# EDGAR Filing Document

**Accession Number:** 0000019617
**File Stem:** 0001213900-23-011349
**Filing Date:** 2023-2
**Character Count:** 100031
**Document Hash:** 04bf94a19b7ec15e5809ccd78c3a48d8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001213900-23-011349.hdr.sgml**: 20230214

**ACCESSION NUMBER**: 0001213900-23-011349

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 6

**FILED AS OF DATE**: 20230214

**DATE AS OF CHANGE**: 20230214

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN CHASE & CO
- **CENTRAL INDEX KEY:** 0000019617
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **IRS NUMBER:** 132624428
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-236659
- **FILM NUMBER:** 23626518

**BUSINESS ADDRESS:**
- **STREET 1:** 383 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** 2122706000

**MAIL ADDRESS:**
- **STREET 1:** 383 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** J P MORGAN CHASE & CO
- **DATE OF NAME CHANGE:** 20010102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CHASE MANHATTAN CORP /DE/
- **DATE OF NAME CHANGE:** 19960402

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CHEMICAL BANKING CORP
- **DATE OF NAME CHANGE:** 19920703
**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMorgan Chase Financial Co. LLC
- **CENTRAL INDEX KEY:** 0001665650
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **IRS NUMBER:** 475462128
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-236659-01
- **FILM NUMBER:** 23626519

**BUSINESS ADDRESS:**
- **STREET 1:** 383 MADISON AVENUE
- **STREET 2:** FLOOR 21
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10179
- **BUSINESS PHONE:** (212) 270-6000

**MAIL ADDRESS:**
- **STREET 1:** 383 MADISON AVENUE
- **STREET 2:** FLOOR 21
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10179

**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 February 14, 2023**

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| | |
|:---|:---|
| **JPMorgan Chase Financial Company LLC** | **February 2023** |

---

Pricing Supplement

Registration Statement Nos. 333-236659 and 333-236659-01

Dated February , 2023

Filed pursuant to Rule 424(b)(2)

Structured Investments

Opportunities in U.S. Equities

Enhanced Trigger Jump Securities Based on the Performance of the KraneShares CSI China Internet ETF due March 5, 2025

**Principal at Risk Securities**

**Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.**

The Enhanced Trigger Jump Securities do not pay interest and do not guarantee the return of any of the principal at maturity. At maturity, you will receive for each security that you hold an amount in cash that will vary depending on the performance of the ETF Shares, as determined on the valuation date. If the final share price is greater than or equal to 70% of the initial share price, you will receive for each security that you hold at maturity a fixed upside payment in addition to the stated principal amount. However, if the final share price is less than 70% of the initial share price, the payment due at maturity will be less than the stated principal amount of the securities by an amount that is proportionate to the percentage decrease in the final share price from the initial share price. This amount will be less than $7.00 and could be zero. **Accordingly, investors may lose their entire initial investment in the securities.** Investors will not participate in any appreciation of the ETF Shares above 30.60%. The Enhanced Trigger Jump Securities are for investors who are willing to risk their principal and forgo current income in exchange for the upside payment feature that applies to a limited range of the performance of the ETF Shares. The securities 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., issued as part of JPMorgan Financial's Medium-Term Notes, Series A, program. **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.**

---

| | |
|:---|:---|
| &nbsp;&nbsp;**SUMMARY TERMS** | &nbsp;&nbsp;**SUMMARY TERMS** |
| &nbsp;&nbsp;**Issuer:** | JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| &nbsp;&nbsp;**Guarantor:** | JPMorgan Chase & Co. |
| &nbsp;&nbsp;**ETF Shares:** | &nbsp;&nbsp;Shares of the KraneShares CSI China Internet ETF (Bloomberg ticker: KWEB UP Equity) |
| &nbsp;&nbsp;**Aggregate principal amount:** | $ |
| &nbsp;&nbsp;**Payment at maturity:** | ▪ If the final share price is *greater than or equal to* the trigger level, you will receive at maturity a cash payment per $10 stated principal amount security equal to: |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$10 + the upside payment |
|  | ▪ If the final share price is less than the trigger level, you will receive at maturity a cash payment per $10 stated principal amount security equal to: |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$10 × share performance factor |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*This amount will be less than the stated principal amount of $10, and will represent a loss of more than 30%, and possibly all, of your principal amount.* |
| &nbsp;&nbsp;**Upside payment:** | At least $3.06 per $10 stated principal amount security (at least 30.60% of the stated principal amount). The actual upside payment will be provided in the pricing supplement and will not be less than $3.06 per $10 stated principal amount security. |
| &nbsp;&nbsp;**Trigger level:** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;, which is 70% of the initial share price |
| &nbsp;&nbsp;**Share performance factor:** | final share price / initial share price |
| &nbsp;&nbsp;**Initial share price:** | The closing price of one ETF Share on the pricing date |
| &nbsp;&nbsp;**Final share price:** | The closing price of one ETF Share on the valuation date |
| &nbsp;&nbsp;**Share adjustment factor:** | The share adjustment factor is referenced in determining the closing price of one ETF Share and is set initially at 1.0 on the pricing date. The share adjustment factor is subject to adjustment in the event of certain events affecting the ETF Shares. See "The Underlyings — Funds — Anti-Dilution Adjustments" in the accompanying product supplement. |
| &nbsp;&nbsp;**Stated principal amount:** | $10 per $10 stated principal amount security |
| &nbsp;&nbsp;**Issue price:** | $10 per $10 stated principal amount security (see "Commissions and issue price" below) |
| &nbsp;&nbsp;**Pricing date:** | February , 2023 (expected to price on or about February 28, 2023) |
| &nbsp;&nbsp;**Original issue date (settlement date):** | March , 2023 (3 business days after the pricing date) |
| &nbsp;&nbsp;**Valuation date:** | February 28, 2025, subject to postponement in the event of certain market disruption events and as described under "General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)" in the accompanying product supplement |
| &nbsp;&nbsp;**Maturity date:** | March 5, 2025, subject to postponement in the event of certain market disruption events and as described under "General Terms of Notes — Postponement of a Payment Date" in the accompanying product supplement |
| &nbsp;&nbsp;**CUSIP / ISIN:** | 48133K674 / US48133K6745 |
| &nbsp;&nbsp;**Listing:** | The securities will not be listed on any securities exchange. |
| &nbsp;&nbsp;**Agent:** | J.P. Morgan Securities LLC ("JPMS") |
| &nbsp;&nbsp;**Commissions and issue price:** | **Fees and commissions** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Per security** | &nbsp;&nbsp;$0.20<sup>(2)</sup> |
|  | &nbsp;&nbsp;$0.05<sup>(3)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total** | &nbsp;&nbsp;$|

---

*(1)* *See "Additional Information about the Securities — Supplemental use of proceeds and hedging" in this document for information about the components of the price to public of the securities.* 

*(2)* *JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Smith Barney LLC ("Morgan Stanley Wealth Management"). In no event will these selling commissions exceed $0.20 per $10 stated principal amount security. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.* 

*(3)* *Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each $10 stated principal amount security* 

**If the securities priced today, and assuming an upside payment equal to the minimum listed above, the estimated value of the securities would be approximately $9.565 per $10 stated principal amount security. The estimated value of the securities on the pricing date will be provided in the pricing supplement and will not be less than $9.30 per $10 stated principal amount security. See "Additional Information about the Securities — The estimated value of the securities" in this document for additional information.**

**Investing in the securities involves a number of risks. See "Risk Factors" beginning on page PS-12 of the accompanying product supplement and "Risk Factors" beginning on page 6 of this document.**

Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this document or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.

*The securities 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.*

**You should read this document together with the related product supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see "Additional Information about the Securities" at the end of this document.**

Product supplement no. MS-1-II dated November 4, 2020: <u>[http://www.sec.gov/Archives/edgar/data/19617/000095010320021469/crt_dp139325-424b2.pdf](http://www.sec.gov/Archives/edgar/data/19617/000095010320021471/crt_dp139381-424b2.pdf)</u>

Prospectus supplement and prospectus, each dated April 8, 2020: [http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf](http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf)

 

JPMorgan Chase Financial Company LLC

Enhanced Trigger Jump Securities Based on the Performance of the KraneShares CSI China Internet ETF due March 5, 2025

**Principal at Risk Securities**

Investment Summary

**The Trigger Jump Securities**

The Enhanced Trigger Jump Securities Based on the Performance of the KraneShares CSI China Internet ETF due March 5, 2025 (the "securities") can be used:

▪ As an alternative to direct exposure to the ETF Shares that provides a fixed, positive return of at least 30.60% (as reflected in
the upside payment of at least $3.06 per $10 stated principal amount security) if the final share price is greater than or equal to 70%
of the initial share price, which we refer to as the trigger level. The actual upside payment will be provided in the pricing supplement
and will not be less than $3.06 per $10 stated principal amount security.

▪ To enhance returns and potentially outperform the ETF Shares in a moderately bullish environment, but only if the final share price
is greater than or equal to the trigger level.

▪ To obtain limited market downside protection against the loss of principal in the event of a decline of the closing price of one ETF
Share as of the valuation date, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., but only if the final
share price is greater than or equal to the trigger level.

If the final share price is less than the trigger level, the securities are exposed on a 1-to-1 basis to any percentage decline of the final share price from the initial share price. Accordingly, investors may lose their entire initial investment in the securities.

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Maturity:** | &nbsp;&nbsp;Approximately 2 years |
| &nbsp;&nbsp;**Upside payment:** | &nbsp;&nbsp;At least $3.06 per $10 stated principal amount security (at least 30.60% of the stated principal amount) (to be provided in the pricing supplement) |
| &nbsp;&nbsp;**Trigger level:** | &nbsp;&nbsp;70% of the initial share price |
| &nbsp;&nbsp;**Minimum payment at maturity:** | &nbsp;&nbsp;None. Investors may lose their entire initial investment in the securities |
| &nbsp;&nbsp;**Interest:** |  |

---

Supplemental Terms of the Securities

For purposes of the accompanying product supplement, the KraneShares CSI China Internet ETF is a "Fund."

February 2023 Page 2

JPMorgan Chase Financial Company LLC

Enhanced Trigger Jump Securities Based on the Performance of the KraneShares CSI China Internet ETF due March 5, 2025

**Principal at Risk Securities**

Key Investment Rationale

This investment offers a fixed, positive return at maturity if the final share price is greater than or equal to 70% of the initial share price, which we refer to as the trigger level. However, if the final share price is less than the trigger level, the payment at maturity will be less than $7 and could be zero.

---

| | |
|:---|:---|
| **Upside Scenario** | *If the final share price is greater than or equal to the trigger level,* the payment at maturity for each security will be equal to $10.00 *plus* the upside payment of at least $3.06 per $10 stated principal amount security. Investors will not participate in any appreciation of the ETF Shares above 30.60%. The actual upside payment will be provided in the pricing supplement and will not be less than $3.06 per $10 stated principal amount security. |
| **Downside Scenario** | *If the final share price is less than the trigger level*, which means that the ETF shares have *depreciated by more than 30% from the initial share price*, you will lose 1% for every 1% decline of the closing price of one ETF Share from the initial share price to the final share price (*e.g.*, a 50% depreciation of the ETF Shares will result in the payment at maturity that is less than the stated principal amount by 50%, or $5 per $10 stated principal amount security). |

---

February 2023 Page 3

JPMorgan Chase Financial Company LLC

Enhanced Trigger Jump Securities Based on the Performance of the KraneShares CSI China Internet ETF due March 5, 2025

**Principal at Risk Securities**

How the Enhanced Trigger Jump Securities Work

**Payoff Diagram**

The payoff diagram below illustrates the payment at maturity on the securities based on the following terms:

---

| | |
|:---|:---|
| **Stated principal amount:** | &nbsp;&nbsp;$10 per $10 stated principal amount security |
| **Hypothetical upside payment:** | $3.06 (30.60% of the stated principal amount) per $10 stated principal amount security\* |
| **Trigger level:** | 70% of the initial share price (-30% percent change in the final share price compared with the initial share price) |

---

---

| |
|:---|
| \*The actual upside payment will be provided in the pricing supplement and will not be less than $3.06 per $10 stated principal amount security. |
| **Enhanced Trigger Jump Securities Payoff Diagram** |
| &nbsp;&nbsp; ![](image_001.jpg)<br>|

---

February 2023 Page 4

JPMorgan Chase Financial Company LLC

Enhanced Trigger Jump Securities Based on the Performance of the KraneShares CSI China Internet ETF due March 5, 2025

**Principal at Risk Securities**

**How it works**

&nbsp;&nbsp;&nbsp;&nbsp;▪ **Upside Scenario:** If
the final share price is **greater than or equal to** the trigger level, the payment at maturity is equal to the $10 stated principal
amount *plus* the upside payment. Under the hypothetical terms of the securities, in the payoff diagram, an investor would receive
the payment at maturity of $13.06 per security if the final share price is greater than or equal to the trigger level.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o For example, if the ETF Shares appreciates 5%, investors will
receive a 30.60% return, or $13.06 per $10 stated principal amount security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o For example, if the ETF Shares depreciates 10%, investors will
receive a 30.60% return, or $13.06 per $10 stated principal amount security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o For example, if the ETF Shares appreciates 50%, investors will
receive a 30.60% return, or $13.06 per $10 stated principal amount security.

&nbsp;&nbsp;&nbsp;&nbsp;▪ **Downside Scenario:** If
the final share price is **less than** the trigger level, investors will receive an amount that is less than the stated principal
amount by an amount proportionate to the percentage decrease of the final share price from the initial share price.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o For example, if the final share price declines by 50% from the
initial share price, investors will lose 50% of their principal and the payment at maturity will be $5 per $10 stated principal amount
security (50% of the stated principal amount).

The hypothetical returns and hypothetical payments on the securities shown above apply **only if you hold the securities for their entire term.** These hypotheticals do not reflect 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.

February 2023 Page 5

JPMorgan Chase Financial Company LLC

Enhanced Trigger Jump Securities Based on the Performance of the KraneShares CSI China Internet ETF due March 5, 2025

**Principal at Risk Securities**

Risk Factors

*The following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these and other risks, you should read the sections entitled "Risk Factors" of the accompanying prospectus supplement and the accompanying product supplement. We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities*.

Risks Relating to the Securities Generally

▪ **The securities do not pay interest or guarantee the return of any principal and your investment in the securities may result in a loss.** The terms of the securities differ from those of ordinary debt securities in that the securities do not pay interest or guarantee the payment of any stated principal amount at maturity. If the final share price is less than the trigger
level, you will receive for each security that you hold a payment at maturity that is less than the $10 stated principal amount of each security by an amount proportionate to the decline
in the closing price of one ETF Share on the valuation date from the initial share price. There is no minimum payment at maturity on the
securities and, accordingly, you could lose your entire principal amount.

▪ **Appreciation potential is fixed and limited.** If
the final share price is greater than or equal to the trigger level, the appreciation potential of the securities is limited to the fixed
upside payment of at least $3.06 per security (at least 30.60% of the stated principal amount), even if the final share price is significantly
greater than the initial share price. The actual upside payment will be provided in the pricing supplement. See "How the Enhanced
Trigger Jump Securities Work" on page 4 above.

▪ **Your ability to receive the upside payment may terminate on the valuation date.** If the final share price is less than the trigger level, you will not be entitled to receive
the upside payment at maturity. Under these circumstances, you will lose more than 30% of your principal amount and may lose all of your
principal amount at maturity.

▪ **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.** Investors are dependent on our and JPMorgan Chase & Co.'s
ability to pay all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan Chase & Co.'s credit
ratings or increase in our or JPMorgan Chase & Co.'s credit spreads determined by the market for taking that credit risk is
likely to adversely affect the market value of the securities. If we and JPMorgan Chase & Co. were to default on our payment obligations,
you may not receive any amounts owed to you under the securities 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 securities. If these affiliates do not make payments
to us and we fail to make payments on the securities, 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.

▪ **The benefit provided by the trigger level may terminate on the valuation date.** If the final share price is less than
the trigger level, the benefit provided by the trigger level will terminate and you will be fully exposed to any depreciation of the ETF
Shares.

▪ **Secondary trading may be limited.** Th e securities will not be listed on a securities exchange. There may be little or no secondary market for the securities .
Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily . JPMS may act as a market maker for
the

February 2023 Page 6

JPMorgan Chase Financial Company LLC

Enhanced Trigger Jump Securities Based on the Performance of the KraneShares CSI China Internet ETF due March 5, 2025

**Principal at Risk Securities**

securities, but is not required to do so. Because we do not expect that other market makers will participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which JPMS is willing to buy the securities. If at any time JPMS or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the securities.

▪ **The final terms and estimated valuation of the securities will be provided in the pricing supplement.** The final terms of the
securities will be provided in the pricing supplement. In particular, each of the estimated value of the securities and the upside payment
will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this document. Accordingly,
you should consider your potential investment in the securities based on the minimums for the estimated value of the securities and the
upside payment.

▪ **The tax consequences of an investment in the securities are uncertain.** There is no direct legal authority as to the proper
U.S. federal income tax characterization of the securities, and we do not intend to request a ruling from the IRS. The IRS might not accept,
and a court might not uphold, the treatment of the securities described in "Additional Information about the Securities ―
Additional Provisions ― Tax considerations" in this document and in "Material U.S. Federal Income Tax Consequences"
in the accompanying product supplement. If the IRS were successful in asserting an alternative treatment for the securities, the timing
and character of any income or loss on the securities could differ materially and adversely from our description herein. 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, which very
generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. 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 securities, 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 securities, including possible alternative treatments and the issues presented by this notice.

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.** We
and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and
as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used to determine
the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value of the securities. In
performing these duties, our and JPMorgan Chase & Co.'s economic interests and the economic interests of the calculation agent
and other affiliates of ours are potentially adverse to your interests as an investor in the securities. The calculation agent
will determine the initial share price, the trigger level and the final share price and will calculate the amount of payment you will
receive at maturity, if any. Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence
of market disruption events, the selection of a successor to the ETF Shares or calculation
of the final share price in the event of a discontinuance of the ETF Shares and any anti-dilution adjustments may affect the payment to
you at maturity.

February 2023 Page 7

JPMorgan Chase Financial Company LLC

Enhanced Trigger Jump Securities Based on the Performance of the KraneShares CSI China Internet ETF due March 5, 2025

**Principal at Risk Securities**

In addition, our and JPMorgan Chase & Co.'s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.'s economic interests to be adverse to yours and could adversely affect any payment on the securities and the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the securities could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer to "Risk Factors — Risks Relating to Conflicts of Interest" in the accompanying product supplement for additional information about these risks.

▪ **Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the securities.** The hedging or trading activities of the issuer's affiliates and of
any other hedging counterparty with respect to the securities on or prior to the pricing date and prior to maturity could adversely affect
the price of the ETF Shares and, as a result, could decrease the amount an investor may receive on the securities at maturity, if any.
Any of these hedging or trading activities on or prior to the pricing date could potentially affect the initial share price and the trigger
level and, therefore, could potentially increase the price that the final share price must reach before you receive a payment at maturity
that exceeds the issue price of the securities or so that you do not suffer a loss on your initial investment in the securities. Additionally,
these hedging or trading activities during the term of the securities, including on the valuation date, could adversely affect the final
share price and, accordingly, the payment to you at maturity, if any. It is possible that these hedging or trading activities could result
in substantial returns for us or our affiliates while the value of the securities declines.

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 is only an estimate
determined by reference to several factors. The original issue price of the securities will exceed the estimated value of the securities
because costs associated with selling, structuring and hedging the securities are included in the original issue price of the securities.
These costs include the selling commissions, the structuring fee, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the
securities. See "Additional Information about the Securities — The estimated value of the securities" in this document.

▪ **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 determined by reference to internal pricing models of our affiliates. This estimated value of the securities is based on market conditions
and other relevant factors existing at the time of pricing and assumptions about market parameters, which can include volatility, dividend
rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the securities that are
greater than or less than the estimated value of the securities. 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 securities 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 securities from you in secondary
market transactions. See "Additional Information about the Securities — The estimated value of the securities" in this
document.

▪ **The estimated value of the securities is derived by reference to an internal funding rate.** The internal funding rate used in the determination of the estimated value of the securities 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 securities
as well as the higher issuance, operational and ongoing liability management costs of the securities 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 securities. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the securities and any secondary market prices of

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the securities. See "Additional Information about the Securities — The estimated value of the securities" in this document.

▪ **The value of the securities as published by JPMS (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.** We generally expect that some of the costs included
in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities
by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, the
structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market
funding rates for structured debt issuances. See "Additional Information about the Securities — Secondary market prices of
the securities" in this document for additional information relating to this initial period. Accordingly, the estimated value of
your securities during this initial period may be lower than the value of the securities as published by JPMS (and which may be shown
on your customer account statements).

▪ **Secondary market prices of the securities will likely be lower than the original issue price of the securities.** Any secondary market prices of the securities will likely
be lower than the original issue price of the securities 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,
the structuring fee, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the
securities. As a result, the price, if any, at which JPMS will be willing to buy securities 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. See the immediately following risk factor for information about additional factors that will impact any secondary market
prices of the securities.

The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity. See "— Secondary trading may be limited" below.

▪ **Secondary market prices of the securities will be impacted by many economic and market factors.** The secondary market price of the securities 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,
structuring fee, projected hedging profits, if any, estimated hedging costs and the closing price of one ETF Share, including:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o any actual or potential change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o customary bid-ask spreads for similarly sized trades;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o our internal secondary market funding rates for structured debt issuances;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o the actual and expected volatility in the prices of the ETF Shares;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o the time to maturity of the securities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o the dividend rates on the ETF Shares and the equity securities underlying the ETF Shares;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o interest and yield rates in the market generally;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity
securities underlying the ETF Shares trade and the correlation among those rates and the price of one ETF Share;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o the occurrence of certain events to the ETF Shares that may or may not require an adjustment to the share adjustment factor; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o a variety of other economic, financial, political, regulatory and judicial events.

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Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the securities, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing to purchase your securities in the secondary market.

Risks Relating to the ETF Shares

▪ **Investing in the securities is not equivalent to investing in the ETF Shares.** Investing in the securities is not equivalent to investing in the ETF Shares, the
index tracked by the ETF Shares, which we refer to as the underlying index, or the stocks underlying the ETF Shares or the underlying
index. Investors in the securities will not have voting rights or rights to receive dividends or other distributions or any other rights
with respect to the ETF Shares, the underlying index or the stocks underlying the ETF Shares or the underlying index.

▪ **Adjustments to the ETF Shares or the underlying index could adversely affect the value of the securities.** Those responsible for calculating and maintaining the
ETF Shares and the underlying index can add, delete or substitute the components of the ETF Shares or the underlying index, or make other
methodological changes that could change the value of the ETF Shares or the underlying index. Any of these actions could adversely affect
the price of the ETF Shares and, consequently, the value of the securities.

▪ **There are risks associated with the ETF Shares.** Although the ETF Shares are listed for trading on a securities exchange and a number of similar products have been
traded on various securities exchanges for varying periods of time, there is no assurance that an active trading market will continue
for the ETF Shares or that there will be liquidity in the trading market. The ETF Shares are subject to management risk, which is the
risk that the investment strategy of the investment adviser to the ETF Shares, the implementation of which is subject to a number of constraints,
may not produce the intended results. These constraints could adversely affect the market price of the ETF Shares and, consequently, the
value of the securities.

▪ **The performance and market value of the ETF Shares, particularly during periods of market volatility, may not correlate with the performance of the underlying index as well as the net asset value per ETF Share.** The KraneShares CSI China Internet ETF does not fully replicate the underlying index and
may hold securities different from those included in the underlying index. In addition, the performance of the ETF Shares will reflect
additional transaction costs and fees that are not included in the calculation of the underlying index. All of these factors may lead
to a lack of correlation between the performance of the ETF Shares and the underlying index. In addition, corporate actions with respect
to the equity securities underlying the ETF Shares (such as mergers and spin-offs) may impact the variance between the performances of
the ETF Shares and the underlying index. Finally, because the ETF Shares are traded on a securities exchange and are subject to market
supply and investor demand, the market value of one ETF Share may differ from the net asset value per ETF Share.

During periods of market volatility, securities underlying the ETF Shares may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per ETF Share and the liquidity of the ETF Shares may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem ETF Shares. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell ETF Shares. As a result, under these circumstances, the market value of ETF Shares may vary substantially from the net asset value per ETF Share. For all of the foregoing reasons, the performance of the ETF Shares may not correlate with the performance of the underlying index as well as its net asset value per ETF Share, which could materially and adversely affect the value of the securities in the secondary market and/or reduce any payment on the securities.

▪ **The securities are subject to risks associated with the internet sector.** All or substantially all of the equity securities underlying the ETF Shares are issued
by companies whose primary line of business is directly associated with the internet sector. As a result,
the value of the securities 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. Investments
in internet companies may be volatile. Internet companies are subject to intense competition, the risk of product obsolescence, changes
in consumer preferences and legal, regulatory and

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political changes. They are also especially at risk of hacking and other cybersecurity events. In addition, it can be difficult to determine what qualifies as an internet company. These factors could affect the energy sector and could affect the value of the equity securities underlying the ETF Shares and the price of one ETF Share during the term of the securities, which may adversely affect the value of the securities.

▪ **The securities are subject to risks associated with securities issued by non-U.S. companies.** The equity securities underlying the ETF Shares have been issued by
non-U.S. companies. Investments in the securities linked to the value of such non-U.S. equity securities involve risks associated with
the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those
markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. 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.

▪ **The securities entail emerging markets risk.** The equity securities underlying the ETF Shares 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 securities are subject to currency exchange risk.** Because the prices of the equity securities underlying the ETF Shares are converted into U.S. dollars for
the purposes of calculating the net asset value of the ETF Shares, holders of the securities will be exposed to currency exchange rate
risk with respect to the currencies in which securities underlying the ETF Shares are traded. Your net exposure will depend on the extent
to which the currencies in which securities underlying the ETF Shares are traded strengthen or weaken against the U.S. dollar. If the
U.S. dollar strengthens against the currencies in which securities underlying the ETF Shares are traded, the net asset value of the ETF
Shares will be adversely affected and the amount we pay you at maturity, if any, may be reduced. Of particular importance to potential
currency exchange risk are:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o existing and expected rates of
inflation;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o existing and expected interest
rate levels;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o the balance of payments in the
countries issuing those currencies and the United States and between each country and its major trading partners;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o political, civil or military unrest
in the countries issuing those currencies and the United States; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o the extent of government surpluses
or deficits in the countries issuing those currencies and the United States.

All of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies and the United States and other countries important to international trade and finance.

▪ **Recent executive orders may adversely affect the performance of the ETF Shares.** 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 underlying the ETF Shares 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
ETF Shares. In addition, under these circumstances, each of the sponsor of the underlying index and the KraneShares CSI China Internet
ETF is expected to remove the equity securities of that company from the underlying index and the KraneShares CSI China Internet ETF,
respectively. Any changes to the

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composition of the KraneShares CSI China Internet ETF in response to these executive orders could adversely affect the performance of the ETF Shares.

▪ **Governmental legislative and regulatory actions, including sanctions, could adversely affect your investment in the securities.** Governmental legislative and regulatory
actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise restrict
persons from holding the securities or the ETF Shares, or engaging in transactions in them, and any such action could adversely affect
the value of the securities or the ETF Shares. These legislative and regulatory actions could result in restrictions on the securities.
You may lose a significant portion or all of your initial investment in the securities, including if you are forced to divest the securities
due to the government mandates, especially if such divestment must be made at a time when the value of the securities has declined.

▪ **The anti-dilution protection for the ETF Shares is limited**. The calculation agent will make
 adjustments to the share adjustment factor for certain events affecting the ETF Shares. However,
 the calculation agent will not make an adjustment in response to all events that could affect
 the ETF Shares. If an event occurs that does not require the calculation agent to make an
 adjustment, the value of the securities may be materially and adversely affected.

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KraneShares CSI China Internet ETF Overview

The KraneShares CSI China Internet ETF is an exchange-traded fund of KraneShares Trust ("KraneShares"), a registered investment company, that seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of a specific foreign equity securities index., which we refer to as the underlying index with respect to the KraneShares CSI China Internet ETF. The underlying index is currently the CSI Overseas China Internet Index. Information provided to or filed with the SEC by KraneShares pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to the SEC file numbers 333-180870 and 811-22698, respectively, through the SEC's website at http://www.sec.gov. For additional information about the KraneShares CSI China Internet ETF, see the information set forth under Annex A in this document.

Information as of market close on February 13, 2023:

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Bloomberg Ticker Symbol:** | &nbsp;&nbsp;KWEB |
| &nbsp;&nbsp;**Current Closing Price:** | &nbsp;&nbsp;$32.71 |
| &nbsp;&nbsp;**52 Weeks Ago (on 2/14/2022):** | &nbsp;&nbsp;$36.28 |
| &nbsp;&nbsp;**52 Week High (on 2/16/2022):** | &nbsp;&nbsp;$37.88 |
| &nbsp;&nbsp;**52 Week Low (on 10/24/2022):** | &nbsp;&nbsp;$18.41 |

---

The following table sets forth the published high and low closing prices, as well as end-of-quarter closing prices, of one ETF Share for each quarter in the period from January 1, 2018 through February 13, 2023. The closing price of one ETF Share on February 13, 2023 was $32.71. The associated graph following the table shows the closing prices of one ETF Share for each day in the same period. We obtained the closing price information above and the information in the table and graph below from the Bloomberg Professional<sup>®</sup> service ("Bloomberg"), without independent verification. The closing prices may have been adjusted by Bloomberg for actions taken relating to the ETF Shares, such as stock splits.

The historical closing prices of the ETF Shares should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one ETF Share at any time, including on the determination dates.

---

| | | | |
|:---|:---|:---|:---|
| **KraneShares CSI China Internet ETF** | **High** | **Low** | **Period End** |
| **2018** |  |  |  |
| First Quarter | $68.34 | $57.32 | &nbsp;&nbsp;$61.43 |
| Second Quarter | $66.38 | $57.06 | &nbsp;&nbsp;$59.58 |
| Third Quarter | $60.60 | $46.03 | &nbsp;&nbsp;$48.82 |
| Fourth Quarter | $48.69 | $37.50 | &nbsp;&nbsp;$37.50 |
| **2019** |  |  |  |
| First Quarter | $48.41 | $36.20 | &nbsp;&nbsp;$47.10 |
| Second Quarter | $49.64 | $40.13 | &nbsp;&nbsp;$43.95 |
| Third Quarter | $45.03 | $38.29 | &nbsp;&nbsp;$41.33 |
| Fourth Quarter | $49.53 | $41.03 | &nbsp;&nbsp;$48.68 |
| **2020** |  |  |  |
| First Quarter | $54.58 | $40.37 | &nbsp;&nbsp;$45.27 |
| Second Quarter | $63.03 | $44.01 | &nbsp;&nbsp;$61.94 |
| Third Quarter | $72.85 | $62.24 | &nbsp;&nbsp;$68.18 |
| Fourth Quarter | $77.72 | $67.63 | &nbsp;&nbsp;$76.79 |
| **2021** |  |  |  |
| First Quarter | $103.56 | $74.37 | &nbsp;&nbsp;$76.35 |
| Second Quarter | $79.75 | $66.17 | &nbsp;&nbsp;$69.78 |
| Third Quarter | $68.27 | $43.96 | &nbsp;&nbsp;$47.32 |
| Fourth Quarter | $53.46 | $34.06 | &nbsp;&nbsp;$36.49 |

---

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---

| | | | |
|:---|:---|:---|:---|
| **KraneShares CSI China Internet ETF** | **High** | **Low** | **Period End** |
| &nbsp;&nbsp;**2022** | | | |
| First Quarter | $38.89 | $21.19 | &nbsp;&nbsp;$28.51 |
| Second Quarter | $33.86 | $24.10 | &nbsp;&nbsp;$32.76 |
| Third Quarter | $33.25 | $24.56 | &nbsp;&nbsp;$24.64 |
| Fourth Quarter | $31.47 | $18.41 | &nbsp;&nbsp;$30.20 |
| &nbsp;&nbsp;**2023** |  |  |  |
| First Quarter (through February 13, 2023) | $36.15 | $31.71 | $32.71 |

---

---

| |
|:---|
| &nbsp;&nbsp; **KraneShares CSI China Internet ETF Historical Performance – Daily Closing Prices\***<br> **January 2, 2018 to February 13, 2023** |
| ![](image_002.jpg) |
| \* The dotted line in the graph indicates the hypothetical trigger level, equal to 70% of the closing price of one ETF Share on February 13, 2023. The actual trigger level will be based on the closing price of one ETF Share on the pricing date. |

---

**This document relates only to the securities offered hereby and does not relate to the ETF Shares. We have derived all disclosures contained in this document regarding the KraneShares CSI China Internet ETF from the publicly available documents described in the first paragraph under this "KraneShares CSI China Internet ETF Overview" section, without independent verification. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to the KraneShares CSI China Internet ETF. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the KraneShares CSI China Internet ETF is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described in the first paragraph under this "KraneShares CSI China Internet ETF Overview" section) that would affect the trading price of the ETF Shares (and therefore the price of the ETF Shares at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the KraneShares CSI China Internet ETF could affect the value received at maturity with respect to the securities and therefore the trading prices of the securities.**

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**Neither we nor any of our affiliates makes any representation to you as to the performance of the ETF Shares.**

**The CSI Overseas China Internet Index.** The CSI Overseas China Internet Index is a modified free float-adjusted market capitalization index that is designed to measure the overall performance of Hong Kong- and overseas-listed Chinese Internet companies. For additional information about the CSI Overseas China Internet Index, see the information set forth under Annex A in this document.

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Additional Information about the Securities

Please read this information in conjunction with the summary terms on the front cover of this document.

---

| | |
|:---|:---|
| **Additional Provisions:** | **Additional Provisions:** |
| **Postponement of maturity date:** | If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the third business day following the valuation date as postponed. |
| **Minimum ticketing size:** | $1,000 / 100 securities |
| **Trustee:** | Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
| **Calculation agent:** | JPMS |
| **The estimated value of the securities:** | The estimated value of the securities set forth on the cover of this document 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 securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum price at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value of the securities 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 securities as well as the higher issuance, operational and ongoing liability management costs of the securities 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 securities. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities and any secondary market prices of the securities. For additional information, see "Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The estimated value of the securities is derived by reference to an internal funding rate" in this document. The value of the derivative or derivatives underlying the economic terms of the securities 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 securities on the pricing date is based on market conditions and other relevant factors and assumptions existing at that time. See "Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The estimated value of the securities does not represent future values of the securities and may differ from others' estimates" in this document.<br> The estimated value of the securities will be lower than the original issue price of the securities because costs associated with selling, structuring and hedging the securities are included in the original issue price of the securities. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities. 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 securities 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 "Risk Factors — 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" in this document. |

---

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---

| | |
|:---|:---|
| **Secondary market prices of the securities:** | For information about factors that will impact any secondary market prices of the securities, see "Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — Secondary market prices of the securities will be impacted by many economic and market factors" in this document. In addition, we generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See "Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The value of the securities as published by JPMS (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." |
| **Tax considerations:** | You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product supplement no. MS-1-II. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the securities.<br> Based on current market conditions, in the opinion of our special tax counsel, your securities should be treated as "open transactions" that are not debt instruments for U.S. federal income tax purposes, as more fully described in "Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments" in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your securities should be treated as long-term capital gain or loss if you hold your securities for more than a year, whether or not you are an initial purchaser of securities at the issue price. However, the IRS or a court may not respect this treatment of the securities, in which case the timing and character of any income or loss on the securities could be materially and adversely 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; 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, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. 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 securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the issues presented by this notice.<br> 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 securities 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 securities. You should consult your tax adviser regarding the potential application of Section 871(m) to the securities. |
| **Supplemental use of proceeds and hedging:** | The securities are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the securities. See "How the Enhanced Trigger Jump Securities Work" in this document for an illustration of the risk-return profile of the securities and "KraneShares CSI China Internet ETF Overview" in this document for a |

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| | |
|:---|:---|
|  | description of the market exposure provided by the securities.<br> The original issue price of the securities is equal to the estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities. |
| **Benefit plan investor considerations:** | See "Benefit Plan Investor Considerations" in the accompanying product supplement. |
| **Supplemental plan of distribution:** | Subject to regulatory constraints, JPMS intends to use its reasonable efforts to offer to purchase the securities in the secondary market, but is not required to do so. JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each security.<br> We or our affiliate may enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the securities and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See "— Supplemental use of proceeds and hedging" above and "Use of Proceeds and Hedging" in the accompanying product supplement.<br> We expect that delivery of the securities will be made against payment for the securities on or about the original issue date set forth on the front cover of this document, which will be the third business day following the pricing date of the securities (this settlement cycle being referred to as "T+3"). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade securities on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.<br>Canada<br> The securities may be sold only to purchasers purchasing, or deemed to be purchasing, as principal that are accredited investors, as defined in National Instrument 45-106 Prospectus Exemptions ("NI 45-106") or subsection 73.3(1) of the Securities Act (Ontario) (the "OSA"), and are permitted clients, as defined in National Instrument 31-103 Registration Requirements, Exemptions and Ongoing Registrant Obligations ("NI-33-103").<br> Accordingly, by placing a purchase order for securities, each purchaser of securities in Canada will be deemed to have represented to the issuer, the guarantor and each agent and dealer participating in the sale of the securities that such purchaser:<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· is an "accredited investor" as defined in section 1.1 of NI 45-106 or subsection 73.3(1) of the OSA and is either purchasing the securities as principal for its own account, or is deemed to be purchasing the securities as principal by applicable law;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· is a "permitted client" as defined in section 1.1 of NI 31-103 and, in particular, if the purchaser is an individual, he or she beneficially owns financial assets (as defined in section 1.1 of NI 45-106) having an aggregate realizable value that, before taxes but net of any related liabilities, exceeds CAD$5,000,000;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· is not a company or other entity created or being used solely to purchase or hold securities as an "accredited investor"; and<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· is not an "insider" of the issuer or the guarantor and is not registered as a dealer, adviser or otherwise under the securities laws of any province or territory of Canada.<br> The securities are being distributed in Canada on a private placement basis only and therefore any resale of the securities must be made in accordance with an exemption from, or in a transaction not subject to, the prospectus requirements of applicable securities laws. Each of the issuer and the guarantor is not a reporting issuer in any province or territory in Canada and the securities are not listed on any stock exchange in Canada and there is currently no public market for the securities in Canada. Each of the issuer and the guarantor currently has no intention of becoming a reporting issuer in Canada, filing a prospectus with any securities regulatory authority in Canada to qualify the resale of the securities to the public, or listing its securities on any stock exchange in Canada. Canadian purchasers are advised to seek legal advice prior to any resale of the securities.<br> Securities legislation in certain provinces or territories of Canada may provide a purchaser with remedies for rescission or damages if this document (including any amendment thereto) contains a misrepresentation, provided that the remedies for rescission or damages are |

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 exercised by the purchaser within the time limit prescribed by the securities legislation of the purchaser's province or territory. The purchaser should refer to any applicable provisions of the securities legislation of the purchaser's province or territory for particulars of these rights or consult with a legal advisor.<br> The issuer, the guarantor, the agents and the dealers are relying on the statutory exemption contained in section 3A.3 of National Instrument 33-105 Underwriting Conflicts ("NI 33-105"), which provides that the disclosure requirements of NI 33-105 regarding underwriter conflicts of interest in connection with this offering are not applicable.<br> By purchasing securities, the purchaser acknowledges that the issuer, the guarantor, the agents and the dealers and their respective agents and advisers may each collect, use and disclose its name, telephone number, address, the number and value of any securities purchased and other specified personally identifiable information (the "personal information"), including the principal amount of securities that it has purchased and whether the purchaser is an "insider" of the issuer or the guarantor or a "registrant" for purposes of meeting legal, regulatory and audit requirements and as otherwise permitted or required by law or regulation. By purchasing securities, the purchaser consents to the foregoing collection, use and disclosure of the personal information pertaining to the purchaser.<br> Furthermore, by purchasing securities, the purchaser acknowledges that the personal information concerning the purchaser (A) will be disclosed to the relevant Canadian securities regulatory authorities and may become available to the public in accordance with the requirements of applicable securities and freedom of information laws and the purchaser consents to the disclosure of the personal information; (B) is being collected indirectly by the applicable Canadian securities regulatory authority under the authority granted to it in securities legislation; and (C) is being collected for the purposes of the administration and enforcement of the applicable Canadian securities legislation. By purchasing securities, the purchaser shall be deemed to have authorized such indirect collection of the personal information by the relevant Canadian securities regulatory authorities.<br> Questions about the indirect collection of personal information should be directed to the securities regulatory authority in the province of the purchaser, using the following contact information: in British Columbia, the British Columbia Securities Commission can be contacted at P.O. Box 10142, Pacific Center, 701 West Georgia Street, Vancouver, British Columbia V7Y 1L2 or at (604) 899-6500 or 1-800-373-6393; in Alberta, the Alberta Securities Commission can be contacted at Suite 600, 250 – 5th Street SW, Calgary, Alberta T2P 0R4 or at (403) 297-6454 or 1-877-355-0585; in Saskatchewan, the Financial and Consumer Affairs Authority of Saskatchewan can be contacted at Suite 601 – 1919 Saskatchewan Drive, Regina, Saskatchewan S4P 4H2 or at (306) 787-5842; in Manitoba, The Manitoba Securities Commission can be contacted at 500 – 400 St. Mary Avenue, Winnipeg, Manitoba R3C 4K5 or at (204) 945-2561 or 1-800-655-5244; in Ontario, the Ontario Securities Commission can be contacted at 20 Queen Street West, 22nd Floor, Toronto, Ontario M5H 3S8 or at (416) 593-8314 or 1-877-785-1555; in Québec, the Autorité des marchés financiers can be contacted at 800, Square Victoria, 22e étage, C.P. 246, Tour de la Bourse, Montréal, Québec H4Z 1G3 or at (514) 395-0337 or 1-877-525-0337; in New Brunswick, the Financial and Consumer Services Commission (New Brunswick) can be contacted at 85 Charlotte Street, Suite 300, Saint John, New Brunswick E2L 2J2 or at (506) 658-3060 or 1-866-933-2222; in Nova Scotia, the Nova Scotia Securities Commission can be contacted at Suite 400, 5251 Duke Street, Duke Tower, P.O. Box 458, Halifax, Nova Scotia B3J 2P8 or at (902) 424-7768; in Prince Edward Island, the Prince Edward Island Securities Office can be contacted at 95 Rochford Street, 4th Floor Shaw Building, P.O. Box 2000, Charlottetown, Prince Edward Island C1A 7N8 or at (902) 368-4569; and in Newfoundland and Labrador, the Director of Securities of the Government of Newfoundland and Labrador's Financial Services Regulation Division can be contacted at P.O. Box 8700, Confederation Building, 2nd Floor, West Block, Prince Philip Drive, St. John's, Newfoundland and Labrador A1B 4J6 or at (709) 729-4189; and (b) has authorized the indirect collection of the personal information by the securities regulatory authority or regulator in the local jurisdiction.<br> The purchaser acknowledges that each of the issuer and the guarantor is an entity formed under the laws of a jurisdiction outside of Canada. Some or all of the managers and officers of the issuer or the guarantor may be located outside Canada and, as a result, it may not be possible for purchasers to effect service of process within Canada upon such entity or such persons. All or a substantial portion of the assets of each of the issuer and the guarantor may be located outside of Canada and, as a result, it may not be possible to satisfy a judgment in Canada against the issuer, the guarantor or their respective directors and officers or to enforce a judgment obtained in Canadian courts against the issuer, the<br>

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|:---|:---|
|  | guarantor or such persons outside of Canada. The securities will not be governed by the laws of any province or territory of Canada. Accordingly, it may not be possible to enforce securities in accordance with their terms in a Canadian court.<br> This document does not address the Canadian tax consequences of ownership of securities. Prospective purchasers should consult their own tax advisors with respect to the Canadian and other tax considerations applicable to them. |
| **<br> Supplemental information about the form of the securities:** | The securities will initially be represented by a type of global security that we refer to as a master note. A master note represents multiple securities that may be issued at different times and that may have different terms. The trustee and/or paying agent will, in accordance with instructions from us, make appropriate entries or notations in its records relating to the master note representing the securities to indicate that the master note evidences the securities. |
| **Where you can find more information:** | &nbsp;&nbsp; You may revoke your offer to purchase the securities 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 securities prior to their issuance. In the event of any changes to the terms of the securities, 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.<br> You should read this document together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these securities are a part, and the more detailed information contained in the accompanying product supplement.<br> This document, together with the documents listed below, contains the terms of the securities 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, stand-alone 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 securities 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 securities.<br> 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):<br> · **Product supplement no. MS-1-II dated November 4, 2020:** <br> <u>[http://www.sec.gov/Archives/edgar/data/19617/000095010320021469/crt_dp139325-424b2.pdf](http://www.sec.gov/Archives/edgar/data/19617/000095010320021469/crt_dp139325-424b2.pdf)</u><br> · **Prospectus supplement and prospectus, each dated April 8, 2020:** <br> <u>[http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf](http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf)</u><br> Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617.<br> As used in this document, "we," "us," and "our" refer to JPMorgan Financial. |

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**Principal at Risk Securities**

**Annex A**

**The KraneShares CSI China Internet ETF**

All information contained in this document regarding the KraneShares CSI China Internet ETF (the "KWEB Fund") has been derived from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by KraneShares Trust and Krane Funds Advisors, LLC ("Krane"). The KWEB Fund is an investment portfolio of KraneShares Trust. Krane is currently the investment adviser to the KWEB Fund. The KWEB Fund is an exchange-traded fund that trades on the NYSE Arca, Inc. under the ticker symbol "KWEB."

The KWEB Fund seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of a foreign equity securities index, which is currently the CSI Overseas China Internet Index (the "China Internet Index"). For more information about the China Internet Index, please see "The CSI Overseas China Internet Index" below.

Although the KWEB Fund reserves the right to replicate (or hold all components of) the China Internet Index, the KWEB Fund expects to use representative sampling to track the China Internet Index. "Representative sampling" is a strategy that involves investing in a representative sample of securities that collectively have an investment profile similar to the China Internet Index. The KWEB Fund may or may not hold all of the securities in the China Internet Index when using a representative sampling indexing strategy.

Tracking error refers to the risk that the KWEB Fund's performance may not match or correlate to that of the China Internet Index, either on a daily or aggregate basis. Tracking error may cause the KWEB Fund's performance to be less than expected. There are a number of factors that may contribute to the KWEB Fund's tracking error, such as KWEB Fund expenses, imperfect correlation between the KWEB Fund's investments and those of the China Internet Index, the use of representative sampling strategy, if applicable, asset valuation differences, tax considerations, the unavailability of securities in the China Internet Index from time to time, holding cash and cash equivalents, and other liquidity constraints. In addition, securities included in the China Internet Index may be suspended from trading. To the extent the KWEB Fund calculates its net asset value based on fair value prices and the value of the China Internet Index is based on securities' closing prices on local foreign markets, the KWEB Fund's ability to track the China Internet Index may be adversely affected. Mathematical compounding may prevent the KWEB Fund from correlating with the monthly, quarterly, annual or other period performance of the China Internet Index. In addition, the KWEB Fund may not invest in certain securities and other instruments included in the China Internet Index, or invest in them in the exact proportions they represent of the China Internet Index, including due to legal restrictions or limitations imposed by a foreign government or a lack of liquidity in certain securities. Moreover, the KWEB Fund may be delayed in purchasing or selling securities and other instruments included in the China Internet Index. Any issues the KWEB Fund encounters with regard to currency convertibility (including the cost of borrowing funds, if any) and repatriation may also increase the KWEB Fund's tracking error.

KraneShares Trust is a registered investment company that consists of numerous separate investment portfolios, including the KWEB Fund. Information provided to or filed with the SEC by KraneShares Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-180870 and 811-22698 through the SEC's website at http://www.sec.gov.

**The CSI Overseas China Internet Index**

*General*

All information contained in this pricing supplement regarding the China Internet Index, including, without limitation, its make-up, performance, method of calculation and changes in its components, has been derived from publicly available sources, without independent verification. This information reflects the policies of and is subject to change by China Securities Index Company Limited ("CSI"). The China Internet Index is calculated, maintained and published by CSI. CSI does not have any obligation to continue to publish, and may discontinue the publication of, the China Internet Index.

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The China Internet Index is a modified free float-adjusted market capitalization-weighted index that is designed to measure the overall performance of Hong Kong- and overseas-listed Chinese Internet companies.

The China Internet Index is reported by Bloomberg L.P. in U.S. dollars under the ticker symbol "H11137."

*Eligibility Criteria*

Hong Kong-listed securities should satisfy the following conditions:

&nbsp;&nbsp;&nbsp;&nbsp;· Securities are common stock or REITs primary or secondary
listed on the Hong Kong Stock Exchange (main exchange or the Growth Enterprise Market);

&nbsp;&nbsp;&nbsp;&nbsp;· The listing date is more than 3 months in the most recent
year unless the daily average total market value since listing is ranked top 10 in all the Hong Kong securities; and

&nbsp;&nbsp;&nbsp;&nbsp;· Listed by a Chinese company that meets one of the following
three criteria: (i) is incorporated in mainland China; (ii) has its operation center in mainland China; or (iii) derives at least 50%
of its revenue from mainland China.

Hong Kong-listed securities that meet any of the following conditions will be excluded from the eligible universe:

&nbsp;&nbsp;&nbsp;&nbsp;· Securities whose average daily closing price in the most recent
year is less than 0.1 HKD;

&nbsp;&nbsp;&nbsp;&nbsp;· Securities whose average daily closing price in the most recent
year is less than 0.5 HKD or earnings per share in the most recent annual report is negative;

&nbsp;&nbsp;&nbsp;&nbsp;· Securities whose cumulative average daily market capitalization
coverage in the most recent three months is beyond 90%, after having ranked the securities by the average daily turnover ratio (which
is the daily trading value divided by total market capitalization) in descending order and calculated the cumulative average daily market
capitalization coverage for each security; or

&nbsp;&nbsp;&nbsp;&nbsp;· Securities considered by an index advisory committee of CSI
as inappropriate.

Other markets-listed securities should satisfy the following conditions:

&nbsp;&nbsp;&nbsp;&nbsp;· Listed for more than 3 months unless the market value of its
IPO exceeds 30 billion USD; and

&nbsp;&nbsp;&nbsp;&nbsp;· Listed by a Chinese company that meets one of the following
three criteria: (i) is incorporated in mainland China; (ii) has its operation center in mainland China; or (iii) derives at least 50%
of its revenue from mainland China.

*Constituent Selection*

All securities whose average daily trading value in the past year is less than 3 million USD or average daily market capitalization in the past year is less than 2 billion USD are removed from the eligible universe.

From the remaining securities, securities are chosen for inclusion in the China Internet Index if they are assigned to one of the following categories, as determined by CSI:

&nbsp;&nbsp;&nbsp;&nbsp;· Internet Software & Services (companies developing and
marketing internet software and/or providing internet services);

&nbsp;&nbsp;&nbsp;&nbsp;· Home Entertainment Software (manufacturers of home entertainment
software and educational software primarily for home use);

&nbsp;&nbsp;&nbsp;&nbsp;· Internet Retail (companies providing retail services primarily
on the internet);

&nbsp;&nbsp;&nbsp;&nbsp;· Internet Service (companies providing commercial services
primarily on the internet); or

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&nbsp;&nbsp;&nbsp;&nbsp;· Mobile Internet (companies developing and marketing mobile
internet software or providing mobile internet services).

When two or more eligible listings of the same company are eligible for inclusion, the Hong Kong-listed security will have the priority to be selected.

*Index Calculation*

The China Internet Index is a modified free float-adjusted market capitalization-weighted index. The China Internet Index is calculated using the following formula:

![](image_003.jpg)

![](image_004.jpg)

*Float Adjustment*. CSI defines free-float of a constituent as the shares outstanding and tradable in the security market. The identification and calculation of free float by CSI is based on objective information including prospectuses and listing notices, periodic reports and temporary reports. CSI tracks the changes of free-float shares and adjusts free-float changes resulting from shareholder's behavior every six months. All restricted shares subject to a lock-in period are deemed to be non-free float. Non-restricted shares will be deemed to be non-free float if (a) they fall into one of the following types of shares: (1) shares held by founders of the company or their families, and by senior executives, by directors, or by supervisors, etc.; (2) shares held by the government or its subsidiaries; (3) shares held by strategic investors for long-term strategic interest; or (4) shares held by employee share plans; and (b) the holdings by shareholders or shareholders acting in concert are 5% or greater; otherwise, they will be deemed to be free float. Restricted shares after the lock-in period are treated in the same way as non-restricted shares.

The weight factor is a value between 0 and 1, so that the weight of each constituent is capped at 10% and the total weight of the top five constituents is capped at 40%

*Exchange Rate.* The price of each component stock and the total market capitalization as of the base date are converted into USD equivalents using the relevant exchange rates as of the applicable dates. Exchange rates are sourced from the data providers as designated by CSI from time to time. The real-time calculation of the China Internet Index is based on the real-time price date published by the stock exchanges during trading hours through their quotation system. The real-time exchange rate is used to calculate the real-time index; the exchange rate at the index closing time is used to calculate the index closing level.

*Divisor*. The purpose of the index divisor is to maintain the continuity of an index level following a change to the constituent list, a capital change in the index constituents or an index constituent's market value changes due to non-trading factors. The new divisor is derived from the following formula:

![](image_005.jpg)

The new divisor derived from this formula will be used for the future index calculation.

*Index Review*

The China Internet Index is adjusted and rebalanced semi-annually during the last ten days of May and November of each year. The adjustment will be effective as of the next trading day after the second Friday in June and December.

The weight factor is rebalanced monthly and the rebalance will be effective as of the next trading day after the 2nd Friday each month.

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*Suspension.* At the periodic index review, if an index constituent is suspended, CSI will determine its treatment as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· Constituents that have been suspended for more than 25 trading
days and have not resumed trading as of the deadline for data used for constituents' eligibility review (April 30<sup>th</sup> for
the May review and October 31<sup>st</sup> for the November review), if listed on the candidate deletion list, will be classified as priority
deletion securities.

&nbsp;&nbsp;&nbsp;&nbsp;· CSI reports list of constituents that have been suspended
close to 25 trading days as of the deadline for data used for constituents' eligibility review to the index advisory committee.
The committee discusses whether they should be classified as candidate deletion securities.

&nbsp;&nbsp;&nbsp;&nbsp;· If the deletion securities are under suspension and the reason
for suspension is a significant negative event, then the constituent will be deleted from the index at the price of 0.00001 Yuan. In the
event that such securities resume trading at least one trading day prior to the effective date, CSI will amend the deletion price to market
price and publish an announcement. Under any other conditions, a suspended constituent will be deleted from the index at its closing market
price before suspension.

For suspended companies that are not currently constituents of the China Internet Index, CSI determines their treatment as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· Securities that are under suspension and without a clear expectation
of trading resumption on the date of the index advisory committee meeting will not be able to be selected as candidates for inclusion
in the China Internet Index.

&nbsp;&nbsp;&nbsp;&nbsp;· Securities that have been suspended for more than 25 trading
days during the data period used for constituents' review are eligible for inclusion in the index only if they have resumed trading
for 3 months, except in special circumstances approved by the index advisory committee.

&nbsp;&nbsp;&nbsp;&nbsp;· For new additions suspended between the announcement date
and the effective date of the periodic review, CSI will decide whether to adjust the addition or not.

*Corporate Action Related Changes*

In the case of exceptional corporate events, CSI will review the China Internet Index and make necessary ongoing adjustments between index reviews in order to maintain the representativeness of the index and ensure it is investable. These corporate events include IPOs, mergers and acquisitions, spin-offs, suspensions, delistings, bankruptcies, cash or stock dividends, stock splits or reverse stock splits, rights issues and secondary offerings.

*Base Date*

The China Internet Index has a base date of June 29, 2007, with a base value of 1,000 on that date.

*Index Governance*

CSI annually reviews the index calculation and maintenance methodology and other index policy documents to ensure that the China Internet Index continues to achieve the stated objectives. After the regular review is completed, an annual review report is produced and presented to the index oversight committee.

CSI may review index methodology documents outside the annual scheduled reviews based on, but not limited to, one of the following: underlying market environment review, market participant feedback, problems identified in index management or unusual corporate events treatment.

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