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 March 24, 2023
March ,
2023 |
Registration Statement Nos. 333-236659
and 333-236659-01; Rule 424(b)(2) |

JPMorgan Chase Financial Company LLC
Structured Investments
Knock-Out Notes Linked to the SPDR® Gold Trust due April
2, 2024
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
· |
The notes are designed for investors who seek a capped,
unleveraged return equal to the value of any appreciation (up to
the Knock-Out Percentage of at least 18.00%) of the
SPDR® Gold Trust, which we refer to as the Fund, at
maturity if a Knock-Out Event has not occurred. A Knock-Out Event
occurs if, on any day during the Monitoring Period, the closing
price of one share of the Fund is greater than the Initial Value by
more than the Knock-Out Percentage. |
|
· |
The notes are also designed for investors who are willing to
accept a fixed return of 5.00% at maturity if a Knock-Out Event has
occurred. |
|
· |
Investors should be willing to forgo interest and dividend
payments, while seeking full repayment of principal 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. |
|
· |
Minimum denominations of $1,000 and integral multiples
thereof |
|
· |
The notes are expected to price on or about March 27, 2023 and
are expected to settle on or about March 30, 2023. |
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-10 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 $12.50
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 $980.00 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 $960.00 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. 3-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.
Fund:
The SPDR® Gold Trust (Bloomberg ticker: GLD)
Participation Rate:
100.00%
Knock-Out Percentage:
At least
18.00% (to be provided in the pricing supplement)
Fixed Amount: $50.00 per
$1,000 principal amount note
Pricing
Date: On or about March 27, 2023
Original
Issue Date (Settlement Date): On or about March 30, 2023
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 a Single Underlying — Notes Linked to a Single
Underlying (Other Than a Commodity Index)” and “General Terms of
Notes — Postponement of a Payment Date” in the accompanying product
supplement
|
Payment at Maturity:
At
maturity, you will receive a cash payment, for each $1,000
principal amount note, of $1,000 plus the Additional Amount,
which may be zero.
You
are entitled to repayment of principal in full at maturity, subject
to the credit risks of JPMorgan Financial and JPMorgan
Chase & Co.
Additional Amount: The
Additional Amount payable at maturity per $1,000 principal amount
note will equal:
(i) if a Knock-Out Event
has not occurred: $1,000 × the Fund Return × the
Participation Rate, provided that the Additional Amount will
not be less than zero; or
(ii) if a Knock-Out Event
has occurred: the Fixed Amount.
Knock-Out Event:
A Knock-Out Event occurs if, on any
day during the Monitoring Period, the closing price of one share of
the Fund is greater than the Initial Value by more than the
Knock-Out Percentage.
Monitoring Period:
The period from but excluding the
Pricing Date to and including the Observation Date
Fund Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing price
of one share of the Fund on the Pricing Date
Final
Value: The closing price
of one share of the Fund on the Observation Date
|
PS-1
| Structured Investments
Knock-Out Notes Linked to the SPDR® Gold Trust
|
 |
Supplemental Terms of the Notes
The notes are not commodity futures contracts or swaps and are
not regulated under the Commodity Exchange Act of 1936, as amended
(the “Commodity Exchange Act”). The notes are offered
pursuant to an exemption from regulation under the Commodity
Exchange Act, commonly known as the hybrid instrument exemption,
that is available to securities that have one or more payments
indexed to the value, level or rate of one or more commodities, as
set out in section 2(f) of that statute. Accordingly, you are not
afforded any protection provided by the Commodity Exchange Act or
any regulation promulgated by the Commodity Futures Trading
Commission.
Hypothetical Payout Profile
The following table illustrates the hypothetical payment at
maturity on the notes linked to a hypothetical Fund. The
hypothetical payments set forth below assume the following:
|
· |
an Initial Value of 100.00; |
|
· |
a Participation Rate of 100.00%; |
|
· |
a Knock-Out Percentage of 18.00%; and |
|
· |
a Fixed Amount of $50.00 per $1,000 principal amount note. |
The hypothetical Initial Value of $100.00 has been chosen for
illustrative purposes only and may not represent a likely actual
Initial Value. The actual Initial Value will be the closing price
of one share of the Fund on the Pricing Date and will be provided
in the pricing supplement. For historical data regarding the actual
closing prices of one share of the Fund, please see the historical
information set forth under “The Fund” 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 have been rounded for ease of analysis.
Final Value |
Fund Return |
A Knock-Out Event Has Not Occurred
(1) |
A Knock-Out Event Has Occurred
(1) |
Additional Amount |
Payment at Maturity |
Additional Amount |
Payment at Maturity |
$180.00 |
80.00% |
N/A |
N/A |
$50.00 |
$1,050.00 |
$165.00 |
65.00% |
N/A |
N/A |
$50.00 |
$1,050.00 |
$150.00 |
50.00% |
N/A |
N/A |
$50.00 |
$1,050.00 |
$140.00 |
40.00% |
N/A |
N/A |
$50.00 |
$1,050.00 |
$130.00 |
30.00% |
N/A |
N/A |
$50.00 |
$1,050.00 |
$120.00 |
20.00% |
N/A |
N/A |
$50.00 |
$1,050.00 |
$118.00 |
18.00% |
$180.00 |
$1,180.00 |
$50.00 |
$1,050.00 |
$110.00 |
10.00% |
$100.00 |
$1,100.00 |
$50.00 |
$1,050.00 |
$105.00 |
5.00% |
$50.00 |
$1,050.00 |
$50.00 |
$1,050.00 |
$101.00 |
1.00% |
$10.00 |
$1,010.00 |
$50.00 |
$1,050.00 |
$100.00 |
0.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$95.00 |
-5.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$90.00 |
-10.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$80.00 |
-20.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$70.00 |
-30.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$60.00 |
-40.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$50.00 |
-50.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$40.00 |
-60.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$30.00 |
-70.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$20.00 |
-80.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$10.00 |
-90.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
$0.00 |
-100.00% |
$0.00 |
$1,000.00 |
$50.00 |
$1,050.00 |
(1) A Knock-Out Event occurs
if, on any day during the Monitoring Period, the closing price of
one share of the Fund is greater than the Initial Value by more
than the Knock-Out Percentage.
PS-2
| Structured Investments
Knock-Out Notes Linked to the SPDR® Gold Trust
|
 |
How the Notes Work
At maturity, investors will
receive a cash payment, for each $1,000 principal amount note, of
$1,000 plus the Additional Amount, which may be zero. The
value of the Additional Amount depends on whether a Knock-Out Event
has occurred. A Knock-Out Event occurs if, on any day during the
Monitoring Period, the closing price of one share of the Fund is
greater than the Initial Value by more than the Knock-Out
Percentage of at least 18.00%.
No Knock-Out Event Scenario:
If a Knock-Out Event has not occurred, the Additional Amount per
$1,000 principal amount note will be equal to $1,000 times
the Fund Return times the Participation Rate of 100.00%,
provided that the Additional Amount will not be less than
zero.
|
· |
For example, if (i) a Knock-Out Event has not occurred and (ii)
the closing price of one share of the Fund increases 10.00%,
investors will receive at maturity a 10.00% return, or $1,100.00
per $1,000 principal amount note. |
|
· |
For example, if (i) a Knock-Out Event has not occurred and (ii)
the closing price of one share of the Fund declines 10.00%,
investors will receive at maturity the principal amount of their
notes. |
|
· |
For example, if (i) a Knock-Out Event has not occurred and (ii)
the closing price of one share of the Fund increases 1.00%,
investors will receive at maturity a 1.00% return, or $1,010.00 per
$1,000 principal amount note. |
|
· |
For example, if (i) a Knock-Out Event has not occurred and (ii)
the closing price of one share of the Fund increases 18.00%,
investors will receive at maturity an 18.00% return, or $1,180.00
per $1,000 principal amount note, which reflects the maximum
payment at maturity, assuming a Knock-Out Percentage of
18.00%. |
Knock-Out Event Scenario:
If a Knock-Out Event has occurred, the Additional Amount per $1,000
principal amount note will be equal to the Fixed Amount of $50.00,
regardless of the Fund Return.
|
· |
For example, if (i) a Knock-Out Event has occurred and (ii) the
closing price of one share of the Fund increases 10.00%, investors
will receive at maturity a 5.00% return, or $1,050.00 per $1,000
principal amount note. |
|
· |
For example, if (i) a Knock-Out Event has occurred and (ii) the
closing price of one share of the Fund declines 10.00%, investors
will receive at maturity a 5.00% return, or $1,050.00 per $1,000
principal amount note. |
|
· |
For example, if (i) a Knock-Out Event has occurred and (ii) the
closing price of one share of the Fund increases 1.00%, investors
will receive at maturity a 5.00% return, or $1,050.00 per $1,000
principal amount note. |
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
Knock-Out Notes Linked to the SPDR® Gold Trust
|
 |
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.
Risks Relating to the Notes Generally
|
· |
THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT
MATURITY — |
If a Knock-Out Event has not occurred and the Final Value is less
than or equal to the Initial Value, you will receive only the
principal amount of your notes at maturity, and you will not be
compensated for any loss in value due to inflation and other
factors relating to the value of money over time.
|
· |
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE KNOCK-OUT
PERCENTAGE IF A KNOCK-OUT EVENT HAS NOT OCCURRED — |
Because the payment at maturity will not reflect the Fund Return if
a Knock-Out Event has occurred, the Knock-Out Percentage is
effectively a cap on your return at maturity. The maximum payment
at maturity if a Knock-Out Event has not occurred is at least
$1,180.00 per $1,000 principal amount note.
|
· |
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE FIXED
AMOUNT IF A KNOCK-OUT EVENT HAS OCCURRED, |
regardless of any appreciation of the Fund, 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.
|
· |
THE BENEFIT PROVIDED BY THE KNOCK-OUT PERCENTAGE MAY
TERMINATE ON ANY DAY DURING THE MONITORING PERIOD — |
If, on any day during the Monitoring Period, the closing price of
one share of the Fund is greater than the Initial Value by more
than the Knock-Out Percentage (i.e., a Knock-Out Event
occurs), you will receive at maturity only the Fixed Payment, in
addition to the principal amount, and you will not participate in
the Fund Return, regardless of any appreciation of the Fund, which
may be significant.
|
· |
YOU MAY RECEIVE A LOWER RETURN ON THE NOTES IF A KNOCK-OUT
EVENT HAS NOT OCCURRED THAN IF A KNOCK-OUT EVENT HAS OCCURRED
— |
If a Knock-Out Event has not occurred and the Fund Return is less
than 5.00%, the Additional Amount will be less than the Fixed
Amount of $50.00 per $1,000 principal amount note you would have
received at maturity if a Knock-Out Event had occurred.
|
· |
THE NOTES DO NOT PAY INTEREST. |
|
· |
YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THE
COMMODITIES HELD BY THE FUND. |
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.
PS-4
| Structured Investments
Knock-Out Notes Linked to the SPDR® Gold Trust
|
 |
|
· |
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 Knock-Out
Percentage.
Risks Relating to Conflicts of Interest
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.
In addition, the benchmark price of the Fund’s Underlying Commodity
(as defined under “The Fund” below) is administered by the London
Bullion Market Association (“LBMA”) or an independent service
provider appointed by the LBMA, and we are, or one of our
affiliates is, a price participant that contributes to the
determination of that price. Furthermore, our affiliate is
the custodian of the Fund. We and our affiliates will have no
obligation to consider your interests as a holder of the notes in
taking any actions in connection with our roles as a price
participant and a custodian that might affect the Fund or the
notes.
Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes
|
· |
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
PS-5
| Structured Investments
Knock-Out Notes Linked to the SPDR® Gold Trust
|
 |
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 price of one share of the Fund. 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.
Risks Relating to the Fund
|
· |
THE FUND IS NOT AN INVESTMENT COMPANY OR COMMODITY POOL AND
WILL NOT BE SUBJECT TO REGULATION UNDER THE INVESTMENT COMPANY ACT
OF 1940, AS AMENDED, OR THE COMMODITY EXCHANGE ACT — |
Accordingly, you will not benefit from any regulatory protections
afforded to persons who invest in regulated investment companies or
commodity pools.
|
· |
THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY
DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE
PERFORMANCE OF THE FUND’S UNDERLYING COMMODITY AS WELL AS THE NET
ASSET VALUE PER SHARE — |
The Fund does not fully replicate the performance of its Underlying
Commodity due to the fees and expenses charged by the Fund or by
restrictions on access to the Underlying Commodity due to other
circumstances. The Fund does not generate any income, and as the
Fund regularly sells its Underlying Commodity to pay for ongoing
expenses, the amount of its Underlying Commodity represented by
each share gradually declines over time. The Fund sells its
Underlying Commodity to pay expenses on an ongoing basis
irrespective of whether the trading price of the shares rises or
falls in response to changes in the price of its Underlying
Commodity. The sale by the Fund of its Underlying Commodity to pay
expenses at a time of low prices for its Underlying Commodity could
adversely affect the value of the notes. Additionally, there is a
risk that part or all of the Fund’s holdings in its Underlying
Commodity could be lost, damaged or stolen. Access to the Fund’s
Underlying Commodity could also be restricted by natural events
(such as an earthquake) or human actions (such as a terrorist
attack). All of these factors may lead to a lack of correlation
between the performance of the Fund and its Underlying Commodity.
In addition, because the shares of the Fund are traded on a
securities exchange and are subject to market supply and investor
demand, the market value of one share of the Fund may differ from
the net asset value per share of the Fund.
During periods of market volatility, the Fund’s Underlying
Commodity may be unavailable in the secondary market, market
participants may be unable to calculate accurately the net asset
value per share of the Fund and the liquidity of the Fund may be
adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem shares of
the Fund. Further, market volatility may adversely affect,
sometimes materially, the prices at which market participants are
willing to buy and sell shares of the Fund. As a result, under
these circumstances, the market value of shares of the Fund may
vary substantially from the net asset value per share of the Fund.
For all of the foregoing reasons, the performance of the Fund may
not correlate with the performance of its Underlying Commodity as
well as the net asset value per share of the Fund, which could
materially and adversely affect the value of the notes in the
secondary market and/or reduce any payment on the notes.
|
· |
THE NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH GOLD
— |
The investment objective of the Fund is to reflect the performance
of the price of gold bullion, less the expenses of the Fund’s
operations. The price of gold is primarily affected by the global
demand for and supply of gold. The market for gold bullion is
global, and gold prices are subject to volatile price movements
over short periods of time and are affected by numerous factors,
including macroeconomic factors, such as the structure of and
confidence in the global monetary system, expectations regarding
the future rate of inflation, the relative strength of, and
confidence in, the U.S. dollar (the currency in which the price of
gold is usually quoted), interest rates, gold borrowing and lending
rates and global or regional economic, financial, political,
regulatory, judicial or other events. Gold prices may be affected
by industry factors, such as industrial and jewelry demand as well
as lending, sales and purchases of gold by the official sector,
including central banks and other governmental agencies and
multilateral institutions that hold gold. Additionally, gold prices
may be affected by levels of gold production, production costs and
short-term changes in supply and demand due to trading activities
in the gold market. From time to time, above-ground inventories of
gold may also influence the market. It is not possible to predict
the aggregate effect of all or any combination of these factors.
The price of gold has recently been, and may continue to be,
extremely volatile.
PS-6
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THERE ARE RISKS RELATING TO COMMODITIES TRADING ON THE LBMA
— |
The investment objective of the Fund is to reflect the performance
of the price of gold bullion, less the expenses of the Fund’s
operations. The price of gold is determined by the LBMA or an
independent service provider appointed by the LBMA. The LBMA is a
self-regulatory association of bullion market participants.
Although all market-making members of the LBMA are supervised by
the Bank of England and are required to satisfy a capital adequacy
test, the LBMA itself is not a regulated entity. If the LBMA should
cease operations, or if bullion trading should become subject to a
value added tax or other tax or any other form of regulation
currently not in place, the role of the LBMA gold price as a global
benchmark for the value of gold may be adversely affected. The LBMA
is a principals’ market, which operates in a manner more closely
analogous to an over-the-counter physical commodity market than
regulated futures markets, and certain features of U.S. futures
contracts are not present in the context of LBMA trading. For
example, there are no daily price limits on the LBMA which would
otherwise restrict fluctuations in the prices of LBMA contracts. In
a declining market, it is possible that prices would continue to
decline without limitation within a trading day or over a period of
trading days. The LBMA may alter, discontinue or suspend
calculation or dissemination of the LBMA gold price, which could
adversely affect the value of the notes. The LBMA, or an
independent service provider appointed by the LBMA, will have no
obligation to consider your interests in calculating or revising
the LBMA gold price.
|
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SINGLE COMMODITY PRICES TEND TO BE MORE VOLATILE THAN, AND
MAY NOT CORRELATE WITH, THE PRICES OF COMMODITIES GENERALLY
— |
The Fund is linked to a single commodity and not to a diverse
basket of commodities or a broad-based commodity index. The Fund’s
Underlying Commodity may not correlate to the price of commodities
generally and may diverge significantly from the prices of
commodities generally. As a result, the notes carry greater risk
and may be more volatile than notes linked to the prices of more
commodities or a broad-based commodity index.
|
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THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED
— |
The calculation agent will make adjustments to the Share Adjustment
Factor for certain events affecting the shares of the Fund.
However, the calculation agent will not make an adjustment in
response to all events that could affect the shares of the Fund. If
an event occurs that does not require the calculation agent to make
an adjustment, the value of the notes may be materially and
adversely affected.
PS-7
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The Fund
The Fund is an investment trust sponsored by World Gold Trust
Services, LLC. The investment objective of the Fund is for its
shares to reflect the performance of the price of gold bullion,
less the expenses of the Fund’s operations. The Fund holds gold
bars. We refer to gold as the Underlying Commodity with respect to
the Fund. For additional information about the Fund, see “Fund
Descriptions — The SPDR® Gold Trust” in the accompanying
underlying supplement.
Historical Information
The following graph sets forth the historical performance of the
Fund based on the weekly historical closing prices of one share of
the Fund from January 5, 2018 through March 17, 2023. The closing
price of one share of the Fund on March 22, 2023 was $183.44. We
obtained the closing prices above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent
verification. The closing prices above and below may have been
adjusted by Bloomberg for actions taken by the Fund, such as stock
splits.
The historical closing prices of one share of the Fund should not
be taken as an indication of future performance, and no assurance
can be given as to the closing price of one share of the Fund on
the Pricing Date or the Observation Date. There can be no assurance
that the performance of the Fund will result in a payment at
maturity in excess of your principal amount, subject to the credit
risks of JPMorgan Financial and JPMorgan
Chase & Co.

Tax Treatment
You should review carefully
the section entitled “Material U.S. Federal Income Tax
Consequences,” and in particular the subsection thereof entitled
“Tax Consequences to U.S. Holders — Notes with a Term of More than
One Year — Notes Treated as Contingent Payment Debt Instruments” in
the accompanying product supplement no. 3-II. Unlike a traditional
debt instrument that provides for periodic payments of interest at
a single fixed rate, with respect to which a cash-method investor
generally recognizes income only upon receipt of stated interest,
our special tax counsel, Davis Polk & Wardwell LLP, is of the
opinion that the notes will be treated for U.S. federal income tax
purposes as “contingent payment debt instruments.” Assuming this
treatment is respected, as discussed in that subsection, you
generally will be required to accrue original issue discount
(“OID”) on your notes in each taxable year at the “comparable
yield,” as determined by us, although we will not make any payment
with respect to the notes until maturity. Upon sale or exchange
(including at maturity), you will recognize taxable income or loss
equal to the difference between the amount received from the sale
or exchange and your adjusted basis in the note, which generally
will equal the cost thereof, increased by the amount of OID you
have accrued in respect of the note. You generally must treat any
income as interest income and any loss as ordinary loss to the
extent of previous interest inclusions, and the balance as capital
loss. The deductibility of capital losses is subject to
limitations. Special rules may apply if the amount payable at
maturity is treated as becoming fixed prior to maturity. You should
consult your tax adviser concerning the application of these rules.
The discussions herein and in the accompanying product supplement
do not address the consequences to taxpayers subject to special tax
accounting rules under Section 451(b) of the Code. Purchasers who
are not initial purchasers of notes at their issue price should
consult their tax advisers with respect to the tax consequences of
an investment in notes, including the treatment of the difference,
if any, between the basis in their notes and the notes’ adjusted
issue price.
The discussions in the
preceding paragraphs, when read in combination with the section
entitled “Material U.S. Federal Income Tax Consequences” (and in
particular the subsection thereof entitled “— Tax Consequences to
U.S. Holders — Notes with a Term of More
PS-8
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than One Year — Notes Treated as Contingent Payment Debt
Instruments”) in the accompanying product supplement, constitute
the full opinion of Davis Polk & Wardwell LLP regarding the
material U.S. federal income tax consequences of owning and
disposing of notes.
Comparable Yield and Projected Payment Schedule
We will determine the
comparable yield for the notes and will provide that comparable
yield and the related projected payment schedule (or information
about how to obtain them) in the pricing supplement for the notes,
which we will file with the SEC. The comparable yield for the notes
will be determined based upon a variety of factors, including
actual market conditions and our borrowing costs for debt
instruments of comparable maturities at the time of issuance.
The comparable yield and projected payment schedule are
determined solely to calculate the amount on which you will be
taxed with respect to the notes in each year and are neither a
prediction nor a guarantee of what the actual yield will
be.
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 — Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes — 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, 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.
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 — Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes — 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,
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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 — Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes — 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 Fund” 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.
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.
PS-10
| Structured Investments
Knock-Out Notes Linked to the SPDR® Gold Trust
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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):
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-11
| Structured Investments
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