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JPMORGAN CHASE CO

Date Filed : Sep 19, 2023

424B21ea161913_424b2.htmPRELIMINARY PRICING SUPPLEMENT

The information in this preliminarypricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek anoffer to buy these securities in any jurisdiction where the offer or sale is not permitted.

Subject to completion dated September15, 2023

September    , 2023

Registration StatementNos. 333-270004 and 333-270004-01; Rule 424(b)(2)

 

JPMorganChase Financial Company LLC
Structured Investments

Auto Callable Contingent Interest Notes Linked to theCommon Stock of General Motors Company due September 23, 2027

Fullyand Unconditionally Guaranteed by JPMorgan Chase & Co.

The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the closingprice of one share of the Reference Stock is greater than or equal to 60.00% of the Initial Value, which we refer to as the Interest Barrier.
If the closing price of one share of the Reference Stock is greater than or equal to the Interest Barrier on any Review Date, investorswill receive, in addition to the Contingent Interest Payment with respect to that Review Date, any previously unpaid Contingent InterestPayments for prior Review Dates.
The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than thefirst, second, third and final Review Dates) is greater than or equal to the Initial Value.
The earliest date on which an automatic call may be initiated is September 20, 2024.
Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Paymentmay be made with respect to some or all Review Dates.
Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive ContingentInterest Payments.
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 subjectto the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantorof the notes.
Minimum denominations of $1,000 and integral multiples thereof
The notes are expected to price on or about September 20, 2023 and are expected to settle on or about September 25, 2023.
CUSIP: 48134AN27

 

Investing in the notes involves a number of risks. See “RiskFactors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-11 ofthe accompanying product 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 pricingsupplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminaloffense.

  Price to Public (1)(2) Fees and Commissions (2)(3) Proceeds to Issuer
Per note $1,000 $ $
Total $ $ $

(1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.

(2) With respect to notes sold to certain fee based advisory accounts for which an affiliated or unaffiliated broker dealer is an investment adviser, the price to the public will not be lower than $969.00 per $1,000 principal amount note. J.P. Morgan Securities LLC, which we refer to as JPMS, and these broker dealers will forgo any selling commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.

(3) With respect to notes sold to brokerage accounts, 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 $31.00 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.

If the notes priced today, the estimatedvalue of the notes would be approximately $951.10 per $1,000 principal amount note. The estimated value of the notes, when the terms ofthe notes are set, will be provided in the pricing supplement and will not be less than $940.00 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 notinsured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, abank.

 

Pricing supplement to product supplement no. 4-I datedApril 13, 2023 and the prospectus and prospectus supplement, each dated April 13, 2023

 
 

Key Terms

Issuer: JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.

Guarantor: JPMorgan Chase & Co.

Reference Stock: The common stock of General Motors Company, par value $0.01 per share (Bloomberg ticker: GM). We refer to General Motors Company as “GM”.

Contingent Interest Payments:

If the notes have not been automatically called and the closing price of one share of the Reference Stock on any Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at least $25.375 (equivalent to a Contingent Interest Rate of at least 10.15% per annum, payable at a rate of at least 2.5375% per quarter) (to be provided in the pricing supplement), plus any previously unpaid Contingent Interest Payments for any prior Review Dates.

If the Contingent Interest Payment is not paid on any Interest Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing price of one share of the Reference Stock on the Review Date related to that later Interest Payment Date is greater than or equal to the Interest Barrier. You will not receive any unpaid Contingent Interest Payments if the closing price of one share of the Reference Stock on each subsequent Review Date is less than the Interest Barrier.

Contingent Interest Rate: At least 10.15% per annum, payable at a rate of at least 2.5375% per quarter (to be provided in the pricing supplement)

Interest Barrier/Trigger Value: 60.00% of the Initial Value

Pricing Date: On or about September 20, 2023

Original Issue Date (Settlement Date): On or about September 25, 2023

Review Dates*: December 20, 2023, March 20, 2024, June 20, 2024, September 20, 2024, December 20, 2024, March 20, 2025, June 20, 2025, September 22, 2025, December 22, 2025, March 20, 2026, June 22, 2026, September 21, 2026, December 21, 2026, March 22, 2027, June 21, 2027 and September 20, 2027 (final Review Date)

Interest Payment Dates*: December 26, 2023, March 25, 2024, June 25, 2024, September 25, 2024, December 26, 2024, March 25, 2025, June 25, 2025, September 25, 2025, December 26, 2025, March 25, 2026, June 25, 2026, September 24, 2026, December 24, 2026, March 25, 2027, June 24, 2027 and the Maturity Date

Maturity Date*: September 23, 2027

Call Settlement Date*: If the notes are automatically called on any Review Date (other than the first, second, third and final Review Dates), the first Interest Payment Date immediately following that Review Date

* Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement

 

Automatic Call:

If the closing price of one share of the Reference Stock on any Review Date (other than the first, second, third and final Review Dates) is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date. No further payments will be made on the notes.

Payment at Maturity:

If the notes have not been automatically called and the Final Value is greater than or equal to the Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates.

If the notes have not been automatically called and the Final Value is less than the Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:

$1,000 + ($1,000 × Stock Return)

If the notes have not been automatically called and the Final Value is less than the Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.

Stock Return:

(Final Value – Initial Value)
Initial Value

Initial Value: The closing price of one share of the Reference Stock on the Pricing Date

Final Value: The closing price of one share of the Reference Stock on the final Review Date

Stock Adjustment Factor: The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further information.

PS-1| Structured Investments

Auto Callable Contingent Interest Notes Linked to the Common Stock of General Motors Company

 

 

How theNotes Work

Payments in Connection with the First, Second andThird Review Dates

Payments in Connection with Review Dates (Otherthan the First, Second, Third and Final Review Dates)

PS-2| Structured Investments

Auto Callable Contingent Interest Notes Linked to the Common Stock of General Motors Company

 

 

Payment at Maturity If the Notes Have Not Been AutomaticallyCalled

Total Contingent Interest Payments

The table below illustrates the hypothetical total ContingentInterest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest Rate of 10.15%per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual Contingent InterestRate will be provided in the pricing supplement and will be at least 10.15% per annum.

Number of Contingent
Interest Payments
Total Contingent Interest
Payments
16 $406.000
15 $380.625
14 $355.250
13 $329.875
12 $304.500
11 $279.125
10 $253.750
9 $228.375
8 $203.000
7 $177.625
6 $152.250
5 $126.875
4 $101.500
3 $76.125
2 $50.750
1 $25.375
0 $0.000

 

HypotheticalPayout Examples

The following examples illustrate payments on the noteslinked to a hypothetical Reference Stock, assuminga range of performances for the hypothetical Reference Stockon the Review Dates. The hypothetical payments set forth below assume the following:

the notes were sold solely to brokerage accounts;

PS-3| Structured Investments

Auto Callable Contingent Interest Notes Linked to the Common Stock of General Motors Company

 

an Initial Value of $100.00;
an Interest Barrier and a Trigger Value of $60.00 (equal to 60.00% of the hypothetical Initial Value); and
a Contingent Interest Rate of 10.15% per annum (payable at a rate of 2.5375% per quarter).

The hypothetical Initial Value of $100.00 has been chosenfor illustrative purposes only and may not represent a likely actual Initial Value.

The actual Initial Value will be the closing price ofone share of the Reference Stock on the Pricing Date and will be provided in the pricing supplement. For historical data regarding theactual closing prices of one share of the Reference Stock, please see the historical information set forth under “The ReferenceStock” in this pricing supplement.

Each hypothetical payment set forth below is for illustrativepurposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following exampleshave been rounded for ease of analysis.

Example 1 — Notes are automatically calledon the fourth Review Date.

Date Closing Price Payment (per $1,000 principal amount note)
First Review Date $105.00 $25.375
Second Review Date $110.00 $25.375
Third Review Date $110.00 $25.375
Fourth Review Date $105.00 $1,025.375
  Total Payment $1,101.50 (10.15% return)  

Because the closing price of one share of the ReferenceStock on the fourth Review Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment,for each $1,000 principal amount note, of $1,025.375 (or $1,000 plus the Contingent Interest Payment applicable to the fourth ReviewDate), payable on the applicable Call Settlement Date. The notes are not automatically callable before the fourth Review Date, even thoughthe closing price of one share of the Reference Stock on each of the first, second and third Review Dates is greater than the InitialValue. When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each$1,000 principal amount note, is $1,101.50. No further payments will be made on the notes.

Example 2 — Notes have NOT been automaticallycalled and the Final Value is greater than or equal to the Trigger Value.

Date Closing Price Payment (per $1,000 principal amount note)
First Review Date $95.00 $25.375
Second Review Date $85.00 $25.375
Third through Fifteenth Review Dates Less than Interest Barrier $0
Final Review Date $90.00 $1,355.25
  Total Payment $1,406.00 (40.60% return)

Because the notes have not been automatically calledand the Final Value is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount note, willbe $1,355.25 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date plus the unpaid ContingentInterest Payments for any prior Review Dates). When added to the Contingent Interest Payments received with respect to the prior ReviewDates, the total amount paid, for each $1,000 principal amount note, is $1,406.00.

PS-4| Structured Investments

Auto Callable Contingent Interest Notes Linked to the Common Stock of General Motors Company

 

Example 3 — Notes have NOT been automaticallycalled and the Final Value is less than the Trigger Value.

Date Closing Price Payment (per $1,000 principal amount note)
First Review Date $50.00 $0
Second Review Date $55.00 $0
Third through Fifteenth Review Dates Less than Interest Barrier $0
Final Review Date $50.00 $500.00
  Total Payment $500.00 (-50.00% return)

Because the notes have not been automatically called,the Final Value is less than the Trigger Value and the Stock Return is-50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:

$1,000 + [$1,000 × (-50.00%)] = $500.00

The hypothetical returns and hypothetical payments onthe notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticalsdo 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.

SelectedRisk Considerations

An investment in the notes involves significant risks. These risks areexplained in more detail in the “Risk Factors” section of the accompanying prospectus supplement and product supplement.

YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the notes have not been automatically called and the Final Value is less than theTrigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value.Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount at maturity and could lose all of yourprincipal amount at maturity.
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date (and we willpay you any previously unpaid Contingent Interest Payments for any prior Review Dates) only if the closing price of one share of the ReferenceStock on that Review Date is greater than or equal to the Interest Barrier. If the closing price of one share of the Reference Stock onthat Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Youwill not receive any unpaid Contingent Interest Payments if the closing price of one share of the Reference Stock on each subsequent ReviewDate is less than the Interest Barrier. Accordingly, if the closing price of one share of the Reference Stock on each Review Date is lessthan the Interest Barrier, you will not receive any interest payments over the term of the notes.
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 actualor potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the marketfor taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were todefault 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 administrationof our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assetsrelate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we aredependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to us andwe 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 APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERMOF THE NOTES,
regardless of any appreciation of the Reference Stock, which may be significant. You will not participate in any appreciation of the ReferenceStock.
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.’seconomic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activitiesof ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value ofthe notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying productsupplement.

PS-5| Structured Investments

Auto Callable Contingent Interest Notes Linked to the Common Stock of General Motors Company

 

THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE—
If the Final Value is less than the Trigger Value and the notes have not been automatically called, the benefit provided by the TriggerValue will terminate and you will be fully exposed to any depreciation of the Reference Stock.
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately one year and you will not receiveany Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest theproceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Evenin cases where the notes are called before maturity, you are not entitled to any fees and commissions described on the front cover ofthis pricing supplement.
YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK.
NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
We have not independently verified any of the information about the Reference Stock issuer contained in this pricing supplement. You shouldundertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’spublic disclosure of information, whether contained in SEC filings or otherwise.
THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
The calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. The calculation agentmay make adjustments in response to events that are not described in the accompanying product supplement to account for any diluting orconcentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notesin making these determinations.
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE REFERENCE STOCK FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE IS GREATERIF THE PRICE OF ONE SHARE OF THE REFERENCE STOCK IS VOLATILE.
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 likelyto 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 designedto 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 ContingentInterest Rate.
THE TAX DISCLOSURE IS SUBJECT TO CONFIRMATION —
The information set forth under “Tax Treatment” in this pricing supplement remains subject to confirmation by our specialtax counsel following the pricing of the notes. If that information cannot be confirmed by our tax counsel, you may be asked to acceptrevisions to that information in connection with your purchase. Under these circumstances, if you decline to accept revisions to thatinformation, your purchase of the notes will be canceled.
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 noteswill exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included inthe original issue price of the notes. These costs include the selling commissions, if any, the projected profits, if any, that our affiliatesexpect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligationsunder 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 ratefor vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any differencemay 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 instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove tobe incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal fundingrate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of thenotes. 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 THETHEN-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 connectionwith any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “SecondaryMarket 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 whichmay be shown on your customer account statements).

PS-6| Structured Investments

Auto Callable Contingent Interest Notes Linked to the Common Stock of General Motors Company

 

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, becausesecondary market prices may exclude selling commissions, if any, projected hedging profits, if any, and estimated hedging costs that areincluded 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 fromyou in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the MaturityDate 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 eitheroffset or magnify each other, aside from the selling commissions, if any, projected hedging profits, if any, estimated hedging costs andthe price of one share of the Reference Stock. Additionally, independent pricing vendors and/or third party broker-dealers may publisha price for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) thanthe 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 impactedby many economic and market factors” in the accompanying product supplement.

The ReferenceStock

All information contained herein on the Reference Stockand on GM is derived from publicly available sources, without independent verification. According to its publicly available filings withthe SEC, General Motors Company designs, builds and sells trucks, crossovers, cars and automobile parts and provides software-enabledservices and subscriptions. It also provides automotive financing services through General Motors Financial Company, Inc. The common stockof GM, par value $0.01 per share (Bloomberg ticker: GM), is registered under the Securities Exchange Act of 1934, as amended, which werefer to as the Exchange Act, and is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes ofGM in the accompanying product supplement. Information provided to or filed with the SEC by GM pursuant to the Exchange Act can be locatedby reference to the SEC file number 001-34960, and can be accessed through www.sec.gov. We do not make any representation that these publiclyavailable documents are accurate or complete.

Historical Information

The following graph sets forth the historical performanceof the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 5, 2018 throughSeptember 8, 2023. The closing price of one share of the Reference Stock on September 14, 2023 was $33.66. We obtained the closing pricesabove and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. Theclosing prices above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergersand acquisitions, spin-offs, delistings and bankruptcy.

The historical closing prices of one share of the ReferenceStock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share ofthe Reference Stock on the Pricing Date or any Review Date. There can be no assurance that the performance of the Reference Stock willresult in the return of any of your principal amount or the payment of any interest.

 

Historical Performance of General Motors Company

 

Source: Bloomberg

 

PS-7| Structured Investments

Auto Callable Contingent Interest Notes Linked to the Common Stock of General Motors Company

 

Tax Treatment

You should review carefully the section entitled “MaterialU.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting responsibilitieswe intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent couponsand (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal IncomeTax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated ContingentCoupons” in the accompanying product supplement. We expect to ask our special tax counsel to advise us that this is a reasonabletreatment, although there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character ofany income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting commentson the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particularon whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments ona number of related topics, including the character of income or loss with respect to these instruments and the relevance of factors suchas the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate transitionrules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materiallyaffect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions above and in the accompanyingproduct supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code.You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possiblealternative treatments and the issues presented by the notice described above.

Non-U.S. Holders — Tax Considerations. TheU.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a positionthat Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), it is expectedthat withholding agents will (and we, if we are the withholding agent, intend to) withhold on any Contingent Interest Payment paid toa Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under an “other income”or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld. In order to claim an exemptionfrom, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the notes must comply with certification requirements to establishthat it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S.Holder, you should consult your tax adviser regarding the tax treatment of the notes, including the possibility of obtaining a refundof any withholding tax and the certification requirement described above.

Section 871(m) of the Code and Treasury regulations promulgatedthereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that includeU.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-basedindices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scopeof Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with respect to underlying securities thatcould pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinationsmade 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 bindingon the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particularcircumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further informationregarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You should consult yourtax adviser regarding the potential application of Section 871(m) to the notes.

In the event of any withholding on the notes, we willnot be required to pay any additional amounts with respect to amounts so withheld.

The EstimatedValue of the Notes

The estimated value of the notes set forth on the coverof this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt componentwith the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing tobuy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimatedvalue of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan 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 notesin comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal fundingrate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailingmarket replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have anadverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “SelectedRisk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricingsupplement.

PS-8| Structured Investments

Auto Callable Contingent Interest Notes Linked to the Common Stock of General Motors Company

 

The value of the derivative or derivatives underlyingthe economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such asthe traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and whichcan 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 relevantfactors and assumptions existing at that time.

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

The estimated value of the notes will be lower than theoriginal issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the originalissue price of the notes. These costs include the selling commissions, if any, 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 thenotes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influencedby 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 sold to brokerage accounts may be allowed to otheraffiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “SelectedRisk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes”in this pricing supplement.

SecondaryMarket Prices of the Notes

For information about factors that will impact any secondarymarket 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 backto 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, if any, projected hedging profits, if any, and, in some circumstances, estimated hedgingcosts and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intendedto 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 structureof the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedgingthe notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — The Valueof the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current EstimatedValue of the Notes for a Limited Time Period” in this pricing supplement.

SupplementalUse of Proceeds

The notes are offered to meet investor demand for productsthat reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “HypotheticalPayout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The ReferenceStock” 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 theestimated value of the notes plus the selling commissions, if any, 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 thenotes, plus the estimated cost of hedging our obligations under the notes.

SupplementalPlan of Distribution

With respect to notes sold to certain fee-based advisoryaccounts for which an affiliated or unaffiliated broker-dealer is an investment adviser, the price to the public will not be lower than$969.00 per $1,000 principal amount note.  JPMS and these broker-dealers will forgo any selling commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.

With respect to notes sold to brokerage accounts, JPMS,acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliateddealers.  In no event will these selling commissions exceed $31.00 per $1,000 principal amount note. See “Plan of Distribution(Conflicts of Interest)” in the accompanying product supplement. 

 

PS-9| Structured Investments

Auto Callable Contingent Interest Notes Linked to the Common Stock of General Motors Company

 

AdditionalTerms Specific to the Notes

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

You should read this pricing supplement together withthe accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of whichthese notes are a part, and the more detailed information contained in the accompanying product supplement. This pricing supplement, togetherwith the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements aswell 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, thematters set forth in the “Risk Factors” section 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, accountingand other advisers before you invest in the notes.

You may access these documentson 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 SECwebsite):

Product supplement no. 4-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
Prospectus supplement and prospectus, each dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf

Our Central Index Key, or CIK, onthe 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.

PS-10| Structured Investments

Auto Callable Contingent Interest Notes Linked to the Common Stock of General Motors Company

 

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