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.
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.
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.
How Do Exchange Rates Work?
Exchange rates reflect the amount of one currency that can be exchanged
for a unit of another currency.
European Union Euro and
British Pound Sterling
With respect to each of the
European Union euro and British pound sterling, the Spot Rate is expressed as a number of U.S. dollars per one unit of the applicable
Reference Currency.
| · | As a result, an increase in the Spot Rate from the Strike Rate to the
Ending Spot Rate means that the applicable Reference Currency has appreciated / strengthened relative to the U.S. dollar from the
Strike Rate to the Ending Spot Rate. This means that it would take more U.S. dollars to purchase one unit of the applicable Reference
Currency on the Observation Date than it did on the Strike Date. Viewed another way, one U.S. dollar could purchase fewer units of the
applicable Reference Currency on the Observation Date than it could on the Strike Date. |
| · | Conversely, a decrease in the Spot Rate from the Strike Rate to the
Ending Spot Rate means that the applicable Reference Currency has depreciated / weakened relative to the U.S. dollar from the Strike
Rate to the Ending Spot Rate. This means that one U.S. dollar could purchase more units of the applicable Reference Currency on the Observation
Date than it could on the Strike Date. Viewed another way, it would take fewer U.S. dollars to purchase one unit of the applicable Reference
Currency Rate on the Observation Date than it did on the Strike Date. |
Japanese Yen, Canadian Dollar,
Swedish Krona and Swiss Franc
With respect to each of the Japanese yen, the Canadian dollar, the
Swedish Krona and the Swiss franc, the Spot Rate is expressed as a number of units of the applicable Reference Currency per one U.S. dollar.
| · | As a result, a decrease in the Spot Rate from the Strike Rate to the
Ending Spot Rate means that the applicable Reference Currency has appreciated / strengthened relative to the U.S. dollar from the
Strike Rate to the Ending Spot Rate. This means that one unit of the applicable Reference Currency could purchase more U.S. dollars on
the Observation Date than it could on the Strike Date. Viewed another way, it would take fewer units of the applicable Reference Currency
to purchase one U.S. dollar on the Observation Date than it did on the Strike Date. |
| · | Conversely, an increase in the Spot Rate from the Strike Rate to the
Ending Spot Rate means that the applicable Reference Currency has depreciated / weakened relative to the U.S. dollar from the Strike
Rate to the Ending Spot Rate. This means that it would take more units of the applicable Reference Currency to purchase one U.S. dollar
on the Observation Date than it did on the Strike Date. Viewed another way, one unit of the applicable Reference Currency could purchase
fewer U.S. dollars on the Observation Date than it could on the Strike Date. |
How Do the Reference Currency Return Formulas
Work?
Each Reference Currency Return
reflects the return of the applicable Reference Currency relative to the U.S. dollar from the Strike Rate to the Ending Spot Rate, calculated
using the applicable formula set forth above under “Additional Key Terms — Reference Currency Return.” While each Reference
Currency Return for purposes of the notes is determined using the applicable formula set forth above under “Additional Key Terms
— Reference Currency Return,” there are other reasonable ways to determine the return of a Reference Currency relative to
the U.S. dollar that would provide different results. For example, another way to calculate the return of a Reference Currency relative
to the U.S. dollar would be to calculate the return that would be achieved by converting U.S. dollars into that Reference Currency at
the Strike Rate on the Strike Date and then, on the Observation Date, converting back into U.S. dollars at the applicable Ending Spot
Rate. In this pricing supplement, we refer to the return of a Reference Currency relative to the U.S. dollar calculated using that method,
which is not used for purposes of the notes, as a “conversion return.”
As demonstrated by the examples
below, under the Reference Currency Return formulas, any appreciation of a Reference Currency relative to the U.S. dollar will be diminished,
as compared to a conversion return, while any depreciation of a Reference Currency relative to the U.S. dollar will be magnified, as compared
to a conversion return. In addition, the diminishing effect on any appreciation of a Reference Currency relative to the U.S. dollar increases
as the applicable Reference Currency Return increases, and the magnifying effect on any depreciation of a Reference Currency relative
to the U.S. dollar increases as the applicable Reference Currency Return decreases. Accordingly, your payment at maturity may be less
than if you had invested in similar notes that reflected conversion returns.
European Union Euro and British Pound Sterling (expressed as
a number of U.S. dollars per one unit of the applicable Reference Currency)
The following examples assume a Strike Rate of 1.00 for the European
Union euro relative to the U.S. dollar.
| · | Example 1: The European Union euro strengthens from the Strike Rate of
1.00 to an Ending Spot Rate of 1.10. |
The Reference Currency Return is equal to 9.09%, calculated as follows:
(1.10 – 1.00) / 1.10 = 9.09%
By contrast, if the return on the European Union euro were determined
using a conversion return, the return would be 10.00%.
| · | Example 2: The European Union euro strengthens from the Strike Rate of
1.00 to an Ending Spot Rate of 100. |
The Reference Currency Return is equal to 99.00%, which demonstrates
the effective cap of approximately 100% on the Reference Currency Return, calculated as follows:
(100 – 1.00) / 100 = 99.00%
JPMorgan Structured Investments — | PS-3 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
By contrast, if the return on the European Union euro were determined
using a conversion return, which would not be subject to the effective cap of approximately 100%, the return would be 9,900.00%.
As Examples 1 and 2 above demonstrate, the diminishing effect on
any appreciation of a Reference Currency relative to the U.S. dollar increases as the applicable Reference Currency Return increases.
| · | Example 3: The European Union euro weakens from the Strike Rate of 1.00
to an Ending Spot Rate of 0.90. |
The Reference Currency Return is equal to -11.11%, calculated as
follows:
(0.90 – 1.00) / 0.90 = -11.11%
By contrast, if the return on the European Union euro were determined
using a conversion return, the return would be -10.00%.
| · | Example 4: The European Union euro weakens from the Strike Rate of 1.00
to an Ending Spot Rate of 0.25. |
The Reference Currency Return is equal to -300.00%, which demonstrates
that there is no limit on the downside for the Reference Currency Return, calculated as follows:
(0.25 – 1.00) / 0.25 = -300.00%
By contrast, if the return on the European Union euro were determined
using a conversion return, the return would be -75.00%.
As Examples 3 and 4 above demonstrate, the magnifying effect on any
depreciation of a Reference Currency relative to the U.S. dollar increases as the applicable Reference Currency Return decreases.
Japanese Yen, Canadian Dollar, Swedish Krona and Swiss Franc
(expressed as a number of units of the applicable Reference Currency per one U.S. dollar)
The following examples assume a Strike Rate of 140 for the Japanese
yen relative to the U.S. dollar.
| · | Example 1: The Japanese yen strengthens from the Strike Rate of 140 to
an Ending Spot Rate of 126. |
The Reference Currency Return is equal to 10.00%, calculated as follows:
(140 – 126) / 140 = 10.00%
By contrast, if the return on the Japanese yen were determined using
a conversion return, the return would be 11.11%.
| · | Example 2: The Japanese yen strengthens from the Strike Rate of 140 to
an Ending Spot Rate of 1.40. |
The Reference Currency Return is equal to 99.00%, which demonstrates
the effective cap of approximately 100% on the Reference Currency Return, calculated as follows:
(140 – 1.40) / 140 = 99.00%
By contrast, if the return on the Japanese yen were determined using
a conversion return, which would not be subject to the effective cap of approximately 100%, the return would be 9,900.00%.
As Examples 1 and 2 above demonstrate, the diminishing effect on
any appreciation of a Reference Currency relative to the U.S. dollar increases as the applicable Reference Currency Return increases.
| · | Example 3: The Japanese yen weakens from the Strike Rate of 140 to an Ending
Spot Rate of 154. |
The Reference Currency Return is equal to -10.00%, calculated as
follows:
(140 – 154) / 140 = -10.00%
By contrast, if the return on the Japanese yen were determined using
a conversion return, the return would be -9.09%.
| · | Example 4: The Japanese yen weakens from the Strike Rate of 140 to an Ending
Spot Rate of 560. |
The Reference Currency Return is equal to -300.00%, which demonstrates
that there is no limit on the downside for the Reference Currency Return, calculated as follows:
(140 – 560) / 140 = -300.00%
By contrast, if the return on the Japanese yen were determined using
a conversion return, the return would be -75.00%.
As Examples 3 and 4 above demonstrate, the magnifying effect on any
depreciation of a Reference Currency relative to the U.S. dollar increases as the applicable Reference Currency Return decreases.
The hypothetical Strike Rate, Ending Spot Rates and Reference Currency
Returns set forth above are for illustrative purposes only and have been rounded for ease of analysis.
JPMorgan Structured Investments — | PS-4 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
What Is the Payment at Maturity on the Notes, Assuming
a Range of Performances for the Basket?
The following table and examples illustrate the hypothetical total
return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement is the
number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. Each
hypothetical total return or payment at maturity set forth below assumes a Participation Rate of 100%. The actual Participation Rate will
be provided in the pricing supplement and will not be less than 100%. Each hypothetical total return or payment at maturity set forth
below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser of the
notes. The numbers appearing in the following table and in the examples below have been rounded for ease of analysis.
Ending
Basket
Level |
Basket
Return |
Basket
Return ×
Participation
Rate (100%) |
Additional
Amount |
|
|
|
Payment
at
Maturity |
Total
Return |
180.00 |
80.00% |
80.00% |
$800.00 |
+ |
$1,000.00 |
= |
$1,800.00 |
80.00% |
160.00 |
60.00% |
60.00% |
$600.00 |
+ |
$1,000.00 |
= |
$1,600.00 |
60.00% |
140.00 |
40.00% |
40.00% |
$400.00 |
+ |
$1,000.00 |
= |
$1,400.00 |
40.00% |
120.00 |
20.00% |
20.00% |
$200.00 |
+ |
$1,000.00 |
= |
$1,200.00 |
20.00% |
110.00 |
10.00% |
10.00% |
$100.00 |
+ |
$1,000.00 |
= |
$1,100.00 |
10.00% |
105.00 |
5.00% |
5.00% |
$50.00 |
+ |
$1,000.00 |
= |
$1,050.00 |
5.00% |
100.00 |
0.00% |
0.00% |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
0.00% |
95.00 |
-5.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
0.00% |
90.00 |
-10.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
0.00% |
80.00 |
-20.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
0.00% |
60.00 |
-40.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
0.00% |
40.00 |
-60.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
0.00% |
20.00 |
-80.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
0.00% |
0.00 |
-100.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
0.00% |
-10.00 |
-110.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
0.00% |
Hypothetical Examples of Amount Payable at Maturity
The following examples illustrate how the total payment at maturity
in different hypothetical scenarios is calculated.
Example 1: The level of the Basket increases from the Starting
Basket Level of 100 to an Ending Basket Level of 110.
Because the Ending Basket Level of 110 is greater than the Starting
Basket Level of 100 and the Basket Return is 10%, the Additional Amount is equal to $100. The investor receives a payment at maturity
of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 10% × 100%) =
$1,100
Example 2: The level of the Basket decreases from the Starting
Basket Level of 100 to an Ending Basket Level of 80.
Because the Ending Basket Level of 80 is less than the Starting Basket
Level of 100, the payment at maturity is equal to $1,000 per $1,000 principal amount note.
Example 3: The level of the Basket neither increases nor decreases
from the Starting Basket Level of 100.
Because the Ending Basket Level of 100 is equal to the Starting Basket
Level of 100, the payment at maturity is equal to $1,000 per $1,000 principal amount note.
The hypothetical returns and hypothetical payments on the notes shown
above apply only if you hold the notes for their entire term. These hypotheticals do not reflect fees or expenses that would be
associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
JPMorgan Structured Investments — | PS-5 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
What Is the Basket Return, Assuming a Range of
Performances for the Reference Currencies?
The examples below illustrate hypothetical Basket
Returns, assuming a range of performances for the Reference Currencies. The hypothetical Basket Returns set forth below assume the Strike
Rates as set forth in the tables below. The Basket Returns set forth below are for illustrative purposes only and may not be the actual
Basket Returns applicable to the notes. You should consider carefully whether the notes are suitable to your investment goals. The numbers
appearing in the examples below have been rounded for ease of analysis.
Example 1
Reference Currency |
Reference
Currency
Weight |
Hypothetical
Strike Rate |
Hypothetical
Ending Spot
Rate |
Reference
Currency
Return |
European Union euro |
57.60% |
1.00 |
1.25 |
20.00% |
Japanese yen |
13.60% |
140.00 |
126.00 |
10.00% |
British pound sterling |
11.90% |
1.10 |
1.375 |
20.00% |
Canadian dollar |
9.10% |
1.30 |
1.1375 |
12.50% |
Swedish Krona |
4.20% |
11.00 |
9.90 |
10.00% |
Swiss franc |
3.60% |
0.90 |
0.72 |
20.00% |
|
|
Basket Return: |
17.54% |
In this example, each of the Reference Currencies
appreciated in value relative to the U.S. dollar, resulting in positive Reference Currency Returns for each Reference Currency relative
to the U.S. dollar, with a Basket Return of 17.54%.
Example 2
Reference Currency |
Reference
Currency
Weight |
Hypothetical
Strike Rate |
Hypothetical
Ending Spot
Rate |
Reference
Currency
Return |
European Union euro |
57.60% |
1.00 |
0.83333 |
-20.00% |
Japanese yen |
13.60% |
140.00 |
154.00 |
-10.00% |
British pound sterling |
11.90% |
1.10 |
0.91667 |
-20.00% |
Canadian dollar |
9.10% |
1.30 |
1.456 |
-12.00% |
Swedish Krona |
4.20% |
11.00 |
13.20 |
-20.00% |
Swiss franc |
3.60% |
0.90 |
1.125 |
-25.00% |
|
|
Basket Return: |
-18.09% |
In this example, each of the Reference Currencies
depreciated in value relative to the U.S. dollar, resulting in negative Reference Currency Returns for each Reference Currency relative
to the U.S. dollar, with a Basket Return of -18.09%.
Example 3
Reference Currency |
Reference
Currency
Weight |
Hypothetical
Strike Rate |
Hypothetical
Ending Spot
Rate |
Reference
Currency
Return |
European Union euro |
57.60% |
1.00 |
0.50 |
-100.00% |
Japanese yen |
13.60% |
140.00 |
126.00 |
10.00% |
British pound sterling |
11.90% |
1.10 |
1.375 |
20.00% |
Canadian dollar |
9.10% |
1.30 |
1.1375 |
12.50% |
Swedish Krona |
4.20% |
11.00 |
9.90 |
10.00% |
Swiss franc |
3.60% |
0.90 |
0.72 |
20.00% |
|
|
Basket Return: |
-51.58% |
In this example, the Japanese yen, the British pound
sterling, the Canadian dollar, the Swedish Krona and the Swiss franc each appreciated in value relative to the U.S. dollar, resulting
in positive Reference Currency Returns for each of those Reference Currency relative to the U.S. dollar, and the European Union euro depreciated
in value relative to the U.S. dollar, resulting in a Reference Currency Return for the European Union euro of -100%. The Basket Return
is -51.58%. This example demonstrates that, because the European Union euro makes up 57.60% of the Basket, depreciation of the European
Union euro relative to the U.S. dollar can more than offset appreciation of the other Reference Currencies relative to the U.S. dollar.
JPMorgan Structured Investments — | PS-6 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
Example 4
Reference Currency |
Reference
Currency
Weight |
Hypothetical
Strike Rate |
Hypothetical
Ending Spot
Rate |
Reference
Currency
Return |
European Union euro |
57.60% |
1.00 |
100.00 |
99.00% |
Japanese yen |
13.60% |
140.00 |
1,260.00 |
-800.00% |
British pound sterling |
11.90% |
1.10 |
110.00 |
99.00% |
Canadian dollar |
9.10% |
1.30 |
0.013 |
99.00% |
Swedish Krona |
4.20% |
11.00 |
0.11 |
99.00% |
Swiss franc |
3.60% |
0.90 |
0.009 |
99.00% |
|
|
Basket Return: |
-23.26% |
In this example, the
European Union euro, the Canadian dollar, the British pound sterling, the Swedish Krona and the Swiss franc each appreciated significantly
in value relative to the U.S. dollar, resulting in Reference Currency Returns for each of those Reference Currencies of 99%, and the Japanese
yen depreciated significantly in value relative to the U.S. dollar, resulting in a Reference Currency Return for the Japanese yen of -800%.
The Basket Return is -23.26%. This example demonstrates that
(a) no Reference Currency Return will be greater than approximately 100% and (b) depreciation by one Reference Currency relative to the
U.S. dollar can more than offset appreciation of the other Reference Currencies relative to the U.S. dollar, even when the other Reference
Currencies collectively have a greater weight within the basket.
JPMorgan Structured Investments — | PS-7 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
Selected Purchase Considerations
| · | POTENTIAL PRESERVATION OF CAPITAL AT MATURITY — Subject to the
credit risks of JPMorgan Financial and JPMorgan Chase & Co., the payment at maturity will be at least $1,000 per $1,000 principal
amount note if you hold the notes to maturity, regardless of the performance of the Basket. 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. |
| · | CAPPED APPRECIATION POTENTIAL — At maturity, in addition to the
principal amount, for each $1,000 principal amount note, you will receive a payment equal to $1,000 × the Basket Return ×
the Participation Rate of at least 100%*, provided that this payment (the “Additional Amount”) will not be less than
zero or greater than the effective cap of at least 100% of the principal amount. Accordingly, the actual maximum payment at maturity will
be at least $1,000 per $1,000 principal amount note. See “How Do the Reference Currency Return Formulas Work?”, “Selected
Risk Considerations — Risks Relating to the Notes Generally — Your Notes Are Subject to an Embedded Maximum Payment at Maturity”
and “What Is the Basket Return, Assuming a Range of Performances for the Reference Currencies?” in this pricing supplement
for more information. |
* The Participation Rate will be provided
in the pricing supplement and will not be less than 100%.
| · | EXPOSURE TO THE REFERENCE CURRENCIES VERSUS THE U.S. DOLLAR —
The return on the notes is linked to the performance of a basket of currencies, which we refer to as the Reference Currencies, relative
to the U.S. dollar, and will enable you to participate in potential increases in the value of the Basket relative to the U.S. dollar,
from the Starting Basket Level to the Ending Basket Level. The Basket derives its value from an unequally weighted group of currencies
consisting of the European Union euro, the Japanese yen, the British pound sterling, the Canadian dollar, the Swedish Krona and the Swiss
Franc, each measured relative to the U.S. dollar. The Reference Currency Return with respect to each Reference Currency is effectively
capped at approximately 100%, with no limit on the downside. See “How Do the Reference Currency
Return Formulas Work?”, “Selected Risk Considerations — Risks Relating to the Notes Generally — Your Notes Are
Subject to an Embedded Maximum Payment at Maturity” and “What Is the Basket Return, Assuming a Range of Performances for the
Reference Currencies?” in this pricing supplement for more information. |
| · | TAX TREATMENT — You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences,” and in particular the subsection thereof entitled “— Notes Treated
as Debt Instruments That Have a Term of More than One Year,” in the accompanying product supplement no. 2-II. Unlike a traditional
debt instrument that provides for periodic payments of interest at a single fixed rate, with respect to which a cash-method investor generally
recognizes income only upon receipt of stated interest, the notes will be treated as “contingent payment debt instruments”
for U.S. federal income tax purposes. As discussed in that subsection, you generally will be required to accrue original issue discount
(“OID”) on your notes in each taxable year at the “comparable yield,” as determined by us, subject to certain
adjustments to reflect the difference between the actual and projected amounts of any payments you receive during the year, with the result
that your taxable income in any year may differ significantly from the aggregate amount of the Interest Payments you receive in that year.
Upon sale or exchange (including at maturity), you will recognize taxable income or loss equal to the difference between the amount received
from the sale or exchange, and your adjusted basis in the note, which generally will equal the cost thereof, increased by the amount of
OID you have accrued in respect of the note and decreased by the amount of any prior projected payments in respect of the note.
You generally must treat any income as interest income and any loss as ordinary loss to the extent of previous net interest inclusions,
and the balance as capital loss. The deductibility of capital losses is subject to limitations. Special rules may apply if the Additional
Amount is treated as becoming fixed prior to maturity. The discussions herein 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. Purchasers who are not initial
purchasers of notes at their issue price should consult their tax advisers with respect to the tax consequences of an investment in notes,
including the treatment of the difference, if any, between the basis in their notes and the notes’ adjusted issue price. |
The discussions in the preceding paragraphs,
when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences” (and in particular the
subsection thereof entitled “— Tax Consequences to U.S. Holders— Notes Treated as Contingent Payment Debt Instruments”)
in the accompanying product supplement, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal
income tax consequences of owning and disposing of notes.
| · | COMPARABLE YIELD AND PROJECTED PAYMENT SCHEDULE — We will determine
the comparable yield for the notes and will provide that comparable yield, and the related projected payment schedule, in the pricing
supplement for the notes, which we will file with the SEC. If the notes had priced on September 28, 2022 and we had determined the
comparable yield on that date, it would have been an annual rate of 4.74%, compounded semiannually. The actual comparable yield
that we will determine for the notes may be higher or lower than 4.74%, and will depend upon a variety of factors, including actual market
conditions and our borrowing costs for debt instruments of comparable maturities. Neither the comparable yield nor the projected
payment schedule constitutes a representation by us regarding the actual Additional Amount, if any, that we will pay on the notes. |
JPMorgan Structured Investments — | PS-8 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Reference Currencies, the U.S. dollar or the respective exchange rates between
the Reference Currencies and the U.S. dollar or any contracts related to the Reference Currencies, the U.S. dollar or the respective exchange
rates between the Reference Currencies and the U.S. dollar. These risks are explained in more detail in the “Risk Factors”
sections of the accompanying prospectus supplement and product supplement and below.
Risks
Relating to the Notes Generally
| · | THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY —
You may receive a lower payment at maturity than you would have received if you had invested directly in the Reference Currencies, the
U.S. dollar or any contracts related to the Reference Currencies, the U.S. dollar or the respective exchange rates between the Reference
Currencies and the U.S. dollar. If the Basket Return is not positive (i.e., the Basket does not appreciate from the Starting Basket
Level to the Ending Basket Level), the Additional Amount will be zero. This will be true even if the Basket Return was positive at some
time during the term of the notes but depreciates or remains flat from the Starting Basket Level on the Observation Date. |
| · | YOUR NOTES ARE SUBJECT TO AN EMBEDDED MAXIMUM PAYMENT AT MATURITY —
Because the Reference Currency Returns are expressed either as the Ending Spot Rate minus the Strike Rate, divided by the
Ending Spot Rate, or as the Strike Rate minus the Ending Spot Rate, divided by the Strike Rate, your payment at maturity
is subject to an embedded maximum payment at maturity. In no event will any Reference Currency Return be greater than 100% and, accordingly,
the Basket Return will not be greater than 100%. As a result, assuming a Participation Rate of 100%, the Additional Amount will be at
most $1,000 per $1,000 principal amount note, and the payment at maturity will be at most $2,000 per $1,000 principal amount note. The
Participation Rate will be provided in the pricing supplement and will not be less than 100%. |
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN
CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase
& Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on our
and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase
& Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any
amounts owed to you under the notes and you could lose your entire investment. |
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS
NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — As a finance subsidiary of JPMorgan Chase & Co., we have no independent
operations beyond the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany
agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates
do not make payments to us and we fail to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan
Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase &
Co. |
| · | NO INTEREST PAYMENTS — As a holder of
the notes, you will not receive interest payments. |
| · | LACK OF LIQUIDITY — The notes will not
be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required to do so.
Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other
dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend
on the price, if any, at which JPMS is willing to buy the notes. |
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING
SUPPLEMENT — The final terms of the notes will be based on relevant market conditions when the terms of the notes are set and
will be provided in the pricing supplement. In particular, each of the estimated value of the notes and the Participation Rate 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 Participation Rate. |
Risks
Relating to Conflicts of Interest
| · | POTENTIAL CONFLICTS — We and our affiliates
play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering
of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated
value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. In performing these duties,
our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates of
ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business
activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse
to yours and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities
of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while
the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement for additional information about these risks. |
JPMorgan Structured Investments — | PS-9 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
In addition, although the calculation agent
has made all determinations and has taken all actions in relation to the establishment of each Strike Rate in good faith, it should be
noted that such discretion could have an impact (positive or negative), on the value of your notes. The calculation agent is under no
obligation to consider your interests as a holder of the notes in taking any actions, including the determination of each Strike Rate,
that might affect the value of your notes.
Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER
THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling
commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement. |
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT
FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market
conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, interest
rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are greater than or less
than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions
may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in
market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See “The Estimated
Value of the Notes” in this pricing supplement. |
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY
REFERENCE TO AN INTERNAL FUNDING RATE — The internal funding rate used in the determination of the estimated value of the notes
is based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan
Chase & Co. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of
the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement. |
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND
WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED
TIME PERIOD — We generally expect that some of the costs included in the original issue price of the notes will be partially
paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal
secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement
for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial period
may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY
BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the
original issue price of the notes because, among other things, secondary market prices take into account our internal secondary market
funding rates for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy 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 “— Risks
Relating to the Notes Generally — Lack of Liquidity” above.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED
BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted by a number
of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits,
if any, estimated hedging costs and the level of the Basket, 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 exchange rates and the volatility of the exchange
rates of the Reference Currencies relative to the U.S. dollar; |
| · | suspension or disruption of market trading in the
Reference Currencies and the U.S. dollar; |
| · | the time to maturity of the notes; |
| · | interest and yield rates in the market generally;
and |
JPMorgan Structured Investments — | PS-10 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
| · | 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.
Risks
Relating to the Reference Currencies
| · | THE METHOD OF CALCULATING THE REFERENCE CURRENCY
RETURNS WILL DIMINISH ANY APPRECIATION OF THE REFERENCE CURRENCIES AND MAGNIFY ANY DEPRECIATION OF THE REFERENCE CURRENCIES RELATIVE TO
THE U.S. DOLLAR — Each Reference Currency Return reflects the return of a Reference Currency relative to the U.S. dollar from
the Strike Rate to the Ending Spot Rate, calculated using the applicable formula set forth above under “Additional Key Terms —
Reference Currency Return.” While each Reference Currency Return for purposes of the notes is determined using the applicable formula
set forth above under “Additional Key Terms — Reference Currency Return,” there are other reasonable ways to determine
the return of a Reference Currency relative to the U.S. dollar that would provide different results. For example, another way to calculate
the return of a Reference Currency relative to the U.S. dollar would be to calculate the return that would be achieved by converting U.S.
dollars into that Reference Currency at the Strike Rate on the Pricing Date and then, on the Observation Date, converting back into U.S.
dollars at the Ending Spot Rate. In this pricing supplement, we refer to the return of a Reference Currency relative to the U.S. dollar
calculated using that method, which is not used for purposes of the notes, as a “conversion return.” |
Under the Reference Currency
Return formula, any appreciation of a Reference Currency relative to the U.S. dollar will be diminished, as compared to a conversion return,
while any depreciation of a Reference Currency relative to the U.S. dollar will be magnified, as compared to a conversion return. The
diminishing effect on any appreciation of a Reference Currency relative to the U.S. dollar, which we refer to as an embedded variable
decelerating upside leverage, increases as the Reference Currency Return increases. The magnifying effect on any depreciation of a Reference
Currency relative to the U.S. dollar, which we refer to as an embedded variable downside leverage, increases as the Reference Currency
Return decreases. Accordingly, your payment at maturity may be less than if you had invested in similar notes that reflected conversion
returns. See “How Do the Reference Currency Return Formulas Work?” in this pricing supplement for more information.
| · | MOVEMENTS IN THE EXCHANGE RATES OF THE REFERENCE
CURRENCIES RELATIVE TO THE U.S. DOLLAR MAY BE HIGHLY CORRELATED — Because the performance of the Basket is determined by the
performances of the Reference Currencies relative to the U.S. dollar, your notes will be exposed to currency exchange rate risk with respect
to the European Union and its member countries, Japan, the United Kingdom, Canada, Sweden, Switzerland (the “Reference Currency
Countries”) and the United States. High correlation of movements in the exchange rates of the Reference Currencies relative to the
U.S. dollar during periods of negative returns could have an adverse effect on your return on your investment at maturity. However,
the movements in the exchange rates of the Reference Currencies relative to the U.S. dollar may not be correlated. See the immediately
following risk consideration for more information. |
| · | CHANGES IN THE VALUES OF THE REFERENCE CURRENCIES RELATIVE TO THE U.S.
DOLLAR MAY OFFSET EACH OTHER — Changes in the values of the Reference Currencies relative to the U.S. dollar may not correlate
with each other. At a time when one of the Reference Currencies appreciates relative to the U.S. dollar, one or more of the other Reference
Currencies may depreciate relative to the U.S. dollar or may not appreciate as much. Therefore, in calculating the Ending Basket Level,
appreciation by one of the Reference Currencies relative to the U.S. dollar may be moderated, or more than offset, by depreciation or
lesser appreciation of the other Reference Currencies relative to the U.S. dollar. Because each Reference Currency Return is subject to
an embedded maximum return of approximately 100%, with no limit on the downside, and because of the embedded variable decelerating upside
leverage and the embedded variable downside leverage, depreciation by one Reference Currency relative to the U.S. dollar may result in
an Additional Amount of zero, even when the other Reference Currencies appreciate significantly relative to the U.S. dollar. See “What
Is the Basket Return, Assuming a Range of Performances for the Reference Currencies?” in this pricing supplement for more information. |
| · | THE NOTES MIGHT NOT PAY AS MUCH AS A DIRECT INVESTMENT IN THE REFERENCE
CURRENCIES — You may receive a lower payment at maturity than you would have received if you had invested directly in the Reference
Currencies individually, a combination of Reference Currencies or contracts related to the Reference Currencies for which there is an
active secondary market. |
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK
— Foreign currency exchange rates vary over time, and may vary considerably
during the term of the notes. The value of a Reference Currency or the U.S. dollar is at any moment a result of the supply and demand
for that currency. Changes in foreign currency exchange rates result over time from the interaction of many factors directly or indirectly
affecting economic and political conditions in the Reference Currency Countries, the United States and other relevant countries or regions. |
Of particular importance to potential currency
exchange risk are:
| · | existing and expected rates of inflation; |
| · | existing and expected interest rate levels; |
| · | the balance of payments in the Reference Currency Countries and the United
States, and between each country or region and its major trading partners; |
| · | political, civil or military unrest in the Reference Currency Countries and
the United States; and |
JPMorgan Structured Investments — | PS-11 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
| · | the extent of governmental surplus or deficit in the Reference Currency Countries
and the United States. |
All of these factors are, in turn, sensitive
to the monetary, fiscal and trade policies pursued by the Reference Currency Countries and the United States, and those of other countries
important to international trade and finance.
| · | GOVERNMENTAL INTERVENTION COULD MATERIALLY AND ADVERSELY AFFECT THE VALUE
OF THE NOTES — Foreign exchange rates can be fixed by the sovereign government, allowed to float within a range of exchange
rates set by the government or left to float freely. Governments, including those of the Reference Currency Countries and the United States,
use a variety of techniques, such as intervention by their central bank or imposition of regulatory controls or taxes, to affect the exchange
rates of their respective currencies. They may also issue a new currency to replace an existing currency, fix the exchange rate or alter
the exchange rate or relative exchange characteristics by devaluation or revaluation of a currency. Thus, a special risk in purchasing
the notes is that their trading value and amount payable could be affected by the actions of sovereign governments, fluctuations in response
to other market forces and the movement of currencies across borders. |
| · | EVEN THOUGH THE REFERENCE CURRENCIES AND THE
U.S. Dollar TRADE AROUND-THE-CLOCK, THE NOTES WILL NOT — Because
the inter-bank market in foreign currencies is a global, around-the-clock market, the hours of trading for the notes, if any, will not
conform to the hours during which the Reference Currencies and the U.S. dollar are traded. Consequently, significant price and rate movements
may take place in the underlying foreign exchange markets that will not be reflected immediately in the price of the notes. Additionally,
there is no systematic reporting of last-sale information for foreign currencies which, combined with the limited availability of quotations
to individual investors, may make it difficult for many investors to obtain timely and accurate data regarding the state of the underlying
foreign exchange markets. |
| · | CURRENCY EXCHANGE RISKS CAN BE EXPECTED TO HEIGHTEN
IN PERIODS OF FINANCIAL TURMOIL — In periods of financial turmoil,
capital can move quickly out of regions that are perceived to be more vulnerable to the effects of the crisis than others with sudden
and severely adverse consequences to the currencies of those regions. In addition, governments around the world, including the United
States government and governments of other major world currencies, have recently made, and may be expected to continue to make, very significant
interventions in their economies, and sometimes directly in their currencies. Such interventions affect currency exchange rates globally
and, in particular, the value of the Reference Currencies relative to the U.S. dollar. Further interventions, other government actions
or suspensions of actions, as well as other changes in government economic policy or other financial or economic events affecting the
currency markets, may cause currency exchange rates to fluctuate sharply in the future, which could have a material adverse effect on
the value of the notes and your return on your investment in the notes at maturity. |
| · | CURRENCY MARKET DISRUPTIONS MAY ADVERSELY AFFECT YOUR RETURN —
The calculation agent may, in its sole discretion, determine that the currency markets have been affected in a manner that prevents it
from properly determining, among other things, the Spot Rates and the Reference Currency Returns. These events may include disruptions
or suspensions of trading in the currency markets as a whole, and could be a Convertibility Event, a Deliverability Event, a Liquidity
Event, a Taxation Event, a Discontinuity Event or a Price Source Disruption Event. See “The Underlyings — Currencies —
Market Disruption Events for a Reference Currency Relative to a Base Currency” in the accompanying product supplement for further
information on what constitutes a market disruption event. |
JPMorgan Structured Investments — | PS-12 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
Historical Information
The following table sets forth the Spot Rate of each Reference Currency
on September 28, 2022. We obtained the Spot Rates below from Refinitiv, without independent verification.
Reference Currency |
Spot Rate |
European Union euro (EUR) |
0.96050 |
Japanese yen (JPY) |
143.480 |
British pound sterling (GBP) |
1.06810 |
Canadian dollar (CAD) |
1.36845 |
Swedish krona (SEK) |
11.3363 |
Swiss franc (CHF) |
0.98525 |
The graph below shows the weekly performance of the Basket from January
6, 2017 through September 23, 2022, assuming that the Starting Basket Level was set equal to 100 on January 6, 2017 and the weights of
the Reference Currencies were as specified under “Key Terms — Reference Currencies” in this pricing supplement on that
date and that the exchange rates (as described below) of each Reference Currency relative to the U.S. dollar on the relevant dates were
the Spot Rates on those dates. The exchange rates and the historical weekly Basket performance data in this graph were determined using
the rates reported by the Bloomberg Professional® service (“Bloomberg”) and may not be indicative of the Basket
performance using the Spot Rates of the Reference Currencies relative to the U.S. dollar that would be derived from the applicable Refinitiv
pages.
The six graphs below show the historical weekly performance of each
Reference Currency relative to the U.S. dollar based on the weekly historical conventional market quotations shown on Bloomberg from January
6, 2017 through September 23, 2022.
JPMorgan Structured Investments — | PS-13 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
JPMorgan Structured Investments — | PS-14 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
The exchange rates displayed in the graphs above are for illustrative
purposes only and do not form part of the calculation of the Reference Currency Returns. The value of the Basket, and thus the Basket
Return, increases when the individual Reference Currencies appreciate in value against the U.S. dollar.
The historical performance of the Basket and each Reference Currency
relative to the U.S. dollar should not be taken as indications of future performance, and no assurance can be given as to the Basket Closing
Level on the Observation Date or the Spot Rate of any of the Reference Currencies on the Observation Date. There can be no assurance that
the performance of the Basket will result in a positive return on the notes at maturity.
The Estimated
Value of the Notes
The estimated value of the notes
set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or
derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS
would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding value of the notes
as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional
fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected Risk Considerations — Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an
Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic terms of the
notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices
of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility,
interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value
of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing
at that time. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the
Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates”
in this pricing supplement.
JPMorgan Structured Investments — | PS-15 |
Notes Linked to the Performance of an Unequally Weighted Basket of Six Currencies Relative to the U.S. Dollar |
The estimated value of the notes
will be lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under
the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced
by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss.
We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk
Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the
Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that
will impact any secondary market prices of the notes, see “Selected Risk Considerations — Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes — Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market
Factors” in this pricing supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline
to zero over an initial predetermined period that is intended to be the shorter of six months and one-half of the stated term of the notes.
The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection
with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates.
See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.