The information in this preliminary pricing supplement is
not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these securities
in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated August
16, 2022
| JPMorgan Chase Financial Company LLC |
August 2022 |
Pricing Supplement
Registration Statement Nos. 333-236659
and 333-236659-01
Dated August , 2022
Filed pursuant to Rule 424(b)(2)
Structured Investments
Enhanced Trigger Jump Securities Based on the 10-Year U.S.
Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan Chase &
Co.
The Enhanced Trigger Jump Securities do not pay interest and do not guarantee
the return of any of the principal at maturity. At maturity, you will receive for each security that you hold an amount in cash that will
vary depending on the percentage change of the 10-Year U.S. Dollar SOFR ICE Swap Rate (the “ICE Swap Rate”) determined as
set forth below (the “reference rate”) from the reference rate on the pricing date (the “initial reference rate”)
to the reference rate on the valuation date (the “final reference rate”). The ICE Swap Rate, at any given time, generally
indicates the fixed rate of interest (paid annually) that a counterparty in the swaps market would have to pay for a fixed-for-floating
U.S. dollar interest rate swap transaction with a 10-year maturity in order to receive a floating rate (paid annually) referencing the
Secured Overnight Financing Rate (“SOFR”) (compounded in arrears for twelve months using standard market conventions) for
that same maturity. The ICE Swap Rate is one of the market-accepted indicators of longer-term interest rates. If the final reference rate
is greater than or equal to the trigger level, which will be at most 66% of the initial reference rate, you will receive for each security
that you hold at maturity a fixed upside payment in addition to the stated principal amount. However, if the final reference rate is less
than the trigger level, the payment due at maturity will be less than the stated principal amount of the securities by an amount that
is proportionate to the percentage decrease in the final reference rate from the initial reference rate. This amount will be less than
$660 and could be zero. Accordingly, investors may lose their entire initial investment in the securities. A very small percentage
point change in the reference rate can result in a significant loss on the securities. For example, assuming an initial reference
rate of 2.80%, if the reference rate were to decline by only 1.40 percentage points to a final reference rate of 1.40%, which represents
a 50% decline from the initial reference rate, investors would lose 50% of the stated principal amount. The Enhanced Trigger Jump Securities
are for investors who are willing to risk their principal and forgo current income in exchange for the upside payment feature that applies
to a limited range of the performance of the reference rate. The securities 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., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program. Any payment on the securities is
subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co., as guarantor
of the securities.
| Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| Reference rate: |
10-Year U.S. Dollar SOFR ICE Swap Rate (the “ICE Swap Rate”) determined as set forth under “Supplemental Terms of the Securities” in this document |
| Aggregate principal amount: |
$ |
| Payment at maturity: |
§ If the final reference rate is greater than or equal to the trigger level, you will receive at maturity a cash payment per $1,000 stated principal amount security equal to: |
| |
$1,000 + the upside payment |
| |
§ If the final reference rate is less than the trigger level, meaning the value of the reference rate has declined by more than 34% from the initial reference rate: |
| |
$1,000 × reference rate performance factor |
| |
This amount will be less than the stated principal amount of $1,000, and will represent a loss of more than 34%, and possibly all, of your principal amount. |
| Upside payment: |
$100.00 per $1,000 stated principal amount security (10.00% of the stated principal amount). The upside payment is a fixed amount and will not vary based on the reference rate. |
| Trigger level: |
%, which is at most 66% of the initial reference rate. The actual trigger level will be provided in the pricing supplement and will not be greater than 66% of the initial reference rate. |
| Reference rate performance factor: |
final reference rate / initial reference rate. In no event, however, will the reference rate performance factor be less than 0%. |
| Initial reference rate: |
The reference rate on the pricing date |
| Final reference rate: |
The reference rate on the valuation date |
| Stated principal amount: |
$1,000 per security |
| Issue price: |
$1,000 per security (see “Commissions and issue price” below) |
| Pricing date: |
August , 2022 (expected to price on or about August 17, 2022) |
| Original issue date (settlement date): |
August , 2022 (3 business days after the pricing date) |
| Valuation date: |
August 24, 2023, subject to adjustment as described under “Supplemental Terms of the Securities” in this document |
| Maturity date: |
August 29, 2023, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
| CUSIP / ISIN: |
48133MBF6 / US48133MBF68 |
| Listing: |
The securities will not be listed on any securities exchange. |
| Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
| Commissions and issue price: |
Price to public(1) |
Fees and commissions |
Proceeds to issuer |
| Per security |
$1,000.00 |
$10.002) |
$987.10 |
| |
|
$2.90(3) |
|
| Total |
$ |
$ |
$ |
| (1) | See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the securities. |
| (2) | JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Smith
Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $10.00 per $1,000 stated
principal amount security. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
| (3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $2.90 for each $1,000
stated principal amount security |
If the securities priced today and assuming an upside payment equal
to the minimum listed above, the estimated value of the securities would be approximately $957.50 per $1,000 stated principal amount security.
The estimated value of the securities on the pricing date will be provided in the pricing supplement and will not be less than $945.00
per $1,000 stated principal amount security. See “Additional Information about the Securities — The estimated value of the
securities” in this document for additional information.
Investing in the securities involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 of
the accompanying product supplement and “Risk Factors” beginning on page 6 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this
document or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal
offense.
The securities 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.
You should read this document together with the
related product supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also
see “Additional Information about the Securities” at the end of this document.
Product supplement no. MS-1-II dated November 4, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320021469/crt_dp139325-424b2.pdf
Prospectus supplement and prospectus, each dated April
8, 2020: http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
Investment Summary
The Trigger Jump Securities
The Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar
SOFR ICE Swap Rate due August 29, 2023 (the “securities”) can be used:
| § | As an alternative to direct exposure to the reference rate that provides a fixed, positive return of 10.00% (as reflected in the upside
payment of $100.00 per $1,000 stated principal amount security) if the final reference rate is greater than or equal to the trigger level,
which will be at most 66% of the initial reference rate. The actual trigger level will be provided in the pricing supplement and will
not be greater than 66% of the initial reference rate. |
| § | To enhance returns and potentially outperform the reference rate in a moderately bullish environment, but only if the final reference
rate is greater than or equal to the trigger level. |
| § | To obtain limited market downside protection against the loss of principal in the event of a decline of the reference rate as of the
valuation date, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., but only if the final reference rate is
greater than or equal to the trigger level. |
If the final reference rate is less than the
trigger level, the securities are exposed on a 1-to-1 basis to any percentage decline of the final reference rate from the initial reference
rate. Accordingly, investors may lose their entire initial investment in the securities.
| Maturity: |
Approximately 1 year |
| Upside payment: |
$100.00 per $1,000 stated principal amount security (10.00% of the stated principal amount). |
| Trigger level: |
At most 66% of the initial reference rate. The actual trigger level will be provided in the pricing supplement and will not be greater than 66% of the initial reference rate. |
| Minimum payment at maturity: |
None. Investors may lose their entire initial investment in the securities |
| Interest: |
None |
Supplemental Terms of the Securities
The valuation date is a Determination Date for purposes of the accompanying
product supplement, but is not subject to postponement under “General Terms of Notes — Postponement of a Determination Date”
in the accompanying product supplement. Instead, it is subject to adjustment as described below.
With respect to any date of determination, the reference rate refers
to the 10-Year U.S. Dollar SOFR ICE Swap Rate, which is the rate for U.S. dollar swaps with a designated maturity of 10 years, referencing
the Secured Overnight Financing Rate (“SOFR”) (compounded in arrears for twelve months using standard market conventions),
that appears on the Bloomberg Screen USISSO10 Page at approximately 11:00 a.m., New York City time, on that day as determined by the calculation
agent, provided that, if no such rate appears on the Bloomberg Screen USISSO10 Page on that day at approximately 11:00 a.m., New
York City time, then the calculation agent, after consulting such sources as it deems comparable to the foregoing display page, or any
such source it deems reasonable from which to estimate the relevant rate for U.S. dollar swaps referencing SOFR, will determine the reference
rate for that day in its sole discretion.
“Bloomberg Screen USISSO10 Page” means the display designated
as Bloomberg screen “USISSO10” or such other page as may replace the Bloomberg screen “USISSO10” on that service
or such other service or services as may be nominated for the purpose of displaying rates for U.S. dollar swaps referencing SOFR by ICE
Benchmark Administration Limited (“IBA”) or its successor or such other entity assuming the responsibility of IBA or its successor
in calculating rates for U.S. dollar swaps referencing SOFR in the event IBA or its successor no longer does so.
Notwithstanding the foregoing paragraph:
(i) If the calculation agent determines in its sole discretion
on or prior to the relevant day that the relevant rate for U.S. dollar swaps referencing SOFR has been discontinued or that rate has ceased
to be published
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
permanently or indefinitely, then the calculation agent will use as the reference rate for that day a substitute or successor
rate that it has determined in its sole discretion, after consulting an investment bank of national standing in the United States (which
may be an affiliate of ours) or any other source it deems reasonable, to be a commercially reasonable replacement rate; and
(ii) If the calculation agent has determined a substitute or successor
rate in accordance with the foregoing, the calculation agent may determine in its sole discretion, after consulting an investment bank
of national standing in the United States (which may be an affiliate of ours) or any other source it deems reasonable, the definitions
of business day, valuation date and any other relevant methodology for calculating that substitute or successor rate, including any adjustment
factor, spread and/or formula it determines is needed to make that substitute or successor rate comparable to the relevant rate for U.S.
dollar swaps referencing SOFR, in a manner that is consistent with industry-accepted practices for that substitute or successor rate.
JPMS, one of our affiliates, will act as the calculation agent for
the securities. We may appoint a different calculation agent, including ourselves or another affiliate of ours, from time to time
after the date of this pricing supplement without your consent and without notifying you. See “General Terms of Notes —
Calculation Agent” in the accompanying product supplement.
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
Key Investment Rationale
This investment offers a fixed, positive return of 10.00% at maturity
if the final reference rate is greater than or equal to the trigger level, which will be at most 66% of the initial reference rate. However,
if the final reference rate is less than the trigger level, the payment at maturity will be less than $660 and could be zero. The actual
trigger level will be provided in the pricing supplement and will not be greater than 66% of the initial reference rate.
| Upside Scenario |
If the final reference rate is greater than or equal to the trigger level, the payment at maturity for each security will be equal to $1,000.00 plus the upside payment of $100.00 per $1,000 stated principal amount security. |
| Downside Scenario |
If the final reference rate is less than the trigger level, assuming a trigger level of 66% of the initial reference rate, which means that the reference rate has depreciated by more than 34% from the initial reference rate, you will lose 1% for every 1% decline of the level of the reference rate from the initial reference rate to the final reference rate (e.g., a 50% depreciation of the reference rate will result in the payment at maturity that is less than the stated principal amount by 50%, or $500 per $1,000 stated principal amount security). A very small percentage point change in the reference rate can result in a significant loss on the securities. For example, assuming an initial reference rate of 2.80%, if the reference rate were to decline by only 1.40 percentage points to a final reference rate of 1.40%, which represents a 50% decline from the initial reference rate, investors would lose 50% of the stated principal amount. |
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
How the Enhanced Trigger Jump Securities Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on
the securities based on the following terms:
| Stated principal amount: |
$1,000 per security |
| Hypothetical upside payment: |
$100.00 (10.00% of the stated principal amount) per $1,000 stated principal amount security |
| Trigger level: |
66% of the initial reference rate (-34% percent change in the final reference rate compared with the initial reference rate) (which represents the highest hypothetical trigger level)* |
*The actual trigger level will be provided in the pricing
supplement and will not be greater than 66% of the initial reference rate.
| Enhanced Trigger Jump Securities Payoff Diagram |
 |
How it works
| § | Upside Scenario: If the final reference rate is greater than or equal to the trigger
level, the payment at maturity is equal to the $1,000 stated principal amount plus the upside payment. Under the hypothetical terms
of the securities, in the payoff diagram, an investor would receive the payment at maturity of $1,100.00 per security if the final reference
rate is greater than or equal to the trigger level. |
| o | For example, if the reference rate appreciates 5%, investors will receive a 10.00% return, or $1,100.00 per $1,000 stated principal
amount security. |
| o | For example, if the reference rate depreciates 10%, investors will receive a 10.00% return, or $1,100.00 per $1,000 stated principal
amount security. |
| o | For example, if the reference rate appreciates 30%, investors will receive a 10.00% return, or $1,100.00 per $1,000 stated principal
amount security. |
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
| § | Downside Scenario: If the final reference rate is less than the trigger level, investors
will receive an amount that is less than the stated principal amount by an amount proportionate to the percentage decrease of the final
reference rate from the initial reference rate. |
| o | For example, assuming a trigger level of 66% of the initial reference rate, if the final reference rate declines by 50% from the initial
reference rate, investors will lose 50% of their principal and the payment at maturity will be $500.00 per $1,000 stated principal amount
security (50% of the stated principal amount). |
The hypothetical returns and hypothetical payments
on the securities shown above apply only if you hold the securities 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 Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these and
other risks, you should read the sections entitled “Risk Factors” of the accompanying prospectus supplement and the accompanying
product supplement. We also urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment
in the securities.
Risks Relating to the
Securities Generally
| § | The securities do not pay interest or guarantee the return of any principal
and your investment in the securities may result in a loss. The terms of the securities
differ from those of ordinary debt securities in that the securities
do not pay interest or guarantee the payment of any stated principal amount at maturity. If the final reference rate is less than the
trigger level, you will receive for each security that you hold a payment at maturity that is less than the $1,000 stated principal amount
of each security by an amount proportionate to the
decline of the reference rate on the valuation date from the initial reference rate. A very small percentage point change in the reference
rate can result in a significant loss on the securities. For example, assuming an initial reference rate of 2.80%, if the reference rate
were to decline by only 1.40 percentage points to a final reference rate of 1.40%, which represents a 50% decline from the initial reference
rate, investors would lose 50% of the stated principal amount. There is no minimum payment at maturity on the securities and, accordingly,
you could lose your entire principal amount. |
| § | Appreciation potential is fixed and limited. If
the final reference rate is greater than or equal to the trigger level, the appreciation potential of the securities is limited to the
fixed upside payment of $100.00 per security (10.00% of the stated principal amount), even if the final reference rate is significantly
greater than the initial reference rate. See “How the Enhanced Trigger Jump Securities Work” on page 4 above. |
| § | Your ability to receive the upside payment may terminate on the valuation
date. If the final reference rate is less than the trigger level, you will not be entitled to receive
the upside payment at maturity. Under these circumstances, assuming a trigger level of 66% of the initial reference rate, you will lose
more than 34% of your principal amount and may lose all of your principal amount at maturity. |
| § | The securities are subject to the credit risks of JPMorgan Financial and
JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit ratings or credit spreads
may adversely affect the market value of the securities. Investors are dependent on our and JPMorgan Chase & Co.’s
ability to pay all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan Chase & Co.’s credit
ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined by the market for taking that credit risk is
likely to adversely affect the market value of the securities. If we and JPMorgan Chase & Co. were to default on our payment obligations,
you may not receive any amounts owed to you under the securities 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 securities. If these affiliates do not make payments
to us and we fail to make payments on the securities, 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 trigger level may terminate on the valuation date. If the final reference rate is less than the
trigger level, the benefit provided by the trigger level will terminate and you will be fully exposed to any depreciation of the reference
rate. |
| § | Secondary trading may be limited. The securities will not be
listed on a securities exchange. There may be little or no secondary market for the securities. Even if there is a secondary market, it
may not provide enough liquidity to allow you to trade or sell the securities easily. JPMS may act as a market maker for the securities,
but is not required to do so. Because we do not expect that other market makers will participate significantly in the secondary market
for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which JPMS
is willing to buy the securities. If at any time JPMS or another agent does not act as a market maker,
it is likely that there would be little or no secondary market for the securities. |
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
| § | The final terms and estimated valuation of the securities will be provided in the pricing supplement. The final terms of the
securities will be provided in the pricing supplement. In particular, each of the estimated value of the securities and the upside payment
will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this document. Accordingly,
you should consider your potential investment in the securities based on the minimum for the estimated value of the securities and the
maximum for the trigger level. |
| § | The tax consequences of an investment in the securities are uncertain. There is no direct legal authority as to the proper
U.S. federal income tax characterization of the securities, and we do not intend to request a ruling from the IRS. The IRS might not accept,
and a court might not uphold, the treatment of the securities described in “Additional Information about the Securities ―
Additional Provisions ― Tax considerations” in this document and in “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement. If the IRS were successful in asserting an alternative treatment for the securities, the timing
and character of any income or loss on the securities could differ materially and adversely from our description herein. In addition,
in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue
income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or
loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to
withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very
generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly
with retroactive effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the securities, including possible alternative treatments and the issues presented by this notice. |
Risks Relating to Conflicts of Interest
| § | Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the securities and other affiliates
of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and
as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used to determine
the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value of the securities. 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 securities. The calculation agent
will determine the initial reference rate, the trigger level and the final reference rate and will calculate the amount of payment you
will receive at maturity, if any. Determinations made by the calculation agent, including with respect to the determination of the reference
rate if the reference rate cannot be determined by reference to the applicable Bloomberg page, may affect the payment to you at maturity. |
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 securities
and the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the securities
could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer to “Risk Factors
— Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.
Furthermore, the ICE Swap Rate is administered
by ICE Benchmark Administration, and one of our affiliates is represented on the ICE Swap Rate Oversight Committee, which is responsible
for monitoring the administration of the ICE Swap Rate. We and our affiliates will have no obligation to consider your interests as a
holder of the securities in taking any actions in connection with participation on the ICE Swap Rate Oversight Committee that might affect
the ICE Swap Rate or the securities.
| § | Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the securities. The
hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the securities on
or prior to the pricing date and prior to maturity could adversely affect the |
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
value of the reference rate and, as a result, could decrease
the amount an investor may receive on the securities at maturity, if any. Any of these hedging or trading activities on or prior to the
pricing date could potentially affect the initial reference rate and the trigger level and, therefore, could potentially increase the
level that the final reference rate must reach before you receive a payment at maturity that exceeds the issue price of the securities
or so that you do not suffer a loss on your initial investment in the securities. Additionally, these hedging or trading activities during
the term of the securities, including on the valuation date, could adversely affect the final reference rate and, accordingly, the payment
to you at maturity, if any. It is possible that these hedging or trading activities could result in substantial returns for us or our
affiliates while the value of the securities declines.
Risks Relating to the Estimated
Value and Secondary Market Prices of the Securities
| § | The estimated value of the securities will be lower than the original issue
price (price to public) of the securities. The estimated value of the securities is only an estimate
determined by reference to several factors. The original issue price of the securities will exceed the estimated value of the securities
because costs associated with selling, structuring and hedging the securities are included in the original issue price of the securities.
These costs include the selling commissions, the structuring fee, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the
securities. See “Additional Information about the Securities — The estimated value of the securities” in this document. |
| § | The estimated value of the securities does not represent future values
of the securities and may differ from others’ estimates. The estimated value of the securities
is determined by reference to internal pricing models of our affiliates. This estimated value of the securities is based on market conditions
and other relevant factors existing at the time of pricing and assumptions about market parameters, which can include volatility, interest
rates and other factors. Different pricing models and assumptions could provide valuations for the securities that are greater than or
less than the estimated value of the securities. 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 securities 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 securities from you in secondary market transactions.
See “Additional Information about the Securities — The estimated value of the securities” in this document. |
| § | The estimated value of the securities is derived by reference to an internal funding rate. The internal funding rate used in
the determination of the estimated value of the securities 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 securities as well as the higher issuance, operational and ongoing liability management
costs of the securities 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 securities. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the securities and any secondary market prices of the securities. See “Additional Information
about the Securities — The estimated value of the securities” in this document. |
| § | The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than
the then-current estimated value of the securities for a limited time period. We generally expect that some of the costs included
in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities
by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, the
structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market
funding rates for structured debt issuances. See “Additional Information about the Securities — Secondary market prices of
the securities” in this document for additional information relating to this initial period. Accordingly, the estimated value of
your securities during this initial period may be lower than the value of the securities as published by JPMS (and which may be shown
on your customer account statements). |
| § | Secondary market prices of the securities will likely be lower than the
original issue price of the securities. Any secondary market prices of the securities will likely
be lower than the original issue price of the securities 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 |
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
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may exclude selling commissions,
the structuring fee, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the
securities. As a result, the price, if any, at which JPMS will be willing to buy securities 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 factor for information about additional factors that will impact any secondary market
prices of the securities.
The
securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities
to maturity. See “— Secondary trading may be limited” below.
| § | Secondary market prices of the securities will be impacted by many economic
and market factors. The secondary market price of the securities 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,
structuring fee, projected hedging profits, if any, estimated hedging costs and the reference rate, including: |
| o | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| o | customary bid-ask spreads for similarly sized trades; |
| o | our internal secondary market funding rates for structured debt issuances; |
| o | the actual and expected volatility of the reference rate; |
| o | the time to maturity of the securities; |
| o | interest and yield rates in the market generally; and |
| o | 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 securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing to purchase your
securities in the secondary market.
Risks Relating to the Reference
Rate
| § | The reference rate will
be affected by a number of factors. The reference rate will depend on a number of factors, including, but not limited to: |
| o | supply and demand for overnight U.S. Treasury repurchase agreements; |
| o | sentiment regarding underlying strength in the U.S. and global economies; |
| o | expectations regarding the level of price inflation; |
| o | sentiment regarding credit quality in the U.S. and global credit markets; |
| o | central bank policy regarding interest rates; |
| o | inflation and expectations concerning inflation; |
| o | performance of capital markets; and |
| o | any statements from public government officials regarding the cessation of the reference rate and/or SOFR. |
These and other factors may have a negative
effect on the performance of the reference rate and on the value of the securities in the secondary market.
| § | The reference rate may be
volatile. The reference rate is subject to volatility due to a variety of factors affecting interest rates generally, including, but
not limited to: |
| o | sentiment regarding underlying strength in the U.S. and global economies; |
| o | expectations regarding the level of price inflation; |
| o | sentiment regarding credit quality in U.S. and global credit markets; |
| o | central bank policy regarding interest rates; and |
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
| o | performance of capital markets. |
The reference rate may be negative. A
final reference rate that is less than the trigger level will result in a reduction of principal payment at maturity. A decline from the
initial reference rate to only slightly below the trigger level will result in a significant loss of principal. In addition, these and
other factors may have a negative impact on the value of your securities in the secondary market.
| § | The reference rate and the
manner in which it is calculated may change in the future. There can be no assurance that the method by which the reference rate is
calculated will continue in its current form. Any changes in the method of calculation could reduce the reference rate. |
| § | The reference rate and SOFR have limited histories and
future performance cannot be predicted based on historical performance. The publication of the U.S. Dollar SOFR ICE Swap Rate began
in November 2021, and, therefore, has a limited history. IBA launched the U.S. Dollar SOFR ICE Swap Rate for use as a reference rate for
financial instruments in order to aid the market’s transition to SOFR and away from LIBOR. However, the composition and characteristics
of SOFR differ from those of LIBOR in material respects, and the historical performance of LIBOR and the U.S. Dollar LIBOR ICE Swap Rate
will have no bearing on the performance of SOFR or the reference rate. |
In addition, the publication of SOFR began in April 2018,
and, therefore, it has a limited history. The future performance of the reference rate and SOFR cannot be predicted based on the limited
historical performance. The levels of reference rate and SOFR during the term of the securities may bear little or no relation to the
historical actual or historical indicative data. Prior observed patterns, if any, in the behavior of market variables and their relation
to reference rate and SOFR, such as correlations, may change in the future. While some pre-publication historical data for SOFR has been
released by the Federal Reserve Bank of New York (“FRBNY”), production of such historical indicative SOFR data inherently
involves assumptions, estimates and approximations.
No future performance of the reference rate or SOFR may be inferred
from any of the historical actual or historical indicative SOFR data. Hypothetical or historical performance data are not indicative of,
and have no bearing on, the potential performance of reference rate or SOFR. Changes in the levels of SOFR will affect the reference rate
and, therefore, the return on the securities and the trading price of the securities, but it is impossible to predict whether such levels
will rise or fall. There can be no assurance that the reference rate or SOFR will be positive.
| § | Any failure of SOFR to gain
market acceptance could adversely affect the securities. According to the ARRC, SOFR was developed for use in certain U.S. dollar
derivatives and other financial contracts as an alternative to LIBOR in part because it is considered a good representation of general
funding conditions in the overnight U.S. Treasury repurchase agreement market. However, as a rate based on transactions secured by U.S.
Treasury securities, it does not measure bank-specific credit risk and, as a result, is less likely to correlate with the unsecured short-term
funding costs of banks than competing replacement rates for LIBOR that reflect bank-specific credit risk. This may mean that market participants
would not consider SOFR a suitable substitute, replacement or successor for all of the purposes for which LIBOR historically has been
used (including, without limitation, as a representation of the unsecured short-term funding costs of banks), which may, in turn, lessen
market acceptance of SOFR. Any failure of SOFR to gain market acceptance could adversely affect the reference rate, the return on and
value of the securities and the price at which investors can sell the securities in the secondary market. |
| § | The administrator of SOFR
may make changes that could adversely affect the level of SOFR or discontinue SOFR and has no obligation to consider your interest in
doing so. SOFR is a relatively new rate, and FRBNY (or a successor), as administrator of SOFR, may make methodological or other changes
that could change the value of SOFR, including changes related to the method by which SOFR is calculated, eligibility criteria applicable
to the transactions used to calculate SOFR, or timing related to the publication of SOFR. If the manner in which SOFR is calculated is
changed, that change may result in a reduction in the reference rate and may adversely affect any payment on the securities, which may
adversely affect the trading prices of the securities. The administrator of SOFR may withdraw, modify, amend, suspend or discontinue the
calculation or dissemination of SOFR in its sole discretion and without notice and has no obligation to consider the interests of holders
of the securities in calculating, |
withdrawing, modifying, amending, suspending or discontinuing
SOFR. In that case, the method by which the reference rate is
calculated will change, which could reduce the reference rate.
| § | The reference rate may be
determined by the calculation agent in its sole discretion or, if it is discontinued or ceased to be published permanently or indefinitely,
replaced by a successor or substitute rate. If no relevant rate appears on the Bloomberg Screen USISSO10 Page on a relevant |
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
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day at approximately 11:00 a.m., New York City time, then
the calculation agent, after consulting such sources as it deems comparable to the foregoing display page, or any such source it deems
reasonable from which to estimate the relevant rate for U.S. dollar swaps referencing SOFR, will determine the reference rate for that
relevant day in its sole discretion.
Notwithstanding the foregoing, if the calculation agent
determines in its sole discretion on or prior to the relevant day that the relevant rate for U.S. dollar swaps referencing SOFR has been
discontinued or that rate has ceased to be published permanently or indefinitely, then the calculation agent will use as the reference
rate for that day a substitute or successor rate that it has determined in its sole discretion, after consulting an investment bank of
national standing in the United States (which may be an affiliate of ours) or any other source it deems reasonable, to be a commercially
reasonable replacement rate. If the calculation agent has determined a substitute or successor rate in accordance with the foregoing,
the calculation agent may determine in its sole discretion, after consulting an investment bank of national standing in the United States
(which may be an affiliate of ours) or any other source it deems reasonable, the definitions of business day and valuation date and any
other relevant methodology for calculating that substitute or successor rate, including any adjustment factor it determines is needed
to make that substitute or successor rate comparable to the relevant rate for U.S. dollar swaps referencing SOFR, in a manner that is
consistent with industry-accepted practices for that substitute or successor rate.
Any of the foregoing determinations
or actions by the calculation agent could result in adverse consequences to the value of the reference rate used on the valuation date,
which could adversely affect the return on and the market value of the securities.
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
10-Year U.S. Dollar SOFR ICE Swap Rate Overview
The ICE Swap Rate is a “constant maturity swap rate”
that measures the annual fixed rate of interest payable on a hypothetical fixed-for-floating U.S. dollar interest rate swap transaction
with a 10-year maturity. In such a hypothetical swap transaction, the fixed rate of interest, payable annually on an actual / 360
basis (i.e., interest accrues based on the actual number of days elapsed, with a year assumed to comprise 360 days), is exchangeable
for a floating payment stream based on SOFR (compounded in arrears for twelve months using standard market conventions), also payable
annually on an actual / 360 basis. SOFR is intended to be a broad measure of the cost of borrowing cash overnight collateralized
by Treasury securities. For more information about SOFR, see “Annex A — SOFR” in this document.
Information as of market close on August 12,
2022:
| Current Reference Rate: |
2.629% |
52 Week High (on 6/15/2022): |
3.183% |
| 52 Weeks Ago: |
N/A |
52 Week Low (on 12/20/2021): |
1.178% |
The table below sets forth the published high and low reference
rates, as well as end-of-quarter reference rates, for each quarter in the period from November 18, 2021 (the first day on which the reference
rate was published by the Bloomberg Professional® service (“Bloomberg”)) through August 12, 2022. The reference
rate on August 12, 2022 was 2.629%. The associated graph shows the reference rate for each day in the same period. We obtained the reference
rate information above and in the table and graph below from Bloomberg, without independent verification. The historical reference rates
should not be taken as an indication of its future performance, and no assurance can be given as to the reference rate at any time, including
on the valuation date.
| 10-Year U.S. Dollar SOFR ICE Swap Rate |
High |
Low |
Period End |
| 2021 |
|
|
|
| Fourth Quarter (beginning November 18, 2021) |
1.446% |
1.178% |
1.301% |
| 2022 |
|
|
|
| First Quarter |
2.299% |
1.390% |
2.096% |
| Second Quarter |
3.183% |
2.186% |
2.806% |
| Third Quarter (through August 12, 2022) |
2.886% |
2.375% |
2.629% |
|
10-Year U.S. Dollar SOFR
ICE Swap Rate Historical Performance *
November 18, 2021 to August
12, 2022 |
 |
| *The dotted line in the graph indicates the hypothetical trigger
level, equal to 66% of the reference rate on August 12, 2022. The actual trigger level will be based on the reference rate on the pricing
date (the initial reference rate) and will not be greater than 66% of the initial reference rate. |
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the summary terms
on the front cover of this document.
| Additional Provisions: |
| Postponement of maturity date: |
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. |
| Minimum ticketing size: |
$1,000 / 1 securities |
| Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
| Calculation agent: |
JPMS |
| The estimated value of the securities: |
The estimated value of the securities set forth on the cover
of this document 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 securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the securities. The estimated value of the securities does not represent a minimum price at which JPMS would be
willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the securities 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 securities as well as the higher issuance, operational and ongoing liability management costs of the
securities 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 securities. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the securities and any secondary market prices of the securities. For additional information, see “Risk
Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The estimated value of the
securities is derived by reference to an internal funding rate” in this document. The value of the derivative or derivatives underlying
the economic terms of the securities 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 securities on the pricing date is based on market conditions and other relevant factors and assumptions
existing at that time. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities
— The estimated value of the securities does not represent future values of the securities and may differ from others’ estimates”
in this document.
The estimated value of the securities will be lower than the
original issue price of the securities because costs associated with selling, structuring and hedging the securities are included in the
original issue price of the securities. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the securities and the estimated cost of hedging our obligations under the securities. Because hedging our obligations
entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than
expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the securities 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 “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The estimated
value of the securities will be lower than the original issue price (price to public) of the securities” in this document. |
| Secondary market prices of the securities: |
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — Secondary market prices of the securities will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with |
JPMorgan Chase Financial Company LLC
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our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.” |
| Tax considerations: |
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-1-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 the securities.
Based on current market conditions, in the opinion of our
special tax counsel, your securities should be treated 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, although not free from doubt, the gain or loss on your securities should be treated as long-term capital
gain or loss if you hold your securities for more than a year, whether or not you are an initial purchaser of securities at the issue
price. However, the IRS or a court may not respect this treatment of the securities, in which case the timing and character of any income
or loss on the securities could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for
comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of
factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should
be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the
issues presented by this notice. |
| Supplemental use of proceeds and hedging: |
The securities are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the securities. See “How the Enhanced Trigger Jump Securities
Work” in this document for an illustration of the risk-return profile of the securities and “10-Year U.S. Dollar SOFR ICE
Swap Rate Overview” in this document for a description of the market exposure provided by the securities.
The original issue price of the securities is equal to the
estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the structuring
fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the securities, plus the estimated cost of hedging our obligations under the securities. |
| Benefit plan investor considerations: |
See “Benefit Plan Investor Considerations” in the accompanying product supplement. |
| Supplemental plan of distribution: |
Subject to regulatory constraints, JPMS intends to use its reasonable
efforts to offer to purchase the securities in the secondary market, but is not required to do so. JPMS, acting as agent for JPMorgan
Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley
Wealth Management will receive a structuring fee as set forth on the cover of this document for each security.
We or our affiliate may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the securities and JPMS and/or
an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “—
Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying product supplement.
We expect that delivery of the securities will be made against
payment for the securities on or about the original issue date set forth on the front cover of this document, which will be the third
business day following the pricing date of the securities (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 securities 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 |
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| |
failed settlement and should consult their own advisors.
Canada
The securities may be sold only to purchasers purchasing, or deemed
to be purchasing, as principal that are accredited investors, as defined in National Instrument 45-106 Prospectus Exemptions (“NI
45-106”) or subsection 73.3(1) of the Securities Act (Ontario) (the “OSA”), and are permitted clients, as defined in
National Instrument 31-103 Registration Requirements, Exemptions and Ongoing Registrant Obligations (“NI-33-103”).
Accordingly, by placing a purchase order for securities, each purchaser
of securities in Canada will be deemed to have represented to the issuer, the guarantor and each agent and dealer participating in the
sale of the securities that such purchaser:
· is
an “accredited investor” as defined in section 1.1 of NI 45-106 or subsection 73.3(1) of the OSA and is either purchasing
the securities as principal for its own account, or is deemed to be purchasing the securities as principal by applicable law;
· is
a “permitted client” as defined in section 1.1 of NI 31-103 and, in particular, if the purchaser is an individual, he or she
beneficially owns financial assets (as defined in section 1.1 of NI 45-106) having an aggregate realizable value that, before taxes but
net of any related liabilities, exceeds CAD$5,000,000;
· is
not a company or other entity created or being used solely to purchase or hold securities as an “accredited investor”; and
· is
not an “insider” of the issuer or the guarantor and is not registered as a dealer, adviser or otherwise under the securities
laws of any province or territory of Canada.
The securities are being distributed in Canada on a private placement
basis only and therefore any resale of the securities must be made in accordance with an exemption from, or in a transaction not subject
to, the prospectus requirements of applicable securities laws. Each of the issuer and the guarantor is not a reporting issuer in any province
or territory in Canada and the securities are not listed on any stock exchange in Canada and there is currently no public market for the
securities in Canada. Each of the issuer and the guarantor currently has no intention of becoming a reporting issuer in Canada, filing
a prospectus with any securities regulatory authority in Canada to qualify the resale of the securities to the public, or listing its
securities on any stock exchange in Canada. Canadian purchasers are advised to seek legal advice prior to any resale of the securities.
Securities legislation in certain provinces or territories of Canada
may provide a purchaser with remedies for rescission or damages if this document (including any amendment thereto) contains a misrepresentation,
provided that the remedies for rescission or damages are exercised by the purchaser within the time limit prescribed by the securities
legislation of the purchaser’s province or territory. The purchaser should refer to any applicable provisions of the securities
legislation of the purchaser’s province or territory for particulars of these rights or consult with a legal advisor.
The issuer, the guarantor, the agents and the dealers are relying
on the statutory exemption contained in section 3A.3 of National Instrument 33-105 Underwriting Conflicts (“NI 33-105”), which
provides that the disclosure requirements of NI 33-105 regarding underwriter conflicts of interest in connection with this offering are
not applicable.
By purchasing securities, the purchaser acknowledges that the issuer,
the guarantor, the agents and the dealers and their respective agents and advisers may each collect, use and disclose its name, telephone
number, address, the number and value of any securities purchased and other specified personally identifiable information (the “personal
information”), including the principal amount of securities that it has purchased and whether the purchaser is an “insider”
of the issuer or the guarantor or a “registrant” for purposes of meeting legal, regulatory and audit requirements and as otherwise
permitted or required by law or regulation. By purchasing securities, the purchaser consents to the foregoing collection, use and disclosure
of the personal information pertaining to the purchaser.
Furthermore, by purchasing securities, the purchaser acknowledges
that the personal information concerning the purchaser (A) will be disclosed to the relevant Canadian securities regulatory authorities
and may become available to the public in accordance with the requirements of applicable securities and freedom of information laws and
the purchaser consents to the disclosure of the personal information; (B) is being collected indirectly by the applicable Canadian securities
regulatory authority under the authority granted to it in securities legislation; and (C) is being collected for the purposes of the administration
and enforcement of the applicable Canadian securities legislation. By purchasing securities, the purchaser shall be deemed to have authorized
such indirect collection of the personal information by the relevant Canadian securities regulatory authorities.
|
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| |
Questions about the indirect collection of personal information should
be directed to the securities regulatory authority in the province of the purchaser, using the following contact information: in British
Columbia, the British Columbia Securities Commission can be contacted at P.O. Box 10142, Pacific Center, 701 West Georgia Street, Vancouver,
British Columbia V7Y 1L2 or at (604) 899-6500 or 1-800-373-6393; in Alberta, the Alberta Securities Commission can be contacted at Suite
600, 250 – 5th Street SW, Calgary, Alberta T2P 0R4 or at (403) 297-6454 or 1-877-355-0585; in Saskatchewan, the Financial and Consumer
Affairs Authority of Saskatchewan can be contacted at Suite 601 – 1919 Saskatchewan Drive, Regina, Saskatchewan S4P 4H2 or at (306)
787-5842; in Manitoba, The Manitoba Securities Commission can be contacted at 500 – 400 St. Mary Avenue, Winnipeg, Manitoba R3C
4K5 or at (204) 945-2561 or 1-800-655-5244; in Ontario, the Ontario Securities Commission can be contacted at 20 Queen Street West, 22nd
Floor, Toronto, Ontario M5H 3S8 or at (416) 593-8314 or 1-877-785-1555; in Québec, the Autorité des marchés financiers
can be contacted at 800, Square Victoria, 22e étage, C.P. 246, Tour de la Bourse, Montréal, Québec H4Z 1G3 or at
(514) 395-0337 or 1-877-525-0337; in New Brunswick, the Financial and Consumer Services Commission (New Brunswick) can be contacted at
85 Charlotte Street, Suite 300, Saint John, New Brunswick E2L 2J2 or at (506) 658-3060 or 1-866-933-2222; in Nova Scotia, the Nova Scotia
Securities Commission can be contacted at Suite 400, 5251 Duke Street, Duke Tower, P.O. Box 458, Halifax, Nova Scotia B3J 2P8 or at (902)
424-7768; in Prince Edward Island, the Prince Edward Island Securities Office can be contacted at 95 Rochford Street, 4th Floor Shaw Building,
P.O. Box 2000, Charlottetown, Prince Edward Island C1A 7N8 or at (902) 368-4569; and in Newfoundland and Labrador, the Director of Securities
of the Government of Newfoundland and Labrador’s Financial Services Regulation Division can be contacted at P.O. Box 8700, Confederation
Building, 2nd Floor, West Block, Prince Philip Drive, St. John's, Newfoundland and Labrador A1B 4J6 or at (709) 729-4189; and (b) has
authorized the indirect collection of the personal information by the securities regulatory authority or regulator in the local jurisdiction.
The purchaser acknowledges that each of the issuer and the
guarantor is an entity formed under the laws of a jurisdiction outside of Canada. Some or all of the managers and officers of the issuer
or the guarantor may be located outside Canada and, as a result, it may not be possible for purchasers to effect service of process within
Canada upon such entity or such persons. All or a substantial portion of the assets of each of the issuer and the guarantor may be located
outside of Canada and, as a result, it may not be possible to satisfy a judgment in Canada against the issuer, the guarantor or their
respective directors and officers or to enforce a judgment obtained in Canadian courts against the issuer, the guarantor or such persons
outside of Canada. The securities will not be governed by the laws of any province or territory of Canada. Accordingly, it may not be
possible to enforce securities in accordance with their terms in a Canadian court.
This document does not address the Canadian tax consequences of
ownership of securities. Prospective purchasers should consult their own tax advisors with respect to the Canadian and other tax considerations
applicable to them. |
| Supplemental
information about the form of the securities: |
The securities 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 securities to indicate that the master note evidences the securities. |
| Where you can find more information: |
You may revoke your offer to purchase the securities
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 securities prior to their issuance. In the event of
any changes to the terms of the securities, 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 document together with the accompanying prospectus,
as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these securities are a part,
and the more detailed information contained in the accompanying product supplement.
This document, together with the documents listed below, contains
the terms of the securities 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, stand-alone 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 securities
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 securities.
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):
· Product
supplement no. MS-1-II dated November 4, 2020: http://www.sec.gov/Archives/edgar/data/19617/000095010320021469/crt_dp139325- |
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
JPMorgan Chase Financial Company LLC
Enhanced Trigger Jump Securities Based on the 10-Year U.S. Dollar SOFR ICE Swap Rate due August 29, 2023
Principal at Risk Securities
Annex A —
SOFR
SOFR is published by the Federal Reserve Bank of New York (“FRBNY”)
and is intended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. FRBNY reports that
SOFR includes all trades in the Broad General Collateral Rate, plus bilateral Treasury repurchase agreement (“repo”) transactions
cleared through the delivery-versus-payment service offered by the Fixed Income Clearing Corporation (the “FICC”), a subsidiary
of The Depository Trust & Clearing Corporation (“DTCC”). SOFR is filtered by FRBNY to remove a portion of the foregoing
transactions considered to be “specials.” According to FRBNY, “specials” are repos for specific-issue collateral
which take place at cash-lending rates below those for general collateral repos because cash providers are willing to accept a lesser
return on their cash in order to obtain a particular security.
FRBNY reports that SOFR is calculated as a volume-weighted median
of transaction-level tri-party repo data collected from The Bank of New York Mellon, which currently acts as the clearing bank for the
tri-party repo market, as well as General Collateral Finance Repo transaction data and data on bilateral Treasury repo transactions cleared
through the FICC’s delivery-versus-payment service. FRBNY notes that it obtains information from DTCC Solutions LLC, an affiliate
of DTCC.
FRBNY currently publishes SOFR daily on its website. FRBNY states
on its publication page for SOFR that use of SOFR is subject to important disclaimers, limitations and indemnification obligations, including
that FRBNY may alter the methods of calculation, publication schedule, rate revision practices or availability of SOFR at any time without
notice. Information contained in the publication page for SOFR is not incorporated by reference in, and should not be considered part
of, this document.
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