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 June 8, 2023
June , 2023 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing
of the ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® due June 25, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek uncapped, unleveraged exposure to any appreciation of the least performing of the ARK
Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index®, which we refer to as the Underlyings,
at maturity, subject to a contingent minimum return of at least 46.00%. |
| · | The notes are also designed for investors who seek a fixed return of at least 46.00% at maturity if the Final Value of the least performing
of the Underlyings is less than its Initial Value but greater than or equal to 60.00% of its Initial Value, which we refer to as a Barrier
Amount. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at
maturity. |
| · | The ARK Innovation ETF is actively managed and is subject to additional risks. Unlike a passively managed fund, an actively
managed fund does not attempt to track an index or other benchmark, and the investment decisions for an actively managed fund are instead
made by its investment adviser. See “Selected Risk Considerations — Risks Relating to the Underlyings — An
Investment in the Notes Is Subject to Risks Associated with Actively Managed Funds” in this pricing supplement for more information. |
| · | 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 Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about June 20, 2023 and are expected to settle on or about June 23, 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-3 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this 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 $9.50 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
$964.70 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.
Underlyings:
The ARK Innovation ETF (Bloomberg ticker: ARKK) (the “Fund”) and the S&P 500®
Index (Bloomberg ticker: SPX) and the Nasdaq-100 Index® (Bloomberg ticker: NDX) (each an “Index” and collectively,
the “Indices”) (each of the Fund and the Indices, an “Underlying” and collectively, the “Underlyings”)
Contingent
Digital Return: At least 46.00% (to be provided in the pricing supplement)
Barrier Amount: With respect
to each Underlying, 60.00% of its Initial Value
Pricing
Date: On or about June 20, 2023
Original
Issue Date (Settlement Date): On or about June 23, 2023
Observation
Date*: June 22, 2026
Maturity
Date*: June 25, 2026
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
Payment at Maturity:
If the Final Value of each Underlying is greater than or equal to its
Barrier Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × greater of (a) Contingent
Digital Return and (b) Least Performing Index Return)
If the Final Value of any Underlying is less than its Barrier Amount,
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying
Return)
If the Final Value of any Underlying is less than its Barrier Amount,
you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Least Performing Underlying: The
Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The
lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing
value of that Underlying on the Pricing Date
Final
Value: With respect to each Underlying, the closing value of that Underlying on the Observation
Date
Share
Adjustment Factor: The Share Adjustment Factor is referenced in determining the closing value of the Fund and is set equal
to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund.
See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information.
PS-1
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to three hypothetical Underlyings. The “total return” as used in
this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal
amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
| · | an Initial Value for the Least Performing Underlying of 100.00; |
| · | a Contingent Digital Return of 46.00%; and |
| · | a Barrier Amount for the Least Performing Underlying of 60.00 (equal to 60.00% of its hypothetical Initial Value). |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any Underlying.
The actual Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date and will be provided in the
pricing supplement. For historical data regarding the actual closing values of each Underlying, please see the historical information
set forth under “The Underlyings” in this pricing supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value of the
Least Performing
Underlying |
Least Performing
Underlying Return |
Total Return on the Notes |
Payment at Maturity |
180.00 |
80.00% |
80.00% |
$1,800.00 |
165.00 |
65.00% |
65.00% |
$1,650.00 |
150.00 |
50.00% |
50.00% |
$1,500.00 |
146.00 |
46.00% |
46.00% |
$1,460.00 |
140.00 |
40.00% |
46.00% |
$1,460.00 |
130.00 |
30.00% |
46.00% |
$1,460.00 |
120.00 |
20.00% |
46.00% |
$1,460.00 |
110.00 |
10.00% |
46.00% |
$1,460.00 |
105.00 |
5.00% |
46.00% |
$1,460.00 |
101.00 |
1.00% |
46.00% |
$1,460.00 |
100.00 |
0.00% |
46.00% |
$1,460.00 |
95.00 |
-5.00% |
46.00% |
$1,460.00 |
90.00 |
-10.00% |
46.00% |
$1,460.00 |
80.00 |
-20.00% |
46.00% |
$1,460.00 |
70.00 |
-30.00% |
46.00% |
$1,460.00 |
60.00 |
-40.00% |
46.00% |
$1,460.00 |
59.99 |
-40.01% |
-40.01% |
$599.90 |
50.00 |
-50.00% |
-50.00% |
$500.00 |
40.00 |
-60.00% |
-60.00% |
$400.00 |
30.00 |
-70.00% |
-70.00% |
$300.00 |
20.00 |
-80.00% |
-80.00% |
$200.00 |
10.00 |
-90.00% |
-90.00% |
$100.00 |
0.00 |
-100.00% |
-100.00% |
$0.00 |
PS-2
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a sub-set of Least Performing Underlying Returns detailed in the table above (-80% to 80%). There can be
no assurance that the performance of the Least Performing Underlying will result in the return of any of your principal amount.
How the Notes Work
Upside Scenario:
If the Final Value of each Underlying is greater than
or equal to its Barrier Amount of 60.00% of its Initial Value, investors will receive at maturity the $1,000 principal amount plus a fixed
return equal to the greater of (a) the Contingent Digital Return of at least 46.00% and (b) the Least Performing Underlying Return.
| · | Assuming a hypothetical Contingent Digital Return of 46.00%, if the closing value of the Least Performing Underlying increases 5.00%,
investors will receive at maturity a 46.00% return, or $1,460.00 per $1,000 principal amount note. |
| · | Assuming a hypothetical Contingent Digital Return of 46.00%, if the closing value of the Least Performing Underlying increases 65.00%,
investors will receive at maturity a 65.00% return, or $1,650.00 per $1,000 principal amount note. |
| · | Assuming a hypothetical Contingent Digital Return of 46.00%, if the closing value of the Least Performing Underlying decreases 10.00%,
investors will receive at maturity a 46.00% return, or $1,460.00 per $1,000 principal amount note. |
Downside Scenario:
If the Final Value of any Underlying is less than its
Barrier Amount of 60.00% of its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final
Value of the Least Performing Underlying is less than its Initial Value.
| · | For example, if the closing value of the Least Performing Underlying declines 60.00%, investors will lose 60.00% of their principal
amount and receive only $400.00 per $1,000 principal amount note at maturity. |
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
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 Final Value of any Underlying is less than its Barrier Amount, you will lose 1% of the principal amount of your notes for every
1% that the Final Value of the Least Performing Underlying is less than its Initial Value. Accordingly, under these circumstances, you
will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
PS-3
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
| · | YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value of any Underlying is less
than its Barrier Amount, you will not be entitled to receive the Contingent Digital Return at maturity. Under these circumstances, you
will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or 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.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked to a basket
composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by any of the Underlyings
over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance
by any other Underlying.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value of any Underlying is less
than its Barrier Amount, the benefit provided by the Barrier Amount will terminate and you will be fully exposed to any depreciation of
the Least Performing Underlying.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUND OR THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE VALUE OF THAT UNDERLYING 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 Digital Return.
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.
PS-4
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
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 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 values of the Underlyings. 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.
PS-5
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
Risks Relating to the Underlyings
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, |
but JPMorgan Chase & Co. will
not have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500®
Index.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH ACTIVELY MANAGED FUNDS WITH RESPECT TO THE FUND — |
The Fund is actively managed. Unlike a passively
managed fund, an actively managed fund does not attempt to track an index or other benchmark, and the investment decisions for an actively
managed fund are instead made by its investment adviser. The investment adviser of an actively managed fund may adopt a strategy or strategies
that are significantly higher risk than the indexing strategy that would have been employed by a passively managed fund. As an actively
managed fund, the Fund is subject to management risk. In managing an actively managed fund, the investment adviser of a fund applies investment
strategies, techniques and analyses in making investment decisions for that fund, but there can be no guarantee that these actions will
produce the intended results. The ability of the Fund’s investment adviser to successfully implement the Fund’s investment
strategy will significantly influence the market price of the shares of the Fund and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THE FUND’S NET ASSET VALUE PER SHARE — |
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, securities underlying the Fund 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 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.
| · | RISKS ASSOCIATED WITH DISRUPTIVE INNOVATION COMPANIES WITH RESPECT TO THE FUND — |
The Fund’s investment strategy involves
exposure to companies that the investment adviser believes are capitalizing on disruptive innovation and developing technologies to displace
older technologies or create new markets (“disruptive innovation companies”). However, the companies selected by the investment
adviser may not in fact do so. Companies that initially develop a novel technology may not be able to capitalize on the technology. Companies
that develop disruptive technologies may face political or legal attacks from competitors, industry groups or local and national governments.
These companies may also be exposed to risks applicable to sectors other than the disruptive innovation theme for which they are chosen,
and the securities issued by these companies may underperform the securities of other companies that are primarily focused on a particular
theme. The Fund may invest in companies that do not currently derive any revenue from disruptive innovations or technologies, and there
is no assurance that any company will derive any revenue from disruptive innovations or technologies in the future. A disruptive innovation
or technology may constitute a small portion of any company’s overall business. As a result, the success of a disruptive innovation
or technology may not affect the value of the equity securities issued by that company.
| · | THE NOTES ARE SUBJECT TO RISKS RELATING TO CRYPTOCURRENCIES AND RELATED INVESTMENTS WITH RESPECT TO THE FUND — |
The Fund may have exposure to cryptocurrencies,
such as bitcoin, indirectly through investment funds, including through an investment in the Grayscale Bitcoin Trust (“GBTC”),
a privately offered, open-end investment vehicle. Cryptocurrencies are digital assets designed to act as a medium of exchange and
do not represent legal tender. Cryptocurrency generally operates without central authority or banks and is not backed by any government.
Cryptocurrencies are susceptible to theft, loss, destruction and fraud. Cryptocurrency is an emerging asset class, and regulation
in the United States is still developing, including with respect to market integrity, anti-fraud, anti-manipulation, cybersecurity, surveillance
and anti-money laundering. Federal, state and/or foreign governments may restrict the use and exchange of cryptocurrencies.
The market prices of bitcoin and other cryptocurrencies have been subject to extreme fluctuations. Even when held indirectly, investment
vehicles like GBTC may be affected by the high volatility associated with cryptocurrency exposure. Holding a privately offered investment
vehicle in its portfolio may cause the Fund to trade at a discount to its net asset value. If cryptocurrency markets continue to
be subject to sharp fluctuations, the Fund and the notes may be adversely affected. In addition, the share prices of GBTC and other
similar investment vehicles that are not listed on a national securities exchange may be more volatile than listed securities because
there is generally less liquidity in these securities and there may be less publicly available information about them or their issuers.
Cryptocurrency exchanges and other
PS-6
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
trading venues on which cryptocurrencies trade are relatively
new and, in most cases, largely unregulated and may therefore be more exposed to fraud and failure than established, regulated exchanges
for securities, derivatives and other currencies. Cryptocurrency exchanges may stop operating or permanently shut down due to fraud,
technical glitches, hackers or malware, which may also affect the prices of cryptocurrencies. Events that negatively affect cryptocurrencies
may negatively affect the performance of the Fund and the notes.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH MID-SIZE, SMALL AND MICRO-CAPITALIZATION STOCKS WITH RESPECT TO
THE FUND — |
Some of the equity securities held by the
Fund have been issued by mid-size, small or micro-capitalization companies. Mid-size, small and micro-capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size, small and micro-capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward
stock price pressure under adverse market conditions.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUND AND THE NASDAQ-100 INDEX® — |
Some of the equity securities held by the
Fund or included in the Nasdaq-100 Index® have been issued by non-U.S. companies. Investments in securities linked
to the value of such non-U.S. equity securities involve risks associated with the home countries and/or the securities markets in the
home countries of the issuers of those non-U.S. equity securities. Also, there is generally less publicly available information
about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the
SEC.
| · | EMERGING MARKETS RISK WITH RESPECT TO THE FUND — |
Some of the equity securities held by the Fund
have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging markets may have relatively
unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the
repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries
with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions,
and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities
and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or
impossible at times.
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND — |
Because the prices of the non-U.S. equity securities
held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the notes will
be exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S. equity securities held by the Fund
trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the
relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking into account the relevant
weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected and any payment on the
notes may be reduced.
| · | RECENT EXECUTIVE ORDERS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE FUND — |
Pursuant to recent executive orders, U.S. persons
are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined
to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative
of, or are designed to provide investment exposure to, those securities. If the issuer of any of the equity securities held by the Fund
is in the future designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly,
which would adversely affect the performance of the Fund. In addition, under these circumstances, the Fund is expected to remove the equity
securities of that company from the Fund. Any changes to the composition of the Fund in response to these executive orders could adversely
affect the performance of the Fund.
| · | 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
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
The Underlyings
The Fund is an actively-managed exchange-traded fund
of ARK ETF Trust, a registered investment company, with an investment objective of long-term growth of capital, that primarily invests
in equity securities of U.S. and non-U.S. companies relevant to the Fund’s investment theme of disruptive innovation. For additional
information about the Fund, see “Fund Descriptions — The Ark Innovation ETF” in the accompanying underlying supplement.
The S&P 500® Index consists of stocks
of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
The Nasdaq-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The Nasdaq Stock Market based on market
capitalization. For additional information about the Nasdaq-100 Index®, see “Equity Index Descriptions — The
Nasdaq-100 Index®” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Underlying based on the weekly historical closing values from January 5, 2018 through June 2, 2023. The closing value of the Fund
on June 6, 2023 was $42.68. The closing value of the S&P 500® Index on June 6, 2023 was 4,283.85. The closing value
of the Nasdaq-100 Index® on June 6, 2023 was 14,558.09. We obtained the closing values above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The closing values of the Fund above
and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying on
the Pricing Date or the Observation Date. There can be no assurance that the performance of the Underlyings will result in the return
of any of your principal amount.
PS-8
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
Tax Treatment
In determining our reporting responsibilities, we intend
to treat the notes for U.S. federal income tax purposes as “open transactions” that are not debt instruments, as described
in the section entitled “Material U.S. Federal Income Tax Consequences – Notes Treated as Open Transactions That Are Not Debt
Instruments” in the accompanying product supplement. no. 4-I. 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 and adversely affected.
No statutory, judicial or administrative authority directly
addresses the characterization of the notes (or similar instruments) for U.S. federal income tax purposes, and no ruling is being requested
from the IRS with respect to their proper characterization and treatment. Assuming that “open transaction” treatment is respected,
subject to the possible application of the “constructive ownership” rules described below, the gain or loss on your notes
should be treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser
of the notes at the issue price. However, the IRS or a court may not respect the treatment of the notes as “open transactions,”
in which case the timing and character of any income or loss on the notes could be materially and adversely affected. For instance, the
notes could be treated as contingent payment debt instruments, in which case the gain on your notes would be treated as ordinary income
and you would be required to accrue original issue discount 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.
In addition, assuming that “open transaction”
treatment is respected, the notes could be treated as “constructive ownership transactions” within the meaning of Section
1260 of the Code, in which case any gain recognized in respect of the notes that would
PS-9
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
otherwise be long-term capital gain and that was in excess of the “net
underlying long-term capital gain” (as defined in Section 1260) would be treated as ordinary income, and a notional interest charge
would apply as if that income had accrued for tax purposes at a constant yield over your holding period for the notes. Our special tax
counsel has not expressed an opinion with respect to whether the constructive ownership rules apply to the notes. Accordingly, U.S. Holders
should consult their tax advisers regarding the potential application of the constructive ownership rules.
In addition, in 2007 Treasury and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which
income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments
are or should be subject to the “constructive ownership” regime described above. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could
materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should review
carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and
consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including the potential application
of the constructive ownership rules, possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, we expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further information
regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You should consult your
tax adviser regarding the potential application of Section 871(m) to the notes.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — 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
PS-10
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
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 “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 Underlyings”
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.
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):
PS-11
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
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-12
| Structured Investments
Digital Barrier Notes Linked to the Least Performing of the
ARK Innovation ETF, the S&P 500® Index and the Nasdaq-100 Index® |
|
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