# EDGAR Filing Document

**Accession Number:** 0000019617
**File Stem:** 0001213900-23-003241
**Filing Date:** 2023-1
**Character Count:** 59738
**Document Hash:** 99cb5f03089c6da5ef77a02a76de41e5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001213900-23-003241.hdr.sgml**: 20230118

**ACCESSION NUMBER**: 0001213900-23-003241

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 3

**FILED AS OF DATE**: 20230118

**DATE AS OF CHANGE**: 20230118

**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:** 23533422

**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:** 23533423

**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 January 18, 2023**

---

| | |
|:---|:---|
| **Pricing supplement**<br> *To prospectus dated April 8, 2020,<br> prospectus supplement dated April 8, 2020,<br> product supplement no. 4-II dated November 4, 2020 and*<br> *underlying supplement no. 1-II dated November 4, 2020* | <br> **Registration Statement Nos. 333-236659 and 333-236659-01**<br> **Dated January , 2023**<br> **Rule 424(b)(2)** |
| **JPMorgan Chase Financial Company LLC** | <br> **Registration Statement Nos. 333-236659 and 333-236659-01**<br> **Dated January , 2023**<br> **Rule 424(b)(2)** |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;Structured<br> Investments | &nbsp;&nbsp; **$**<br> **Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF due February 7, 2024**<br> **Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.** |

---

**General**

&nbsp;&nbsp;&nbsp;&nbsp;· The notes are designed for investors who seek a return of
at least 2.00 times any appreciation of the iShares<sup>®</sup> MSCI China ETF, up to a maximum return of at least 20.80%\*, at maturity.

&nbsp;&nbsp;&nbsp;&nbsp;· Investors should be willing to forgo interest and dividend
payments and, if the Final Share Price is less than the Initial Share Price by more than 15.00%, be willing to lose some or all of their
principal amount 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 $10,000 and integral multiples of
$1,000 in excess thereof

**Key Terms**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Issuer: | &nbsp;&nbsp;JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| &nbsp;&nbsp;&nbsp;Guarantor: | &nbsp;&nbsp;JPMorgan Chase & Co. |
| &nbsp;&nbsp;&nbsp;Fund: | &nbsp;&nbsp;The iShares<sup>®</sup> MSCI China ETF (Bloomberg ticker: MCHI UQ) |
| &nbsp;&nbsp;&nbsp;Upside Leverage Factor: | &nbsp;&nbsp;At least 2.00. The actual Upside Leverage Factor will be provided in the pricing supplement and will not be less than 2.00. |
| &nbsp;&nbsp;&nbsp;Payment at Maturity: | &nbsp;&nbsp;If the Final Share Price is greater than the Initial Share Price, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Fund Return *multiplied* by the Upside Leverage Factor, subject to the Maximum Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|  | &nbsp;&nbsp;$1,000 + ($1,000 × Fund Return × Upside Leverage Factor), subject to the Maximum Return |
|  | &nbsp;&nbsp;If the Final Share Price is equal to the Initial Share Price or is less than the Initial Share Price by up to 15.00%, you will receive the principal amount of your notes at maturity. |
|  | &nbsp;&nbsp;If the Final Share Price is less than the Initial Share Price by more than 15.00%, you will lose 1.17647% of the principal amount of your notes for every 1% that the Final Share Price is less than the Initial Share Price by more than 15.00%. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|  | &nbsp;&nbsp;$1,000 + [$1,000 × (Fund Return + 15.00%) × 1.17647] |
|  | &nbsp;&nbsp;*You will lose some or all of your principal amount at maturity if the Final Share Price is less than the Initial Share Price by more than 15.00%.* |
| &nbsp;&nbsp;&nbsp;Maximum Return: | At least 20.80%\*. For example, if the Fund Return is equal to or greater than 10.40%, you will receive the Maximum Return of 20.80%, which entitles you to a maximum payment at maturity of $1,208.00 per $1,000 principal amount note that you hold.<br> *\* The actual Maximum Return and the actual maximum Payment at Maturity will be provided in the pricing supplement and will not be less than 20.80% and $1,208.00 per $1,000 principal amount note, respectively.* |
| &nbsp;&nbsp;&nbsp;Buffer Amount: | &nbsp;&nbsp;15.00% |
| &nbsp;&nbsp;&nbsp;Downside Leverage Factor: | &nbsp;&nbsp;1.17647 |
| &nbsp;&nbsp;&nbsp;Fund Return: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(Final Share Price – Initial Share Price)</u><br> Initial Share Price |
| &nbsp;&nbsp;&nbsp;Initial Share Price: | &nbsp;&nbsp;The closing price of one share of the Fund on the Pricing Date |
| &nbsp;&nbsp;&nbsp;Final Share Price: | &nbsp;&nbsp;The arithmetic average of the closing prices of one share of the Fund on the Ending Averaging Dates |
| &nbsp;&nbsp;&nbsp;Share Adjustment Factor: | &nbsp;&nbsp;The Share Adjustment Factor is referenced in determining the closing price of one share of the Fund and is set initially at 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund. See "The Underlyings — Funds — Anti-Dilution Adjustments" in the accompanying product supplement for further information. |
| &nbsp;&nbsp;&nbsp;Pricing Date: | &nbsp;&nbsp;On or about January 20, 2023 |
| &nbsp;&nbsp;&nbsp;Original Issue Date: | &nbsp;&nbsp;On or about January 25, 2023 (Settlement Date) |
| &nbsp;&nbsp;&nbsp;Ending Averaging Dates\*: | &nbsp;&nbsp;January 29, 2024, January 30, 2024, January 31, 2024, February 1, 2024 and February 2, 2024 |
| &nbsp;&nbsp;&nbsp;Maturity Date\*: | &nbsp;&nbsp;February 7, 2024 |
| &nbsp;&nbsp;&nbsp;CUSIP: | &nbsp;&nbsp;48133TYK5 |

---

\* 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)" and "General Terms of Notes — Postponement of a Payment Date" in the accompanying product supplement

**Investing in the notes involves a number of risks. See "Risk Factors" beginning on page PS-12 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-5 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** |
| **Per note** | $1000 | $| $|
| **Total** | $| $| $|

---

&nbsp;&nbsp;&nbsp;&nbsp;(1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public
of the notes.

&nbsp;&nbsp;&nbsp;&nbsp;(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 $10.00 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 $985.40 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 $970.00 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.

![](image_001.jpg)

**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 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 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;· Product supplement no. 4-II dated November 4, 2020:<br> [https://www.sec.gov/Archives/edgar/data/19617/000095010320021467/crt_dp139322-424b2.pdf](https://www.sec.gov/Archives/edgar/data/19617/000095010320021467/crt_dp139322-424b2.pdf)

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

&nbsp;&nbsp;&nbsp;&nbsp;· Prospectus supplement and prospectus, each dated April 8, 2020:<br> [https://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf](https://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.

<br> JPMorgan Structured Investments — PS- 1 <br> Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF

**What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Fund?**

The following table and examples illustrate the hypothetical total return and the hypothetical payment at maturity on the notes. The "total return" as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below assumes an Initial Share Price of $50 and an Upside Leverage Factor of 2.00, a Maximum Return of 20.80%, and reflects the Buffer Amount of 15.00% and the Downside Leverage Factor of 1.17647. The actual maximum payment at maturity will be provided in the pricing supplement and will not be less than $1,208.00 per $1,000 principal amount note. Each hypothetical total return or 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 in the examples below have been rounded for ease of analysis.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Final Share <br> Price** | | |
| &nbsp;&nbsp;**Final Share <br> Price** | &nbsp;&nbsp;**Fund**<br>&nbsp;&nbsp;**Return** | &nbsp;&nbsp;**Total**<br>&nbsp;&nbsp;**Return** |
| &nbsp;&nbsp;$90.000 | &nbsp;&nbsp;80.00% | &nbsp;&nbsp;20.80000% |
| &nbsp;&nbsp;$85.000 | &nbsp;&nbsp;70.00% | &nbsp;&nbsp;20.80000% |
| &nbsp;&nbsp;$80.000 | &nbsp;&nbsp;60.00% | &nbsp;&nbsp;20.80000% |
| &nbsp;&nbsp;$75.000 | &nbsp;&nbsp;50.00% | &nbsp;&nbsp;20.80000% |
| &nbsp;&nbsp;$70.000 | &nbsp;&nbsp;40.00% | &nbsp;&nbsp;20.80000% |
| &nbsp;&nbsp;$65.000 | &nbsp;&nbsp;30.00% | &nbsp;&nbsp;20.80000% |
| &nbsp;&nbsp;$60.000 | &nbsp;&nbsp;20.00% | &nbsp;&nbsp;20.80000% |
| &nbsp;&nbsp;$55.200 | &nbsp;&nbsp;10.40% | &nbsp;&nbsp;20.80000% |
| &nbsp;&nbsp;$55.000 | &nbsp;&nbsp;10.00% | &nbsp;&nbsp;20.00000% |
| &nbsp;&nbsp;$52.500 | &nbsp;&nbsp;5.00% | &nbsp;&nbsp;10.00000% |
| &nbsp;&nbsp;$51.250 | &nbsp;&nbsp;2.50% | &nbsp;&nbsp;5.00000% |
| &nbsp;&nbsp;**$50.000** | &nbsp;&nbsp;**0.00%** | &nbsp;&nbsp;**0.00000%** |
| &nbsp;&nbsp;$48.750 | &nbsp;&nbsp;-2.50% | &nbsp;&nbsp;**0.00000%** |
| &nbsp;&nbsp;$47.500 | &nbsp;&nbsp;-5.00% | &nbsp;&nbsp;**0.00000%** |
| &nbsp;&nbsp;$45.000 | &nbsp;&nbsp;-10.00% | &nbsp;&nbsp;**0.00000%** |
| &nbsp;&nbsp;$42.500 | &nbsp;&nbsp;-15.00% | &nbsp;&nbsp;**0.00000%** |
| &nbsp;&nbsp;$42.495 | &nbsp;&nbsp;-15.01% | &nbsp;&nbsp;-0.01176% |
| &nbsp;&nbsp;$40.000 | &nbsp;&nbsp;-20.00% | &nbsp;&nbsp;-5.88235% |
| &nbsp;&nbsp;$35.000 | &nbsp;&nbsp;-30.00% | &nbsp;&nbsp;-17.64705% |
| &nbsp;&nbsp;$30.000 | &nbsp;&nbsp;-40.00% | &nbsp;&nbsp;-29.41175% |
| &nbsp;&nbsp;$25.000 | &nbsp;&nbsp;-50.00% | &nbsp;&nbsp;-41.17645% |
| &nbsp;&nbsp;$20.000 | &nbsp;&nbsp;-60.00% | &nbsp;&nbsp;-52.94115% |
| &nbsp;&nbsp;$15.000 | &nbsp;&nbsp;-70.00% | &nbsp;&nbsp;-64.70585% |
| &nbsp;&nbsp;$10.000 | &nbsp;&nbsp;-80.00% | &nbsp;&nbsp;-76.47055% |
| &nbsp;&nbsp;$5.000 | &nbsp;&nbsp;-90.00% | &nbsp;&nbsp;-88.23525% |
| &nbsp;&nbsp;$0.000 | &nbsp;&nbsp;-100.00% | &nbsp;&nbsp;-100.00000% |

---

<br> JPMorgan Structured Investments — PS- 2 <br> Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF

**Hypothetical Examples of Amount Payable at Maturity**

The following examples illustrate how the payment at maturity in different hypothetical scenarios is calculated.

**Example 1: The price of one share of the Fund increases from the Initial Share Price of $50.00 to a Final Share Price of $51.25.** 

Because the Final Share Price of $51.25 is greater than the Initial Share Price of $50.00 and the Fund Return of 2.50% multiplied by 2.00 does not exceed the Maximum Return of 20.80%, the investor receives a payment at maturity of $1,050.00 per $1,000 principal amount note, calculated as follows:

$1,000 + ($1,000 × 2.50% × 2.00) = $1,050.00

**Example 2: The price of one share of the Fund decreases from the Initial Share Price of $50.00 to a Final Share Price of $42.50.**

Although the Fund Return is negative, because the Final Share Price of $42.50 is less than the Initial Share Price of $50.00 by up to the Buffer Amount of 15.00%, the investor receives a payment at maturity of $1,000.00 per $1,000 principal amount note.

**Example 3: The price of one share of the Fund increases from the Initial Share Price of $50.00 to a Final Share Price of $70.00.**

Because the Final Share Price of $70.00 is greater than the Initial Share Price of $50.00 and the Fund Return of 40.00% multiplied by 2.00 exceeds the Maximum Return of 20.80%, the investor receives a payment at maturity of $1,208.00 per $1,000 principal amount note, the maximum payment at maturity.

**Example 4: The price of one share of the Fund decreases from the Initial Share Price of $50.00 to a Final Share Price of $30.00.** 

Because the Final Share Price of $30.00 is less than the Initial Share Price of $50.00 by more than the Buffer Amount of 15.00% and the Fund Return is -40.00%, the investor receives a payment at maturity of $705.8825 per $1,000 principal amount note, calculated as follows:

$1,000 + [$1,000 × (-40.00% + 15.00%) × 1.17647] = $705.8825

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 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.

<br> JPMorgan Structured Investments — PS- 3 <br> Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF

**Selected Purchase Considerations**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **CAPPED APPRECIATION POTENTIAL** — The notes provide the opportunity to enhance equity returns by multiplying a positive Fund Return by 2.00, up to the Maximum Return
of at least 20.80%. The actual maximum payment at maturity will be provided in the pricing supplement and will not be less than $1,208.00
per $1,000 principal amount note. **Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.'s ability to pay its obligations as they become due.** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **LOSS OF PRINCIPAL BEYOND BUFFER AMOUNT** — We will pay you your principal back at maturity if the Final Share Price is equal to the Initial Share Price
or is less than the Initial Share Price by up to 15.00%. If the Final Share Price is less than the Initial Share Price by more than 15.00%,
for every 1% that the Final Share Price is less than the Initial Share Price by more than 15.00%, you will lose an amount equal to 1.17647%
of the principal amount of your notes. Accordingly, you may lose some or all of your principal amount at maturity.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **RETURN LINKED TO THE ISHARES<sup>®</sup> MSCI CHINA ETF** — The iShares<sup>®</sup> MSCI China ETF is an exchange-traded fund that seeks to track the investment results,
before fees and expenses, of the MSCI China Index (the "Underlying Index"), an equity index that is designed to measure the
performance of Chinese equities that are available to international investors. For more information on the Fund and the Underlying Index,
please see "Equity Index Descriptions—The MSCI Indices" and "Fund Descriptions—The iShares<sup>®</sup>
ETFs" in the accompanying underlying supplement no. 1-II and Annex A in this pricing supplement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **TAX TREATMENT** —
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-II. The following discussion, when read in combination with that section, constitutes the full opinion of our special
tax counsel, Latham & Watkins LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.

Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes 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, subject to the possible application of the "constructive ownership" rules, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. The notes could be treated as "constructive ownership transactions" within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would otherwise be long-term capital gain and that was in excess of the "net underlying long-term capital gain" (as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over your holding period for the notes. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules.

The IRS or a court may not respect the treatment of the notes described above, in which case the timing and character of any income or loss on your notes 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 described above. 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 notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including the potential application of the constructive ownership rules, possible alternative treatments and the issues presented by this notice.

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 (such an index, a "Qualified Index"). 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 notes 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

<br> JPMorgan Structured Investments — PS- 4 <br> Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF

information regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes. Withholding under legislation commonly referred to as "FATCA" may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note, although under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization), no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax adviser regarding the potential application of FATCA to the notes..

**Selected Risk Considerations**

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Fund, the Underlying Index or any of the component securities of the Fund or the Underlying Index. These risks are explained in more detail in the "Risk Factors" sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement.

**Risks Relating to the Notes Generally**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS** — The
notes do not guarantee any return of principal. The return on the notes at maturity is linked to the performance of the Fund and will
depend on whether, and the extent to which, the Fund Return is positive or negative. Your investment will be exposed to a loss on a leveraged
basis if the Final Share Price is less than the Initial Share Price by more than 15.00%. For every 1% that the Final Share Price is less
than the Initial Share Price by more than 15.00%, you will lose an amount equal to 1.17647% of the principal amount of your notes. Accordingly,
you may lose some or all of your principal amount at maturity.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN** — If the Final Share Price is greater than the Initial Share Price, for each $1,000 principal amount
note, you will receive at maturity $1,000 *plus* an additional return that will not exceed the Maximum Return of 20.80%, regardless
of the appreciation of the Fund, which may be significant.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.** — The notes are subject to our and JPMorgan Chase & Co.'s credit risks, and our and JPMorgan Chase & Co.'s credit
ratings and credit spreads may adversely affect the market value of the notes. 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS** — As a
holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or
other distributions or other rights that holders of the securities included in the Fund would have.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **LACK OF LIQUIDITY** — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but
is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes
easily. Because other dealers are not likely to make a secondary market for the notes, 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **VOLATILITY RISK** —
Greater expected volatility with respect to the Fund indicates a greater likelihood as of the Pricing Date that the Final Share Price
could be less than the Initial Share Price by more than the Buffer Amount. The Fund's volatility, however, can change significantly
over the term of the notes. The price of one share of the Fund could fall sharply during the term of the notes, which could result
in your losing some or all of your principal amount at maturity.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT** — The final terms of the notes will be based on relevant market conditions
when the terms of the notes are set and will be provided in the pricing supplement. In particular, each of the estimated value of the
notes and the Upside Leverage Factor will be provided in the pricing supplement and each may be as low as the minimums for the estimated
value of the notes and the Upside Leverage Factor set forth on the cover of this pricing supplement. Accordingly, you should consider
your potential investment in the notes based on the minimums for the estimated value of the notes and the Upside Leverage Factor.

<br> JPMorgan Structured Investments — PS- 5 <br> Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF

**Risks Relating to Conflicts of Interest**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **POTENTIAL CONFLICTS** — We and our affiliates play a variety
of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes,
hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value
of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. 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 notes. 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 notes and the value of 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 for additional information about these risks.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **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 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS' ESTIMATES** — The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market
conditions and other relevant factors existing at that time 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 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. See
"The Estimated Value of the Notes" in this pricing supplement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **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.
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. 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).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **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 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. See the immediately following risk
consideration for information about additional factors that will impact any secondary market prices of the 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. See "— Lack of Liquidity" below.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **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

<br> JPMorgan Structured Investments — PS- 6 <br> Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF

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 price of one share of the Fund.

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 Fund**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **THERE ARE RISKS ASSOCIATED WITH THE FUND** — Although the
shares of the Fund are listed for trading on a securities exchange and a number of similar products have been traded on securities exchanges
for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Fund or that there
will be liquidity in the trading market. The Fund is subject to management risk, which is the risk that the investment strategies of the
Fund's investment adviser, 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 shares of the Fund, and consequently, the value of the notes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND'S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE** — The Fund does not fully replicate its Underlying Index and may hold securities
different from those included in its Underlying Index. In addition, the performance of the Fund will reflect additional transaction costs
and fees that are not included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between
the performance of the Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying
the Fund (such as mergers and spin-offs) may impact the variance between the performances of the Fund and its Underlying Index. Finally,
because the shares of the Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value
of one share of the Fund may differ from the net asset value per share of the Fund.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUND** — The equity securities held by the Fund have been issued by non-U.S. companies. Investments in 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **EMERGING MARKETS RISK WITH RESPECT TO THE FUND** — The equity securities held by the Fund have been issued by non-U.S. companies located in an emerging
markets country (China). 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND** — Because the prices of the equity securities held by the Fund are converted
into U.S. dollars for purposes of calculating the net asset value of the Fund, your notes will be exposed to currency exchange rate risk
with respect to each of the currencies in which the equity securities held by the Fund trade. Your net exposure will depend on the extent
to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of the equity securities held by the Fund
denominated in those currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies,
the price of the Fund will be adversely affected and any payment on the notes may be reduced. Of particular importance to potential
currency exchange risk are:

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

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

<br> JPMorgan Structured Investments — PS- 7 <br> Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED** — The calculation agent will make adjustments to the Share Adjustment Factor for certain events affecting
the shares of the Fund. However, the calculation agent will not make an adjustment in response to all events that could affect the shares
of the Fund. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially
and adversely affected.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· **EXECUTIVE ORDERS, GOVERNMENTAL LEGISLATIVE AND REGULATORY ACTIONS, INCLUDING SANCTIONS, COULD ADVERSELY AFFECT YOUR INVESTMENT IN THE NOTES** - Executive orders,
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 notes or the Fund, or engaging in transactions in them, and any such action
could adversely affect the value of the notes or the Fund. These executive, legislative and regulatory actions could result in restrictions
on the notes. You may lose a significant portion or all of your initial investment in the notes if you are forced to divest the notes
due to the government mandates, especially if such divestment must be made at a time when the value of the notes has declined.

**Historical Information**

The following graph sets forth the historical performance of the Fund based on the weekly historical closing prices of one share of the Fund from January 5, 2018 through January 13, 2023. The closing price of one share of the Fund on January 17, 2023 was $53.22.

We obtained the closing prices above and below from the Bloomberg Professional<sup>®</sup> service ("Bloomberg"), without independent verification. The closing prices above and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits. The historical prices of one share of the Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of the Fund on the Pricing Date or any Ending Averaging Date. There can be no assurance that the performance of the Fund will result in the return of any of your principal amount.

![](image_002.jpg)

**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

<br> JPMorgan Structured Investments — PS- 8 <br> Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF

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. See "Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others' Estimates" in this pricing supplement.

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. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes. 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 "What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Fund?" and "Hypothetical Examples of Amount Payable at Maturity" in this pricing supplement for an illustration of the risk-return profile of the notes and "Selected Purchase Considerations — Return Linked to the iShares<sup>®</sup> MSCI China ETF" 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.

<br> JPMorgan Structured Investments — PS- 9 <br> Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF

**Annex A**

**The MSCI China Index**

The MSCI China Index is a free float-adjusted market capitalization weighted index that is designed to measure the performance of equity securities in the top 85% in market capitalization of the Chinese equity securities markets, as represented by the H-shares (securities of companies incorporated in the People's Republic of China ("PRC") that are denominated in Hong Kong dollars and listed on the Stock Exchange of Hong Kong) and B-shares (securities of companies incorporated in the PRC that are denominated in U.S. dollars (in the case of the Shanghai Stock Exchange ("SSE")) or Hong Kong dollars (in the case of the Shenzhen Stock Exchange ("SZSE")) and listed on the SSE and the SZSE) markets. The Underlying Index also includes certain Hong Kong listed securities known as Red-Chips (issued by companies incorporated in certain foreign jurisdictions, which are controlled, directly or indirectly, by entities owned by the national government or local governments in the PRC and derive substantial revenues or allocate substantial assets in the PRC) and P-Chips (issued by companies incorporated in certain foreign jurisdictions, which are controlled, directly or indirectly, by individuals in the PRC and derive substantial revenues or allocate substantial assets in the PRC). As of August 31, 2022, the Underlying Index also includes A-shares (securities of companies incorporated in the PRC that are denominated in renminbi and listed on the SSE and the SZSE). As of August 31, 2022, approximately 21.18% of the Underlying Index was invested in H-shares, 5.59% in Red-Chips, 47.76% in P-Chips, 16.24% in A-shares, 0.28% in B-shares and 8.94% in foreign listed securities. The Underlying Index includes large- and mid-capitalization companies and may change over time. As of August 31, 2022, a significant portion of the Underlying Index is represented by securities of companies in the communication services, consumer discretionary and financials industries or sectors. The components of the Underlying Index are likely to change over time. The MSCI China Index is maintained using the MSCI Global Investable Market Indexes methodology under the Emerging Market framework.

<br> JPMorgan Structured Investments — PS- 10 <br> Capped Buffered Return Enhanced Notes Linked to the iShares<sup>®</sup> MSCI China ETF