Prospectus Filed Pursuant to Rule 424(b)(3) (424b3)
October 07 2022 - 4:54PM
Edgar (US Regulatory)
Index supplement to the prospectus dated April 8, 2020, the prospectus dated April 8, 2020, the product supplement no. 3-II dated November
4, 2020 and the underlying supplement no. 2-1 dated April 8, 2020. Registration Statement Nos. 333-236659 and 333-236659-01 Dated October
6, 2022 Rule 424(b)(3) OCTOBER 2022 S&P Economic Cycle Factor Rotator Index Hypothetical and Actual Historical Monthly and Annual
Returns ƒÞ Backtested using proxies ƒÞ Backtested ƒÞ Actual Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Dec Year 1995 0.05% 1.59% 1.93% 4.22% 0.73% 8.76% 1996 0.05% -1.39% -1.32% -0.99% -0.53% 0.89% -1.43% -0.26% 2.38% 1.54% 3.73% -1.98%
0.51% 1997 2.29% 1.11% -2.65% 2.70% 0.92% 2.08% 3.97% -2.54% 1.88% 0.07% 0.69% 0.75% 11.63% 1998 1.55% 2.09% 1.26% 0.61% -0.45% 0.04%
-1.53% -2.09% 4.28% 0.64% -0.18% 2.50% 8.89% 1999 -1.43% -3.53% 1.68% -0.65% -1.79% 0.33% -1.18% -1.63% 0.64% 0.56% -1.34% 2.00% -6.30%
2000 -2.90% 1.99% 3.75% -1.32% 0.04% -0.43% 0.86% 0.91% 0.20% 0.83% 0.26% 2.88% 7.12% 2001 -0.20% 1.12% -0.15% 0.76% 0.39% -0.30% 1.47%
0.54% -4.50% 0.92% 1.38% 0.07% 1.39% 2002 0.53% 2.05% 0.58% 1.53% 1.16% -1.38% -4.59% 1.87% -1.58% -0.50% 0.23% 1.37% 1.09% 2003 -2.18%
-0.18% 0.07% 3.32% 4.84% -0.25% -1.79% 0.68% 1.44% 1.80% 0.24% 4.13% 12.51% 2004 1.36% 1.77% 0.53% -2.91% 0.16% 0.89% -1.13% 1.21% 1.18%
0.79% 2.31% 2.24% 8.61% 2005 -1.20% 1.00% -0.41% -1.84% 2.79% 0.91% 1.62% 1.38% 1.00% -0.42% 0.90% 0.17% 5.96% 2006 1.64% -2.03% 1.06%
0.36% -1.38% 0.21% 0.04% 0.71% 1.77% 1.03% 0.17% 1.62% 5.26% 2007 0.60% -0.04% 0.11% 1.49% 0.63% -1.35% -2.04% 0.61% 0.54% 0.13% 0.39%
-1.30% -0.29% 2008 -0.13% 0.51% -0.51% -0.94% -1.19% -3.38% 0.10% 1.78% 0.14% -1.45% 4.19% 2.23% 1.15% 2009 -1.93% -1.52% 3.00% -0.60%
0.03% -0.47% 2.01% 2.72% 1.79% -0.87% 2.20% -0.48% 5.88% 2010 0.82% 1.29% 1.94% 1.98% -1.57% -0.69% 2.50% 0.29% 3.04% 1.24% -1.38% 1.71%
11.63% 2011 1.28% 1.42% 0.37% 2.03% 0.33% -1.19% -0.84% -1.38% -1.51% 2.38% 0.01% 0.31% 3.16% 2012 2.05% 1.52% 1.58% 1.21% -3.30% 2.59%
1.49% 2.23% 1.21% 0.00% 0.60% 1.54% 13.35% 2013 3.08% 0.00% 2.46% 0.24% -2.31% -0.80% 2.03% -1.45% 2.17% 2.86% 1.93% 0.35% 10.89% 2014
-1.25% 2.15% 0.81% 3.75% 1.26% 0.65% -0.30% 3.52% -0.55% 0.59% 1.40% -0.66% 11.82% 2015 0.70% 2.23% -0.91% -0.28% -0.11% -1.59% -0.60%
-3.92% -0.36% 2.40% -0.41% 0.15% -2.81% 2016 0.60% 1.67% 2.50% 0.80% -0.31% 2.11% 1.80% -0.46% 0.03% -0.78% 2.29% 1.29% 12.11% 2017 0.47%
2.22% -1.68% 0.38% 1.27% 0.67% 1.21% 0.06% 1.47% 0.41% 3.74% 0.35% 10.99% 2018 4.86% -2.76% -1.35% -0.30% 0.81% -0.13% 1.40% 2.07% -0.26%
-5.84% 0.22% -0.91% -2.51% 2019 2.71% 0.86% 0.91% 0.07% -3.45% 3.03% -0.59% -2.18% 1.36% 0.11% 1.12% 1.16% 5.03% 2020 -3.93% -3.66% -2.68%
1.33% 0.44% -0.05% 0.77% 0.52% -0.90% -0.43% 3.45% 1.55% -3.80% 2021 0.14% -2.31% 1.32% 1.63% 0.47% -1.04% 1.33% 1.41% -2.60% 2.90% -2.11%
1.27% 2.26% 2022 -3.19% -0.11% -2.40% -2.28% 1.34% -2.16% 2.06% -3.18% -3.59% -12.87% Please refer to the ¡§Selected Risks¡¨
and ¡§Disclaimer¡¨ on the following page. Historical performance measures for the S&P Economic Cycle Factor Rotator
Index (the ¡§Index¡¨) represent hypothetical backtested performance from August 1, 1995 through August 15, 2016,
and actual performance from August 16, 2016 through September 30, 2022. Please see ¡§Use of hypothetical backtested returns¡¨
at the end of this presentation for additional information related to backtesting. Each Equity Constituent is subject to a notional financing
cost calculated as the daily SOFR rate plus a fixed spread of 0.13088%. Prior to December 20, 2021, the notional financing cost was calculated
based on 3-month cash rates, which was calculated based on 2M and 3M USD LIBOR. However, from August 4, 2016 to May 1, 2017, in lieu of
the actual levels of 2M and 3M USD LIBOR, the notional financing cost for each Equity Constituent was calculated using 0.6111% and 0.7776%
respectively (the levels of 2M and 3M USD LIBOR as of August 4, 2016). As a result, the performance of the Index between August 4, 2016
and May 3, 2017 (the last date on which the stale LIBOR levels impacted the notional financing cost calculation) would have been cumulatively
lower by -0.1131% had the notional financing cost applied to the Equity Constituents been calculated using actual LIBOR levels. Furthermore,
effective February 1, 2017, the Index began rounding the CFNAI to the nearest basis point (0.01%) for purposes of determining the applicable
monthly Equity Constituent. The performance of the Index prior to February 1, 2017 does not reflect this change, and the Index has limited
operating history based on the rounded CFNAI. The hypothetical backtested and historical levels presented herein have not been verified
by J.P. Morgan, and hypothetical historical levels have inherent limitations. PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE
OF FUTURE RESULTS. Investing in the notes linked to the Index involves a number of risks. See ¡§Selected Risks¡¨
on page 2 of this document, ¡§Risk Factors¡¨ in the relevant product supplement and underlying supplement and ¡§Selected
Risk Considerations¡¨ in the relevant pricing supplement. Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document or the accompanying product
supplement, underlying supplement, prospectus supplement or prospectus. Any representation to the contrary is a criminal offense. 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.
OCTOBER 2022 | S&P Economic Cycle Factor Rotator Index Selected Risks Risks relating to the Index Our affiliate, J.P. Morgan Securities
LLC (“JPMS”), worked with S&P Dow Jones Indices LLC in developing the guidelines and policies governing the composition
and calculation of the Index. The Equity Constituents are excess price return indices that include the deduction of a notional financing
cost based on the relevant LIBOR rates. Our parent company, JPMorgan Chase & Co. (“JPMC”), is one of the companies that
make up the S&P 500® Index and may be included in three Equity Constituents. The Index may not be successful or outperform any
alternative strategy that might be employed in respect of the Equity Constituents and the Bond Constituent (the “Underlying Indices”)
and the CFNAI. The Index may not approximate its target volatility. The Index may be significantly uninvested. The Index may be more heavily
influenced by the performance of the relevant Equity Constituent than the performance of the Bond Constituent in general over time. A
significant portion of the Index’s exposure may be allocated to the Bond Constituent. Changes in the value of the relevant Underlying
Indices may offset each other or may become correlated in decline. The investment strategy used to construct the Index involves daily
adjustments to its notional exposure to the Underlying Indices. There is no assurance that the strategies employed by the Equity Constituents
will be successful. The Equity Constituents are subject to concentration risk. The Bond Constituent is subject to significant risks associated
with futures contracts. Uncertainty about the future of LIBOR may affect LIBOR rates. Other key risks The Index, which was established
on August 16, 2016, and some of the Equity Constituents, which were established recently, have limited operating histories and may perform
in unanticipated ways. The Bond Component is an “excess return” index and not a “total return” index because it
does not reflect interest that could be earned on funds notionally committed to the trading of futures contracts. Negative roll returns
associated with futures contracts may adversely affect the performance of the Bond Component. Suspension or disruptions of market trading
in futures contracts may adversely affect the Index. The risks identified above are not exhaustive. You should also review carefully the
related “Risk Factors” section in the prospectus supplement and the relevant product supplement and underlying supplement
and the “Selected Risk Considerations” in the relevant pricing supplement. Disclaimer Important Information The information
contained in this document is for discussion purposes only. Any information relating to performance contained in these materials is illustrative
and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. All
information herein is subject to change without notice, however, J.P. Morgan undertakes no duty to update this information. In the event
of any inconsistency between the information presented herein and any other offering documents, the other offering documents shall govern.
Use of hypothetical backtested returns Any backtested historical performance information included herein is hypothetical. The constituents
may not have traded together in the manner shown in the hypothetical backtest of the Index included herein, and no representation is being
made that the Index will achieve similar performance. There are frequently significant differences between hypothetical backtested performance
and actual subsequent performance. The results obtained from backtesting information should not be considered indicative of the actual
results that might be obtained from an investment or participation in a financial instrument or transaction referencing the Index. J.P.
Morgan provides no assurance or guarantee that investments linked to the Index will operate or would have operated in the past in a manner
consistent with these materials. The hypothetical historical levels presented herein have not been verified by an independent third party,
and such hypothetical historical levels have inherent limitations. In addition, the monthly selection of the Equity Constituents reference
the level and trend of the CFNAI, and the selection methodology applied with respect to any period of back-tested performance could reflect
subsequent restatements or corrections of the CFNAI, even though those restatements or corrections would not have been available had the
relevant index been calculated on a live basis. Finally, the selection methodologies of the S&P 500® Buyback FCF Excess Return
Index and the S&P 500® Pure Value Excess Return Index reference financial information reported by the issuers of the securities
that are eligible to be included in the relevant index, and the selection methodology applied with respect to any period of back-tested
performance could reflect subsequent restatements or corrections of that financial information, even though those restatements or corrections
would not have been available had the relevant index been calculated on a live basis. Alternative simulations, techniques, modeling or
assumptions might produce significantly different results and prove to be more appropriate. Actual results will vary, perhaps materially,
from the hypothetical backtested returns and allocations presented in this document. HISTORICAL AND BACKTESTED PERFORMANCE AND ALLOCATIONS
ARE NOT INDICATIVE OF FUTURE RESULTS. Investment suitability must be determined individually for each investor, and notes linked to the
Index may not be suitable for all investors. This material is not a product of J.P. Morgan Research Departments. Copyright © 2022
JPMorgan Chase & Co. All rights reserved. For additional regulatory disclosures, please consult: www.jpmorgan.com/disclosures. Information
contained on this website is not incorporated by reference in, and should not be considered part of, this document. This monthly update
document replaces and supersedes all prior written materials of this type previously provided with respect to the Index.
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