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JPMORGAN CHASE FINANCIAL CO. LLC

Date Filed : Jun 23, 2022

424B21s138284_424b2.htmPRELIMINARY PRICING SUPPLEMENT

 

The information in this preliminarypricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek anoffer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated June 22, 2022

June     , 2022

Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)

 

 

JPMorganChase Financial Company LLC
Structured Investments

Digital Barrier Notes Linked to the Least Performingof the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index due July 27,2023

Fullyand Unconditionally Guaranteed by JPMorgan Chase & Co.

The notes are designed for investors who seek a fixed return of at least 6.90% at maturity if the Final Value of the least performingof the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index, which we referto as the Indices, is greater than or equal to 50.00% of its Initial Value, which we refer to as a Barrier Amount.
Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount atmaturity.
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 thecredit 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 eachof the Indices individually, as described below.
Minimum denominations of $1,000 and integral multiples thereof
The notes are expected to price on or about June 24,2022 and are expected to settle on or about June 29, 2022.
CUSIP: 48133GP64

 

Investing in the notes involves a number of risks. See “RiskFactors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 ofthe accompanying product supplement, “Risk Factors” beginning on page US-3 of the accompanying underlying supplement and “SelectedRisk Considerations” beginning on page PS-3 of this pricing supplement.

Neither the Securities and Exchange Commission (the “SEC”)nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricingsupplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation tothe 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 $7.25 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.

If the notes priced today, the estimatedvalue of the notes would be approximately $974.40 per $1,000 principal amount note. The estimated value of the notes, when the terms ofthe notes are set, will be provided in the pricing supplement and will not be less than $940.00 per $1,000 principal amount note. See“The Estimated Value of the Notes” in this pricing supplement for additional information.

The notes are not bank deposits, are notinsured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, abank.

 

Pricing supplement to product supplement no. 4-II datedNovember 4, 2020, underlying supplement no. 1-II dated November 4, 2020 and the prospectus and prospectus supplement, each dated April8, 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), the Russell 2000® Index (Bloomberg ticker: RTY) and the S&P 500® Index (Bloomberg ticker: SPX)

Contingent Digital Return: At least 6.90% (to be provided in the pricing supplement)

Barrier Amount: With respect to each Index, 50.00% of its Initial Value

Pricing Date: On or about June 24, 2022

Original Issue Date (Settlement Date): On or about June 29, 2022

Observation Date*: July 24, 2023

Maturity Date*: July 27, 2023

* 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 or equal to its Barrier Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:

$1,000 + ($1,000 × Contingent Digital Return)

If the Final Value of any Index is less than its Barrier Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:

$1,000 + ($1,000 × Least Performing Index Return)

If the Final Value of any Index is less than its Barrier Amount, you will lose more than 50.00% of your principal amount at maturity and could lose all of your principal amount at maturity.

Least Performing Index: The Index with the Least Performing Index Return

Least Performing Index Return: The lowest 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

Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index

 

 

HypotheticalPayout Profile

The following table and graph illustrate the hypotheticaltotal return and payment at maturity on the notes linked to three hypothetical Indices. The “total return” as used in thispricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principalamount note to $1,000. The hypothetical total returns and payments set forth below assume the following:

an Initial Value for the Least Performing Index of 100.00;
a Contingent Digital Return of 6.90%; and
a Barrier Amount for the Least Performing Index of 50.00 (equal to 50.00% of its hypothetical Initial Value).

The hypothetical Initial Value of the Least PerformingIndex of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any Index. The actualInitial 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 “TheIndices” in this pricing supplement.

Each hypothetical total return or hypothetical paymentat maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicableto 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
Least Performing
Index
Least Performing
Index Return
Total Return on the Notes Payment at Maturity
180.00 80.00% 6.90% $1,069.00
165.00 65.00% 6.90% $1,069.00
150.00 50.00% 6.90% $1,069.00
140.00 40.00% 6.90% $1,069.00
130.00 30.00% 6.90% $1,069.00
120.00 20.00% 6.90% $1,069.00
110.00 10.00% 6.90% $1,069.00
106.90 6.90% 6.90% $1,069.00
105.00 5.00% 6.90% $1,069.00
101.00 1.00% 6.90% $1,069.00
100.00 0.00% 6.90% $1,069.00
95.00 -5.00% 6.90% $1,069.00
90.00 -10.00% 6.90% $1,069.00
80.00 -20.00% 6.90% $1,069.00
70.00 -30.00% 6.90% $1,069.00
60.00 -40.00% 6.90% $1,069.00
50.00 -50.00% 6.90% $1,069.00
49.99 -50.01% -50.01% $499.90
40.00 -60.00% -60.00% $400.00
30.00 -70.00% -70.00% $300.00
20.00 -80.00% -80.00% $200.00
10.00 -90.00% -90.00% $100.00
0.00 -100.00% -100.00% $0.00

PS-2| Structured Investments

Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index

 

 

The following graph demonstrates the hypothetical paymentsat maturity on the notes for a sub-set of Least Performing Index Returns detailed in the table above (-80% to 60%). There can be no assurancethat the performance of the Least Performing Index will result in the return of any of your principal amount.

 

 

How theNotes Work

Upside Scenario:

If the Final Value of each Index is greater than or equalto its Barrier Amount of 50.00% of its Initial Value, investors will receive at maturity the $1,000 principal amount plus a fixedreturn equal to the Contingent Digital Return of at least 6.90%, which reflects the maximum return at maturity.

Assuming a hypothetical Contingent Digital Return of 6.90%, if the closing level of the Least Performing Index increases 10.00%, investorswill receive at maturity a 6.90% return, or $1,069.00 per $1,000 principal amount note.
Assuming a hypothetical Contingent Digital Return of 6.90%, if the closing level of the Least Performing Index increases 50.00%, investorswill receive at maturity a 6.90% return, or $1,069.00 per $1,000 principal amount note.
Assuming a hypothetical Contingent Digital Return of 6.90%, if the closing level of the Least Performing Index decreases 10.00%, investorswill receive at maturity a 6.90% return, or $1,069.00 per $1,000 principal amount note.

Downside Scenario:

If the Final Value of any Index is less than its BarrierAmount of 50.00% of its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Valueof the Least Performing Index is less than its Initial Value.

For example, if the closing level of the Least Performing Index declines 60.00%, investors will lose 60.00% of their principal amountand receive only $400.00 per $1,000 principal amount note at maturity.

The hypothetical returns and hypothetical payments onthe notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or expensesthat would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns andhypothetical payments shown above would likely be lower.

SelectedRisk Considerations

An investment in the notes involves significant risks. These risks areexplained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement andunderlying 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 any Index is less than its Barrier Amount, you will lose 1%of the principal amount of your notes for every 1% that the Final Value of the Least Performing Index is less than its Initial Value.Accordingly, under these circumstances, you will lose more than 50.00% of your principal amount at maturity and could lose all of yourprincipal amount at maturity.
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN,
regardless of any appreciation of any Index, which may be significant.

PS-3| Structured Investments

Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index

 

YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE—
If the Final Value of any Index is less than its Barrier Amount, you will not be entitled to receive the Contingent Digital Return at maturity. Under these circumstances, you will lose more than 50.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potentialchange in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that creditrisk, 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 ouraffiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments fromour affiliates to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments onthe notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank paripassu 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.’seconomic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activitiesof ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value ofthe notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying productsupplement.
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 affectthe level of the S&P 500® Index.
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®INDEX —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to largercompanies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment couldbe a factor that limits downward stock price pressure under adverse market conditions.
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. Investmentsin securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the homecountries of the issuers of those non-U.S. equity securities. Also, there is generally less publicly available information about companiesin 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 any of the Indices over the term of the notes may negatively affect your payment at maturity and will not be offsetor mitigated by positive performance by any other Index.
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
If the Final Value of any Index is less than its Barrier Amount, the benefit provided by the Barrier Amount will terminate and you willbe fully exposed to any depreciation of the Least Performing Index.
THE NOTES DO NOT PAY INTEREST.
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE LEVEL OF THAT INDEX IS VOLATILE.
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 likelyto 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 designedto 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 ContingentDigital Return.

PS-4| Structured Investments

Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index

 

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 noteswill exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included inthe original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliatesexpect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligationsunder 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 ratefor vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may bebased on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operationaland ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorganChase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and isintended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potentialchanges to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “TheEstimated 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 THETHEN-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 connectionwith any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “SecondaryMarket Prices of the Notes” in this pricing supplementfor additional information relating to this initial period. Accordingly, the estimated value of your notes during this initialperiod 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, becausesecondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are includedin 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 secondarymarket transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date couldresult 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 eitheroffset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the levelsof the Indices. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which mayalso be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, atwhich JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the EstimatedValue and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and marketfactors” in the accompanying product supplement.

The Indices

The NASDAQ-100 Index® is a modified marketcapitalization-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 Russell 2000® Index consists of themiddle 2,000 companies included in the Russell 3000E Index and, as a result of the index calculation methodology, consistsof the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designedto track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000®Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.

The S&P 500® Index consists of stocksof 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlyingsupplement.

PS-5| Structured Investments

Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index

 

Historical Information

The following graphs set forth the historical performanceof each Index based on the weekly historical closing levels from January 6, 2017 through June 17, 2022. The closing level of the NASDAQ-100Index® on June 21, 2022 was 11,546.76. The closing level of the Russell 2000® Index on June 21, 2022 was1,694.031. The closing level of the S&P 500® Index on June 21, 2022 was 3,764.79. We obtained the closing levels aboveand below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.

The historical closing levels of each Index should notbe taken as an indication of future performance, and no assurance can be given as to the closing level of any Index on the Pricing Dateor the Observation Date. There can be no assurance that the performance of the Indices will result in the return of any of your principalamount.

Historical Performance of the NASDAQ-100 Index®

 

Source: Bloomberg

 

Historical Performance of the Russell 2000® Index

 

Source: Bloomberg

 

PS-6| Structured Investments

Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index

 

 

Historical Performance of the S&P 500® Index

 

Source: Bloomberg

 

Tax Treatment

You should review carefully the section entitled “MaterialU.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. The following discussion, when read in combinationwith that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.federal income tax consequences of owning and disposing of notes.

Based on current market conditions, in the opinion ofour special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S.federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequencesto 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 yournotes 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 notrespect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely affected.For instance, if the IRS were to succeed in recharacterizing the notes as debt instruments, U.S. Holders would be required to accrue intoincome original issue discount on the notes every year at a “comparable yield” determined at the time of the issuance andrecognize all income and gain in respect of the notes as ordinary income. In addition, in 2007 Treasury and the IRS released a noticerequesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The noticefocuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It alsoasks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevanceof factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (includingany mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or shouldbe subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capitalgain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules andeffective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adverselyaffect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regardingthe U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presentedby this notice.

Section 871(m) of the Code and Treasury regulations promulgatedthereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that includeU.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-basedindices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scopeof Section 871(m) instruments issued prior to January 1, 2023 that do not have a delta of one with respect to underlying securities thatcould pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinationsmade 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 bindingon the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particularcircumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further informationregarding the potential application

PS-7| Structured Investments

Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index

 

of Section 871(m) will be provided in the pricing supplementfor the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.

The EstimatedValue of the Notes

The estimated value of the notes set forth on the coverof this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt componentwith the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing tobuy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimatedvalue of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view ofthe funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparisonto those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certainmarket inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement fundingrate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the termsof 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 underlyingthe economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such asthe traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and whichcan 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 relevantfactors and assumptions existing at that time.

The estimated value of the notes does not represent futurevalues of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations forthe notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factorsin the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantlybased on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movementsand other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary markettransactions.

The estimated value of the notes will be lower than theoriginal issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the originalissue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projectedprofits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and theestimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by marketforces 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 portionof 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 — TheEstimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.

SecondaryMarket Prices of the Notes

For information about factors that will impact any secondarymarket 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 backto 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 andour internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be theshorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of thenotes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — The Value of the Notesas Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value ofthe Notes for a Limited Time Period” in this pricing supplement.

PS-8| Structured Investments

Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index

 

SupplementalUse of Proceeds

The notes are offered to meet investor demand for productsthat reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “Howthe 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 theestimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) theprojected 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.

SupplementalPlan of Distribution

We expect that delivery of the notes will be made againstpayment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the thirdbusiness day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1of 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 businessdays before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlementand should consult their own advisors.

SupplementalInformation About the Form of the Notes

The notes will initially be represented by a type ofglobal security that we refer to as a master note.  A master note represents multiple securities that may be issued at differenttimes and that may have different terms.  The trustee and/or paying agent will, in accordance with instructions from us, make appropriateentries or notations in its records relating to the master note representing the notes to indicate that the master note evidences thenotes.

AdditionalTerms Specific to the Notes

You may revoke your offer to purchase the notes at anytime prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, orreject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notifyyou and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in whichcase we may reject your offer to purchase.

You should read this pricing supplement together withthe accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of whichthese notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlyingsupplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all otherprior 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 shouldcarefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectussupplement, the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associatedwith conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you investin the notes.

You may access these documentson 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 SECwebsite):

Product supplement no. 4-II dated November 4, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320021467/crt_dp139322-424b2.pdf
Underlying supplement no. 1-II dated November 4, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320021471/crt_dp139381-424b2.pdf
Prospectus supplement and prospectus, each dated April 8, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf

Our Central Index Key, or CIK, onthe 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

Digital Barrier Notes Linked to the Least Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the S&P 500® Index

 

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