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 May 31, 2023
May , 2023 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing
of the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund due June 5, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the closing
price of one share of each of the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR®
Fund and the Consumer Discretionary Select Sector SPDR® Fund, which we refer to as the Funds, is greater than or equal
to 70.00% of its Initial Value, which we refer to as an Interest Barrier. |
| · | The notes will be automatically called if the closing price of one share of each Fund on any Review Date (other than the first and
final Review Dates) is greater than or equal to its Initial Value. |
| · | The earliest date on which an automatic call may be initiated is December 1, 2023. |
| · | Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates. |
| · | Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Payments on the notes are not linked to a basket composed of the Funds. Payments on the notes are linked to the performance of each
of the Funds individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about May 31, 2023 and are expected to settle on or about June 5, 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-11 of the accompanying
product supplement and “Selected Risk Considerations” beginning on page PS-5 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 $17.50 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
$969.70 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the
pricing supplement and will not be less than $940.00 per $1,000 principal amount note. See “The Estimated Value of the Notes”
in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance
Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated April 13,
2023, underlying supplement no. 1-I dated April 13, 2023
and the prospectus and prospectus supplement, each dated April 13, 2023
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Funds:
The Consumer Staples Select Sector SPDR® Fund (Bloomberg ticker: XLP), the Health Care Select Sector SPDR®
Fund (Bloomberg ticker: XLV) and the Consumer Discretionary Select Sector SPDR® Fund (Bloomberg ticker: XLY)
Contingent Interest
Payments: If the notes have not been automatically called and the closing price of one share of each Fund on any Review Date
is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to at least $27.50 (equivalent to a Contingent Interest Rate of at least 11.00% per annum, payable
at a rate of at least 2.75% per quarter) (to be provided in the pricing supplement).
If the closing price of one share of any Fund on any Review Date is less than
its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: At least 11.00% per annum, payable at a rate of at least 2.75% per quarter (to
be provided in the pricing supplement)
Interest Barrier / Trigger Value: With
respect to each Fund, 70.00% of its Initial Value
Pricing Date:
On or about May 31, 2023
Original
Issue Date (Settlement Date): On or about June 5, 2023
Review Dates*: August
31, 2023, December 1, 2023, March 4, 2024, May 31, 2024, September 3, 2024, December 2, 2024, March 3, 2025 and June 2, 2025 (final Review
Date)
Interest Payment Dates*:
September 6, 2023, December 6, 2023, March 7, 2024, June 5, 2024, September 6, 2024, December 5, 2024, March 6, 2025 and the
Maturity Date
Maturity Date*:
June 5, 2025
Call Settlement Date*: If the notes
are automatically called on any Review Date (other than the first and final Review Dates), the first Interest Payment Date immediately
following that Review Date
* Subject to postponement in the event of a market disruption event and
as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
Automatic Call:
If the closing price of one share of each Fund on any Review Date (other than the first
and final Review Dates) is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date,
payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of each Fund is greater
than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus (b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and the Final Value of any Fund is less
than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Fund Return)
If the notes have not been automatically called and the Final Value of any Fund is
less than its Trigger Value, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal
amount at maturity.
Least Performing Fund: The
Fund with the Least Performing Fund Return
Least Performing Fund Return: The
lowest of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Fund, the closing price
of one share of that Fund on the Pricing Date
Final
Value: With respect to each Fund, the closing price of one share of that Fund on the final
Review Date
Share Adjustment Factor:
With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing price of one share of that Fund and is
set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment upon the occurrence of certain
events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product
supplement for further information.
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
How the Notes Work
Payment in Connection with the First Review Date
Payments in Connection with Review Dates (Other than the First
and Final Review Dates)
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
Payment at Maturity If the Notes Have Not
Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest
Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest Rate of 11.00% per annum,
depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual Contingent Interest Rate will
be provided in the pricing supplement and will be at least 11.00% per annum.
Number of Contingent
Interest Payments |
Total Contingent Interest
Payments |
8 |
$220.00 |
7 |
$192.50 |
6 |
$165.00 |
5 |
$137.50 |
4 |
$110.00 |
3 |
$82.50 |
2 |
$55.00 |
1 |
$27.50 |
0 |
$0.00 |
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to three hypothetical Funds, assuming a range of performances for the hypothetical Least Performing Fund on the Review Dates. Each
hypothetical payment set forth below assumes that the closing price of one share of each Fund that is not the Least Performing Fund on
each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth below assume the
following:
| · | an Initial Value for the Least Performing Fund of $100.00; |
| · | an Interest Barrier and a Trigger Value for the Least Performing Fund of $70.00 (equal to 70.00% of its hypothetical Initial Value);
and |
| · | a Contingent Interest Rate of 11.00% per annum (payable at a rate of 2.75% per quarter). |
The hypothetical Initial Value of the Least Performing Fund of
$100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any Fund. The actual Initial
Value of each Fund will be the closing price of one share of that 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 each Fund, please see the historical information set forth under
“The Funds” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative purposes
only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples have been
rounded for ease of analysis.
Example 1 — Notes are automatically called on the second
Review Date.
Date |
Closing Price of One Share of
Least Performing Fund |
Payment (per $1,000 principal amount note) |
First Review Date |
$105.00 |
$27.50 |
Second Review Date |
$110.00 |
$1,027.50 |
|
Total Payment |
$1,055.00 (5.50% return) |
Because the closing price of one share of each Fund on the second
Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000
principal amount note, of $1,027.50 (or $1,000 plus the Contingent Interest Payment applicable to the second Review Date), payable
on the applicable Call Settlement Date. The notes are not automatically callable before the second Review Date, even though the closing
price of one share of each Fund on the first Review Date is greater than its Initial Value. When added to the Contingent Interest Payment
received with respect to the prior Review Date, the total amount paid, for each $1,000 principal amount note, is $1,055.00. No further
payments will be made on the notes.
Example 2 — Notes have NOT been automatically called and
the Final Value of the Least Performing Fund is greater than or equal to its Trigger Value.
Date |
Closing Price of One Share of
Least Performing Fund |
Payment (per $1,000 principal amount note) |
First Review Date |
$95.00 |
$27.50 |
Second Review Date |
$85.00 |
$27.50 |
Third through Seventh Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$90.00 |
$1,027.50 |
|
Total Payment |
$1,082.50 (8.25% return) |
Because the notes have not been automatically called and the Final
Value of the Least Performing Fund is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000 principal amount
note, will be $1,027.50 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date). When added to the
Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount
note, is $1,082.50.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
Example 3 —
Notes have NOT been automatically called and the Final Value of the Least Performing Fund is less than its Trigger Value.
Date |
Closing Price of One Share of
Least Performing Fund |
Payment (per $1,000 principal amount note) |
First Review Date |
$40.00 |
$0 |
Second Review Date |
$45.00 |
$0 |
Third through Seventh Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$50.00 |
$500.00 |
|
Total Payment |
$500.00 (-50.00% return) |
Because the notes have not been automatically called, the Final
Value of the Least Performing Fund is less than its Trigger Value and the Least Performing Fund Return is -50.00%, the payment at maturity
will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments on the notes
shown above apply only if you hold the notes for their entire term or until automatically called. 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.
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 and product supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal. If the
notes have not been automatically called and the Final Value of any Fund is less than its Trigger Value, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value of the Least Performing Fund is less than its Initial Value. Accordingly, under
these circumstances, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at
maturity.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the notes have not been automatically called, we will
make a Contingent Interest Payment with respect to a Review Date only if the closing price of one share of each Fund on that Review Date
is greater than or equal to its Interest Barrier. If the closing price of one share of any Fund on that Review Date is less than its Interest
Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing price of one share
of any Fund on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the term of the notes.
| · | 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.
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES, |
regardless of any appreciation of any Fund, which may be
significant. You will not participate in any appreciation of any Fund.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH FUND — |
Payments on the notes are not linked to a basket composed
of the Funds and are contingent upon the performance of each individual Fund. Poor performance by either of the Funds over the term of
the notes may result in the notes not being automatically called on a Review Date, may negatively affect whether you will receive a Contingent
Interest Payment on any Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance
by any other Fund.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING FUND. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of any Fund is less than its Trigger
Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully
exposed to any depreciation of the Least Performing Fund.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the term of the
notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments after the applicable
Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable
return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before maturity, you
are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON ANY FUND OR THE SECURITIES HELD BY ANY FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE FUNDS OR THOSE
SECURITIES. |
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE PRICE
OF ONE SHARE OF THAT FUND IS VOLATILE. |
The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing
to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential investment in the notes
based on the minimums for the estimated value of the notes and the Contingent Interest Rate.
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.
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.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes” in this
pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination of the
estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity
issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this pricing
supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial
period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will likely be
lower than the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected
hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price,
if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than
the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the notes during their
term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the prices of one share of the Funds.
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 Funds
| · | THERE ARE RISKS ASSOCIATED WITH THE FUNDS — |
The Funds are subject to management risk, which is the risk
that the investment strategies of the applicable Fund’s investment adviser, the implementation of which is subject to a number of
constraints, may not produce the intended results. These constraints could adversely affect the market prices of the shares of the Funds
and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
Each Fund does not fully replicate its Underlying Index
(as defined under “The Funds” below) and may hold securities different from those included in its Underlying Index. In addition,
the performance of each Fund will reflect additional transaction costs and fees that are not included in the calculation of its Underlying
Index. All of these factors may lead to a lack of correlation between the performance of each Fund and its Underlying Index. In addition,
corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs) may impact the variance between
the performances of that Fund and its
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
Underlying Index. Finally, because the shares of each Fund are traded on a securities exchange and
are subject to market supply and investor demand, the market value of one share of each Fund may differ from the net asset value per share
of that Fund.
During periods of market volatility, securities underlying
each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per
share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt the ability
of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially, the
prices at which market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances, the market value
of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the performance
of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of that Fund, which
could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | RISKS ASSOCIATED WITH THE CONSUMER STAPLES SECTOR WITH RESPECT TO THE CONSUMER STAPLES SELECT
SECTOR SPDR® FUND — |
All or substantially all of the equity securities held by
the shares of the Consumer Staples Select Sector SPDR® Fund are issued by companies whose primary line of business is directly
associated with the consumer staples sector. As a result, the value of the notes may be subject to greater volatility and be more
adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to
securities of a more broadly diversified group of issuers. Consumer staples companies are subject to government regulation affecting
their products, which may negatively impact these companies’ performance. For instance, government regulations may affect
the permissibility of using various food additives and production methods of companies that make food products, which could affect company
profitability. Tobacco companies may be adversely affected by the adoption of proposed legislation and/or by litigation. Also,
the success of food, beverage, household and personal product companies may be strongly affected by consumer interest, marketing campaigns
and other factors affecting supply and demand, including performance of the overall domestic and global economy, interest rates, competition
and consumer confidence and spending. These factors could affect the consumer staples sector and could affect the value of the equity
securities held by the Consumer Staples Select Sector SPDR® Fund and the price of the Consumer Staples Select Sector SPDR®
Fund during the term of the notes, which may adversely affect the value of your notes.
| · | RISKS ASSOCIATED WITH THE HEALTH CARE SECTOR WITH RESPECT TO THE HEALTH CARE SELECT SECTOR
SPDR® FUND — |
All or substantially all of the equity securities held by
the Health Care Select Sector SPDR® Fund are issued by companies whose primary line of business is directly associated
with the health care sector. As a result, the value of the notes may be subject to greater volatility and be more adversely affected by
a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more
broadly diversified group of issuers. Companies in the health care sector are subject to extensive government regulation and their profitability
can be significantly affected by restrictions on government reimbursement for medical expenses, rising costs of medical products and services,
pricing pressure (including price discounting), limited product lines and an increased emphasis on the delivery of healthcare through
outpatient services. Companies in the health care sector are heavily dependent on obtaining and defending patents, which may be time consuming
and costly, and the
expiration of patents may also adversely affect the profitability of these
companies. Health care companies are also subject to extensive litigation based on product liability and similar claims. In addition,
their products can become obsolete due to industry innovation, changes in technologies or other market developments. Many new products
in the health care sector require significant research and development and may be subject to regulatory approvals, all of which may be
time consuming and costly with no guarantee that any product will come to market. These factors could affect the health care sector and
could affect the value of the equity securities held by the Health Care Select Sector SPDR® Fund and the price of the Health
Care Select Sector SPDR® Fund during the term of the notes, which may adversely affect the value of your notes.
| · | RISKS ASSOCIATED WITH THE CONSUMER DISCRETIONARY SECTOR WITH RESPECT TO THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR®
FUND — |
All or substantially all of the equity securities held by
the Consumer Discretionary Select Sector SPDR® Fund are issued by companies whose primary line of business is directly
associated with the consumer discretionary sector. As a result, the value of the notes may be subject to greater volatility and
be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment
linked to securities of a more broadly diversified group of issuers. The success of consumer product manufacturers and retailers
is tied closely to the performance of the overall domestic and global economy, interest rates, competition and consumer confidence. Success
depends heavily on disposable household income and consumer spending. Also, companies in the consumer discretionary sector may
be subject to severe competition, which may have an adverse impact on their respective profitability. Changes in demographics and
consumer tastes can also affect the demand for,
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
and success of, consumer products and services in the marketplace. These factors could affect
the consumer discretionary sector and could affect the value of the equity securities held by the Consumer Discretionary Select Sector
SPDR® Fund and the price of the Consumer Discretionary Select Sector SPDR® Fund during the term of the notes,
which may adversely affect the value of your notes.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED — |
The calculation agent will make adjustments to the Share
Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will not make an
adjustment in response to all events that could affect the shares of the Funds. 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-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
The Funds
The Consumer Staples Select Sector SPDR® Fund is an
exchange-traded fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide investment
results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies
in the Consumer Staples Select Sector Index, which we refer to as the Underlying Index with respect to the Consumer Staples Select Sector
SPDR® Fund. The Consumer Staples Select Sector Index is a modified market capitalization-based index that measures the
performance of the GICS® consumer staples sector of the S&P 500® Index, which currently includes companies
in the following industries: consumer staples distribution & retail; household products; food products; beverages; tobacco; and personal
care products. For additional information about the Consumer Staples Select Sector SPDR® Fund, see “Fund Descriptions
— The Select Sector SPDR® Funds” in the accompanying underlying supplement.
The Health Care Select Sector SPDR® Fund is an exchange-traded
fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide investment results that,
before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Health
Care Select Sector Index, which we refer to as the Underlying Index with respect to the Health Care Select Sector SPDR®
Fund. The Health Care Select Sector Index is a modified market capitalization-based index that measures the performance of the GICS®
health care sector of the S&P 500® Index, which currently includes companies in the following industries: health care
providers & services; biotechnology; life sciences tools & services; and health care technology. For additional information about
the Health Care Select Sector SPDR® Fund, see “Fund Descriptions — The Select Sector SPDR® Funds”
in the accompanying underlying supplement.
The Consumer Discretionary Select Sector SPDR® Fund
is an exchange-traded fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide investment
results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies
in the Consumer Discretionary Select Sector Index, which we refer to as the Underlying Index with respect to the Consumer Discretionary
Select Sector SPDR® Fund. The Consumer Discretionary Select Sector Index is a modified market capitalization-based
index that measures the performance of the GICS® consumer discretionary sector of the S&P 500® Index,
which currently includes companies in the following industries: broadline retail; specialty retail; hotels, restaurants & leisure;
textiles, apparel & luxury goods; household durables; automobiles; automobile components; distributors; leisure products; and diversified
consumer services. For additional information about the Consumer Discretionary Select Sector SPDR® Fund, see “Fund
Descriptions — The Select Sector SPDR® Funds” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance of each
Fund based on the weekly historical closing prices of one share of each Fund from January 5, 2018 through May 26, 2023. The closing price
of one share of the Consumer Staples Select Sector SPDR® Fund on May 26, 2023 was $73.43. The closing price of one share
of the Health Care Select Sector SPDR® Fund on May 26, 2023 was $127.53. The closing price of one share of the Consumer
Discretionary Select Sector SPDR® Fund on May 26, 2023 was $151.97. 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 Funds, such as stock splits.
The historical closing prices of one share of each 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 any Fund on
the Pricing Date or any Review Date. There can be no assurance that the performance of the Funds will result in the return of any of your
principal amount or the payment of any interest.
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting responsibilities
we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially 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
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. 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 affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions
above 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. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations. The U.S.
federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a position
that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), it is expected
that withholding agents will (and we, if we are the withholding agent, intend to) withhold on any Contingent Interest Payment paid to
a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under an “other income”
or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld. In order to claim an exemption
from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the notes must comply with certification requirements to establish
that it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S.
Holder, you should consult your tax adviser regarding the tax treatment of the notes, including the possibility of obtaining a refund
of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, we expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further information
regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You should consult your
tax adviser regarding the potential application of Section 871(m) to the notes.
In the event of any withholding
on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
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
PS-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
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, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time.
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, 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 “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Funds”
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.
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.
PS-13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
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
and the accompanying product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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-14
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Consumer Staples Select Sector SPDR® Fund, the Health Care Select Sector SPDR® Fund and the Consumer
Discretionary Select Sector SPDR® Fund |
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
Von Feb 2024 bis Mär 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
Von Mär 2023 bis Mär 2024