# EDGAR Filing Document

**Accession Number:** 0000019617
**File Stem:** 0001213900-23-012876
**Filing Date:** 2023-2
**Character Count:** 55723
**Document Hash:** bc3e7d8381b8d48fc45b743045e12def
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001213900-23-012876.hdr.sgml**: 20230217

**ACCESSION NUMBER**: 0001213900-23-012876

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 4

**FILED AS OF DATE**: 20230217

**DATE AS OF CHANGE**: 20230217

**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:** 23642895

**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:** 23642897

**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 17, 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

Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar due February 23, 2024

Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.

&nbsp;&nbsp;&nbsp;&nbsp;· The notes are designed for investors who seek capped exposure to any appreciation of the European Union euro relative to the U.S.
dollar, as reflected in the Reference Currency Return as described in this pricing supplement, at maturity. The Reference Currency Return
is subject to an embedded cap of approximately 100.00%, and the method of calculating the Reference Currency Return will diminish any
appreciation of the European Union euro relative to the U.S. dollar. Please see "How Do Exchange Rates and the Reference Currency
Return Formula Work?", "Selected Risk Considerations — Risks Relating to the Notes — Your Notes Are Subject to
an Embedded Maximum Payment at Maturity" and "Selected Risk Considerations — Risks Relating to the Notes — The
Method of Calculating the Reference Currency Return Will Diminish Any Appreciation of the Reference Currency Relative to the Base Currency"
for more information.

&nbsp;&nbsp;&nbsp;&nbsp;· Investors should be willing to forgo interest 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 17, 2023 (the "Pricing Date") and are expected to settle on or about
February 23, 2023. **The Strike Value has been determined by reference to certain intraday exchange rates of the European Union euro relative to the U.S. dollar that occurred on February 15, 2023 (the "Strike Date") and not by reference to the Spot Rate on the Strike Date or the Pricing Date**.

&nbsp;&nbsp;&nbsp;&nbsp;· CUSIP: 48133U3Y6

**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-11 of the accompanying product supplement and "Selected Risk Considerations" beginning on page PS-4 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, 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 $984.00 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 $982.50 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. 2-II dated November 4, 2020 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.**

**Guarantor: JPMorgan Chase & Co.**

**Reference Currency: The European Union euro (EUR)**

**Base Currency: The U.S. dollar (USD)**

**Participation Rate: At least 100.00% (to be provided in the pricing supplement)**

**Strike Date:** February 15, 2023

**Pricing Date:** On or about February 17, 2023

**Original Issue Date (Settlement Date): On or about February 23, 2023**

**Observation Date\*: February 20, 2024**

**Maturity Date\*: February 23, 2024**

**Spot Rate: The Spot Rate on any relevant day is expressed as a number of U.S. dollars per one European Union euro and is equal to the U.S. dollar per one European Union euro exchange rate as reported by Refinitiv Ltd. ("Refinitiv") on page USDEURFIXM=WM (or any successor page) at approximately 10:00 a.m., New York City time, on that day.**

**Currency Business Day: A "currency business day," with respect to the Reference Currency relative to the Base Currency, means a day, as determined by the calculation agent, on which (a) dealings in foreign currency in accordance with the practice of the foreign exchange market occur in the City of New York and the principal financial center for the Reference Currency (which is Frankfurt, Germany), (b) banking institutions in the City of New York and that principal financial center are not otherwise authorized or required by law, regulation or executive order to close and (c) the Trans-European Automated Real-time Gross Settlement Express Transfer System (TARGET2) is open.**

\* 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 Reference Currency Relative to a Single Base Currency" and "General Terms of Notes — Postponement of a Payment Date" in the accompanying product supplement

**Payment at Maturity:**

At maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 *plus* the Additional Amount, which may be zero and will not be greater than the effective cap of at least $1,000.00 per $1,000 principal amount note.

*Because of the effective cap on the Reference Currency Return of approximately 100.00%, assuming a Participation Rate of 100.00%, the maximum payment at maturity is $2,000.00 per $1,000 principal amount note.*

*You are entitled to repayment of principal in full at maturity, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.*

**Additional Amount:** The Additional Amount payable at maturity per $1,000 principal amount note will equal:

$1,000 + ($1,000 × Reference Currency Return × Participation Rate),

*provided* that the Additional Amount will not be less than zero or greater than the effective cap of at least $1,000.00 per $1,000 principal amount note.

**Reference Currency Return:**

<u>(Final Value – Strike Value)</u><br> Final Value

***The Reference Currency Return is effectively capped at approximately 100.00%.*** *Please see "How Do Exchange Rates and the Reference Currency Return Formula Work?", "Selected Risk Considerations — Risks Relating to the Notes — Your Notes Are Subject to an Embedded Maximum Payment at Maturity" and "Selected Risk Considerations — Risks Relating to the Notes — The Method of Calculating the Reference Currency Return Will Diminish Any Appreciation of the Reference Currency Relative to the Base Currency" for more information.*

**Strike Value: 1.06810, which is an exchange rate of the European Union euro relative to the U.S. dollar, expressed as a number of U.S. dollars per one European Union euro, determined in the sole discretion of the calculation agent by reference to certain intraday exchange rates of the European Union euro relative to the U.S. dollar on the Strike Date. The Strike Value is *not* the Spot Rate on the Strike Date or the Pricing Date. See "Selected Risk Considerations — Potential Conflicts" in this pricing supplement for more information.**

**Final Value: The Spot Rate on the Observation Date**

---

| | |
|:---|:---|
| PS-1 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

---

**How Do Exchange Rates and the Reference Currency Return Formula Work?**

Exchange rates reflect the amount of one currency that can be exchanged for a unit of another currency. The Spot Rate is expressed as the number of U.S. dollars per one European Union euro.

As a result, an **increase** in the Spot Rate from the Strike Value to the Final Value means that the European Union euro has **appreciated / strengthened** relative to the U.S. dollar from the Strike Value to the Final Value. This means that it would take more U.S. dollars to purchase one European Union euro on the Observation Date than it did on the Strike Date. Viewed another way, one U.S. dollar could purchase fewer European Union euros on the Observation Date than it could on the Strike Date.

Conversely, a **decrease** in the Spot Rate from the Strike Value to the Final Value means that the European Union euro has **depreciated / weakened** relative to the U.S. dollar from the Strike Value to the Final Value. This means that one U.S. dollar could purchase more European Union euros on the Observation Date than it could on the Strike Date. Viewed another way, it would take fewer U.S. dollars to purchase one European Union euro on the Observation Date than it did on the Strike Date.

The Reference Currency Return reflects the return of the European Union euro relative to the U.S. dollar from the Strike Value to the Final Value, calculated using the formula set forth above under "Key Terms — Reference Currency Return." While the Reference Currency Return for purposes of the notes is determined using the formula set forth above under "Key Terms — Reference Currency Return," there are other reasonable ways to determine the return of the European Union euro relative to the U.S. dollar that would provide different results. For example, another way to calculate the return of the European Union euro relative to the U.S. dollar would be to calculate the return that would be achieved by converting U.S. dollars into European Union euros at the Strike Value on the Strike Date and then, on the Observation Date, converting back into U.S. dollars at the Final Value. In this pricing supplement, we refer to the return of the European Union euro relative to the U.S. dollar calculated using that method, which is not used for purposes of the notes, as a "conversion return."

As demonstrated by the examples below, under the Reference Currency Return formula, any appreciation of the European Union euro relative to the U.S. dollar will be diminished, as compared to a conversion return. In addition, the diminishing effect on any appreciation of the European Union euro relative to the U.S. dollar increases as the Reference Currency Return increases. Accordingly, your return on the notes may be less than if you had invested in similar notes that reflected conversion returns.

The following examples assume a Strike Value of 1.10 for the European Union euro relative to the U.S. dollar.

**Example 1: The European Union euro strengthens from the Strike Value of 1.10 to the Final Value of 1.21.**

The Reference Currency Return is equal to 9.09%, calculated as follows:

(1.21 – 1.10) / 1.21 = 9.09%

By contrast, if the return on the European Union euro were determined using a conversion return, the return would be 10.00%.

**Example 2: The European Union euro strengthens from the Strike Value of 1.10 to the Final Value of 110.00.**

The Reference Currency Return is equal to 99.00%, which demonstrates the effective cap of approximately 100.00% on the Reference Currency Return, calculated as follows:

(110.00 – 1.10) / 110.00 = 99.00%

By contrast, if the return on the European Union euro were determined using a conversion return, which would not be subject to the effective cap of approximately 100.00%, the return would be 9,900.00%.

As Examples 1 and 2 above demonstrate, the diminishing effect on any appreciation of the European Union euro relative to the U.S. dollar increases as the Reference Currency Return increases.

**Example 3: The European Union euro weakens from the Strike Value of 1.10 to the Final Value of 0.99.**

The Reference Currency Return is equal to -11.11%, calculated as follows:

(0.99 – 1.10) / 0.99 = -11.11%

The hypothetical Strike Value, Final Values and Reference Currency Returns set forth above are for illustrative purposes only and have been rounded for ease of analysis.

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| | |
|:---|:---|
| PS-2 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

---

**Hypothetical Payout Profile**

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

· a Strike Value of 1.10; and

· a Participation Rate of 100.00%;

The hypothetical Strike Value of 1.10 has been chosen for illustrative purposes only and does not represent the actual Strike Value. The actual Strike Value has been determined on the Strike Date in the sole discretion of the calculation agent and is specified under "Key Terms — Strike Value" in this pricing supplement. For historical data regarding the actual Spot Rates, please see the historical information set forth under "The Reference Currency" 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.

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;Final Value | Reference Currency<br> Return | Reference Currency<br> Return × Participation<br> Rate (100%) | Additional Amount | Payment at Maturity |
| &nbsp;&nbsp;22.00000 | 95.00% | 95.00% | $950.00 | $1950.00 |
| &nbsp;&nbsp;11.00000 | 90.00% | 90.00% | $900.00 | $1900.00 |
| &nbsp;&nbsp;5.50000 | 80.00% | 80.00% | $800.00 | $1800.00 |
| &nbsp;&nbsp;3.14286 | 65.00% | 65.00% | $650.00 | $1650.00 |
| &nbsp;&nbsp;2.20000 | 50.00% | 50.00% | $500.00 | $1500.00 |
| &nbsp;&nbsp;1.83333 | 40.00% | 40.00% | $400.00 | $1400.00 |
| &nbsp;&nbsp;1.57143 | 30.00% | 30.00% | $300.00 | $1300.00 |
| &nbsp;&nbsp;1.37500 | 20.00% | 20.00% | $200.00 | $1200.00 |
| &nbsp;&nbsp;1.22222 | 10.00% | 10.00% | $100.00 | $1100.00 |
| &nbsp;&nbsp;1.15789 | 5.00% | 5.00% | $50.00 | $1050.00 |
| &nbsp;&nbsp;1.11111 | 1.00% | 1.00% | $10.00 | $1010.00 |
| &nbsp;&nbsp;1.10000 | 0.00% | 0.00% | $0.00 | $1000.00 |
| &nbsp;&nbsp;1.04762 | -5.00% | N/A | $0.00 | $1000.00 |
| &nbsp;&nbsp;1.00000 | -10.00% | N/A | $0.00 | $1000.00 |
| &nbsp;&nbsp;0.91667 | -20.00% | N/A | $0.00 | $1000.00 |
| &nbsp;&nbsp;0.84615 | -30.00% | N/A | $0.00 | $1000.00 |
| &nbsp;&nbsp;0.78571 | -40.00% | N/A | $0.00 | $1000.00 |
| &nbsp;&nbsp;0.73333 | -50.00% | N/A | $0.00 | $1000.00 |
| &nbsp;&nbsp;0.68750 | -60.00% | N/A | $0.00 | $1000.00 |
| &nbsp;&nbsp;0.64706 | -70.00% | N/A | $0.00 | $1000.00 |
| &nbsp;&nbsp;0.61111 | -80.00% | N/A | $0.00 | $1000.00 |
| &nbsp;&nbsp;0.57895 | -90.00% | N/A | $0.00 | $1000.00 |
| &nbsp;&nbsp;0.55000 | -100.00% | N/A | $0.00 | $1000.00 |

---

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| | |
|:---|:---|
| PS-3 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

---

The following graph demonstrates the hypothetical payments at maturity on the notes for a sub-set of Reference Currency 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**

**Upside Scenario:**

If the Reference Currency Return is positive (*i.e.* the European Union euro appreciates relative to the U.S. dollar from the Strike Value to the Final Value), investors will receive at maturity the $1,000 principal amount *plus* the Additional Amount, which is equal to $1,000 *times* the Reference Currency Return *times* the Participation Rate of at least 100.00%.

· Assuming a hypothetical Participation Rate of 100.00%, if the Reference
Currency Return is 5.00%, investors will receive at maturity a 5.00% return, or $1,050.00 per $1,000 principal amount note.

**Par Scenario:**

If the Reference Currency Return is zero (*i.e.* the European Union euro is flat relative to the U.S. dollar from the Strike Value to the Final Value) or negative (*i.e.* the European Union euro depreciates relative to the U.S. dollar from the Strike Value to the Final Value), the Additional Amount will be zero and 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 and product supplement.

**Risks Relating to the Notes Generally**

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

If the Reference Currency Return is zero (*i.e.* the European Union euro is flat relative to the U.S. dollar from the Strike Value to the Final Value) or negative (*i.e.* the European Union euro depreciates relative to the U.S. dollar from the Strike Value to the Final 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.

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| | |
|:---|:---|
| PS-4 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

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· 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.

· **THE REFERENCE CURRENCY RETURN IS SUBJECT TO AN EMBEDDED MAXIMUM RETURN —** 

Because the Reference Currency Return is expressed as (a) the Final Value *minus* the Strike Value *divided* by (b) the Final Value, the Reference Currency Return is subject to an embedded maximum return. In no event will the Currency Return exceed 100.00%. Accordingly, assuming a Participation Rate of 100.00%, the payment at maturity will not exceed $2,000.00 per $1,000 principal amount note.

· **THE METHOD OF CALCULATING THE REFERENCE CURRENCY RETURN WILL DIMINISH ANY APPRECIATION OF THE REFERENCE CURRENCY RELATIVE TO THE BASE CURRENCY —** 

The Reference Currency Return reflects the return of the European Union euro relative to the U.S. dollar from the Strike Value to the Final Value, calculated using the formula set forth above under "Key Terms — Reference Currency Return." While the Reference Currency Return for purposes of the notes is determined using the formula set forth above under "Key Terms — Reference Currency Return," there are other reasonable ways to determine the return of the European Union euro relative to the U.S. dollar that would provide different results. For example, another way to calculate the return of the European Union euro relative to the U.S. dollar would be to calculate the return that would be achieved by converting U.S. dollars into European Union euro at the Strike Value on the Strike Date and then, on the Observation Date, converting back into U.S. dollars at the Final Value. In this pricing supplement, we refer to the return of the European Union euro relative to the U.S. dollar calculated using that method, which is not used for purposes of the notes, as a "conversion return."

Under the Reference Currency Return formula, any appreciation of the European Union euro relative to the U.S. dollar will be diminished, as compared to a conversion return. In addition, the diminishing effect on any appreciation of the European Union euro relative to the U.S. dollar increases as the Reference Currency Return increases. Accordingly, your return on the notes may be less than if you had invested in similar notes that reflected conversion returns. See "How Do Exchange Rates and the Reference Currency Return Work?" in this pricing supplement for more information.

· THE NOTES DO NOT PAY INTEREST.

· THE NOTES MIGHT NOT PAY AS MUCH AS A DIRECT INVESTMENT IN THE REFERENCE CURRENCY —

You may receive a lower payment at maturity than you would have received if you had invested directly in the European Union euro or contracts related to the European Union euro for which there is an active secondary market.

· 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 Participation Rate.

**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

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| | |
|:---|:---|
| PS-5 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

---

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.

In addition, although the calculation agent has made all determinations and has taken all actions in relation to the establishment of the Strike Value in good faith, it should be noted that such discretion could have an impact (positive or negative) on the value of your notes. The calculation agent is under no obligation to consider your interests as a holder of the notes in taking any actions, including the determination of the Strike Value, that may affect the value of your notes.

**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 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 value of the Reference Currency relative to the Base Currency. 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 —

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| PS-6 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

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Secondary market prices of the notes will be impacted by many economic and market factors" in the accompanying product supplement.

**Risks Relating to the Reference Currency**

· THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK —

Foreign currency exchange rates vary over time, and may vary considerably during the term of the notes. The value of the U.S. dollar or the European Union euro is at any moment a result of the supply and demand for that currency. Changes in foreign currency exchange rates result over time from the interaction of many factors directly or indirectly affecting economic and political conditions in the member countries of the European Union and the United States, and other relevant countries or regions.

Of particular importance to potential currency exchange risk are:

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the balance of payments in the member countries of the European Union and the United States,
and between each country and its major trading partners;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· political, civil or military unrest in the member countries of the European Union and the United
States; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the extent of governmental surplus or deficit in the member countries of the European Union
and the United States.

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

· **GOVERNMENTAL INTERVENTION COULD MATERIALLY AND ADVERSELY AFFECT THE VALUE OF THE NOTES —** Foreign exchange rates can be fixed by the sovereign government, allowed to float within a range
of exchange rates set by the government or left to float freely. Governments, including those of the European Union, the member countries
of the European Union and the United States, use a variety of techniques, such as intervention by their central bank or imposition of
regulatory controls or taxes, to affect the exchange rates of their respective currencies. They may also issue a new currency to replace
an existing currency, fix the exchange rate or alter the exchange rate or relative exchange characteristics by devaluation or revaluation
of a currency. Thus, a special risk in purchasing the notes is that their trading value and amount payable could be affected by the actions
of sovereign governments, fluctuations in response to other market forces and the movement of currencies across borders.

· **EVEN THOUGH THE REFERENCE CURRENCY AND THE U.S. DOLLAR TRADE AROUND-THE-CLOCK, THE NOTES WILL NOT —** 

Because the inter-bank market in foreign currencies is a global, around-the-clock market, the hours of trading for the notes, if any, will not conform to the hours during which the European Union euro and the U.S. dollar are traded. Consequently, significant price and rate movements may take place in the underlying foreign exchange markets that will not be reflected immediately in the price of the notes. Additionally, there is no systematic reporting of last-sale information for foreign currencies which, combined with the limited availability of quotations to individual investors, may make it difficult for many investors to obtain timely and accurate data regarding the state of the underlying foreign exchange markets.

· **CURRENCY EXCHANGE RISKS CAN BE EXPECTED TO HEIGHTEN IN PERIODS OF FINANCIAL TURMOIL —** 

In periods of financial turmoil, capital can move quickly out of regions that are perceived to be more vulnerable to the effects of the crisis than others with sudden and severely adverse consequences to the currencies of those regions. In addition, governments around the world, including the governments of the European Union, the member countries of the European Union and the United States and governments of other major world currencies, have recently made, and may be expected to continue to make, very significant interventions in their economies, and sometimes directly in their currencies. Such interventions affect currency exchange rates globally and, in particular, the value of the European Union euro relative to the U.S. dollar. Further interventions, other government actions or suspensions of actions, as well as other changes in government economic policy or other financial or economic events affecting the currency markets, may cause currency exchange rates to fluctuate sharply in the future, which could have a material adverse effect on the value of the notes and your return on your investment in the notes at maturity.

· **CURRENCY MARKET DISRUPTIONS MAY ADVERSELY AFFECT YOUR RETURN —** 

The calculation agent may, in its sole discretion, determine that the currency markets have been affected in a manner that prevents it from properly determining, among other things, the Spot Rate and the Reference Currency Return. These events may include disruptions or suspensions of trading in the currency markets as a whole, and could be a Convertibility Event, a Deliverability Event, a Liquidity Event, a Taxation Event, a Discontinuity Event or a Price Source Disruption Event. See "The Underlyings —

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| PS-7 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

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Currencies — Market Disruption Events for a Reference Currency Relative to a Base Currency" in the accompanying product supplement for further information on what constitutes a market disruption event.

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| PS-8 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

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**The Spot Rate**

The Spot Rate on any relevant day is expressed as a number of U.S. dollars per one European Union euro and is equal to the U.S. dollar per one European Union euro exchange rate as reported by Refinitiv on page USDEURFIXM=WM (or any successor page) at approximately 10:00 a.m., New York City time, on that day.

**Historical Information**

The following graph sets forth the historical performance of the European Union euro relative to the U.S. dollar, expressed in terms of the conventional market quotation (*i.e.*, the amount of U.S. dollars that can be exchanged for one European Union euro, which we refer to in this pricing supplement as the exchange rate) as shown on the Bloomberg Professional<sup>®</sup> service ("Bloomberg"), from January 5, 2018 through February 10, 2023. The Spot Rate on February 15, 2023 was 1.06705, calculated in the manner set forth under "Key Terms — Spot Rate" in this pricing supplement.

The exchange rates displayed in the graphs below are for illustrative purposes only and do not form part of the calculation of the Reference Currency Return. **The Reference Currency Return increases when the European Union euro appreciates in value against the U.S. dollar.**

The historical exchange rates used to plot the graph below were determined using the exchange rates reported by Bloomberg, without independent verification, and may not be indicative of the Spot Rate that would be derived from the applicable Refinitiv page. The historical Spot Rate above and the exchange rates displayed in the graph below should not be taken as an indication of future performance, and no assurance can be given as to the Spot Rate on the Observation Date. There can be no assurance that the performance of the European Union euro relative to the U.S. dollar 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)

**Treatment as Short-Term Obligations**

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 Treated as Debt Instruments That Have a Term of Not More than One Year," in the accompanying product supplement no. 2-II. In the opinion of our special tax counsel, Davis Polk & Wardwell LLP, the notes will be treated as "short-term obligations" for U.S. federal income tax purposes as described in the section entitled "Material U.S. Federal Income Tax Consequences— Tax Consequences to U.S. Holders —Notes Treated as Debt Instruments That Have a Term of Not More than One Year" in the accompanying product supplement. No statutory, judicial or administrative authority directly addresses the treatment of the notes or instruments similar to the notes for U.S. federal income tax purposes, and no ruling is being requested from the Internal Revenue Service with respect to the notes. As a result, certain aspects of the tax treatment of an investment in the notes are uncertain. If you hold your notes to maturity, any gain you realize should be treated as ordinary income. As discussed in the accompanying product supplement, it is unclear whether the notes are subject to the rules of Section 988 of the Code and, if so, the extent to which any gain or loss recognized with respect to accruals of interest on, or upon a disposition of, notes could be characterized as ordinary foreign currency gain or loss. Any foreign currency losses on the notes in excess of a certain threshold would

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| PS-9 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

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be subject to special reporting requirements. You should discuss the possible application of these rules with your tax adviser. 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 the notes at the issue price should consult their tax advisers with respect to the tax consequences of an investment in the notes.

The discussion in the preceding paragraph, 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 Treated as Debt Instruments That Have a Term of Not More than One Year") in the accompanying product supplement, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.

**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, 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.

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

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| PS-10 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

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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 Spot Rate" 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. 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 prospectus supplement and the accompanying product 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):

· Product supplement no. 2-II dated November 4, 2020:<br> [http://www.sec.gov/Archives/edgar/data/19617/000095010320021465/crt_dp139320-424b2.pdf](http://www.sec.gov/Archives/edgar/data/19617/000095010320021465/crt_dp139320-424b2.pdf)

· 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-11 \| Structured Investments<br> Capped Notes Linked to the Performance of the European Union Euro Relative to the U.S. Dollar | ![](image_001.jpg) |

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