes over the term of the notes is $1,150.00 per $1,000 principal amount note. This represents the maximum total
payment an investor may receive over the term of the notes.
Example 4: The notes are not automatically called prior to maturity,
a Contingent Interest Payment is paid in connection with the second Review Date but not paid in connection with the first or third Review
Dates and the price of one share of the Reference Stock decreases from the Initial Stock Price of $100 to a Final Stock Price of $57 —
A Trigger Event has not occurred. The investor receives a payment of $75.00 per $1,000 principal amount note in connection with the
second Review Date (reflecting the Contingent Interest Payment for the second Review Date and the unpaid Contingent Interest Payment for
the first Review Date). Because the notes are not automatically called prior to maturity and a Trigger Event has not occurred, even though
the Final Stock Price is less than the Initial Stock Price, the investor receives at maturity a payment of $1,075.00 per $1,000 principal
amount note. This payment consists of Contingent Interest Payments of $75.00 per $1,000 principal amount note (reflecting the Contingent
Interest Payment for the final Review Date and the unpaid Contingent Interest Payment for the third Review Date) and repayment of principal
equal to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of the notes is $1,150.00 per $1,000
principal amount note. This represents the maximum total payment an investor may receive over the term of the notes.
Example 5: The notes are not automatically called prior to maturity,
Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and the price of one
share of the Reference Stock decreases from the Initial Stock Price of $100 to a Final Stock Price of $40 — A Trigger Event has
occurred. The investor receives a payment of $37.50 per $1,000 principal amount note in connection with each of the Review Dates preceding
the final Review Date. Because the notes are not automatically called prior to maturity, a Trigger Event has occurred and the Stock Return
is -60%, the investor receives a payment at maturity of $400 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -60%) = $400
JPMorgan Structured Investments - | PS - 3 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. | |
The total value of the payments on the notes over the term of the notes
is $512.50 per $1,000 principal amount note.
Example 6: The notes are not automatically called prior to maturity,
no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date and the price of one share
of the Reference Stock decreases from the Initial Stock Price of $100 to a Final Stock Price of $30 — A Trigger Event has occurred.
Because the notes are not automatically called prior to maturity, no Contingent Interest Payments are paid in connection with the Review
Dates preceding the final Review Date, a Trigger Event has occurred and the Stock Return is -70%, the investor receives no payments over
the term of the notes, other than a payment at maturity of $300 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -70%) = $300
The hypothetical payments on the notes shown above apply only if you
hold the notes for their entire term or until automatically called. These hypotheticals do not reflect fees or expenses that would
be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical payments shown above would
likely be lower.
Selected Purchase Considerations
| ● | CONTINGENT INTEREST PAYMENTS — The notes offer the potential to earn a Contingent Interest Payment in connection with
each Review Date of at least $37.50* per $1,000 principal amount note. If the notes have not been automatically called and, (1) with respect
to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to the
final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, you will receive on the applicable Interest
Payment Date a Contingent Interest Payment for that Review Date plus any previously unpaid Contingent Interest Payments for any
prior Review Dates. If, (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the
Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than the Contingent Interest Barrier, no
Contingent Interest Payment will be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payments
if the closing price of one share of the Reference Stock or the Final Stock Price, as applicable, on each subsequent Review Date is less
than the Interest Barrier. If the closing price of one share of the Reference Stock or the Final Stock Price, as applicable, on each Review
Date is less than the Interest Barrier, you will not receive any Contingent Interest Payments over the term of the notes. If payable,
a Contingent Interest Payment will be made to the holders of record at the close of business on the business day immediately preceding
the applicable Interest Payment Date. Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully
and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations
as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as they become due. |
| | * The actual Contingent Interest Payment will be provided in the pricing supplement and will not be less than $37.50 per $1,000
principal amount note. |
| ● | POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE — If the closing price of one share of the Reference Stock
on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price, your notes will be automatically
called prior to the Maturity Date. Under these circumstances, you will receive a cash payment, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date plus (c) any previously unpaid Contingent
Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Dates. Even in cases where the notes are called
before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement. |
| ● | THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED — If the notes
have not been automatically called, we will pay you your principal back at maturity only if a Trigger Event has not occurred. However,
if the notes have not been automatically called and a Trigger Event has occurred, you will lose some or all of the principal amount of
your notes at maturity. |
| ● | RETURN LINKED TO A SINGLE REFERENCE STOCK — The return on the notes is linked to the performance of a single Reference
Stock, which is the common stock of Amazon.com. For additional information see “The Reference Stock” in this pricing supplement. |
| ● | TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement no. 4-II. In determining our reporting responsibilities we intend to treat (i) the notes for U.S.
federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments
as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product
supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment,
but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income
or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on
a number of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate transition
rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially
affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions above and in the accompanying
product supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code.
You should consult your tax adviser |
JPMorgan Structured Investments - | PS - 4 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. | |
regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by the notice described above.
| | Non-U.S. Holders — Tax Considerations. The U.S. federal income tax treatment of Contingent Interest
Payments is uncertain, and although we believe it is reasonable to take a position that Contingent Interest Payments are not subject
to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these
payments (generally at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless
income from your notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable
treaty so requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are
urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances. |
| | Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30%
withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect
to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain
exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set
forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m)
instruments issued prior to January 1, 2025 that do not have a delta of one with respect to underlying securities that could pay
U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain
determinations made by us, we expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders. Our
determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its
application may depend on your particular circumstances, including whether you enter into other transactions with respect to an
Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the
pricing supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the
notes. |
| | In the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so
withheld. |
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the
notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more detail in the “Risk Factors”
sections of the accompanying prospectus supplement and accompanying product supplement.
| ● | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. If the notes
have not been automatically called and a Trigger Event has occurred, you will lose 1% of the principal amount of your notes at maturity
for every 1% that the Final Stock Price is less than the Initial Stock Price. Under these circumstances, you will lose more than 43.38%
of your principal amount at maturity and could lose all of the principal amount of your notes at maturity. |
| ● | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — The terms of the notes differ
from those of conventional debt securities in that, among other things, whether we pay interest is linked to the performance of the Reference
Stock. Contingent Interest Payments should not be viewed as periodic interest payments. If the notes have not been automatically called
and if, (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock
or, (2) with respect to the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, we will make a
Contingent Interest Payment with respect to that Review Date (and will pay you any previously unpaid Contingent Interest Payments for
any prior Review Dates). If, (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of
the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than the Contingent Interest Barrier,
no Contingent Interest Payment will be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payments
if the closing price of one share of the Reference Stock or the Final Stock Price, as applicable, on each subsequent Review Date is less
than the Interest Barrier. Accordingly, if, (1) with respect to any Review Date (other than the final Review Date), the closing price
of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than the Interest Barrier,
you will not receive any Contingent Interest Payments over the term of the notes. |
| ● | 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 |
JPMorgan Structured Investments - | PS - 5 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. | |
under the related guarantee by JPMorgan Chase & Co., and
that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
| ● | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — If the notes are automatically called, the amount of Contingent
Interest Payments made on the notes may be less than the amount of Contingent Interest Payments that might have been payable if the notes
were held to maturity, and, for each $1,000 principal amount note, you will receive on the applicable Call Settlement Date $1,000 plus
the Contingent Interest Payment applicable to the relevant Review Date plus any previously unpaid Contingent Interest Payments
for any prior Review Dates. |
| ● | REINVESTMENT RISK — If your notes are automatically called, the term of the notes may be reduced to as short as approximately
three months and you will not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee
that you would be able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest
rate for a similar level of risk in the event the notes are automatically called prior to the Maturity Date. |
| ● | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION OF THE REFERENCE STOCK —
The appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be paid over the term of
the notes, regardless of any appreciation of the Reference Stock, which may be significant. You will not participate in any appreciation
of the Reference Stock. Accordingly, the return on the notes may be significantly less than the return on a direct investment in the Reference
Stock during the term of the notes. |
| ● | POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including
acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions
used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to
as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic
interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes.
In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and
JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes and the
value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result
in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks
Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.
We and/or our affiliates may also currently or from time to time engage in business with Amazon.com, including extending loans to, or
making equity investments in, Amazon.com or providing advisory services to Amazon.com. In addition, one or more of our affiliates may
publish research reports or otherwise express opinions with respect to Amazon.com, and these reports may or may not recommend that investors
buy or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake an independent investigation of the Reference
Stock issuer that in your judgment is appropriate to make an informed decision with respect to an investment in the notes. |
| ● | THE BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Final Stock Price
is less than the Trigger Level and the notes have not been automatically called, the benefit provided by the Trigger Level will terminate
and you will be fully exposed to any depreciation of the Reference Stock. |
| ● | 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 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 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 |
JPMorgan Structured Investments - | PS - 6 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. | |
A LIMITED TIME PERIOD — We generally expect that
some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases
of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates
for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information
relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value
of the notes as published by JPMS (and which may be shown on your customer account statements).
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary
market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market
prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market
prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original
issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial
loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary
market prices of the notes.
The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
See “— Lack of Liquidity” below. |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price
of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the Reference
Stock, including: |
| ● | 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 actual and expected volatility of the Reference Stock; |
| ● | the time to maturity of the notes; |
| ● | whether the closing price of one share of the Reference Stock or Final Stock Price, as applicable, has been, or is expected to be,
less than the Interest Barrier on any Review Date and whether a Trigger Event is expected to occur; |
| ● | the likelihood of an automatic call being triggered; |
| ● | the dividend rate on the Reference Stock; |
| ● | interest and yield rates in the market generally; |
| ● | the occurrence of certain events affecting the issuer of the Reference Stock that may or may not require an adjustment to the Stock
Adjustment Factor, including a merger or acquisition; and |
| ● | a variety of other economic, financial, political, regulatory 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. |
| ● | NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK— As a holder of the notes, you will not have any ownership interest
or rights in the Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference Stock will not
have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the value of
the Reference Stock and the notes. |
| ● | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — We are not affiliated with the issuer of the Reference Stock. We assume
no responsibility for the adequacy of the information about the Reference Stock issuer contained in this pricing supplement. You should
undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s
public disclosure of information, whether contained in SEC filings or otherwise. |
| ● | SINGLE STOCK RISK — The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock
and its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management
changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest
rates and economic and political conditions. |
| ● | VOLATILITY RISK — Greater expected volatility with respect to the Reference Stock indicates a greater likelihood as of
the Pricing Date that the closing price of one share of the Reference Stock or the Final Stock Price, as applicable, could be below the
Interest Barrier on any Review Date or below the Trigger Level on the Final Review Date. The Reference Stock’s volatility, however,
can change significantly over the term of the notes. The price of one share of the Reference Stock could fall sharply at any time during
the term of the notes, which could result in the loss of one or more, or all, Contingent Interest Payments or a significant loss of principal. |
| ● | 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 ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will
make adjustments to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation agent
will not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does not require
the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. You should also be aware
that the calculation agent may make |
JPMorgan Structured Investments - | PS - 7 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. | |
adjustments in response to events that are not described in
the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation
to do so or to consider your interests as a holder of the notes in making these determinations.
| ● | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes
will be based on relevant market conditions when the terms of the notes are set and will be provided in the pricing supplement. In particular,
each of the estimated value of the notes and the Contingent Interest Payment will be provided in the pricing supplement and each may be
as low as the applicable minimum set forth on the cover of this pricing supplement. Accordingly, you should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Contingent Interest Payment. |
JPMorgan Structured Investments - | PS - 8 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. | |
The Reference Stock
Public Information
All information contained herein on the Reference Stock and on Amazon.com
is derived from publicly available sources and is provided for informational purposes only. According to its publicly available filings
with the SEC, Amazon.com, Inc. operates retail websites and offers programs that enable third parties to sell products on their websites.
The common stock of Amazon.com, par value $0.01 per share (Bloomberg ticker: AMZN), is registered under the Securities Exchange Act of
1934, as amended, which we refer to as the Exchange Act, and is listed on The NASDAQ Stock Market, which we refer to as the relevant
exchange for purposes of Amazon.com in the accompanying product supplement. Information provided to or filed with the SEC by Amazon.com
pursuant to the Exchange Act can be located by reference to SEC file number 000-22513, and can be accessed through www.sec.gov.
We do not make any representation that these publicly available documents are accurate or complete.
Historical Information Regarding the Reference
Stock
The following graph sets forth the historical performance of the Reference
Stock based on the weekly historical closing prices of one share of the Reference Stock from January 6, 2017 through September 30, 2022.
The closing price of one share of the Reference Stock on September 30, 2022 was $113.00. We obtained the closing prices above and below
from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs,
delistings and bankruptcy.
The historical closing prices of one share of the Reference Stock should
not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of the Reference
Stock on the Pricing Date, any Ending Averaging Date or any Review Date, including the final Review Date. There can be no assurance that
the performance of the Reference Stock will result in the return of any of your principal amount at maturity or the payment of any interest.
Historical Performance of Amazon.com,
Inc.
Source: Bloomberg |
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.
JPMorgan Structured Investments - | PS - 9 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. | |
The estimated value of the notes will be lower than the original issue
price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of
the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations —
The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices
of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes Will Be Impacted by Many Economic and
Market Factors” in this pricing supplement. In addition, we generally expect that some of the costs included in the original issue
price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period that is intended to be the shorter of six months and one-half of the stated term
of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit
in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by
our affiliates. See “Selected Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that reflect
the risk-return profile and market exposure provided by the notes. See “What Are the Payments on the Notes, Assuming a Range of
Performances for the Reference Stock?” and “Hypothetical Examples of Amounts Payable on the Notes” in this pricing supplement
for an illustration of the risk-return profile of the notes and “The Reference Stock” in this pricing supplement for a description
of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of
the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected profits (losses)
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the estimated cost
of hedging our obligations under the notes.
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 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. |
|
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