0001213900-22-053395.txt : 20220902 0001213900-22-053395.hdr.sgml : 20220902 20220901203331 ACCESSION NUMBER: 0001213900-22-053395 CONFORMED SUBMISSION TYPE: 424B2 PUBLIC DOCUMENT COUNT: 6 FILED AS OF DATE: 20220902 DATE AS OF CHANGE: 20220901 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JPMORGAN CHASE & CO CENTRAL INDEX KEY: 0000019617 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132624428 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B2 SEC ACT: 1933 Act SEC FILE NUMBER: 333-236659 FILM NUMBER: 221222992 BUSINESS ADDRESS: STREET 1: 383 MADISON AVENUE CITY: NEW YORK STATE: NY ZIP: 10017 BUSINESS PHONE: 2122706000 MAIL ADDRESS: STREET 1: 383 MADISON AVENUE CITY: NEW YORK STATE: NY ZIP: 10017 FORMER COMPANY: FORMER CONFORMED NAME: J P MORGAN CHASE & CO DATE OF NAME CHANGE: 20010102 FORMER COMPANY: FORMER CONFORMED NAME: CHASE MANHATTAN CORP /DE/ DATE OF NAME CHANGE: 19960402 FORMER COMPANY: FORMER CONFORMED NAME: CHEMICAL BANKING CORP DATE OF NAME CHANGE: 19920703 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JPMorgan Chase Financial Co. LLC CENTRAL INDEX KEY: 0001665650 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 475462128 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B2 SEC ACT: 1933 Act SEC FILE NUMBER: 333-236659-01 FILM NUMBER: 221222993 BUSINESS ADDRESS: STREET 1: 383 MADISON AVENUE STREET 2: FLOOR 21 CITY: NEW YORK STATE: NY ZIP: 10179 BUSINESS PHONE: (212) 270-6000 MAIL ADDRESS: STREET 1: 383 MADISON AVENUE STREET 2: FLOOR 21 CITY: NEW YORK STATE: NY ZIP: 10179 424B2 1 s141994_424b2.htm PRELIMINARY PRICING SUPPLEMENT none
The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer
to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated September 1, 2022
September    , 2022
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)
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​ 
JPMorgan Chase Financial Company LLC
Structured Investments
Capped Buffered Return Enhanced Notes Linked to the
Lesser Performing of the NASDAQ-100 Index® and the
S&P 500® Index due April 2, 2024
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek a return of 1.50 times any appreciation of the lesser performing of the
NASDAQ-100 Index® and the S&P 500® Index, which we refer to as the Indices, up to a maximum return that will not be less
than 24.00% or greater than 28.00%, at maturity.
●Investors should be willing to forgo interest and dividend payments and be willing to lose up to 90.00% of their principal amount
at maturity.
●The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment
on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan
Chase & Co., as guarantor of the notes.
●Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the
performance of each of the Indices individually, as described below.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes are expected to price on or about September 27, 2022 and are expected to settle on or about September 30, 2022.
●CUSIP: 48133MB74 
 
Investing in the notes involves a number of risks. See “Risk Factors” beginning on page S-2 of the accompanying prospectus
supplement, “Risk Factors” beginning on page PS-12 of the accompanying product supplement, “Risk Factors” beginning on
page US-3 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-4 of this
pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the
notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
​
​Price to Public (1)
​Fees and Commissions (2)
​Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it
receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $21.25 per $1,000 principal
amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
If the notes priced today, the estimated value of the notes would be approximately $953.70 per $1,000 principal amount note.
The estimated value of the notes, when the terms of the notes are set, will be provided in the pricing supplement and will not be
less than $900.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for
additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and
are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-II dated November 4, 2020, underlying supplement no. 1-II dated November 4, 2020 and the prospectus
and prospectus supplement, each dated April 8, 2020
​
Key Terms
 
Issuer: JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The NASDAQ-100 Index® (Bloomberg ticker: NDX) and
the S&P 500® Index (Bloomberg ticker: SPX) (each an “Index”
and collectively, the “Indices”)
Maximum Return: Between 24.00% and 28.00%
(corresponding to a maximum payment at maturity of between
$1,240.00 and $1,280.00 per $1,000 principal amount note) (to
be provided in the pricing supplement)
Upside Leverage Factor: 1.50
Buffer Amount: 10.00%
Pricing Date: On or about September 27, 2022
Original Issue Date (Settlement Date): On or about
September 30, 2022
Observation Date*: March 27, 2024
Maturity Date*: April 2, 2024
* Subject to postponement in the event of a market disruption event and
as described under “General Terms of Notes — Postponement of a
Determination Date — Notes Linked to Multiple Underlyings” and
“General Terms of Notes — Postponement of a Payment Date” in the
accompanying product supplement
​
Payment at Maturity:
If the Final Value of each Index is greater than its Initial Value,
your payment at maturity per $1,000 principal amount note will be
calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return × Upside
Leverage Factor), subject to the Maximum Return
If (i) the Final Value of one Index is greater than its Initial Value
and the Final Value of the other Index is equal to its Initial Value
or is less than its Initial Value by up to the Buffer Amount or (ii) the
Final Value of each Index is equal to its Initial Value or is less than
its Initial Value by up to the Buffer Amount, you will receive the
principal amount of your notes at maturity.
If the Final Value of either Index is less than its Initial Value by
more than the Buffer Amount, your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Lesser Performing Index Return + Buffer
Amount)]
If the Final Value of either Index is less than its Initial Value by
more than the Buffer Amount, you will lose some or most of your
principal amount at maturity.
Lesser Performing Index: The Index with the Lesser Performing
Index Return
Lesser Performing Index Return: The lower of the Index
Returns of the Indices
Index Return: With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial Value: With respect to each Index, the closing level of that
Index on the Pricing Date
Final Value: With respect to each Index, the closing level of that
Index on the Observation Date
​
PS-1  | Structured Investments
img15868691636e695f3.jpeg​
​
Capped Buffered Return Enhanced Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
​
​
Hypothetical Payout Profile
 
The following table and graph illustrate the hypothetical total return and payment at maturity on the notes linked to two hypothetical Indices.
The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at
maturity per $1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
●an Initial Value for the Lesser Performing Index of 100.00;
●a Maximum Return of 24.00%;
●an Upside Leverage Factor of 1.50; and
●a Buffer Amount of 10.00%.
The hypothetical Initial Value of the Lesser Performing Index of 100.00 has been chosen for illustrative purposes only and may not
represent a likely actual Initial Value of either Index. The actual Initial Value of each Index will be the closing level of that Index on the
Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing levels of each Index, please see
the historical information set forth under “The Indices” in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the actual
total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and graph have
been rounded for ease of analysis.
​Final Value of the Lesser
Performing Index
​Lesser Performing Index
Return
​Total Return on the Notes
​Payment at Maturity
180.00
80.00%
24.00%
$1,240.00
170.00
70.00%
24.00%
$1,240.00
160.00
60.00%
24.00%
$1,240.00
150.00
50.00%
24.00%
$1,240.00
140.00
40.00%
24.00%
$1,240.00
130.00
30.00%
24.00%
$1,240.00
120.00
20.00%
24.00%
$1,240.00
116.00
16.00%
24.00%
$1,240.00
110.00
10.00%
15.00%
$1,150.00
105.00
5.00%
7.50%
$1,075.00
101.00
1.00%
1.50%
$1,015.00
​100.00
​0.00%
​0.00%
​$1,000.00
95.00
-5.00%
​0.00%
​$1,000.00
90.00
-10.00%
​0.00%
​$1,000.00
85.00
-15.00%
-5.00%
$950.00
80.00
-20.00%
-10.00%
$900.00
70.00
-30.00%
-20.00%
$800.00
60.00
-40.00%
-30.00%
$700.00
50.00
-50.00%
-40.00%
$600.00
40.00
-60.00%
-50.00%
$500.00
30.00
-70.00%
-60.00%
$400.00
20.00
-80.00%
-70.00%
$300.00
10.00
-90.00%
-80.00%
$200.00
0.00
-100.00%
-90.00%
$100.00
PS-2  | Structured Investments
img15868691636e695f3.jpeg​
​
Capped Buffered Return Enhanced Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
​
​
The following graph demonstrates the hypothetical payments at maturity on the notes for a sub-set of Lesser Performing Index Returns
detailed in the table above (-50% to 50%). There can be no assurance that the performance of the Lesser Performing Index will result in
the return of any of your principal amount in excess of $100.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan
Financial and JPMorgan Chase & Co.
​
imgddg01110803160783083.jpg​
 
How the Notes Work
 
Upside Scenario:
If the Final Value of each Index is greater than its Initial Value, investors will receive at maturity the $1,000 principal amount plus a return
equal to 1.50 times the Lesser Performing Index Return, subject to the Maximum Return, which will not be less than 24.00% or greater
than 28.00%. Assuming a hypothetical Maximum Return of 24.00%, an investor will realize the maximum payment at maturity at a Final
Value of the Lesser Performing Index of 116.00% or more of its Initial Value.
●If the closing level of the Lesser Performing Index increases 5.00%, investors will receive at maturity a return of 7.50%, or $1,075.00
per $1,000 principal amount note.
●Assuming a hypothetical Maximum Return of 24.00%, if the closing level of the Lesser Performing Index increases 40.00%, investors
will receive at maturity a return equal to the Maximum Return of 24.00%, or $1,240.00 per $1,000 principal amount note, which is the
maximum payment at maturity.
Par Scenario:
If (i) the Final Value of one Index is greater than its Initial Value and the Final Value of the other Index is equal to its Initial Value or is less
than its Initial Value by up to the Buffer Amount of 10.00% or (ii) the Final Value of each Index is equal to its Initial Value or is less than its
Initial Value by up to the Buffer Amount of 10.00%, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of either Index is less than its Initial Value by more than the Buffer Amount of 10.00%, investors will lose 1% of the
principal amount of their notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value by more than
the Buffer Amount.
●For example, if the closing level of the Lesser Performing Index declines 60.00%, investors will lose 50.00% of their principal amount
and receive only $500.00 per $1,000 principal amount note at maturity.
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and
expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
PS-3  | Structured Investments
img15868691636e695f3.jpeg​
​
Capped Buffered Return Enhanced Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
​
​
Selected Risk Considerations
 
An investment in the notes involves significant risks. These risks are explained in more detail in the “Risk Factors” sections of the
accompanying prospectus supplement, product supplement and underlying supplement.
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the Final Value of either Index is less than its Initial Value by more than 10.00%,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Index is less than its
Initial Value by more than 10.00%. Accordingly, under these circumstances, you will lose up to 90.00% of your principal amount at
maturity.
●YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM RETURN,
regardless of any appreciation in the level of either Index, which may be significant.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is
likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may
not receive any amounts owed to you under the notes and you could lose your entire investment.
●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our
securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of
our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon
payments from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make
payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
●POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s
economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities
of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes
declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
●THE NOTES DO NOT PAY INTEREST.
●YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
●JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect the
level of the S&P 500® Index.
●NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX® —
Some of the equity securities included in the NASDAQ-100 Index® have been issued by non-U.S. companies.Investments in securities
linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the
issuers of those non-U.S. equity securities. Also, there is generally less publicly available information about companies in some of
these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC.
●YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual
Index. Poor performance by either of the Indices over the term of the notes may negatively affect your payment at maturity and will not
be offset or mitigated by positive performance by the other Index.
●YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
●LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to
depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not
designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
●THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
You should consider your potential investment in the notes based on the minimums for the estimated value of the notes and the
Maximum Return.
PS-4  | Structured Investments
img15868691636e695f3.jpeg​
​
Capped Buffered Return Enhanced Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
​
​
●THE TAX DISCLOSURE IS SUBJECT TO CONFIRMATION —
The information set forth under “Tax Treatment” in this pricing supplement remains subject to confirmation by our special tax counsel
following the pricing of the notes. If that information cannot be confirmed by our tax counsel, you may be asked to accept revisions to
that information in connection with your purchase. Under these circumstances, if you decline to accept revisions to that information,
your purchase of the notes will be canceled.
●THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES —
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes
will exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included in
the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect
to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations
under the notes. See “The Estimated Value of the Notes” in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM
OTHERS’ ESTIMATES —
See “The Estimated Value of the Notes” in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding rate
for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be
based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect,
and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and
any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes.
See “The Estimated Value of the Notes” in this pricing supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS
(and which may be shown on your customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
—
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also,
because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs
that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from
you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity
Date could result in a substantial loss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and
the levels of the Indices. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes,
which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes,
if any, at which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many
economic and market factors” in the accompanying product supplement.
The Indices
 
The NASDAQ-100 Index® is a modified market capitalization-weighted index of 100 of the largest non-financial securities listed on The
NASDAQ Stock Market based on market capitalization. For additional information about the NASDAQ-100 Index®, see “Equity Index
Descriptions — The NASDAQ-100 Index®” in the accompanying underlying supplement.
The S&P 500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For
additional information about the S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
​
PS-5  | Structured Investments
img15868691636e695f3.jpeg​
​
Capped Buffered Return Enhanced Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
​
​
Historical Information
The following graphs set forth the historical performance of each Index based on the weekly historical closing levels from January 6, 2017
through August 26, 2022. The closing level of the NASDAQ-100 Index® on August 31, 2022 was 12,272.03. The closing level of the S&P
500® Index on August 31, 2022 was 3,955.00. We obtained the closing levels above and below from the Bloomberg Professional® service
(“Bloomberg”), without independent verification.
The historical closing levels of each Index should not be taken as an indication of future performance, and no assurance can be given as to
the closing level of either Index on the Pricing Date or the Observation Date. There can be no assurance that the performance of the
Indices will result in the return of any of your principal amount in excess of $100.00 per $1,000 principal amount note, subject to the credit
risks of JPMorgan Financial and JPMorgan Chase & Co.
Historical Performance of the NASDAQ-100 Index®
imgddg01110802900351309.jpg​
 
Source: Bloomberg
​
Historical Performance of the S&P 500® Index
imgddg01110803541893431.jpg​
 
Source: Bloomberg
​
PS-6  | Structured Investments
img15868691636e695f3.jpeg​
​
Capped Buffered Return Enhanced Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
​
​
Tax Treatment
 
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-II. We expect to ask our special tax counsel to provide an opinion substantially consistent with the following discussion at
pricing.
Based on current market conditions, it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S. federal
income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders
— Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this treatment
is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year,
whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not respect this treatment, in which
case the timing and character of any income or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these
instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these
instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could
materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your
tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax
(unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding
regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury
regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2025 that do
not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes
(each an “Underlying Security”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes
with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section
871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be
provided in the pricing supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m)
to the notes.
The Estimated Value of the Notes
 
The estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate
described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes does
not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The
internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla
fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among
other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may
have an adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our affiliates.
These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs,
some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as
assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms
of the notes are set based on market conditions and other relevant factors and assumptions existing at that time.
PS-7  | Structured Investments
img15868691636e695f3.jpeg​
​
Capped Buffered Return Enhanced Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
​
​
The estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different pricing
models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future
dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan
Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS
would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes will be lower than the original issue price of the notes because costs associated with selling, structuring
and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and
other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails
risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it
may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or
unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations —
The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
 
For information about factors that will impact any secondary market prices of the notes, see “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic
and market factors” in the accompanying product supplement. In addition, we generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, if any,
and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This
initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any
such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk
Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be
Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental Use of Proceeds
 
The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes.
See “Hypothetical Payout Profile” and “How the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Indices” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
 
We expect that delivery of the notes will be made against payment for the notes on or about the Original Issue Date set forth on the front
cover of this pricing supplement, which will be the third business day following the Pricing Date of the notes (this settlement cycle being
referred to as “T+3”). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally
are required to settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to
trade notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time of
any such trade to prevent a failed settlement and should consult their own advisors.
Supplemental Information About the Form of the Notes
 
The notes will initially be represented by a type of global security that we refer to as a master note. A master note represents multiple
securities that may be issued at different times and that may have different terms. The trustee and/or paying agent will, in accordance with
instructions from us, make appropriate entries or notations in its records relating to the master note representing the notes to indicate that
the master note evidences the notes.
PS-8  | Structured Investments
img15868691636e695f3.jpeg​
​
Capped Buffered Return Enhanced Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
​
​
Additional Terms Specific to the Notes
 
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable
agent. We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any
changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You
may also choose to reject such changes, in which case we may reject your offer to purchase.
You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus
supplement relating to our Series A medium-term notes of which these notes are a part, and the more detailed information contained in the
accompanying product supplement and the accompanying underlying supplement. This pricing supplement, together with the documents
listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other
written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample
structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set
forth in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying product supplement and the
accompanying underlying supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing
our filings for the relevant date on the SEC website):
●Product supplement no. 4-II dated November 4, 2020:
●Underlying supplement no. 1-II dated November 4, 2020:
●Prospectus supplement and prospectus, each dated April 8, 2020:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing
supplement, “we,” “us” and “our” refer to JPMorgan Financial.
PS-9  | Structured Investments
img15868691636e695f3.jpeg​
​
Capped Buffered Return Enhanced Notes Linked to the Lesser Performing
of the NASDAQ-100 Index® and the S&P 500® Index
​
​
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