The information in this preliminary pricing supplement
is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these
securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated January 24, 2022
January , 2022
|
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
Capped Accelerated Barrier Notes Linked to the Common Stock of Amazon.com,
Inc. due March 3, 2023
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
·
|
The notes are designed for investors who seek a return of 1.25 times any appreciation of the Reference Stock, up to a maximum return
of at least 16.75%, at maturity.
|
|
·
|
Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at
maturity.
|
|
·
|
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 thereof
|
|
·
|
The notes are expected to price on or about January 28, 2022 and are expected to settle on or about February 2, 2022.
|
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-4 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 $22.25 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 $959.80 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 $920.00
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.
Pricing supplement to product supplement no. 4-II dated November
4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
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.”
Maximum
Return: At least 16.75% (corresponding to a maximum payment at maturity of at least $1,167.50
per $1,000 principal amount note) (to be provided in the pricing supplement)
Upside Leverage Factor: 1.25
Barrier Amount: 80.00% of
the Initial Value
Pricing Date:
On or about January 28, 2022
Original
Issue Date (Settlement Date): On or about February 2, 2022
Observation
Date*: February 28, 2023
Maturity Date*:
March 3, 2023
* Subject to postponement in the event of a market disruption event 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
|
Payment at Maturity:
If the Final Value is greater than the Initial Value, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return × Upside Leverage
Factor), subject to the Maximum Return
If the Final Value is equal to the Initial Value or is less than the Initial Value
but greater than or equal to the Barrier Amount, you will receive the principal amount of your notes at maturity.
If the Final Value is less than the Barrier Amount, your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the Final Value is less than the Barrier Amount, you will lose more than
20.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Stock Return:
(Final Value – Initial Value)
Initial Value
Initial Value: The
closing price of one share of the Reference Stock on the Pricing Date
Final
Value: The closing price of one share of the Reference Stock on the Observation Date
Stock Adjustment
Factor: The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and
is set equal to 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.
|
PS-1
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Common Stock of Amazon.com,
Inc.
|
|
Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical total
return and payment at maturity on the notes linked to a hypothetical Reference Stock. 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. The hypothetical total returns and payments set forth below assume the following:
|
·
|
an Initial Value of $100.00;
|
|
·
|
a Maximum Return of 16.75%;
|
|
·
|
an Upside Leverage Factor of 1.25; and
|
|
·
|
a Barrier Amount of $80.00 (equal to 80.00% of the hypothetical Initial Value).
|
The hypothetical Initial Value of $100.00 has been chosen for
illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing price of
one share of the Reference Stock on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the
actual closing prices of one share of the Reference Stock, please see the historical information set forth under “The Reference
Stock” in this pricing supplement.
Each hypothetical total return or hypothetical 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 graph have been rounded for ease of analysis.
Final Value
|
Stock Return
|
Total Return on the
Notes
|
Payment at Maturity
|
$180.00
|
80.00%
|
16.75%
|
$1,167.50
|
$165.00
|
65.00%
|
16.75%
|
$1,167.50
|
$150.00
|
50.00%
|
16.75%
|
$1,167.50
|
$140.00
|
40.00%
|
16.75%
|
$1,167.50
|
$130.00
|
30.00%
|
16.75%
|
$1,167.50
|
$120.00
|
20.00%
|
16.75%
|
$1,167.50
|
$113.40
|
13.40%
|
16.75%
|
$1,167.50
|
$110.00
|
10.00%
|
12.50%
|
$1,125.00
|
$105.00
|
5.00%
|
6.25%
|
$1,062.50
|
$101.00
|
1.00%
|
1.25%
|
$1,012.50
|
$100.00
|
0.00%
|
0.00%
|
$1,000.00
|
$95.00
|
-5.00%
|
0.00%
|
$1,000.00
|
$90.00
|
-10.00%
|
0.00%
|
$1,000.00
|
$80.00
|
-20.00%
|
0.00%
|
$1,000.00
|
$79.99
|
-20.01%
|
-20.01%
|
$799.90
|
$70.00
|
-30.00%
|
-30.00%
|
$700.00
|
$60.00
|
-40.00%
|
-40.00%
|
$600.00
|
$50.00
|
-50.00%
|
-50.00%
|
$500.00
|
$40.00
|
-60.00%
|
-60.00%
|
$400.00
|
$30.00
|
-70.00%
|
-70.00%
|
$300.00
|
$20.00
|
-80.00%
|
-80.00%
|
$200.00
|
$10.00
|
-90.00%
|
-90.00%
|
$100.00
|
$0.00
|
-100.00%
|
-100.00%
|
$0.00
|
PS-2
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Common Stock of Amazon.com,
Inc.
|
|
The following graph demonstrates the hypothetical payments at maturity
on the notes for a sub-set of Stock Returns detailed in the table above (-50% to 50%). There can be no assurance that the performance
of the Reference Stock will result in the return of any of your principal amount.
How the Notes Work
Upside Scenario:
If the Final Value is greater than the Initial Value, investors will
receive at maturity the $1,000 principal amount plus a return equal to the Stock Return times the Upside Leverage Factor of 1.25,
up to the Maximum Return of at least 16.75%. Assuming a hypothetical Maximum Return of 16.75%, an investor will realize the maximum payment
at maturity at a Final Value at or above 113.40% of the Initial Value.
|
·
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If the closing price of one share of the Reference Stock increases 5.00%, investors will receive at maturity a 6.25% return, or $1,062.50
per $1,000 principal amount note.
|
|
·
|
Assuming a hypothetical Maximum Return of 16.75%, if the closing price of one share of the Reference Stock increases 50.00%, investors
will receive at maturity a return equal to the 16.75% Maximum Return, or $1,167.50 per $1,000 principal amount note, which is the maximum
payment at maturity.
|
Par Scenario:
If the Final Value is equal to the Initial Value or is less than
the Initial Value but greater than or equal to the Barrier Amount of 80.00% of the Initial Value, investors will receive at maturity the
principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Barrier Amount of 80.00% of the
Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value is less than the Initial
Value.
|
·
|
For example, if the closing price of one share of the Reference Stock declines 60.00%,
investors will lose 60.00% of their principal amount and receive only $400.00 per $1,000 principal
amount note at maturity.
|
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 the 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.
PS-3
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Common Stock of Amazon.com,
Inc.
|
|
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product 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. If the
Final Value is less than the Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Value
is less than the Initial Value. Accordingly, under these circumstances, you will lose more than 20.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN,
|
regardless of any appreciation of the Reference Stock, which
may be significant.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
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.
|
·
|
THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
|
If the Final Value is less than the Barrier Amount, the
benefit provided by the Barrier Amount will terminate, and you will be fully exposed to any depreciation of the Reference Stock.
|
·
|
THE NOTES DO NOT PAY INTEREST.
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK.
|
|
·
|
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE REFERENCE STOCK FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE PRICE OF ONE
SHARE OF THE REFERENCE STOCK IS VOLATILE.
|
The notes will not be listed on any securities exchange.
Accordingly, 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. You may not be able to sell your 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.
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment in the notes
based on the minimums for the estimated value of the notes and the Maximum Return.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles in connection
with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially adverse to your
interests as an investor in 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
PS-4
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Common Stock of Amazon.com,
Inc.
|
|
value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
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 —
|
See “The Estimated Value of the Notes” in this
pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the determination of the
estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity
issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period. 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 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.
|
·
|
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. 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. See “Risk Factors — 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 the accompanying product supplement.
PS-5
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Common Stock of Amazon.com,
Inc.
|
|
Risks Relating to the Reference Stock
|
·
|
NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
|
We have not independently verified any 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.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
|
The calculation agent will not make an adjustment in response
to all events that could affect the Reference Stock. The calculation agent may make adjustments in response to events that are not described
in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation
to do so or to consider your interests as a holder of the notes in making these determinations.
PS-6
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Common Stock of Amazon.com,
Inc.
|
|
The Reference Stock
All information contained herein on the Reference Stock and on
Amazon is derived from publicly available sources, without independent verification. According to its publicly available filings with
the SEC, Amazon serves consumers through its online and physical stores; manufactures and sells electronic devices; develops and produces
media content; offers programs that enable sellers to sell their products in its stores and to fulfill orders through Amazon.com, Inc.;
offers developers and enterprises a set of technology services, including compute, storage, database, analytics and machine learning,
and other services; serves authors and independent publishers with an online service that lets independent authors and publishers choose
a royalty option and make their books available in the Kindle Store, along with its own publishing arm; and offers programs that allow
authors, musicians, filmmakers, skill and app developers and others to publish and sell content. The common stock of Amazon, 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 in the accompanying
product supplement. Information provided to or filed with the SEC by Amazon pursuant to the Exchange Act can be located by reference to
the 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
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 January
21, 2022. The closing price of one share of the Reference Stock on January 21, 2022 was $2,852.86. We obtained the closing prices above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
prices above and below 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 or the Observation Date. There can be no assurance that the performance of the Reference Stock
will result in the return of any of your principal amount.
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-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
PS-7
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Common Stock of Amazon.com,
Inc.
|
|
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.
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, 2023 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.
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 —
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, 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.
The estimated value of the notes does not represent future values
of the notes and may differ from others’ estimates. 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.
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
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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. A portion of the profits,
if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one
or more of our affiliates will retain any remaining hedging profits. 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.
Secondary Market Prices
of the Notes
For information about factors that will impact any secondary market
prices of the notes, see “Risk Factors — 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 the accompanying product 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.
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. This initial predetermined time period 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” in this
pricing supplement.
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 “Hypothetical Payout Profile” and “How
the Notes Work” 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.
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” sections of the accompanying prospectus supplement and the accompanying product supplement,
as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
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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.
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