Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities
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 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 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 Securities
are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the 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, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement, the accompanying product supplement and the accompanying underlying supplement, as the Securities involve risks not associated
with conventional debt securities.
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, the “Issuer,” “JPMorgan Financial,”
“we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
For purposes of the accompanying product supplement, the Dow Jones
Industrial AverageTM is an “Index.”
Investor
Suitability
The Securities may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside
market risk as a hypothetical investment in the Underlying.
t You
believe the level of the Underlying will increase, remain flat or decrease by less than 8% over the term of the Securities (such that
the Underlying Performance Factor is greater than or equal to 92% of the Initial Value), or you believe that any appreciation is unlikely
to exceed an amount equal to the Maximum Gain indicated on the cover hereof.
t You
understand and accept that your potential return is limited by the Maximum Gain and you are willing to invest in the Securities based
on the Maximum Gain indicated on the cover hereof.
t You
can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
t You
do not seek current income from your investment and are willing to forgo dividends paid on the stocks included in the Underlying.
t You
are willing and able to hold the Securities to maturity.
t You
accept that there may be little or no secondary market for the Securities and that any secondary market will depend in large part on the
price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Securities.
t You
understand and accept the risks associated with the Underlying.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities, and understand
that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts due to you including
any repayment of principal. |
|
The Securities may not be suitable for you if, among other
considerations:
t You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
t You
require an investment designed to provide a full return of principal at maturity.
t You
cannot tolerate a loss of all or a substantial portion of your investment, or you are not willing to make an investment that may have
the same downside market risk as a hypothetical investment in the Underlying.
t You
believe the level of the Underlying will decrease over the term of the Securities by more than 8% (such that the Underlying Performance
Factor is less than 92% of the Initial Value), or you believe the Underlying will appreciate over the term of the Securities by more than
the Maximum Gain indicated on the cover hereof.
t You
are unwilling to invest in the Securities based on the Maximum Gain indicated on the cover hereof.
t You
seek an investment that has unlimited return potential without a cap on appreciation.
t You
cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
t You
seek current income from your investment or prefer not to forgo dividends paid on the stocks included in the Underlying.
t You
are unwilling or unable to hold the Securities to maturity, or seek an investment for which there will be an active secondary market.
t You
do not understand or accept the risks associated with the Underlying.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities, including
any repayment of principal. |
The suitability considerations identified above are not
exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should
reach an investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the
suitability of an investment in the Securities in light of your particular circumstances. You should also review carefully the “Key
Risks” section of this pricing supplement and the “Risk Factors” sections of the accompanying prospectus supplement,
the accompanying product supplement and the accompanying underlying supplement for risks related to an investment in the Securities. For
more information on the Underlying, please see the section titled “The Underlying” below.
Indicative
Terms |
Issuer: |
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
|
JPMorgan Chase & Co. |
Issue Price: |
|
$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000) |
Principal Amount: |
|
$10.00 per Security. The payment at maturity will be based on the principal amount. |
Underlying: |
|
Dow Jones Industrial AverageTM |
Term1: |
|
Approximately 68.25 months |
Payment at Maturity (per $10 principal amount Security): |
|
If the Underlying
Performance Factor is greater than or equal to 150%, JPMorgan Financial will pay you a cash payment at maturity per $10 principal
amount Security equal to:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying
Performance Factor is greater than or equal to 131% and less than 150%, JPMorgan Financial will pay you a cash payment at maturity
per $10 principal amount Security equal to:
$10.00 + {$10.00 × [1.9526 × (Underlying
Performance Factor – 131%) + 53.40%]}
If the Underlying
Performance Factor is greater than or equal to 100% and less than 131%, JPMorgan Financial will pay you a cash payment at maturity
per $10 principal amount Security equal to:
$10.00 + {$10.00 × [1.40 × (Underlying
Performance Factor – 100%) + 10%]}
If the Underlying
Performance Factor is greater than or equal to the Upper Downside Threshold of 92% and less than 100%, JPMorgan Financial will
pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + [$10.00 × 1.25 × (Underlying
Performance Factor – 92%)]
If the Underlying Performance Factor is greater than or equal to
the Lower Downside Threshold of 72% and less than the Upper Downside Threshold of 92%, JPMorgan Financial will pay you a cash payment
at maturity per $10 principal amount Security equal to:
$10.00 + [$10.00 × 1.40 × (Underlying
Performance Factor – 92%)]
In this scenario, you will lose 1.40% of your principal amount
for every 1% that the Underlying Performance Factor is below the Upper Downside Threshold. You will lose some of your principal amount.
If the Underlying Performance Factor is less than the Lower Downside
Threshold of 72%, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 × Underlying Performance Factor
In this scenario, you will lose 1% of your principal amount for
every 1% that the Underlying Performance Factor is below 100%. You will lose some or all of your principal amount. |
Underlying Performance Factor: |
|
Expressed as a percentage:
Final Value
Initial Value |
Maximum Gain: |
|
90.50%. In no event will the return on the Principal Amount be greater than the Maximum Gain. |
Upper Downside Threshold: |
|
92% |
Lower Downside Threshold: |
|
72% |
Initial Value: |
|
The arithmetic average of the closing levels of the Underlying during the Initial Valuation Period |
Initial Valuation Period2: |
|
Each day that is a scheduled trading day in the period from and including August 16, 2022 to and including September 22, 2022 |
Final Value: |
|
The arithmetic average of the closing levels of the Underlying during the Final Valuation Period |
Final Valuation Period2: |
|
Each day that is a scheduled trading day in the period from and including January 31, 2028 to and including the Final Valuation Date |
1 See footnote 1 under “Key Dates” on the front
cover
2 See footnote 2 under “Key Dates” on the front
cover
Initial Valuation
Period |
|
The closing level of the Underlying is observed on each day that is a scheduled trading day and the Initial Value of the Underlying is determined. |
|
|
|
Final Valuation
Period |
|
The closing level of the Underlying is observed on each day that is a scheduled trading day. The Final Value and the Underlying Performance Factor are determined. |
|
|
|
Maturity Date |
|
If the Underlying
Performance Factor is greater than or equal to 150%, JPMorgan Financial will pay you a cash payment at maturity per $10 principal
amount Security equal to:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying
Performance Factor is greater than or equal to 131% and less than 150%, JPMorgan Financial will pay you a cash payment at maturity
per $10 principal amount Security equal to:
$10.00 + {$10.00 × [1.9526 × (Underlying
Performance Factor – 131%) + 53.40%]}
If the Underlying
Performance Factor is greater than or equal to 100% and less than 131%, JPMorgan Financial will pay you a cash payment at maturity
per $10 principal amount Security equal to:
$10.00 + {$10.00 × [1.40 × (Underlying
Performance Factor – 100%) + 10%]}
If the Underlying
Performance Factor is greater than or equal to the Upper Downside Threshold of 92% and less than 100%, JPMorgan Financial will
pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + [$10.00 × 1.25 × (Underlying
Performance Factor – 92%)]
If the Underlying Performance Factor is greater than or equal to
the Lower Downside Threshold of 72% and less than the Upper Downside Threshold of 92%, JPMorgan Financial will pay you a cash payment
at maturity per $10 principal amount Security equal to:
$10.00 + [$10.00 × 1.40 × (Underlying
Performance Factor – 92%)]
Under these circumstances, you will lose 1.40% of your principal
amount for every 1% that the Underlying Performance Factor is below the Upper Downside Threshold.
If the Underlying Performance Factor is less than the Lower Downside
Threshold of 72%, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 × Underlying Performance Factor
Under these circumstances, you will lose some or all of your
principal amount. |
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT. |
What
Are the Tax Consequences of the Securities?
You should review carefully the section entitled “Material U.S.
Federal Income Tax Consequences” in the accompanying product supplement no. UBS-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 Securities.
Based on current market conditions, in the opinion of our special tax
counsel it is reasonable to treat the Securities as “open transactions” that are not debt instruments for U.S. federal income
tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders
— Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this
treatment is respected, the gain or loss on your 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, 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.
Section 871(m) of the Code and Treasury regulations promulgated thereunder
(“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid
or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S.
equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from
the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a delta of one with respect to underlying securities
that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on
certain determinations made by us, we expect that Section 871(m) will not apply to the Securities with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its
application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying
Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing
supplement for the Securities. You should consult your tax adviser regarding the potential application of Section 871(m) to the
Securities.
Key
Risks
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying
supplement. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Securities.
Risks Relating to the Securities Generally
| t | Your Investment in the Securities May Result in a Loss — The
Securities differ from ordinary debt securities in that we will not necessarily repay the full principal amount of the Securities.
We will pay you the principal amount of your Securities in cash only if the Underlying Performance Factor is not below the Upper Downside
Threshold of 92%. If the Underlying Performance Factor is greater than or equal to the Lower Downside Threshold of 72% and less
than the Upper Downside Threshold of 92%, you will lose 1.40% of your principal amount for every 1% that the Underlying Performance Factor
is less than the Upper Downside Threshold. If the Underlying Performance Factor is less than the Lower Downside Threshold, you will
lose 1% of your principal amount for every 1% that the Underlying Performance Factor is below 100%. Accordingly, you could lose
up to your entire principal amount. |
| t | Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. —
The Securities are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which
is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Securities will rank pari passu with all of our other unsecured
and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase
& Co.’s other unsecured and unsubordinated obligations. The Securities and related guarantees are not, either directly or indirectly,
an obligation of any third party. Any payment to be made on the Securities, including any repayment of principal, depends on the ability
of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived
creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Securities and, in the event JPMorgan
Financial and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms
of the Securities and you could lose your entire investment. |
| t | As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and 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. |
| t | The Appreciation Potential of the Securities Is Limited by the Maximum
Gain — The appreciation potential of the Securities is limited by the Maximum Gain of 90.50%. Accordingly, the appreciation
potential of the Securities will be limited by the Maximum Gain even if the Underlying Performance Factor is greater than the Maximum
Gain. |
| t | You Will Not Know the Initial Value Until After the Trade Date Because
the Initial Value Is Determined Over an Approximately Five-Week Period Commencing on August 16, 2022 — Because the Initial Value
is calculated based on the arithmetic average of the closing levels of the Underlying during an approximately five-week period from and
including August 16, 2022, the Initial Value will not be determined until the last day of the Initial Valuation Period, and, accordingly,
you will not know the Initial Value until after the Trade Date. The Initial Value may be higher than if it were based on the closing level
of the Underlying on the Trade Date or other days during the Initial Valuation Period. The level of the Underlying may increase on one
or more days during the Initial Valuation Period, which will increase the Initial Value. Under these circumstances, the level above which
the Final Value must reach in order for you to receive a positive return on your initial investment in the Securities will be higher than
if the Initial Value were the closing level of the Underlying on the Trade Date. |
| t | The Averaging Convention Used to Calculate the Final Value Could Limit
Returns — Your investment in the Securities may not perform as well as an investment the return of which is based solely on
the performance of the Underlying on a single day. Your ability to earn a positive return on the Securities at maturity may be limited
by the averaging convention used to calculate the Final Value, especially if there is a significant decline in the closing level of the
Underlying during the Final Valuation Period or if there is significant volatility in the closing level of the Underlying during the term
of the Securities. Accordingly, you may not receive a positive return even if the closing level of the Underlying is not less than the
Initial Value on the final Ending Averaging Date. |
| t | The Participation in Any Excess of the Underlying Performance Factor above
the Upper Downside Threshold Applies Only If You Hold the Securities to Maturity — You should be willing to hold your Securities
to maturity. If you are able to sell your Securities prior to maturity in the secondary market, if any, the price you receive likely will
not reflect the full economic value of the participation in any excess of the Underlying Performance Factor above the Upper Downside Threshold
or the Securities themselves, and the return you realize may be less than the return indicated by the participation in any excess of the
Underlying Performance Factor above the Upper Downside Threshold and may be less than the Underlying’s return, even if that return
is positive. You can receive the full benefit of the participation in any excess of the Underlying Performance Factor above the Upper
Downside Threshold only if you hold your Securities to maturity. |
| t | No Interest Payments — JPMorgan Financial will not make any interest
payments to you with respect to the Securities. |
| t | The Probability That the Underlying Performance Factor Will Fall Below
the Upper Downside Threshold Will Depend on the Volatility of the Underlying — “Volatility” refers to the frequency
and magnitude of changes in the level of the Underlying. Greater |
expected volatility with respect to the Underlying reflects a higher
expectation as of the Trade Date that the Underlying Performance Factor could fall below the Upper Downside Threshold, resulting in the
loss of some or most of your investment. However, the Underlying’s volatility can change significantly over the term of the Securities.
The level of the Underlying could fall sharply, which could result in a significant loss of principal.
| t | Investing in the Securities Is Not Equivalent to Investing in the Stocks
Composing the Underlying — Investing in the Securities is not equivalent to investing in the stocks included in the Underlying.
As an investor in the Securities, you will not have any ownership interest or rights in the stocks included in the Underlying, such as
voting rights, dividend payments or other distributions. |
| t | We Cannot Control Actions by the Sponsor of the
Underlying and That Sponsor Has No Obligation to Consider Your Interests — We and our affiliates are not affiliated with the
sponsor of the Underlying and have no ability to control or predict its actions, including any errors in or discontinuation of public
disclosure regarding methods or policies relating to the calculation of the Underlying. The sponsor of the Underlying is not involved
in this Security offering in any way and has no obligation to consider your interest as an owner of the Securities in taking any actions
that might affect the market value of your Securities. |
| t | Your Return on the Securities Will Not Reflect Dividends on the Stocks
Composing the Underlying — Your return on the Securities will not reflect the return you would realize if you actually owned
the stocks included in the Underlying and received the dividends on the stocks included in the Underlying. This is because the calculation
agent will calculate the amount payable to you at maturity of the Securities by reference to the arithmetic average of the closing levels
of the Underlying during the Final Valuation Period, without taking into consideration the value of dividends on the stocks included in
the Underlying. |
| t | Lack of Liquidity — The Securities will not be listed on any
securities exchange. JPMS intends to offer to purchase the Securities 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 Securities easily. Because other dealers
are not likely to make a 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. |
| t | Tax Treatment — Significant aspects of the tax treatment of the
Securities are uncertain. You should consult your tax adviser about your tax situation. |
| t | The Final Terms and Valuation of the Securities
Will Be Finalized on the Trade Date and Provided in the Pricing Supplement — The final terms of the Securities will be based
on relevant market conditions when the terms of the Securities are set and will be finalized on the Trade Date and provided in the pricing
supplement. In particular, the estimated value of the Securities will be finalized on the Trade Date and provided in the pricing supplement
and may be as low as the minimum set forth on the cover of this pricing supplement. Accordingly, you should consider your potential investment
in the Securities based on the minimum for the estimated value of the Securities. |
Risks Relating to Conflicts of Interest
| t | Potential Conflicts — We and our affiliates play a variety of
roles in connection with the issuance of the Securities, including acting as calculation agent and 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 when the terms of
the Securities are set, 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. 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. |
| t | Potentially Inconsistent Research, Opinions or Recommendations by JPMS,
UBS or Their Affiliates — JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations that
are inconsistent with investing in or holding the Securities, and that may be revised at any time. Any such research, opinions or recommendations
may or may not recommend that investors buy or hold investments linked to the Underlying and could affect the value of the Underlying,
and therefore the market value of the Securities. |
| t | Potential JPMorgan Financial Impact on the Market Price of the Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the Underlying or in futures, options or other derivative products
on the Underlying may adversely affect the market value of the Underlying and, therefore, the market value of the Securities. |
Risks Relating to the Estimated Value and Secondary Market Prices
of the Securities
| t | 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 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 “The Estimated Value of the Securities”
in this pricing supplement. |
| t | 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 when the terms of the Securities are set. This estimated value of the Securities is based
on market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. |
Different pricing models and assumptions could provide valuations for the 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 “The Estimated Value of the Securities” in this pricing supplement.
| t | 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 “The Estimated Value of the Securities” in this pricing supplement. |
| t | 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, 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 Securities”
in this pricing supplement 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). |
| t | 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 may exclude selling commissions, 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 “— Risks Relating to the Securities Generally
— Lack of Liquidity” above.
| t | Many Economic and Market Factors Will Impact the Value of the Securities
— As described under “The Estimated Value of the Securities” in this pricing supplement, the Securities can be thought
of as securities that combine a fixed-income debt component with one or more derivatives. As a result, the factors that influence the
values of fixed-income debt and derivative instruments will also influence the terms of the Securities at issuance and their value in
the secondary market. Accordingly, 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, projected hedging profits, if any,
estimated hedging costs and the level of the Underlying, including: |
| t | any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads; |
| t | customary bid-ask spreads for similarly sized trades; |
| t | our internal secondary market funding rates for structured debt issuances; |
| t | the actual and expected volatility in the level of the Underlying; |
| t | the time to maturity of the Securities; |
| t | the dividend rates on the equity securities included in the Underlying; |
| t | interest and yield rates in the market generally; and |
| t | 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 Underlying
| t | JPMorgan Chase & Co. Is Currently One of the
Companies that Make Up the Underlying — JPMorgan
Chase & Co. is currently one of the companies that make up the Underlying. JPMorgan Chase & Co. will not have any obligation to
consider your interests as a holder of the Securities in taking any corporate action that might affect the level of the Underlying and
the Securities.
|
Hypothetical
Examples and Return Table
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate
the payment at maturity per $10.00 principal amount Security for a hypothetical range of Underlying Performance Factors from 0.00% to
240.00% on an offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value for the Underlying
of 100 and reflect the Upper Downside Threshold of 92%, the Lower Downside Threshold of 72% and the Maximum Gain of 90.50%. The hypothetical
Initial Value of 100 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual
Initial Value will be based on the arithmetic average of the closing levels of the Underlying during the Initial Valuation Period. The
Final Value will be based on the arithmetic average of the closing levels of the Underlying during the Final Valuation Period. For
historical data regarding the actual closing levels of the Underlying, please see the historical information set forth under “The
Underlying” in this pricing supplement. The hypothetical payment at maturity examples set forth below are for illustrative purposes
only and may not be the actual returns applicable to a purchaser of the Securities. The actual payment at maturity may be more or less
than the amounts displayed below and will be determined based on the actual terms of the Securities, including, the Initial Value, the
Maximum Gain, the Upper Downside Threshold, the Lower Downside Threshold and the Final Value. You should consider carefully whether the
Securities are suitable to your investment goals. The numbers appearing in the table below have been rounded for ease of analysis.
Final Value |
Underlying Performance Factor (%) |
Payment at Maturity ($) |
Return at Maturity per
$10.00 issue price (%) |
240.00 |
240.00% |
$19.0500 |
90.500% |
230.00 |
230.00% |
$19.0500 |
90.500% |
220.00 |
220.00% |
$19.0500 |
90.500% |
210.00 |
210.00% |
$19.0500 |
90.500% |
200.00 |
200.00% |
$19.0500 |
90.500% |
190.00 |
190.00% |
$19.0500 |
90.500% |
180.00 |
180.00% |
$19.0500 |
90.500% |
170.00 |
170.00% |
$19.0500 |
90.500% |
150.00 |
150.00% |
$19.0500 |
90.500% |
140.00 |
140.00% |
$17.0973 |
70.973% |
131.00 |
131.00% |
$15.3400 |
53.400% |
130.00 |
130.00% |
$15.2000 |
52.000% |
120.00 |
120.00% |
$13.8000 |
38.000% |
110.00 |
110.00% |
$12.4000 |
24.000% |
100.00 |
100.00% |
$11.0000 |
10.000% |
97.50 |
97.50% |
$10.6875 |
6.875% |
95.00 |
95.00% |
$10.3750 |
3.750% |
92.00 |
92.00% |
$10.0000 |
0.000% |
90.00 |
90.00% |
$9.7200 |
-2.800% |
80.00 |
80.00% |
$8.3200 |
-16.800% |
72.00 |
72.00% |
$7.2000 |
-28.000% |
70.00 |
70.00% |
$7.0000 |
-30.000% |
60.00 |
60.00% |
$6.0000 |
-40.000% |
50.00 |
50.00% |
$5.0000 |
-50.000% |
40.00 |
40.00% |
$4.0000 |
-60.000% |
30.00 |
30.00% |
$3.0000 |
-70.000% |
20.00 |
20.00% |
$2.0000 |
-80.000% |
10.00 |
10.00% |
$1.0000 |
-90.000% |
0.00 |
0.00% |
$0.0000 |
-100.000% |
Example 1 — The level of the Underlying increases
by 120% from the Initial Value of 100 to a Final Value of 220, and therefore, the Underlying Performance Factor is 220%. Because the
Underlying Performance Factor is 220%, which is greater than or equal to 150%, at maturity, JPMorgan Financial will pay you your principal
amount plus a return equal to the Maximum Gain of 90.50%, resulting in a payment at maturity of $19.05 per $10 principal amount
Security, calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00 × 90.50%) = $19.05
Example 2 — The level of the Underlying increases
by 40% from the Initial Value of 100 to a Final Value of 140, and therefore, the Underlying Performance Factor is 140%. Because the
Underlying Performance Factor is 140%, which is greater than or equal to 131% and less than 150%, at maturity, JPMorgan Financial will
pay you your principal amount plus a return equal to 70.97%, resulting in a payment at maturity of $17.097 per $10 principal amount
Security, calculated as follows:
$10.00 + {$10.00 × [1.9526 × (Underlying
Performance Factor – 131%) + 53.40%]}
$10.00 + {$10.00 × [1.9526 × (140%
– 131%) + 53.40%]}
$10.00 + ($10.00 × 70.97%) = $17.097
Example 3 — The level of the Underlying increases
by 10% from the Initial Value of 100 to a Final Value of 110, and therefore, the Underlying Performance Factor is 110%. Because
the Underlying Performance Factor is 110%, which is greater than or equal to 100% and less than 131%, at maturity, JPMorgan Financial
will pay you your principal amount plus a return equal to 10.00%, resulting in a payment at maturity of $12.40 per $10 principal
amount Security, calculated as follows:
$10.00 + {$10.00 × [1.40 × (Underlying
Performance Factor – 100%) + 10%]}
$10.00 + {$10.00 × [1.40 × (110% –
100%) + 10%]}
$10.00 + ($10.00 × 24.00%) = $12,40
Example 4 — The level of the Underlying decreases
by 2.50% from the Initial Value of 100 to a Final Value of 97.50, and therefore, the Underlying Performance Factor is 97.50%. Because
the Underlying Performance Factor is 97.50%, which is greater than or equal to the Upper Downside Threshold of 92% and less than 100%,
at maturity, JPMorgan Financial will pay you your principal amount plus a return equal to 6.875%, resulting in a payment at maturity
of $10.6875 per $10 principal amount Security, calculated as follows:
$10.00 + [$10.00 × 1.25 × (Underlying
Performance Factor – 92%)]
$10.00 + [$10.00 × 1.25 × (97.50% –
92%)]
$10.00 + ($10.00 × 6.875%) = $10.6875
Example 5 — The level of the Underlying decreases
by 20% from the Initial Value of 100 to a Final Value of 80, and therefore, the Underlying Performance Factor is 80%. Because the
Underlying Performance Factor is 80%, which is greater than or equal to the Lower Downside Threshold of 72% and less than the Upper Downside
Threshold of 92%, at maturity, JPMorgan Financial will pay you a payment at maturity of $8.32 per $10 principal amount Security, calculated
as follows:
$10.00 + [$10.00 × 1.40 × (Underlying
Performance Factor – 92%)]
$10.00 + [$10.00 × 1.40 × (80% –
92%)]
$10.00 + ($10.00 × -16.80%) = $8.32
If the Underlying Performance Factor is greater than
or equal to the Lower Downside Threshold and less than the Upper Downside Threshold, investors will lose 1.40% of their principal amount
for every 1% that the Underlying Performance Factor is below the Upper Downside Threshold. Investors will lose some of their principal
amount.
Example 6 — The level of the Underlying decreases
by 50% from the Initial Value of 100 to a Final Value of 50, and therefore, the Underlying Performance Factor is 50%. Because the
Underlying Performance Factor is 50%, which is less than the Lower Downside Threshold of 75%, at maturity, JPMorgan Financial will pay
you a payment of $5.00 per $10 principal amount Security, calculated as follows:
$10.00 × Underlying Performance Factor
$10.00 × 50% = $5.00
If the Underlying Performance Factor is less than the
Lower Downside Threshold, investors will lose 1% of their principal amount for every 1% that the Underlying Performance Factor is below
100%. Investors will lose some or all of their 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.
The
Underlying
The Dow Jones Industrial AverageTM consists of 30 common
stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones Industrial AverageTM,
see the information set forth under “Equity Index Descriptions — The Dow Jones Industrial AverageTM” in the
accompanying underlying supplement.
Historical Information
The following table sets forth the quarterly high and low closing levels
of the Underlying, based on daily closing levels of the Underlying as reported by the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The information given below is for the four calendar quarters in each of 2017, 2018, 2019, 2020 and
2021 and the first and second calendar quarters of 2022. Partial data is provided for the third calendar quarter of 2022. The closing
level of the Underlying on August 16, 2022 was 34,152.01. The actual Initial Value will be based on the arithmetic average of the closing
levels of the Underlying during the Initial Valuation Period. We obtained the closing levels of the Underlying above and below from Bloomberg,
without independent verification. You should not take the historical levels of the Underlying as an indication of future performance.
Quarter Begin |
Quarter End |
Quarterly High |
Quarterly Low |
Close |
1/1/2017 |
3/31/2017 |
21,115.55 |
19,732.40 |
20,663.22 |
4/1/2017 |
6/30/2017 |
21,528.99 |
20,404.49 |
21,349.63 |
7/1/2017 |
9/30/2017 |
22,412.59 |
21,320.04 |
22,405.09 |
10/1/2017 |
12/31/2017 |
24,837.51 |
22,557.60 |
24,719.22 |
1/1/2018 |
3/31/2018 |
26,616.71 |
23,533.20 |
24,103.11 |
4/1/2018 |
6/30/2018 |
25,322.31 |
23,644.19 |
24,271.41 |
7/1/2018 |
9/30/2018 |
26,743.50 |
24,174.82 |
26,458.31 |
10/1/2018 |
12/31/2018 |
26,828.39 |
21,792.20 |
23,327.46 |
1/1/2019 |
3/31/2019 |
26,091.95 |
22,686.22 |
25,928.68 |
4/1/2019 |
6/30/2019 |
26,753.17 |
24,815.04 |
26,599.96 |
7/1/2019 |
9/30/2019 |
27,359.16 |
25,479.42 |
26,916.83 |
10/1/2019 |
12/31/2019 |
28,645.26 |
26,078.62 |
28,538.44 |
1/1/2020 |
3/31/2020 |
29,551.42 |
18,591.93 |
21,917.16 |
4/1/2020 |
6/30/2020 |
27,572.44 |
20,943.51 |
25,812.88 |
7/1/2020 |
9/30/2020 |
29,100.50 |
25,706.09 |
27,781.70 |
10/1/2020 |
12/31/2020 |
30,606.48 |
26,501.60 |
30,606.48 |
1/1/2021 |
3/31/2021 |
33,171.37 |
29,982.62 |
32,981.55 |
4/1/2021 |
6/30/2021 |
34,777.76 |
33,153.21 |
34,502.51 |
7/1/2021 |
9/30/2021 |
35,625.40 |
33,843.92 |
33,843.92 |
10/1/2021 |
12/31/2021 |
36,488.63 |
34,002.92 |
36,338.30 |
1/1/2022 |
3/31/2022 |
36,799.65 |
32,632.64 |
34,678.35 |
4/1/2022 |
6/30/2022 |
35,160.79 |
29,888.78 |
30,775.43 |
7/1/2022 |
8/16/2022* |
34,152.01 |
30,630.17 |
34,152.01 |
* As of the date of this pricing supplement, available information for the
third calendar quarter of 2022 includes data for the period from July 1, 2022 through August 16, 2022. Accordingly, the “Quarterly
Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and
do not reflect complete data for the third calendar quarter of 2022.
The graph below illustrates the daily performance of the Underlying
from January 3, 2012 through August 16, 2022, based on information from Bloomberg, without independent verification. The dotted lines
are intended to be hypothetical, graphical representations of the Upper Downside Threshold and the Lower Downside Threshold and represent
a hypothetical Upper Downside Threshold Level of 31,419.85 and a hypothetical Lower Downside Threshold Level of 24,589.45, equal to 92%
and 72%, respectively, of the closing level of the Underlying on August 16, 2022 (the hypothetical Initial Value). The Upper Downside
Threshold and Lower Downside Threshold are 92% and 72%, respectively.
Past performance of the Underlying is not indicative of the future
performance of the Underlying.
The historical performance of the Underlying should not be taken as
an indication of future performance, and no assurance can be given as to the closing level of the Underlying or during the Initial Valuation
Period or the Final Valuation Period. There can be no assurance that the performance of the Underlying will result in the return of any
of your principal amount.