JPMorgan Chase Financial Company LLC
Free Writing Prospectus Filed Pursuant to
Rule 433
Registration Statement Nos. 333-236659 and
333-236659-01
Dated January 6, 2023
2yr
XLE/XLF/XLI Contingent Income Auto-Callable Securities
This document provides a summary of the terms of the securities.
Investors must carefully review the accompanying preliminary pricing supplement referenced below, product supplement, underlying supplement,
prospectus supplement and prospectus and the “Risk Considerations” on the following page, prior to making an investment decision.
| Issuer: |
JPMorgan Chase Financial Company LLC (“JPMorgan Financial”) |
| Guarantor: |
JPMorgan Chase & Co. |
| ETF Shares: |
Shares of the Energy Select Sector SPDR® Fund (Bloomberg ticker: XLE UP Equity) (the “XLE ETF”), shares of the Financial Select Sector SPDR® Fund (Bloomberg ticker: XLF UP Equity) (the “XLF ETF”) and shares of the Industrial Select Sector SPDR® Fund (Bloomberg ticker: XLI ETF) (the “XLI UP Equity”). We refer to each of the XLE ETF, XLF ETF and the XLI ETF as an ‘ETF.” |
| Early redemption: |
If, on any of the determination dates (other than the final determination
date) the closing price of each ETF Share is greater than or equal to its initial share price, the securities will be automatically redeemed
for an early redemption payment on the first contingent payment date immediately following the related determination date. No further
payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any contingent payment
date if the closing price of any ETF Share is below its initial share price on the related determination date. |
| Early redemption payment: |
The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) the contingent quarterly payment with respect to the related determination date. |
| Contingent quarterly payment: |
· If, on any determination date, the closing price of each ETF Share is greater than or equal to its
downside threshold level, we will pay a contingent quarterly payment of at least $0.2625 (at least
2.625% of the stated principal amount) per security on the related contingent payment date. The actual contingent quarterly payment will
be provided in the pricing supplement.
· If, on any determination date, the closing price of any ETF Share is less than its downside threshold
level, no contingent quarterly payment will be payable with respect to that determination date. It is possible that one or more of the
ETF Shares will be below their respective downside threshold levels on most or all of the determination dates so that you will receive
few or no contingent quarterly payments. |
| Payment at maturity: |
· If the final share price of each ETF Share is greater than or equal to its downside threshold level: |
(i) the stated principal amount plus, (ii) the contingent quarterly payment with respect to the final determination date. |
| |
· If the final share price of any ETF Share is less than its downside threshold level: |
(i) (a) the stated principal amount times (b) the share performance factor of the worst performing ETF Share plus (ii) the final quarterly coupon. This cash payment will be less than 50% of the stated principal amount of the securities and could be zero. |
| Downside threshold level: |
With respect to each ETF Share, 50% of its initial share price |
| Initial share price: |
With respect to each ETF Share, the closing price of one ETF Share on the pricing date |
| Final share price: |
With respect to each ETF Share, the closing price of one ETF Share on the final determination date |
| Worst performing ETF Share |
The ETF Share with the worst share performance factor |
| Share performance factor: |
With respect to each ETF Share, the final share price divided by the initial share price |
| Share adjustment factor: |
The share adjustment factor of each ETF Share is referenced in determining the closing price of that ETF Share and is set initially at 1.0 on the pricing date. With respect to each ETF Share, the share adjustment factor is subject to adjustment in the event of certain events affecting that ETF Share. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement. |
| Stated principal amount: |
$10 per security |
| Issue price: |
$10 per security |
| Pricing date: |
Expected to be January 13, 2023 |
| Original issue date (settlement date): |
3 business days after the pricing date |
| Determination dates†: |
April 13, 2023, July 13, 2023, October 13, 2023, January 16, 2024, April 15, 2024, July 15, 2024, October 14, 2024 and January 13, 2025 |
| Contingent payment dates†: |
April 18, 2023, July 18, 2023, October 18, 2023, January 19, 2024, April 18, 2024, July 18, 2024, October 17, 2024 and the maturity date |
| Maturity date†: |
January 16, 2025 |
| CUSIP / ISIN: |
48133K815 / US48133K8154 |
| Preliminary pricing supplement: |
http://www.sec.gov/Archives/edgar/data/1665650/
000121390023001362/s147862_424b2.htm |
†Subject to postponement
The estimated value of the securities on the pricing date will be provided
in the pricing supplement and will not be less than $9.40 per $10 stated principal amount security. For information about the estimated
value of the securities, which likely will be lower than the price you paid for the securities, please see the hyperlink above.
Any payment on the securities is subject to the credit risk of JPMorgan Financial
as issuer of the securities, and the credit risk of JPMorgan Chase & Co., as guarantor of the securities.
|
Hypothetical Payout at Maturity
|
| Change in Worst Performing ETF Share |
Payment at Maturity (excluding the
quarterly coupon payable at
maturity) |
| 50.00% |
$1,000.00 |
| 40.00% |
$1,000.00 |
| 30.00% |
$1,000.00 |
| 20.00% |
$1,000.00 |
| 10.00% |
$1,000.00 |
| 5.00% |
$1,000.00 |
| 0.00% |
$1,000.00 |
| -10.00% |
$1,000.00 |
| -20.00% |
$1,000.00 |
| -30.00% |
$1,000.00 |
| -40.00% |
$1,000.00 |
| -50.00% |
$1,000.00 |
| -50.01% |
$499.90 |
| -60.00% |
$400.00 |
| -80.00% |
$200.00 |
| -100.00% |
$0.00 |
JPMorgan Chase Financial Company LLC
2yr
XLE/XLF/XLI Contingent Income Auto-Callable Securities
ETF Share
For more information about the ETF Shares,
including historical performance information, see the accompanying preliminary pricing supplement.
Risk Considerations
The risks identified below are not exhaustive. Please see “Risk Factors”
in the accompanying prospectus supplement, product supplement, underlying supplement and preliminary pricing supplement for additional
information.
Risks Relating to the Securities
Generally
| § | The securities do not guarantee
the return of any principal and your investment in the securities may result in a loss. |
| § | You will not receive any contingent
quarterly payment for any quarterly period if the closing price of any ETF Share on the relevant determination date is less than its
downside threshold level. |
| § | The contingent quarterly payment
is based solely on the closing prices of the ETF Shares on the specified determination dates. |
| § | You are exposed to the price
risk of all three ETF Shares, with respect to all the contingent quarterly payments, if any, and the payment at maturity, if any. |
| § | Because the securities are linked
to the performance of the worst performing ETF Share, you are exposed to greater risks of no contingent quarterly payments and sustaining
a significant loss on your investment than if the securities were linked to just one ETF Share. |
| § | The securities are subject to
the credit risks of JPMorgan Financial and JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase &
Co.’s credit ratings or credit spreads may adversely affect the market value of the securities. |
| § | As a finance subsidiary, JPMorgan
Financial has no independent operations and has limited assets. |
| § | Investors will not participate
in any appreciation of any ETF Share. |
| § | Secondary trading may be limited. |
| § | The final terms and estimated valuation of the securities will be provided in the pricing supplement. |
| § | The U.S. federal income tax consequences
of an investment in the securities are uncertain. |
Risks Relating to Conflicts
of Interest
| § | Economic interests of the issuer,
the guarantor, the calculation agent, the agent of the offering of the securities and other affiliates of the issuer may be different
from those of investors. |
| § | Hedging and trading activities
by the issuer and its affiliates could potentially affect the value of the securities. |
Risks Relating to the Estimated
Value and Secondary Market Prices of the Securities
| § | The estimated value of the securities will be lower than the original issue price (price to public) of
the securities. |
| § | The estimated value of the securities does not represent future values of the securities and may differ
from others’ estimates. |
| § | The estimated value of the securities
is derived by reference to an internal funding rate. |
| § | The value of the securities as published
by J.P. Morgan Securities LLC (and which may be reflected on customer account statements) may be higher than the then-current estimated
value of the securities for a limited time period. |
| § | Secondary market prices of the securities will likely be lower than the original issue price of the securities.
|
| § | Secondary market prices of the securities
will be impacted by many economic and market factors. |
Risks Relating to the ETF
Shares
| § | JPMorgan Chase & Co. is currently one of the companies that make up the XLF ETF. |
| § | Investing in the securities
is not equivalent to investing in any ETF Shares. |
| § | Adjustments to any ETF Shares
could adversely affect the value of the securities. |
| § | There are risks associated with
the ETF Shares. |
| § | The performance and market value
of each ETF Share, particularly during periods of market volatility, may not correlate with the performance of that ETF’s underlying
index as well as the net asset value per applicable ETF Share. |
| § | The securities are subject to
risks associated with the energy sector with respect to the XLE ETF. |
| § | The securities are subject to
risks associated with the financial sector with respect to the XLF ETF. |
| § | The XLF ETF recently no longer
provides exposure to the real estate sector with respect to the XLF ETF. |
| § | The securities are subject to risks
associated with the industrials sector with respect to the XLI ETF. |
| § | The anti-dilution protection for
the ETF Shares is limited. |
| § | Governmental legislative and regulatory
actions, including sanctions, could adversely affect your investment in the securities. |
Tax Considerations
You should review carefully the discussion in the accompanying preliminary
pricing supplement under “Additional Information about the Securities — Tax considerations” concerning the U.S. federal
income tax consequences of an investment in the securities, and you should consult your tax adviser.
SEC Legend: JPMorgan Chase Financial
Company LLC and JPMorgan Chase & Co. have filed a registration statement (including a prospectus) with the SEC for any offerings to
which these materials relate. Before you invest, you should read the prospectus in that registration statement and the other documents
relating to this offering that JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. has filed with the SEC for more complete
information about JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. and this offering. You may get these documents without
cost by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, JPMorgan Chase Financial Company LLC and JPMorgan Chase &
Co., any agent or any dealer participating in the this offering will arrange to send you the prospectus and each prospectus supplement
as well as any product supplement, underlying supplement and preliminary pricing supplement if you so request by calling toll-free 1-866-535-9248.