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 September
30, 2022
September , 2022 |
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Uncapped Accelerated Barrier Notes Linked to an
Unequally Weighted Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX
50® Index and the iShares® MSCI EAFE ETF due October 5, 2027
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| · | The notes are designed for investors who seek an uncapped return of at least 1.365 times any appreciation of an unequally weighted
basket of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50® Index and the
iShares® MSCI EAFE ETF at maturity. |
| · | Because the S&P 500® Index and the Russell 2000® Index make up 70.00% of the Basket, we expect that
generally the market value of your notes and your payment at maturity will depend to a greater extent on the performance of the S&P
500® Index and the Russell 2000® Index. |
| · | 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 September 30, 2022 and are expected to settle on or about October 5, 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, “Risk Factors” beginning on page US-3 of the accompanying underlying supplement and “Selected
Risk Considerations” beginning on page PS-3 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated
dealers. In no event will these selling commissions exceed $11.25 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 $966.80 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 $940.00 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, underlying supplement no. 1-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.
Basket: The
notes are linked to an unequally weighted basket consisting of the following:
| · | 40.00% of the S&P 500® Index (Bloomberg ticker: SPX); |
| · | 30.00% of the Russell 2000® Index (Bloomberg ticker: RTY) |
| · | 20.00% of the EURO STOXX 50® Index (Bloomberg ticker: SX5E) (each of the S&P 500® Index, the
Russell 2000® Index and the EURO STOXX 50® Index, an “Index” and collectively, the “Indices”); |
| · | 10.00% of the iShares® MSCI EAFE ETF (Bloomberg ticker: EFA) (the “Fund”) |
(each of the Indices and the Fund, an “Underlying” and
collectively, the “Underlyings”).
Upside Leverage Factor:
At least 1.365 (to be provided in the pricing supplement)
Barrier Amount:
65.00% of the Initial Basket Value, which is 65.00
Pricing Date:
On or about September 30, 2022
Original Issue Date
(Settlement Date): On or about October 5, 2022
Observation Date*:
September 30, 2027
Maturity Date*:
October 5, 2027
* 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 Multiple Underlyings”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
Payment at Maturity:
If the Final Basket Value is greater than the Initial Basket Value,
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Basket Return ×
Upside Leverage Factor)
If the Final Basket Value is equal to the Initial Basket Value or is
less than the Initial Basket Value but greater than or equal to the Barrier Amount, you will receive the principal amount of your notes
at maturity.
If the Final Basket 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 × Basket Return)
If the Final Basket Value is less than the Barrier Amount, you will
lose more than 35.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Basket Return:
(Final Basket Value – Initial Basket Value)
Initial Basket Value
Initial Basket Value:
Set equal to 100 on the Pricing Date
Final Basket Value:
The closing level of the Basket on the Observation Date
Closing Level of the Basket:
100 × [1 + (40.00% × Underlying Return of the S&P 500®
Index) + (30.00% × Underlying Return of the Russell 2000® Index) + (20.00% × Underlying Return of the EURO
STOXX 50® Index) + (10.00% × Underlying Return of the iShares® MSCI EAFE ETF)]
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial Value: With
respect to each Underlying, the closing value of that Underlying on the Pricing Date
Final Value: With
respect to each Underlying, the closing value of that Underlying on the Observation Date
Share Adjustment
Factor: The Share Adjustment Factor is referenced in determining the closing
value of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence
of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying
product supplement for further information.
PS-1
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
Hypothetical
Payout Profile
The following table illustrates the hypothetical
total return at maturity on the notes. The “total return” as used in this pricing supplement is the number, expressed as a
percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns
set forth below assume the following:
| · | an Initial Basket Value of 100.00; |
| · | an Upside Leverage Factor of 1.365; and |
| · | a Barrier Amount of 65.00 (equal to 65.00% of the hypothetical Initial Basket Value). |
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 have been rounded for ease of analysis.
Final Basket Value |
Basket Return |
Total Return on the Notes |
Payment at Maturity |
165.00 |
65.00% |
88.725% |
$1,887.25 |
150.00 |
50.00% |
68.250% |
$1,682.50 |
140.00 |
40.00% |
54.600% |
$1,546.00 |
130.00 |
30.00% |
40.950% |
$1,409.50 |
120.00 |
20.00% |
27.300% |
$1,273.00 |
110.00 |
10.00% |
13.650% |
$1,136.50 |
105.00 |
5.00% |
6.825% |
$1,068.25 |
101.00 |
1.00% |
1.365% |
$1,013.65 |
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 |
70.00 |
-30.00% |
0.00% |
$1,000.00 |
65.00 |
-35.00% |
0.00% |
$1,000.00 |
64.99 |
-35.01% |
-35.01% |
$649.90 |
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
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
How the
Notes Work
Upside Scenario:
If the Final Basket Value is greater than the Initial
Basket Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Basket Return times
the Upside Leverage Factor of at least 1.365.
| · | Assuming a hypothetical Upside Leverage Factor of 1.365, if the
closing level of the Basket increases 5.00%, investors will receive at maturity a 6.825% return, or $1,068.25 per $1,000 principal amount
note. |
Par Scenario:
If the Final Basket Value is equal to the Initial Basket
Value or is less than the Initial Basket Value but greater than or equal to the Barrier Amount of 65.00% of the Initial Basket Value,
investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Basket Value is less than the Barrier Amount
of 65.00% of the Initial Basket Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Basket
Value is less than the Initial Basket Value.
| · | For example, if the closing level of the Basket 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.
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, product
supplement and underlying supplement.
Risks Relating
to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the Final Basket Value is less than the Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the
Final Basket Value is less than the Initial Basket Value. Accordingly, under these circumstances, you will lose more than 35.00% of your
principal amount at maturity and could lose all of your principal amount at maturity.
| · | 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 Basket 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 Basket.
| · | THE NOTES DO NOT PAY INTEREST. |
PS-3
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
| · | CORRELATION (OR LACK OF CORRELATION) OF THE UNDERLYINGS — |
The notes are linked to an unequally weighted
Basket composed of three Indices and one Fund. Because the S&P 500® Index and the Russell 2000® Index
make up 70.00% of the Basket, we expect that generally the market value of your notes and your payment at maturity will depend to a greater
extent on the performance of the S&P 500® Index and the Russell 2000® Index. In calculating the Final
Basket Value, an increase in the value of one of the Underlyings may be moderated, or more than offset, by lesser increases or declines
in the values of the other Underlyings. In addition, high correlation of movements in the values of the Underlyings during periods of
negative returns among the Underlyings could have an adverse effect on the payment at maturity on the notes.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY
UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING LEVEL OF THE BASKET FALLING BELOW THE BARRIER AMOUNT IS GREATER
IF THE LEVEL OF THE BASKET 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 Upside Leverage Factor.
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 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.
PS-4
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
| · | 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 level of the Basket. 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.
Risks Relating
to the Basket
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®
INDEX, |
but JPMorgan Chase & Co. will not have
any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500® Index.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS
WITH RESPECT TO THE RUSSELL 2000® INDEX — |
Small capitalization companies may be less
able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward
stock price pressure under adverse market conditions.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50® INDEX AND THE FUND — |
The equity securities included in the EURO
STOXX 50® Index or held by the Fund have been issued by non-U.S. companies. Investments in securities linked to the
value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of
those non-U.S. equity securities. Also, there is generally less publicly available information about companies in some of these
jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC.
| · | NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50®
INDEX — |
The value of your notes will not be adjusted
for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the EURO STOXX
50® Index are based, although any currency fluctuations could affect the performance of the EURO STOXX 50®
Index.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management risk, which
is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject to a number
of constraints, may not produce the intended results. These constraints could adversely affect the market price of the shares of the Fund
and, consequently, the value of the notes.
PS-5
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund does not fully replicate its Underlying
Index (as defined under “The Underlyings” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of
its Underlying Index. All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying Index.
In addition, corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs) may impact the
variance between the performances of the Fund and its Underlying Index. Finally, because the shares of the Fund are traded on a securities
exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset
value per share of the Fund.
During periods of market volatility, securities
underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the
ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market
value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH
RESPECT TO THE FUND — |
Because the prices
of the equity securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the
Fund, holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities
held by the Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar
and the relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking into account the relevant
weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected and any payment on the
notes may be reduced.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment
in response to all events that could affect the shares of the Fund. 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.
PS-6
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
The return on the notes is linked to an equally weighted
basket consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI Emerging Markets ETF. Because the S&P 500® Index and the Russell 2000®
Index make up 70.00% of the Basket, we expect that generally the market value of your notes and your payment at maturity will depend to
a greater extent on the performance of the S&P 500® Index and the Russell 2000® Index.
The S&P 500® Index consists of stocks
of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
The Russell 2000® Index consists of the
middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the
smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed to track
the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
The EURO STOXX 50® Index consists of
50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX are the intellectual
property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which
are used under license. The notes based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted
by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For
additional information about the EURO STOXX 50® Index, see “Equity Index Descriptions — The STOXX Benchmark
Indices” in the accompanying underlying supplement.
The
Fund is an exchange-traded fund of iShares® Trust, a registered
investment company, that seeks to track the investment results, before fees and expenses, of an index composed of large- and mid-capitalization
developed market equities, excluding the United States and Canada, which we refer to as the Underlying Index with respect to the Fund.
The Underlying Index for the Fund is currently the MSCI EAFE® Index.
The MSCI EAFE® Index is a free float-adjusted market capitalization
index intended to measure the equity market performance of certain developed markets, excluding the United States and Canada. For additional
information about the Fund, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying
supplement.
Historical Information
The following graphs set forth the historical performance
of the Basket as a whole, as well as each Underlying, based on the weekly historical closing values from January 6, 2017 through September
23, 2022. The graph of the historical performance of the Basket assumes that the closing level of the Basket on January 6, 2017 was 100
and that the weights of the Underlyings were as specified under “Key Terms — Basket” in this pricing supplement on that
date. The closing value of the S&P 500® Index on September 28, 2022 was 3,719.04. The closing value of the Russell
2000® Index on September 28, 2022 was 1,715.243. The closing value of the EURO STOXX 50® Index on September
28, 2022 was 3,335.30. The closing value of the Fund on September 28, 2022 was $56.88. We obtained the closing values of the Underlyings
above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The
closing values of the Fund above and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing levels of the Basket and the historical
closing values of the Underlyings should not be taken as an indication of future performance, and no assurance can be given as to the
closing level of the Basket on the Observation Date or the closing values of the Underlyings on the Pricing Date or the Observation Date.
There can be no assurance that the performance of the Basket will result in the return of any of your principal amount.
PS-7
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
PS-8
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
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 your notes could be materially
and adversely affected. For example, the notes could be treated either as subject (in whole or in part) to the “constructive ownership
transaction” rules of Section 1260 of the Code, which very generally can operate to recharacterize certain long-term capital gain
as ordinary income and impose a notional interest charge (as discussed in the section entitled “Material U.S. Federal Income Tax
Consequences” in the accompanying product supplement), or as “contingent payment debt instruments.” 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
PS-9
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
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 (as described above). 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, 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.
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 risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because
PS-10
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
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 Basket”
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.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at any
time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or
reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other
prior or contemporaneous oral statements as
PS-11
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
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, the accompanying product supplement and the accompanying underlying supplement, as
the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
PS-12
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the S&P 500® Index, the Russell 2000® Index, the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
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