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.
Indicative
Terms
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Issuer:
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Issue Price:
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$1,000 per Security (subject to a minimum purchase of 100 Securities or $1,000)
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Principal Amount:
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$1,000 per Security. The payment at maturity will be based on the principal amount.
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Underlying:
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MSCI EAFE® Index
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Term1:
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Approximately 2 years
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Payment at Maturity (per $1,000 principal amount Security):
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If the Underlying Return is positive, JPMorgan Financial
will pay you a cash payment at maturity per $1,000 principal amount Security equal to:
$1,000 + ($1,000 × Underlying Return
× Upside Gearing)
provided, however, that in no event will JPMorgan Financial
pay you at maturity an amount greater than:
$1,000 + ($1,000 × Maximum Gain)
If the Underlying Return is zero or negative but the Final
Value is greater than or equal to the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity of $1,000
per $1,000 principal amount Security.
If the Underlying Return is negative, and the Final Value
is less than the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity per $1,000 principal amount
Security equal to:
$1,000 + [$1,000 × (Underlying Return
+ Threshold Percentage) × Downside Gearing]
In this scenario, you will lose between 1.15274% (if the
Downside Threshold percentage is set equal to 86.75%) and 1.16959% (if the Downside Threshold percentage is set equal to 85.50%)
of your principal amount for every 1% that the Underlying has declined by more than the Threshold Percentage. You will lose some
or all of your principal amount.
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Underlying Return:
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(Final Value – Initial Value)
Initial Value
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Upside Gearing:
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1.50
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Maximum Gain:
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20.00%. In no event will the return on the Principal Amount be greater than the Maximum Gain.
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Initial Value:
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The closing level of the Underlying on the Trade Date
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Final Value:
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The closing level of the Underlying on the Final Valuation Date
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Downside Threshold:
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Between 85.50% and 86.75% of the Initial Value. The actual Downside Threshold will be finalized on the Trade Date and provided in the pricing supplement and will not be greater than 86.75%.
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Threshold Percentage:
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Between 13.25% (if the Downside Threshold percentage is set equal to 86.75%) and 14.50% (if the Downside Threshold percentage is set equal to 85.50%), if held to maturity, equal to 100% - Downside Threshold percentage. The actual Threshold Percentage will be finalized on the Trade Date based on the Downside Threshold percentage and provided in the pricing supplement.
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Downside Gearing:
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Between 1.15274% (if the Downside Threshold percentage is set equal to 86.75%) and 1.16959% (if the Downside Threshold percentage is set equal to 85.50%), equal to 1 / Downside Threshold percentage. The actual
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Downside Gearing will be finalized on the Trade Date based on the Downside Threshold percentage and provided in the pricing supplement.
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1 See
footnote 1 under “Key Dates” on the front cover
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Trade Date
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The Initial Value is observed. The Downside Threshold is determined and the Maximum Gain is finalized.
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Maturity Date
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The Final Value and the Underlying Return are determined.
If the Underlying Return is positive, JPMorgan Financial
will pay you a cash payment at maturity per $1,000 principal amount Security equal to:
$1,000 + ($1,000 × Underlying Return
×
Upside Gearing)
provided, however, that in no event will you receive
at maturity an amount greater than:
$1,000 + ($1,000 × Maximum Gain)
If the Underlying Return is zero or negative but the Final
Value is greater than or equal to the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity of $1,000
per $1,000 principal amount Security.
If the Underlying Return is negative, and the Final Value
is less than the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity per $1,000 principal amount
Security equal to:
$1,000 + [$1,000 × (Underlying Return
+ Threshold Percentage) × Downside Gearing]
Under these circumstances, you will lose some or all of
your principal amount.
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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.
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What
Are the Tax Consequences of the Securities?
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You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. 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.
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
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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.
If the Underlying Return is negative, we will pay you the principal amount of your Securities in cash only if the Final Value has
not declined below the Downside Threshold. If the Underlying Return is negative and the Final Value is less than the Downside Threshold,
you will lose between 1.15274% (if the Downside Threshold percentage is set equal to 86.75%) and 1.16959% (if the Downside Threshold
percentage is set equal to 85.50%) of your principal amount for every 1% that the Underlying has declined by more than the Threshold
Percentage. Accordingly, you could lose up to your entire principal amount.
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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.
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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.
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The Appreciation Potential of the Securities Is Limited by the Maximum
Gain — The appreciation potential of the Securities is limited by the Maximum Gain. Accordingly, the appreciation potential
of the Securities will be limited by the Maximum Gain even if the Underlying Return times the Upside Gearing is greater than the
Maximum Gain.
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The Upside Gearing 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 Upside Gearing or the Securities themselves, and the return you realize may be less than the product of the
performance of the Underlying and the Upside Gearing and may be less than the Underlying’s return, even if that return is
positive and does not exceed the Maximum Gain. You can receive the full benefit of the Upside Gearing, subject to the Maximum Gain,
only if you hold your Securities to maturity.
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The Contingent Repayment of Principal 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 in the secondary market, if any, prior to maturity, you may have to sell them at a loss
relative to your initial investment even if the closing level of the Underlying is above the Downside Threshold. If you hold the
Securities to maturity, JPMorgan Financial will repay your principal amount as long as the Final Value is not below the Downside
Threshold. However, if the Underlying Return is negative and the Final Value is less than the Downside Threshold, JPMorgan Financial
will repay less than your principal amount at maturity, resulting in a loss of between 1.15274% (if the Downside Threshold percentage
is set equal to 86.75%) and 1.16959% (if the Downside Threshold percentage is set equal to 85.50%) of your principal amount for
every 1% that the Underlying has declined by more than the Threshold Percentage.
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No Interest Payments — JPMorgan Financial will not make
any interest payments to you with respect to the Securities.
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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.
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The Probability That the Final Value Will Fall Below the Downside
Threshold on the Final Valuation Date 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 could close below the Downside Threshold on the Final Valuation
Date of the Securities, resulting in the loss of some or all of your
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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.
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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 structuring and hedging the Securities are included in the original issue price of the Securities. These
costs include 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.
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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.
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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.
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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 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).
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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 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.
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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 “—
Lack of Liquidity” below.
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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 projected hedging profits,
if any, estimated hedging costs and the level of the Underlying, including:
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any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads;
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured debt issuances;
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the actual and expected volatility in the level of the Underlying;
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the time to maturity of the Securities;
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the dividend rates on the equity securities included in the Underlying;
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interest and yield rates in the market generally;
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the exchange rates and the volatility of the exchange rates between
the U.S. dollar and each of the currencies in which the equity securities included in the Underlying trade and the correlation
among those rates and the level of the Underlying; and
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a variety of other economic, financial, political, regulatory and judicial
events.
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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.
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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.
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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.
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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 stock included in the Underlying and received the dividends on the stock 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 Final
Value, which reflects the closing level of the Underlying on the Final Valuation Date without taking into consideration the value
of dividends on the stock included in the Underlying.
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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.
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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.
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Tax Treatment — Significant aspects of the tax treatment
of the Securities are uncertain. You should consult your tax adviser about your tax situation.
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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.
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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 applicable minimum set forth on the cover of this pricing
supplement. In addition, the Downside Threshold will be finalized on the Trade Date and provided in the pricing supplement and
may be as high as the applicable maximum 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 and the maximum for the Downside
Threshold.
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Risks Relating to the Underlying
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Non-U.S. Securities Risk with Respect to
the MSCI EAFE® Index — The equity securities included in the MSCI EAFE® 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, including risks of volatility
in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there
is generally less publicly available information about companies in some of these jurisdictions than about U.S. companies that
are subject to the reporting requirements of the SEC.
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The Securities Are Subject to Currency Exchange Risk with
Respect to the MSCI EAFE® Index — Because the prices of the equity securities
included in the MSCI EAFE® Index are converted into U.S. dollars for
purposes of calculating the level of the MSCI EAFE® Index, holders
of the Securities will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities
included in the MSCI EAFE® Index trade. Your net exposure will depend
on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity securities
included in the MSCI EAFE® Index denominated in each of those currencies.
If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the level of the MSCI
EAFE® Index will be adversely affected and any payment on the Securities may be reduced. Of particular importance
to potential currency exchange risk are:
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existing and expected rates of inflation;
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existing and expected interest rate levels;
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the balance of payments in the countries issuing those currencies and
the United States and between each country and its major trading partners;
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political, civil or military unrest in the countries issuing those
currencies and the United States; and
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the extent of government surpluses or deficits in the countries issuing
those currencies and the United States.
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All of these factors are in turn sensitive
to the monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies and the United
States and other countries important to international trade and finance.
Hypothetical
Examples and Return Table
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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 $1,000 principal amount Security for a hypothetical range of Underlying Returns from -100.00% to +100.00%
on an offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of 100, a hypothetical
Downside Threshold of 90, a hypothetical Upside Gearing of 1.10, a hypothetical Maximum Gain of 10.00%, a hypothetical Downside
Gearing of 1.11111 and a hypothetical Threshold Percentage of 10%. The hypothetical Initial Value of 100 has been chosen for illustrative
purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be based on the closing level
of the Underlying on the Trade Date and will be provided in the pricing supplement. For historical data regarding the actual closing
levels of the Underlying, please see the historical information set forth under “The Underlying” in this pricing supplement.
The actual Downside Threshold, Upside Gearing, Downside Gearing and Threshold Percentage are specified on the cover of this pricing
supplement. The actual Maximum Gain will be finalized on the Trade Date and provided in the pricing supplement. The hypothetical
payment at maturity examples set forth below are for illustrative purposes only and may not be the actual returns applicable to
a purchaser of the Securities. The actual payment at maturity may be more or less than the amounts displayed below and will be
determined based on the actual terms of the Securities, including the Initial Value, the Downside Threshold, the Upside Gearing,
the Downside Gearing, the Threshold Percentage and the Maximum Gain to be finalized on the Trade Date and provided in the pricing
supplement and the Final Value on the Final Valuation Date. You should consider carefully whether the Securities are suitable to
your investment goals. The numbers appearing in the table below have been rounded for ease of analysis.
Final Value
|
Underlying Return (%)
|
Payment at Maturity ($)
|
Return at Maturity per
$1,000 issue price (%)
|
200.00
|
100.00%
|
$1,100.00
|
10.00%
|
190.00
|
90.00%
|
$1,100.00
|
10.00%
|
180.00
|
80.00%
|
$1,100.00
|
10.00%
|
170.00
|
70.00%
|
$1,100.00
|
10.00%
|
160.00
|
60.00%
|
$1,100.00
|
10.00%
|
150.00
|
50.00%
|
$1,100.00
|
10.00%
|
140.00
|
40.00%
|
$1,100.00
|
10.00%
|
130.00
|
30.00%
|
$1,100.00
|
10.00%
|
120.00
|
20.00%
|
$1,100.00
|
10.00%
|
110.00
|
10.00%
|
$1,100.00
|
10.00%
|
109.09
|
9.09%
|
$1,100.00
|
10.00%
|
108.00
|
8.00%
|
$1,088.00
|
8.80%
|
106.00
|
6.00%
|
$1,066.00
|
6.60%
|
104.00
|
4.00%
|
$1,044.00
|
4.40%
|
102.00
|
2.00%
|
$1,022.00
|
2.20%
|
100.00
|
0.00%
|
$1,000.00
|
0.00%
|
95.00
|
-5.00%
|
$1,000.00
|
0.00%
|
90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
80.00
|
-20.00%
|
$888.89
|
-11.11%
|
70.00
|
-30.00%
|
$777.78
|
-22.22%
|
60.00
|
-40.00%
|
$666.67
|
-33.33%
|
50.00
|
-50.00%
|
$555.56
|
-44.44%
|
40.00
|
-60.00%
|
$444.44
|
-55.56%
|
30.00
|
-70.00%
|
$333.33
|
-66.67%
|
20.00
|
-80.00%
|
$222.22
|
-77.78%
|
10.00
|
-90.00%
|
$111.11
|
-88.89%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
Example 1 — The level of the Underlying increases by
2% from the Initial Value of 100 to the Final Value of 102.
Because the Upside Gearing of 1.10 times the Underlying Return
of 2% is less than the Maximum Gain of 10.00%, JPMorgan Financial will pay you your principal amount plus a return equal
to the Underlying Return times the Upside Gearing, resulting in a payment at maturity of $1,022 per $1,000 principal amount
Security, calculated as follows:
$1,000 + ($1,000 × Underlying Return
× Upside Gearing)
$1,000 + ($1,000 × 2% × 1.10) = $1,022
Example 2 — The level of the Underlying increases by
10% from the Initial Value of 100 to the Final Value of 110.
Because the Upside Gearing of 1.10 times the Underlying Return
of 10% is greater than the Maximum Gain of 10.00%, JPMorgan Financial will pay you your principal amount plus a return equal
to the Maximum Gain of 10.00%, resulting in a payment at maturity of $1,100 per $1,000 principal amount Security, calculated as
follows:
$1,000 + ($1,000 × Maximum Gain)
$1,000 + ($1,000 × 10.00%) = $1,100
Example 3 — The level of the Underlying increases by
40% from the Initial Value of 100 to the Final Value of 140.
Because the Upside Gearing of 1.10 times the Underlying Return
of 40% is significantly greater than the Maximum Gain of 10.00%, JPMorgan Financial will pay you your principal amount plus
a return equal to only the Maximum Gain of 10.00%, resulting in a payment at maturity of $1,100 per $1,000 principal amount Security,
calculated as follows:
$1,000 + ($1,000 × Maximum Gain)
$1,000 + ($1,000 × 10.00%) = $1,100
Example 4 — The level of the Underlying decreases by
40% from the Initial Value of 100 to the Final Value of 60.
Because the Underlying Return is -40% and the Final Value is
less than the Downside Threshold of 90%, at maturity, JPMorgan Financial will pay you a payment at maturity of $666.67 per $1,000
principal amount Security, calculated as follows:
$1,000 + [$1,000 × (Underlying Return
+ Threshold Percentage) × Downside Gearing]
$1,000 + [$1,000 × (-40.00% + 10.00%) × 1.11111] = $666.67
If the Underlying Return is negative and the Final Value
is less than the Downside Threshold, investors will lose more than 1% of their principal amount for every 1% that the Underlying
has declined in excess of the Threshold Percentage. Investors could 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 MSCI EAFE® Index is a free float-adjusted
market capitalization index intended to measure the equity market performance of certain developed markets, excluding the United
States and Canada. For additional information about the MSCI EAFE® Index, see the information set forth under “Equity
Index Descriptions — The MSCI Indices” 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 2015, 2016, 2017, 2018 and 2019 and the first and second calendar quarters of 2020. Partial data is provided for the
third calendar quarter of 2020. The closing level of the Underlying on July 31, 2020 was 1,820.21. The actual Initial Value will
be the closing level of the Underlying on the Trade Date. 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 Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2015
|
3/31/2015
|
1,900.90
|
1,697.01
|
1,849.34
|
4/1/2015
|
6/30/2015
|
1,949.49
|
1,842.46
|
1,842.46
|
7/1/2015
|
9/30/2015
|
1,894.42
|
1,609.50
|
1,644.40
|
10/1/2015
|
12/31/2015
|
1,779.25
|
1,654.98
|
1,716.28
|
1/1/2016
|
3/31/2016
|
1,716.28
|
1,492.43
|
1,652.04
|
4/1/2016
|
6/30/2016
|
1,716.51
|
1,520.94
|
1,608.45
|
7/1/2016
|
9/30/2016
|
1,734.72
|
1,573.30
|
1,701.69
|
10/1/2016
|
12/31/2016
|
1,704.84
|
1,614.17
|
1,684.00
|
1/1/2017
|
3/31/2017
|
1,812.06
|
1,676.93
|
1,792.98
|
4/1/2017
|
6/30/2017
|
1,916.37
|
1,774.47
|
1,883.19
|
7/1/2017
|
9/30/2017
|
1,981.48
|
1,874.10
|
1,973.81
|
10/1/2017
|
12/31/2017
|
2,050.79
|
1,971.41
|
2,050.79
|
1/1/2018
|
3/31/2018
|
2,186.65
|
1,989.61
|
2,005.67
|
4/1/2018
|
6/30/2018
|
2,066.80
|
1,938.95
|
1,958.64
|
7/1/2018
|
9/30/2018
|
2,011.48
|
1,905.44
|
1,973.60
|
10/1/2018
|
12/31/2018
|
1,970.26
|
1,683.36
|
1,719.88
|
1/1/2019
|
3/31/2019
|
1,907.49
|
1,708.59
|
1,875.43
|
4/1/2019
|
6/30/2019
|
1,928.10
|
1,817.39
|
1,922.30
|
7/1/2019
|
9/30/2019
|
1,949.70
|
1,797.33
|
1,889.36
|
10/1/2019
|
12/31/2019
|
2,042.90
|
1,846.42
|
2,036.94
|
1/1/2020
|
3/31/2020
|
2,057.74
|
1,354.30
|
1,559.59
|
4/1/2020
|
6/30/2020
|
1,854.00
|
1,487.08
|
1,780.58
|
7/1/2020
|
7/31/2020*
|
1,880.28
|
1,783.59
|
1,820.21
|
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter
of 2020 includes data for the period from July 1, 2020 through July 31, 2020. 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 2020.
|
The graph below illustrates the daily performance of
the Underlying from January 4, 2010 through July 31, 2020, based on information from Bloomberg, without independent verification.
The dotted line represents a hypothetical Downside Threshold of 1,579.03, equal to 86.75% (based
on the top of the range of 85.50% to 86.75%) of the closing level of the Underlying on July 31, 2020. The actual Downside Threshold
will be finalized on the Trade Date and provided in the pricing supplement based on the closing level of the Underlying on the
Trade Date and will not be greater than 86.75% of the Initial Value.
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 on
the Trade Date or the Final Valuation Date. There can be no assurance that the performance of the Underlying will result in the
return of any of your principal amount.