JPMorgan Chase Financial Company LLC
Free Writing Prospectus Filed Pursuant to Rule 433
Registration Statement Nos. 333-236659 and 333-236659-01
Dated November 16, 2022
This document provides a summary of the terms of the Dual Directional Trigger PLUS, which we refer to as the Trigger PLUS. 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.|
|Underlying index:||S&P 500® Index (Bloomberg ticker: SPX Index)|
|Payment at maturity:||
If the final index value is greater than the initial index value, for each $10 stated principal amount Trigger PLUS:
$10 + leveraged upside payment
In no event will the payment at maturity exceed the maximum upside payment at maturity.
If the final index value is less than or equal to the initial index value but is greater than or equal to the trigger level, for each $10 stated principal amount Trigger PLUS:
$10 + ($10 × absolute index return)
In this scenario, you will receive a 1% positive return on the Trigger PLUS for each 1% negative return on the underlying index. In no event will this amount exceed the stated principal amount plus $2.00. Accordingly, the maximum downside payment at maturity is $12.00 per Trigger PLUS.
If the final index value is less than the trigger level, for each $10 stated principal amount Trigger PLUS:
$10 × index performance factor
This amount will be less than the stated principal amount of $10 per Trigger PLUS and will represent a loss of more than 20%, and possibly all, of your investment.
|Leveraged upside payment:||$10 × leverage factor × index percent change|
|Index percent change:||(final index value – initial index value) / initial index value|
|Absolute index return:||The absolute value of the index percent change. For example, a -5% index percent change will result in a +5% absolute index return.|
|Initial index value:||The closing level of the underlying index on the pricing date|
|Final index value:||The closing level of the underlying index on the valuation date|
|Trigger level:||80% of the initial index value|
|Index performance factor:||final index value / initial index value|
|Maximum upside payment at maturity:||At least $12.175 (at least 121.75% of the stated principal amount) per Trigger PLUS.|
|Stated principal amount:||$10 per Trigger PLUS|
|Issue price:||$10 per Trigger PLUS|
|Pricing date:||Expected to be November 30, 2022|
|Original issue date (settlement date):||3 business days after the pricing date|
|Valuation date†:||May 31, 2024|
|Maturity date†:||June 5, 2024|
|CUSIP / ISIN:||48133J164 / US48133J1640|
|Preliminary pricing supplement:||http://www.sec.gov/Archives/edgar/data|
†Subject to postponement
The estimated value of the Trigger PLUS 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 Trigger PLUS, which likely will be lower than the price you paid for the Trigger PLUS, please see the hyperlink above.
Any payment on the Trigger PLUS is subject to the credit risk of JPMorgan Financial as issuer of the Trigger PLUS, and the credit risk of JPMorgan Chase & Co., as guarantor of the Trigger PLUS.
|Dual Directional Trigger PLUS Payoff Diagram*|
*The actual maximum upside payment at maturity will be provided in the pricing supplement and will not be less than $12.175 per security.
|Change in Underlying Index||Return on the Trigger PLUS*|
|*Assumes a maximum payment at maturity of 121.75% of the stated principal amount|
JPMorgan Chase Financial Company LLC
For more information about the underlying index, including historical performance information, see the accompanying preliminary pricing supplement.
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 Trigger PLUS Generally
|§||The Trigger PLUS do not pay interest or guarantee the return of any principal and your investment in the Trigger PLUS may result in a loss.|
|§||The appreciation potential of the Trigger PLUS is limited by the maximum upside payment at maturity.|
|§||Your maximum downside gain on the Trigger PLUS is limited by the trigger level.|
|§||The Trigger PLUS 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 Trigger PLUS.|
|§||As a finance subsidiary, JPMorgan Financial has no independent operations and has limited assets.|
|§||The benefit provided by the trigger level may terminate on the valuation date.|
|§||Secondary trading may be limited.|
|§||The final terms and estimated valuation of the Trigger PLUS will be provided in the pricing supplement.|
|§||The tax consequences of an investment in the Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS.|
Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger PLUS
|§||The estimated value of the Trigger PLUS will be lower than the original issue price (price to public) of the Trigger PLUS.|
|§||The estimated value of the Trigger PLUS does not represent future values of the Trigger PLUS and may differ from others’ estimates.|
|§||The estimated value of the Trigger PLUS is derived by reference to an internal funding rate.|
|§||The value of the Trigger PLUS 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 Trigger PLUS for a limited time period.|
|§||Secondary market prices of the Trigger PLUS will likely be lower than the original issue price of the Trigger PLUS.|
|§||Secondary market prices of the Trigger PLUS will be impacted by many economic and market factors.|
Risks Relating to the Underlying Index
|§||JPMorgan Chase & Co. is currently one of the companies that make up the underlying index.|
|§||Investing in the Trigger PLUS is not equivalent to investing in the underlying index.|
|§||Adjustments to the underlying index could adversely affect the value of the Trigger PLUS.|
|§||Governmental legislative and regulatory actions, including sanctions, could adversely affect your investment in the Trigger PLUS.|
You should review carefully the discussion in the accompanying preliminary pricing supplement under “Additional Information about the Trigger PLUS — Tax considerations” concerning the U.S. federal income tax consequences of an investment in the Trigger PLUS, and you should consult your tax adviser.