# EDGAR Filing Document

**Accession Number:** 0000019617
**File Stem:** 0001213900-23-007106
**Filing Date:** 2023-2
**Character Count:** 46031
**Document Hash:** 3483058a964d4b1dc6591c95791c4b46
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001213900-23-007106.hdr.sgml**: 20230202

**ACCESSION NUMBER**: 0001213900-23-007106

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 4

**FILED AS OF DATE**: 20230202

**DATE AS OF CHANGE**: 20230202

**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:** 23579783

**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:** 23579784

**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 2, 2023**

February , 2023 Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)

![](image_001.jpg)

JPMorgan Chase Financial Company LLC<br> Structured Investments

Bearish Knock-Out Notes Linked to the S&P 500<sup>®</sup> Index due March 4, 2024

Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.

&nbsp;&nbsp;&nbsp;&nbsp;· **The notes provide limited bearish exposure to the S&P 500<sup>®</sup> Index, which we refer to as the Index.** The notes
are designed for investors who seek a positive return at maturity based on depreciation of the Index of not more than 20.00%, over the
term of the notes.

&nbsp;&nbsp;&nbsp;&nbsp;· The notes are also designed for investors who are willing to accept a fixed return of at least 11.15% at maturity if the Index has
depreciated by more than 20.00% over the term of the notes and are willing to receive only the principal amount of their notes at maturity
if the Index has appreciated or is flat over the term of the notes.

&nbsp;&nbsp;&nbsp;&nbsp;· Investors should be willing to forgo interest and dividend payments, while seeking full repayment of principal at maturity.

&nbsp;&nbsp;&nbsp;&nbsp;· The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. **Any payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.** 

&nbsp;&nbsp;&nbsp;&nbsp;· Minimum denominations of $1,000 and integral multiples thereof

&nbsp;&nbsp;&nbsp;&nbsp;· The notes are expected to price on or about February 28, 2023 and are expected to settle on or about March 3, 2023.

&nbsp;&nbsp;&nbsp;&nbsp;· CUSIP: 48133TF83

**Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of the accompanying prospectus supplement, "Risk Factors" beginning on page PS-10 of the accompanying product supplement, "Risk Factors" beginning on page US-3 of the accompanying underlying supplement and "Selected Risk Considerations" beginning on page PS-3 of this pricing supplement.**

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

---

| | | | |
|:---|:---|:---|:---|
|  | Price to Public (1) | Fees and Commissions (2) | Proceeds to Issuer |
| &nbsp;&nbsp;Per note | $1000 | $| $|
| &nbsp;&nbsp;Total | $| $| $|
| (1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the notes.<br> (2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $7.50 per $1,000 principal amount note. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement. | (1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the notes.<br> (2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $7.50 per $1,000 principal amount note. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement. | (1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the notes.<br> (2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $7.50 per $1,000 principal amount note. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement. | (1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the notes.<br> (2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $7.50 per $1,000 principal amount note. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement. |

---

**If the notes priced today, the estimated value of the notes would be approximately $980.00 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the pricing supplement and will not be less than $900.00 per $1,000 principal amount note. See "The Estimated Value of the Notes" in this pricing supplement for additional information.** 

*The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.*

Pricing supplement to product supplement no. 3-II dated November 4, 2020, underlying supplement no. 1-II dated November 4, 2020<br> and the prospectus and prospectus supplement, each dated April 8, 2020

**Key Terms**

---

| | |
|:---|:---|
| **Issuer:** JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.<br> **Guarantor:** JPMorgan Chase & Co.<br> **Index:** The S&P 500<sup>®</sup> Index (Bloomberg ticker: SPX)<br> **Downside Participation Rate:** 100.00% <br> **Knock-Out Value:** 80.00% of the Initial Value<br> **Fixed Amount:** At least $111.50 per $1,000 principal amount note (to be provided in the pricing supplement)<br> **Pricing Date:** On or about February 28, 2023<br> **Original Issue Date (Settlement Date):** On or about March 3, 2023<br> **Observation Date\*:** February 28, 2024<br> **Maturity Date\*:** March 4, 2024<br>\* Subject to postponement in the event of a market disruption event and as described under "General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)" and "General Terms of Notes — Postponement of a Payment Date" in the accompanying product supplement | &nbsp;&nbsp;&nbsp; **Payment at Maturity:**<br> If the Final Value is greater than or equal to the Initial Value, you will receive the principal amount of your notes at maturity.<br> If the Final Value is less than the Initial Value but is greater than or equal to the Knock-Out Value, at maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 *plus* the Additional Amount.<br> If the Final Value is less than the Knock-Out Value, at maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 *plus* the Fixed Amount.<br> *You are entitled to repayment of principal in full at maturity, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.*<br> **Additional Amount:** The Additional Amount payable at maturity per $1,000 principal amount note will equal:<br> $1,000 × Bearish Index Return × Downside Participation Rate<br> **Bearish Index Return:**<br> <u>(Initial Value – Final Value)</u><br> Initial Value<br> **Initial Value:** The closing level of the Index on the Pricing Date<br> **Final Value:** The closing level of the Index on the Observation Date  |

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| | |
|:---|:---|
| PS-1 \| Structured Investments<br> Bearish Knock-Out Notes Linked to the S&P 500<sup>®</sup> Index | ![](image_001.jpg) |

---

**Hypothetical Payout Profile**

The following table and graph illustrate the hypothetical payment at maturity on the notes linked to a hypothetical Index. The hypothetical payments set forth below assume the following:

· an Initial Value of 100.00;

· a Downside Participation Rate of 100.00%;

· a Knock-Out Value of 80.00% of the Initial Value; and

· a Fixed Amount of $111.50 per $1,000 principal amount note.

As used in this section, the Index Return is equal to (Final Value – Initial Value) / Initial Value. The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing level of the Index on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing levels of the Index, please see the historical information set forth under "The Index" in this pricing supplement.

Each hypothetical total return or hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;Final Value | &nbsp;&nbsp;Index Return | &nbsp;&nbsp;Bearish Index<br> Return | &nbsp;&nbsp;Additional Amount | &nbsp;&nbsp;Fixed Amount | &nbsp;&nbsp;Payment at Maturity |
| &nbsp;&nbsp;180.00 | &nbsp;&nbsp;80.00% | &nbsp;&nbsp;-80.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;165.00 | &nbsp;&nbsp;65.00% | &nbsp;&nbsp;-65.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;150.00 | &nbsp;&nbsp;50.00% | &nbsp;&nbsp;-50.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;140.00 | &nbsp;&nbsp;40.00% | &nbsp;&nbsp;-40.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;130.00 | &nbsp;&nbsp;30.00% | &nbsp;&nbsp;-30.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;120.00 | &nbsp;&nbsp;20.00% | &nbsp;&nbsp;-20.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;110.00 | &nbsp;&nbsp;10.00% | &nbsp;&nbsp;-10.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;105.00 | &nbsp;&nbsp;5.00% | &nbsp;&nbsp;-5.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;101.00 | &nbsp;&nbsp;1.00% | &nbsp;&nbsp;-1.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;100.00 | &nbsp;&nbsp;-0.00% | &nbsp;&nbsp;0.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;99.00 | &nbsp;&nbsp;-1.00% | &nbsp;&nbsp;1.00% | &nbsp;&nbsp;$10.00 | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1010.00 |
| &nbsp;&nbsp;95.00 | &nbsp;&nbsp;-5.00% | &nbsp;&nbsp;5.00% | &nbsp;&nbsp;$50.00 | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1050.00 |
| &nbsp;&nbsp;90.00 | &nbsp;&nbsp;-10.00% | &nbsp;&nbsp;10.00% | &nbsp;&nbsp;$100.00 | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1100.00 |
| &nbsp;&nbsp;80.00 | &nbsp;&nbsp;-20.00% | &nbsp;&nbsp;20.00% | &nbsp;&nbsp;$200.00 | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$1200.00 |
| &nbsp;&nbsp;79.99 | &nbsp;&nbsp;-20.01% | &nbsp;&nbsp;20.01% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$111.50 | &nbsp;&nbsp;$10111.50 |
| &nbsp;&nbsp;70.00 | &nbsp;&nbsp;-30.00% | &nbsp;&nbsp;30.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$111.50 | &nbsp;&nbsp;$10111.50 |
| &nbsp;&nbsp;60.00 | &nbsp;&nbsp;-40.00% | &nbsp;&nbsp;40.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$111.50 | &nbsp;&nbsp;$10111.50 |
| &nbsp;&nbsp;50.00 | &nbsp;&nbsp;-50.00% | &nbsp;&nbsp;50.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$111.50 | &nbsp;&nbsp;$10111.50 |
| &nbsp;&nbsp;40.00 | &nbsp;&nbsp;-60.00% | &nbsp;&nbsp;60.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$111.50 | &nbsp;&nbsp;$10111.50 |
| &nbsp;&nbsp;30.00 | &nbsp;&nbsp;-70.00% | &nbsp;&nbsp;70.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$111.50 | &nbsp;&nbsp;$10111.50 |
| &nbsp;&nbsp;20.00 | &nbsp;&nbsp;-80.00% | &nbsp;&nbsp;80.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$111.50 | &nbsp;&nbsp;$10111.50 |
| &nbsp;&nbsp;10.00 | &nbsp;&nbsp;-90.00% | &nbsp;&nbsp;90.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$111.50 | &nbsp;&nbsp;$10111.50 |
| &nbsp;&nbsp;0.00 | &nbsp;&nbsp;-100.00% | &nbsp;&nbsp;100.00% | &nbsp;&nbsp;N/A | &nbsp;&nbsp;$111.50 | &nbsp;&nbsp;$10111.50 |

---

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| | |
|:---|:---|
| PS-2 \| Structured Investments<br> Bearish Knock-Out Notes Linked to the S&P 500<sup>®</sup> Index | ![](image_001.jpg) |

---

The following graph demonstrates the hypothetical payments at maturity on the notes for a sub-set of Index Returns detailed in the table above (-50% to 50%). There can be no assurance that the performance of the Index will result in a payment at maturity in excess of $1,000.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.

![](image_002.jpg)

**How the Notes Work**

**Positive Return Scenarios:**

If the Final Value is less than the Initial Value but is greater than or equal to the Knock-Out Value, investors will receive at maturity the $1,000 principal amount *plus* the Additional Amount, which is equal to $1,000 *times* the Bearish Index Return *times* the Downside Participation Rate of 100.00%. An investor will realize the maximum payment at maturity at a Final Value at 80.00% of the Initial Value.

· If the closing level of the Index decreases 5.00%, investors will receive at maturity a 5.00% return, or $1,050.00 per $1,000 principal
amount note.

If the Final Value is less than the Knock-Out Value, investors will receive at maturity a cash payment, for each $1,000 principal amount note, of $1,000 *plus* the Fixed Amount of at least $111.50 per $1,000 principal amount note.

· Assuming a hypothetical Fixed Amount of $111.50 per $1,000 principal amount note, if the closing level of the Index decreases 50.00%,
investors will receive at maturity an 11.15% return, or $1, 0111.50 per $1,000 principal amount note.

**Par Scenario:**

If the Final Value is greater than or equal to the Initial Value, investors will receive at maturity the principal amount of their notes.

The hypothetical returns and hypothetical payments on the notes shown above apply **only if you hold the notes for their entire term.** These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.

**Selected Risk Considerations**

An investment in the notes involves significant risks. These risks are explained in more detail in the "Risk Factors" sections of the accompanying prospectus supplement, product supplement and underlying supplement.

**Risks Relating to the Notes Generally**

· **THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY —** 

If the Final Value is greater than or equal to the Initial Value, you will receive only the principal amount of your notes at maturity, and you will not be compensated for any loss in value due to inflation and other factors relating to the value of money over time.

· **THE NOTES ARE BEARISH ON THE INDEX —** 

Because the notes are bearish on the Index, your return on the notes will not benefit from any appreciation of the Index over the term of the notes.

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| | |
|:---|:---|
| PS-3 \| Structured Investments<br> Bearish Knock-Out Notes Linked to the S&P 500<sup>®</sup> Index | ![](image_001.jpg) |

---

· **YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE KNOCK-OUT VALUE AND THE FIXED AMOUNT —** 

If the Final Value is less than the Initial Value but is greater than or equal to the Knock-Out Value of 80.00% of the Initial Value, you will receive at maturity $1,000 *plus* an additional return equal to the Bearish Index Return *times* the Downside Participation Rate. Under these circumstances, the maximum payment at maturity is $1,200.00 per $1,000 principal amount note. However, you will not benefit from the Bearish Index Return or the Downside Participation Rate if the Final Value is greater than or equal to the Initial Value or is less than the Knock-Out Value. In addition, if the Final Value is less than the Knock-Out Value, the payment at maturity for each $1,000 principal amount note will be limited to $1,000 *plus* the Fixed Amount, regardless of the depreciation of the Index, which may be significant.

· **CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —** 

Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.

· **AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —** 

As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank *pari passu* with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.

· **YOU MAY RECEIVE A LOWER RETURN IF THE FINAL VALUE IS LESS THAN THE INITIAL VALUE BUT IS GREATER THAN OR EQUAL TO THE KNOCK-OUT VALUE THAN IF THE FINAL VALUE WERE LESS THAN THE KNOCK-OUT VALUE —** 

Assuming a Fixed Amount of $111.50 per $1,000 principal amount note, if the Final Value is less than the Initial Value but is greater than or equal to the Knock-Out Value and the Bearish Index Return is less than 11.15%, the Additional Amount will be less than the Fixed Amount you would have received at maturity if the Final Value were less than the Knock-Out Value.

· **THE NOTES DO NOT PAY INTEREST.** 

· **YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.** 

· **LACK OF LIQUIDITY —** 

The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.

· **THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —** 

You should consider your potential investment in the notes based on the minimums for the estimated value of the notes and the Fixed Amount.

**Risks Relating to Conflicts of Interest**

· **POTENTIAL CONFLICTS —** 

We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.'s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to "Risk Factors — Risks Relating to Conflicts of Interest" in the accompanying product supplement.

**Risks Relating to the Estimated Value and Secondary Market Prices of the Notes**

· **THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —** 

The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are

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| | |
|:---|:---|
| PS-4 \| Structured Investments<br> Bearish Knock-Out Notes Linked to the S&P 500<sup>®</sup> Index | ![](image_001.jpg) |

---

included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See "The Estimated Value of the Notes" in this pricing supplement.

· **THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS' ESTIMATES —** 

See "The Estimated Value of the Notes" in this pricing supplement.

· **THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —** 

The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates' view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See "The Estimated Value of the Notes" in this pricing supplement.

· **THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —** 

We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See "Secondary Market Prices of the Notes" in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).

· **SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —** 

Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.

· **SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —** 

The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See "Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors" in the accompanying product supplement.

**Risks Relating to the Index**

· **JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX,** 

but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect the level of the Index.

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| | |
|:---|:---|
| PS-5 \| Structured Investments<br> Bearish Knock-Out Notes Linked to the S&P 500<sup>®</sup> Index | ![](image_001.jpg) |

---

**The Index**

The Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the Index, see "Equity Index Descriptions — The S&P U.S. Indices" in the accompanying underlying supplement.

**Historical Information**

The following graph sets forth the historical performance of the Index based on the weekly historical closing levels of the Index from January 5, 2018 through January 27, 2023. The closing level of the Index on January 27, 2023 was 4,070.56. We obtained the closing levels above and below from the Bloomberg Professional<sup>®</sup> service ("Bloomberg"), without independent verification.

The historical closing levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the Pricing Date or the Observation Date. There can be no assurance that the performance of the Index will result in a payment at maturity in excess of your principal amount, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.

![](image_003.jpg)

**Tax Treatment**

There is uncertainty regarding the U.S. federal income tax consequences of an investment in the notes due to the lack of governing authority. You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences," and in particular the subsection thereof entitled "Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent Payment Debt Instruments" in the accompanying product supplement no. 3-II. Based on current market conditions, we intend to treat the notes for U.S. federal income tax purposes as "contingent payment debt instruments." Assuming this treatment is respected, as discussed in that subsection, unlike a traditional debt instrument that provides for periodic payments of interest at a single fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt of stated interest, you generally will be required to accrue original issue discount ("OID") on your notes in each taxable year at the "comparable yield," as determined by us, although we will not make any payment with respect to the notes until maturity. Upon sale or exchange (including at maturity), you will recognize taxable income or loss equal to the difference between the amount received from the sale or exchange and your adjusted basis in the note, which generally will equal the cost thereof, increased by the amount of OID you have accrued in respect of the note. You generally must treat any income as interest income and any loss as ordinary loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject to limitations. Special rules may apply if the amount payable at maturity is treated as becoming fixed prior to maturity. You should consult your tax adviser concerning the application of these rules. The discussions herein and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. Purchasers who are not initial purchasers of notes at their issue price should consult their tax advisers with respect to the tax consequences of an investment in notes, including the treatment of the difference, if any, between the basis in their notes and the notes' adjusted issue price.

Because our intended treatment of the notes as CPDIs is based on current market conditions, we may determine an alternative treatment is more appropriate based on circumstances at the time of pricing. Our ultimate determination will be binding on you, unless you properly disclose to the IRS an alternative treatment. Also, the IRS may challenge the treatment of the notes as CPDIs. If we

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| PS-6 \| Structured Investments<br> Bearish Knock-Out Notes Linked to the S&P 500<sup>®</sup> Index | ![](image_001.jpg) |

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determine not to treat the notes as CPDIs, or if the IRS successfully challenges the treatment of the notes as CPDIs, then the notes could be treated as original issue discount debt instruments (that are not CPDIs) with an amount of original issue discount equal to the maximum return at maturity. Under this treatment, if you are a U.S. Holder, your annual taxable income from (and adjusted tax basis in) the notes would be greater than if it were based on the comparable yield, and any loss recognized upon a disposition of the notes (including upon maturity) would be capital loss, the deductibility of which is subject to limitations. Accordingly, this alternative treatment could result in adverse tax consequences to you.

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. In light of the bearish economics of the notes, payment on the notes to Non-U.S. Holders will not be subject to Section 871(m).

The discussions in the preceding paragraphs, when read in combination with the section entitled "Material U.S. Federal Income Tax Consequences" (and in particular the subsection thereof entitled "— Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent Payment Debt Instruments") in the accompanying product supplement, to the extent they reflect statements of law, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of the notes.

**Comparable Yield and Projected Payment Schedule**

We will determine the comparable yield for the notes and will provide that comparable yield and the related projected payment schedule (or information about how to obtain them) in the pricing supplement for the notes, which we will file with the SEC. The comparable yield for the notes will be determined based upon a variety of factors, including actual market conditions and our borrowing costs for debt instruments of comparable maturities at the time of issuance. **The comparable yield and projected payment schedule are determined solely to calculate the amount on which you will be taxed with respect to the notes in each year and are neither a prediction nor a guarantee of what the actual yield will be.**

**The Estimated Value of the Notes**

The estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates' view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see "Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate" in this pricing supplement.

The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at that time.

The estimated value of the notes does not represent future values of the notes and may differ from others' estimates. Different pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.'s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.

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| PS-7 \| Structured Investments<br> Bearish Knock-Out Notes Linked to the S&P 500<sup>®</sup> Index | ![](image_001.jpg) |

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The estimated value of the notes will be lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See "Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricing supplement.

**Secondary Market Prices of the Notes**

For information about factors that will impact any secondary market prices of the notes, see "Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See "Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricing supplement.

**Supplemental Use of Proceeds**

The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes. See "Hypothetical Payout Profile" and "How the Notes Work" in this pricing supplement for an illustration of the risk-return profile of the notes and "The Index" in this pricing supplement for a description of the market exposure provided by the notes.

The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.

**Supplemental Plan of Distribution**

We expect that delivery of the notes will be made against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third business day following the Pricing Date of the notes (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 notes 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.

**Supplemental Information About the Form of the Notes**

The notes 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 notes to indicate that the master note evidences the notes.

**Additional Terms Specific to the Notes**

You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may reject your offer to purchase.

You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement. This pricing supplement, together

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| PS-8 \| Structured Investments<br> Bearish Knock-Out Notes Linked to the S&P 500<sup>®</sup> Index | ![](image_001.jpg) |

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with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Product supplement no. 3-II dated November 4, 2020:<br> [http://www.sec.gov/Archives/edgar/data/19617/000095010320021466/crt_dp139321-424b2.pdf](http://www.sec.gov/Archives/edgar/data/19617/000095010320021466/crt_dp139321-424b2.pdf)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Underlying supplement no. 1-II dated November 4, 2020:<br> [http://www.sec.gov/Archives/edgar/data/19617/000095010320021471/crt_dp139381-424b2.pdf](http://www.sec.gov/Archives/edgar/data/19617/000095010320021471/crt_dp139381-424b2.pdf)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Prospectus supplement and prospectus, each dated April 8, 2020:<br> [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)

Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in this pricing supplement, "we," "us" and "our" refer to JPMorgan Financial.

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| PS-9 \| Structured Investments<br> Bearish Knock-Out Notes Linked to the S&P 500<sup>®</sup> Index | ![](image_001.jpg) |

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