# EDGAR Filing Document

**Accession Number:** 0000019617
**File Stem:** 0001213900-23-007419
**Filing Date:** 2023-2
**Character Count:** 76260
**Document Hash:** 853496e18c4d6d497ae17a52cf7038eb
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001213900-23-007419.hdr.sgml**: 20230202

**ACCESSION NUMBER**: 0001213900-23-007419

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 7

**FILED AS OF DATE**: 20230202

**DATE AS OF CHANGE**: 20230202

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-236659
- **FILM NUMBER:** 23581928

**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:** 23581929

**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

January 31, 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

$924,000

Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index due February 5, 2025

Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.

&nbsp;&nbsp;&nbsp;&nbsp;· The notes are designed for investors who seek a return of 2.00 times any appreciation of the lesser performing of the S&P 500<sup>®</sup>
Value Index and the Russell 2000<sup>®</sup> Value Index, which we refer to as the Indices, up to a maximum return of 68.25%, at maturity.

&nbsp;&nbsp;&nbsp;&nbsp;· Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at
maturity.

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

&nbsp;&nbsp;&nbsp;&nbsp;· Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each
of the Indices individually, as described below.

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

&nbsp;&nbsp;&nbsp;&nbsp;· The notes priced on January 31, 2023 and are expected to settle on or about February 3, 2023.

&nbsp;&nbsp;&nbsp;&nbsp;· CUSIP: 48133TYJ8

**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-12 of the accompanying product supplement, "Risk Factors" beginning on page US-3 of the accompanying underlying supplement and "Selected Risk Considerations" beginning on page PS-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, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.

---

| | | | |
|:---|:---|:---|:---|
|  | Price to Public (1) | Fees and Commissions (2) | Proceeds to Issuer |
| Per note | $1000 |  | $1000 |
| Total | $924000 |  | $924000 |
| (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) All sales of the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers will forgo any commissions related to these sales. 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) All sales of the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers will forgo any commissions related to these sales. 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) All sales of the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers will forgo any commissions related to these sales. 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) All sales of the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers will forgo any commissions related to these sales. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement. |

---

**The estimated value of the notes, when the terms of the notes were set, was $994.90 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. 4-II dated November 4, 2020, underlying supplement no. 1-II dated November 4, 2020<br> and the prospectus and prospectus supplement, each dated April 8, 2020

**Key Terms**

---

| | |
|:---|:---|
| **Issuer:** JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.<br> **Guarantor:** JPMorgan Chase & Co.<br> **Indices:** The S&P 500<sup>®</sup> Value Index (Bloomberg ticker: SVX) and the Russell 2000<sup>®</sup> Value Index (Bloomberg ticker: RUJ)<br> **Maximum Return:** 68.25% (corresponding to a maximum payment at maturity of $1,682.50 per $1,000 principal amount note)<br> **Upside Leverage Factor:** 2.00<br> **Pricing Date:** January 31, 2023<br> **Original Issue Date (Settlement Date):** On or about February 3, 2023<br> **Observation Date\*:** January 31, 2025<br> **Maturity Date\*:** February 5, 2025<br> \* Subject to postponement in the event of a market disruption event and as described under "General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings" and "General Terms of Notes — Postponement of a Payment Date" in the accompanying product supplement | &nbsp;&nbsp;&nbsp; **Payment at Maturity:**<br> If the Final Value of each Index is greater than its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:<br> $1,000 + ($1,000 × Lesser Performing Index Return × Upside Leverage Factor), subject to the Maximum Return<br> If (i) the Final Value of one Index is greater than its Initial Value and the Final Value of the other Index is equal to its Initial Value or (ii) the Final Value of each Index is equal to its Initial Value, you will receive the principal amount of your notes at maturity.<br> If the Final Value of either Index is less than its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:<br> $1,000 + ($1,000 × Lesser Performing Index Return)<br> *If the Final Value of either Index is less than its Initial Value, you will lose some or all of your principal amount at maturity.*<br> **Lesser Performing Index: The Index with the Lesser Performing Index Return**<br> **Lesser Performing Index Return: The lower of the Index Returns of the Indices**<br> **Index Return:**<br> With respect to each Index,<br> <u>(Final Value – Initial Value)</u><br> Initial Value<br> **Initial Value:** With respect to each Index, the closing level of that Index on the Pricing Date, which was 1,533.066 for the S&P 500<sup>®</sup> Value Index and 2,282.378 for the Russell 2000<sup>®</sup> Value Index<br> **Final Value:** With respect to each Index, the closing level of that Index on the Observation Date<br>|

---

---

| | |
|:---|:---|
| PS-1 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

---

**Hypothetical Payout Profile**

The following table and graph illustrate the hypothetical total return and payment at maturity on the notes linked to two hypothetical Indices. The "total return" as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:

· an Initial Value for the Lesser Performing Index of 100.00;

· a Maximum Return of 68.25%; and

· an Upside Leverage Factor of 2.00.

The hypothetical Initial Value of the Lesser Performing Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Index. The actual Initial Value of each Index is the closing level of that Index on the Pricing Date and is specified under "Key Terms **—** Initial Value" in this pricing supplement. For historical data regarding the actual closing levels of each Index, please see the historical information set forth under "The Indices" in this pricing supplement.

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

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;Final Value of the Lesser<br> Performing Index | &nbsp;&nbsp;Lesser Performing Index<br> Return | &nbsp;&nbsp;Total Return on the Notes | &nbsp;&nbsp;Payment at Maturity |
| &nbsp;&nbsp;180.000 | &nbsp;&nbsp;80.000% | &nbsp;&nbsp;68.25% | &nbsp;&nbsp;$1682.50 |
| &nbsp;&nbsp;165.000 | &nbsp;&nbsp;65.000% | &nbsp;&nbsp;68.25% | &nbsp;&nbsp;$1682.50 |
| &nbsp;&nbsp;150.000 | &nbsp;&nbsp;50.000% | &nbsp;&nbsp;68.25% | &nbsp;&nbsp;$1682.50 |
| &nbsp;&nbsp;140.000 | &nbsp;&nbsp;40.000% | &nbsp;&nbsp;68.25% | &nbsp;&nbsp;$1682.50 |
| &nbsp;&nbsp;134.125 | &nbsp;&nbsp;34.125% | &nbsp;&nbsp;68.25% | &nbsp;&nbsp;$1682.50 |
| &nbsp;&nbsp;130.000 | &nbsp;&nbsp;30.000% | &nbsp;&nbsp;60.00% | &nbsp;&nbsp;$1600.00 |
| &nbsp;&nbsp;120.000 | &nbsp;&nbsp;20.000% | &nbsp;&nbsp;40.00% | &nbsp;&nbsp;$1400.00 |
| &nbsp;&nbsp;110.000 | &nbsp;&nbsp;10.000% | &nbsp;&nbsp;20.00% | &nbsp;&nbsp;$1200.00 |
| &nbsp;&nbsp;105.000 | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;10.00% | &nbsp;&nbsp;$1100.00 |
| &nbsp;&nbsp;101.000 | &nbsp;&nbsp;1.000% | &nbsp;&nbsp;2.00% | &nbsp;&nbsp;$1020.00 |
| &nbsp;&nbsp;100.000 | &nbsp;&nbsp;0.00% | &nbsp;&nbsp;0.00% | &nbsp;&nbsp;$1000.00 |
| &nbsp;&nbsp;95.000 | &nbsp;&nbsp;-5.000% | &nbsp;&nbsp;-5.00% | &nbsp;&nbsp;$950.00 |
| &nbsp;&nbsp;90.000 | &nbsp;&nbsp;-10.000% | &nbsp;&nbsp;-10.00% | &nbsp;&nbsp;$900.00 |
| &nbsp;&nbsp;80.000 | &nbsp;&nbsp;-20.000% | &nbsp;&nbsp;-20.00% | &nbsp;&nbsp;$800.00 |
| &nbsp;&nbsp;70.000 | &nbsp;&nbsp;-30.000% | &nbsp;&nbsp;-30.00% | &nbsp;&nbsp;$700.00 |
| &nbsp;&nbsp;60.000 | &nbsp;&nbsp;-40.000% | &nbsp;&nbsp;-40.00% | &nbsp;&nbsp;$600.00 |
| &nbsp;&nbsp;50.000 | &nbsp;&nbsp;-50.000% | &nbsp;&nbsp;-50.00% | &nbsp;&nbsp;$500.00 |
| &nbsp;&nbsp;40.000 | &nbsp;&nbsp;-60.000% | &nbsp;&nbsp;-60.00% | &nbsp;&nbsp;$400.00 |
| &nbsp;&nbsp;30.000 | &nbsp;&nbsp;-70.000% | &nbsp;&nbsp;-70.00% | &nbsp;&nbsp;$300.00 |
| &nbsp;&nbsp;20.000 | &nbsp;&nbsp;-80.000% | &nbsp;&nbsp;-80.00% | &nbsp;&nbsp;$200.00 |
| &nbsp;&nbsp;10.000 | &nbsp;&nbsp;-90.000% | &nbsp;&nbsp;-90.00% | &nbsp;&nbsp;$100.00 |
| &nbsp;&nbsp;0.000 | &nbsp;&nbsp;-100.000% | &nbsp;&nbsp;-100.00% | &nbsp;&nbsp;$0.00 |

---

---

| | |
|:---|:---|
| PS-2 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

---

The following graph demonstrates the hypothetical payments at maturity on the notes for a sub-set of Lesser Performing Index Returns detailed in the table above (-80% to 80%). There can be no assurance that the performance of the Lesser Performing Index will result in the return of any of your principal amount.

**How the Notes Work**

**Upside Scenario:**

If the Final Value of each Index is greater than its Initial Value, investors will receive at maturity the $1,000 principal amount *plus* a return equal to the Lesser Performing Index Return *times* the Upside Leverage Factor of 2.00, up to the Maximum Return of 68.25%. An investor will realize the maximum payment at maturity at a Final Value of the Lesser Performing Index of 134.125% or more of its Initial Value.

&nbsp;&nbsp;&nbsp;&nbsp;· If the closing level of the Lesser Performing Index increases 5.00%, investors will receive at maturity a 10.00% return, or $1,100.00
per $1,000 principal amount note.

&nbsp;&nbsp;&nbsp;&nbsp;· If the closing level of the Lesser Performing Index increases 80.00%, investors will receive at maturity a return equal to the 68.25%
Maximum Return, or $1,682.50 per $1,000 principal amount note, which is the maximum payment at maturity.

**Par Scenario:**

If (i) the Final Value of one Index is greater than its Initial Value and the Final Value of the other Index is equal to its Initial Value or (ii) the Final Value of each Index is equal to its Initial Value, investors will receive at maturity the principal amount of their notes.

**Downside Scenario:**

If the Final Value of either Index is less than its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value.

&nbsp;&nbsp;&nbsp;&nbsp;· For example, if the closing level of the Lesser Performing Index declines 60.00%, investors will lose
60.00% of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity.

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.

---

| | |
|:---|:---|
| PS-3 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

---

**Selected Risk Considerations**

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

**Risks Relating to the Notes Generally**

· **YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —** 

The notes do not guarantee any return of principal. If the Final Value of either Index is less than its Initial Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value. Accordingly, under these circumstances, you will lose some or all of your principal amount at maturity.

· **YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM RETURN,** 

regardless of any appreciation of either Index, which may be significant.

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

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

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

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

· **YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —** 

Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by either of the Indices over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the other Index.

· **YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.** 

· **THE NOTES DO NOT PAY INTEREST.** 

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

· **LACK OF LIQUIDITY —** 

The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as 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.

**Risks Relating to Conflicts of Interest**

· **POTENTIAL CONFLICTS —** 

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

---

| | |
|:---|:---|
| PS-4 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

---

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

· **THE ESTIMATED VALUE OF THE NOTES IS 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 exceeds the estimated value of the notes because costs associated with structuring and hedging the notes are included in the original issue price of the notes. These costs include 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 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 projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See "Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors" in the accompanying product supplement.

**Risks Relating to the Indices**

· **JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500<sup>®</sup> VALUE INDEX,** 

but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500<sup>®</sup> Value Index.

---

| | |
|:---|:---|
| PS-5 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

---

· **The investment strategy represented by EACH** **INDEX may not be successful —** 

Each Index is intended to represent a "value" investment strategy. The S&P 500<sup>®</sup> Value Index is a float-adjusted market capitalization-weighted index that is designed to measure the full performance of companies included in the S&P 500<sup>®</sup> Index that exhibit relatively strong value characteristics (determined by reference to (1) book-value-to-price ratio, (2) earnings-to-price ratio and (3) sales-to-price ratio) and relatively weak growth characteristics (determined by reference to (1) earnings-per-share growth, (2) sales-per-share growth and (3) upward share price momentum) and a portion of the performance of companies with more balanced value and growth characteristics (where greater weight is allocated to companies with relatively stronger value characteristics and relatively weaker growth characteristics). The Russell 2000<sup>®</sup> Value Index measures the capitalization-weighted price performance of the stocks included in the Russell 2000<sup>®</sup> Index that are determined by FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted growth values. A "value" investment strategy is premised on the goal of investing in stocks that are determined to be relatively cheap or "undervalued" under the assumption that the value of those stocks will increase over time as the market comes to reflect the "fair" market value of those stocks. However, the value characteristics referenced by each of the Indices may not be accurate predictors of undervalued stocks, and there is no guarantee that undervalued stocks will appreciate. In addition, each of the Indices' selection methodology includes a significant bias against stocks with strong growth characteristics, and stocks with strong growth characteristics may outperform stocks with weak growth characteristics. There is no assurance that the Indices will outperform any other index or strategy that tracks U.S. stocks selected using other criteria and may underperform the S&P 500<sup>®</sup> Index or the Russell 2000<sup>®</sup> Index, as applicable, as a whole. It is possible that the stock selection methodology of the Indices will adversely affect its return and, consequently, the levels of the Indices and the value and return of the notes.

· **AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO RUSSELL 2000<sup>®</sup> VALUE INDEX —** 

Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.

---

| | |
|:---|:---|
| PS-6 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

---

**The Indices**

The S&P 500<sup>®</sup> Value Index is a float-adjusted market capitalization-weighted index that is designed to measure the full performance of companies included in the S&P 500<sup>®</sup> Index that exhibit relatively strong value characteristics (determined by reference to (1) book-value-to-price ratio, (2) earnings-to-price ratio and (3) sales-to-price ratio) and relatively weak growth characteristics (determined by reference to (1) earnings-per-share growth, (2) sales-per-share growth and (3) upward share price momentum) and a portion of the performance of companies with more balanced value and growth characteristics (where greater weight is allocated to companies with relatively stronger value characteristics and relatively weaker growth characteristics). For additional information about the S&P 500<sup>®</sup> Value Index, see Annex A in this pricing supplement.

The Russell 2000<sup>®</sup> Value Index measures the capitalization-weighted price performance of the stocks included in the Russell 2000<sup>®</sup> Index that are determined by FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted growth values. The Russell 2000<sup>®</sup> Index consists of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000<sup>®</sup> Index. The Russell 2000<sup>®</sup> Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000<sup>®</sup> Value Index, see Annex B in this pricing supplement.

**Historical Information**

The following graphs set forth the historical performance of each Index based on the weekly historical closing levels from January 5, 2018 through January 27, 2023. The closing level of the S&P 500<sup>®</sup> Value Index on January 31, 2023 was 1,533.066. The closing level of the Russell 2000<sup>®</sup> Value Index on January 31, 2023 was 2,282.378. We obtained the closing levels above and below from the Bloomberg Professional<sup>®</sup> service ("Bloomberg"), without independent verification.

The historical closing levels of each Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of either Index on the Observation Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal amount.

![](image_003.jpg)

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| PS-7 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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![](image_004.jpg)

**Tax Treatment**

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

Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as "open transactions" that are not debt instruments for U.S. federal income tax purposes, as more fully described in "Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments" in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the "constructive ownership" regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice.

Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an "Underlying Security"). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.

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| PS-8 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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**The Estimated Value of the Notes**

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

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

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

The estimated value of the notes is lower than the original issue price of the notes because costs associated with structuring and hedging the notes are included in the original issue price of the notes. These costs include 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 Is 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 projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See "Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricing supplement.

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| PS-9 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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**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 Indices" 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 (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.

**Validity of the Notes and the Guarantee**

In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes (the "master note"), and such notes have been delivered against payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), *provided* that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee's authorization, execution and delivery of the indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated May 6, 2022, which was filed as an exhibit to a Current Report on Form 8-K by JPMorgan Chase & Co. on May 6, 2022.

**Additional Terms Specific to the Notes**

You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

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| PS-10 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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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. 4-II dated November 4, 2020:<br> [http://www.sec.gov/Archives/edgar/data/19617/000095010320021467/crt_dp139322-424b2.pdf](http://www.sec.gov/Archives/edgar/data/19617/000095010320021467/crt_dp139322-424b2.pdf)

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

· 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 Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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**Annex A**

**The S&P 500<sup>®</sup> Value Index**

All information contained in this pricing supplement regarding the S&P 500<sup>®</sup> Value Index (for purposes of this annex, the "Value Index"), including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC ("S&P Dow Jones"). The Value Index is calculated, maintained and published by S&P Dow Jones. S&P Dow Jones has no obligation to continue to publish, and may discontinue the publication of, the Value Index.

The Value Index is reported by Bloomberg, L.P. under the ticker symbol "SVX."

The Value Index is a subset of the S&P 500<sup>®</sup> Index and is a float-adjusted market capitalization-weighted index. S&P Dow Jones allocates the complete float-adjusted market capitalization of the companies included in the S&P 500<sup>®</sup> Index between the Value Index and the S&P 500<sup>®</sup> Growth Index (for purposes of this annex, the "Growth Index") based on an assessment of those companies' respective value and growth characteristics. The market capitalization of companies exhibiting the strongest value characteristics relative to their respective growth characteristics is allocated to the Value Index (approximately 33% of the market capitalization of the S&P 500<sup>®</sup> Index), and the market capitalization of companies exhibiting the strongest growth characteristics relative to their respective value characteristics (approximately 33% of the market capitalization of the S&P 500<sup>®</sup> Index) is allocated to the Growth Index. The market capitalization of the remaining companies included in the S&P 500<sup>®</sup> Index is split between the Value Index and the Growth Index, with more of the market capitalization of companies exhibiting stronger value characteristics relative to their respective growth characteristics being allocated to the Value Index and more of the market capitalization of companies exhibiting the stronger growth characteristics relatively to their respective value characteristics being allocated to the Value Index.

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

**Index Construction**

The Value Index is derived from its parent index, the S&P 500<sup>®</sup> Index. The Value Index cannot have a constituent that is not also a member of the S&P 500<sup>®</sup> Index.

*Style Factors*. The Growth Index and the Value Index (the "Style Indices") measure growth and value along two separate dimensions, with three factors each used to measure growth and value. The list of factors used is outlined in the table below.

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| **Growth Factors** | **Value Factors** |
| Three-year net change in earnings per share (excluding extra items) over price per share | Book value to price ratio |
| Three-year sales per share growth rate | Earnings to price ratio |
| Momentum (12-month % price change) | Sales to price ratio |

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&nbsp;&nbsp;&nbsp;&nbsp;· If earnings from three years prior
are not available, two-year change in earnings per share (excluding extra items) over price per share is used. If earnings from two years
prior are not available, one-year change in earnings per share (excluding extra items) over price per share is used. If earnings from
one year prior are not available, the factor is set equal to zero. If the starting values is less than zero, the score is multiplied by
a factor of negative 1.

&nbsp;&nbsp;&nbsp;&nbsp;· If sales from three years prior are
not available, two-year sales per share growth rate is used. If sales from two years prior are not available, one-year sales per share
growth rate is used. If sales from one year prior are not available, the factor is set equal to zero. If the starting values is less than
zero, the score is multiplied by a factor of negative 1.

&nbsp;&nbsp;&nbsp;&nbsp;· If there is not enough trading history
to calculate 12-month momentum then the momentum factor is calculated from the stock's listing date.

&nbsp;&nbsp;&nbsp;&nbsp;· If book value to price ratio, earnings
to price ratio, or sales to price ratio is not available then such factor is set equal to zero.

*Style Scores*. Raw values for each of the above factors are calculated by S&P Dow Jones for each company in the S&P Total Market Index universe. The S&P Total Market Index is a float-adjusted, market-capitalization weighted index designed to track the broad U.S. equity market, including large-, mid-, small- and micro-cap stocks.

These raw values are first "winsorized" (a statistical tool used to minimize the influence of outliers in data) to the 90<sup>th</sup> percentile and then standardized by dividing the difference between each company's raw score and the mean of the entire set by the standard deviation of the entire set. A "growth score" for each company is computed as the average of the standardized values of the three

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| PS-12 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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growth factors. Similarly, a "value score" for each company is computed as the average of the standardized values of the three value factors. At the end of this step each company has a growth score and a value score.

*Establishing Style Baskets.* Companies within the S&P 500<sup>®</sup> Index are then ranked based on their growth and value scores. A company with a high growth score would have a higher "growth rank," while a company with a low value score would have a lower "value rank." For example, the S&P 500<sup>®</sup> Index constituent with the highest value score would have a value rank of 1, while the constituent with the lowest value score would have a value rank of 500.

The companies within the S&P 500<sup>®</sup> Index are then sorted in ascending order by the ratio of their growth rank to their value rank. The companies at the top of the list have a higher growth rank (or higher growth score) and a lower value rank (or lower value score) and, therefore, exhibit pure growth characteristics. The companies at the top of the list, comprising 33% of the total index market capitalization, are included in the "growth basket."

The companies at the bottom of the list have a higher value rank (or higher value score) and a lower growth rank (or lower growth score) and, therefore, exhibit pure value characteristics. The companies at the bottom of the list, comprising 33% of the total index market capitalization, are included in the "value basket."

The companies in the middle of the list have similar growth ranks and value ranks and, therefore, exhibit neither pure growth nor pure value characteristics. The companies in the middle of the list, comprising 34% of the total index market capitalization, are included in the "blended basket."

*Growth and Value Indices.* The style baskets described above are the starting points for the Style Indices' construction. 100% of the float market capitalization of a company in the value basket is assigned to the Value Index, and 100% of the float market capitalization of a company in the growth basket is assigned to the Growth Index.

The middle 34% of float market capitalization consists of companies that have similar growth and value ranks. The market capitalization of these companies that are in the blended basket is distributed between the Value Index and the Growth Index based on their distances from the midpoint of the growth basket and the midpoint of the value basket. The midpoint of each style basket is calculated as the average of value scores and growth scores of all companies in that style basket.

Based on back-tested results, the total market capitalization is approximately equally divided among the Growth Index and the Value Index. However, there is no mathematical procedure employed to force equal market capitalization for the Growth Index and Index, since price movements of constituent stocks would result in inequality immediately following any reconstitution. Therefore, the future allocation of the market capitalization to the Style Indices may not be equal.

The Value Index is calculated following S&P Dow Jones' modified market capitalization-weighted, divisor-based index methodology. Corporate actions and index changes are implemented in the same manner as for other market capitalization-weighted indices. See "Equity Index Descriptions — The S&P U.S. Indices" in the accompanying underlying supplement for additional information.

**Maintenance of the Value Index**

*Rebalancing*. The Value Index is rebalanced once a year in December. The rebalancings occur after the close on the third Friday of December. The reference date for growth and value expressions is after the close of the last trading date of the previous month.

Style scores, float market-capitalization weights and growth and value midpoint averages are reset only once a year at the December rebalancing.

Other changes to the Value Index are made on an as-needed basis, following the guidelines of the S&P 500<sup>®</sup> Index. Changes in response to corporate actions and market developments can be made at any time. Constituent changes are typically announced for the S&P 500<sup>®</sup> Index two-to-five days before they are scheduled to be implemented.

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| PS-13 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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*Corporate Actions and Other Adjustments*

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| **S&P 500<sup>®</sup> Index Action** | **Adjustment Made to the Value Index** | **Divisor Adjustment?** |
| Constituent Change | If the index constituent being dropped is a member of the Value Index, it is removed from such index. The replacement stock will then be added to either the Value Index or the Growth Index (or both) based on its growth/value rank, and S&P Dow Jones will announce the percent of float market capitalization of the replacement stock to be added to the Value Index and the Growth Index via its index corporate events report. The percent of float market capitalization of the constituent in each Style Index for the replacement stock is calculated using GICS industry-level averages for stocks outside the S&P Composite 1500 index other than spin-offs, and such percentage will be based on old values for inter-index moves. | Yes |
| Share Changes Between Quarterly Share Adjustments | Share count follows the S&P 500<sup>®</sup> Index share count. | Yes |
| Quarterly Share Changes | Share count follows the S&P 500<sup>®</sup> Index share count. In addition, the new percent of float market capitalization in the Value Index and the Growth Index changes for all constituent stocks at the December rebalancing. These will be pre-announced in a manner similar to quarterly share changes. | Yes |
| Spin-off | Index membership follows the S&P 500<sup>®</sup> Index. The "child stock" is assigned the same percent of float market capitalization in each Style Index as its "parent stock." | No |

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See "Equity Index Descriptions — The S&P U.S. Indices" in the accompanying underlying supplement for the treatment of other corporate actions.

**Index Governance**

S&P Dow Jones' Americas Thematic and Strategy Index Committee (the "**Index Committee**") maintains the Value Index. All members of the Index Committee are full-time professional members of S&P Dow Jones' staff. The Index Committee meets regularly. At each meeting, the Index Committee may review pending corporate actions that may affect constituents of the Value Index, statistics comparing the composition of the Value Index to the market, companies that are being considered as candidates for addition to the Value Index and any significant market events. In addition, the Index Committee may revise index policy covering rules for selecting companies, treatment of dividends, share counts or other matters.

**License Agreement**

JPMorgan Chase & Co. or its affiliate has entered into an agreement with S&P Dow Jones that provides it and certain of its affiliates or subsidiaries, including JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the Value Index, which is owned and published by S&P Dow Jones, in connection with certain securities, including the notes.

The notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones or its third party licensors. Neither S&P Dow Jones nor its third party licensors makes any representation or warranty, express or implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the Value Index to track general stock market performance. S&P Dow Jones' and its third party licensors' only relationship to JPMorgan Financial or JPMorgan Chase & Co. is the licensing of certain trademarks and trade names of S&P Dow Jones and the third party licensors and of the Value Index which is determined, composed and calculated by S&P Dow Jones or its third party licensors without regard to JPMorgan Financial or JPMorgan Chase & Co. or the notes. S&P Dow Jones and its third party licensors have no obligation to take the needs of JPMorgan Financial or JPMorgan Chase & Co. or the owners of the notes into consideration in determining, composing or calculating the Value Index. Neither S&P Dow Jones nor its third party licensors is responsible for and has not participated in the determination of the prices and amount of the notes or the timing of the issuance or sale of the notes or in the determination or calculation of the equation by which the notes are to be converted into cash. S&P Dow Jones has no obligation or liability in connection with the administration, marketing or trading of the notes.

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| PS-14 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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**NEITHER S&P Dow Jones, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE Value Index OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P Dow Jones, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P Dow Jones MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE Value Index OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P Dow Jones, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.** 

"Standard & Poor's," "S&P" and "S&P 500" are trademarks of Standard & Poor's Financial Services LLC and have been licensed for use by JPMorgan Chase & Co. and its affiliates, including JPMorgan Financial.

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| PS-15 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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**Annex B**

**The Russell 2000<sup>®</sup> Value Index**

All information contained in this pricing supplement regarding the Russell 2000<sup>®</sup> Value Index (for purposes of this annex, the "Value Index"), including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by, FTSE Russell. The Value Index is calculated, maintained and published by FTSE Russell. FTSE Russell has no obligation to publish, and may discontinue the publication of, the Value Index.

The Value Index is reported by Bloomberg under the ticker symbol "RUJ."

The Value Index measures the capitalization-weighted price performance of the stocks included in the Russell 2000<sup>®</sup> Index (each, a "Russell 2000 Component Stock" and collectively, the "Russell 2000 Component Stocks") that are determined by FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted growth values. The Russell 2000<sup>®</sup> Index measures the capitalization-weighted price performance of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges. For more information about the Russell 2000<sup>®</sup> Index, see "Equity Index Descriptions — The Russell Indices" in the accompanying underlying supplement.

FTSE Russell uses a "non-linear probability" method to assign stocks to the Value Index and the Russell 2000<sup>®</sup> Growth Index (for purposes of this annex, the "Growth Index"), an index that measures the capitalization-weighted price performance of the Russell 2000 Component Stocks determined by FTSE Russell to be growth oriented, with higher price-to-book ratios and higher forecasted growth values. The term "probability" is used to indicate the degree of certainty that a stock is value or growth based on its relative book-to-price (B/P) ratio, I/B/E/S forecast medium-term growth (2 year) and sales per share historical growth (5 year). This method allows stocks to be represented as having both growth and value characteristics, while preserving the additive nature of the indices.

The process for assigning growth and value weights is applied separately to the Russell 2000 Component Stocks. The Russell 2000 Component Stocks are ranked by their adjusted book-to-price ratio (B/P), their I/B/E/S forecast medium-term growth (2 year) and sales per share historical growth (5 year). These rankings are converted to standardized units, where the value variable represents 50% of the score and the two growth variables represent the remaining 50%. They are then combined to produce a Composite Value Score ("CVS").

The Russell 2000 Component Stocks are then ranked by their CVS, and a probability algorithm is applied to the CVS distribution to assign growth and value weights to each stock. In general, a stock with a lower CVS is considered growth, a stock with a higher CVS is considered value, and a stock with a CVS in the middle range is considered to have both growth and value characteristics, and is weighted proportionately in the growth and value indices. Stocks are always fully represented by the combination of their growth and value weights (e.g., a stock that is given a 20% weight in the Value Index will have an 80% weight in the Growth Index).

Stock A, in the figure below, is a security with 20% of its available shares assigned to the Value Index and the remaining 80% assigned to the Growth Index. Hence, the sum of a stock's market capitalization in the Value Index and the Growth Index will always equal its market capitalization in the Russell 2000<sup>®</sup> Index.

![](image_005.jpg)

In the figure above, the quartile breaks are calculated such that approximately 25% of the available market capitalization lies in each quartile. Stocks at the median are divided 50% in each of the Value Index and the Growth Index. Stocks below the first quartile are 100% in the Growth Index. Stocks above the third quartile are 100% in the Value Index. Stocks falling between the first and third quartile breaks are in both the Value Index and the Growth Index to varying degrees, depending on how far they are above or below the median and how close they are to the first or third quartile breaks.

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| PS-16 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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Roughly 70% of the available market capitalization is classified as all growth or all value. The remaining 30% have some portion of their market value in either the Value Index or the Growth Index, depending on their relative distance from the median value score. Note that there is a small position cutoff rule. If a stock's weight is more than 95% in one index, its weight is increased to 100% in that index.

In an effort to mitigate unnecessary turnover, FTSE Russell implements a banding methodology at the CVS level of the growth and value style algorithm. If a company's CVS change from the previous year is greater than or equal to +/- 0.10 and if the company remains in the same core index (i.e., the Russell 2000<sup>®</sup> Index), then the CVS remains unchanged during the next reconstitution process. Keeping the CVS static for these companies does not mean the probability (growth/value) will remain unchanged in all cases due to the relation of a CVS score to the overall index. However, this banding methodology is intended to reduce turnover caused by smaller, less meaningful movements while continuing to allow the larger, more meaningful changes to occur, signaling a true change in a company's relation to the market.

In calculating growth and value weights, stocks with missing or negative values for B/P, or missing values for I/B/E/S growth, or missing sales per share historical growth (6 years of quarterly numbers are required), are allocated by using the mean value score of the base index (the Russell 2000<sup>®</sup> Index), the Russell Global Sectors (ICB) industry, subsector or sector group into which the company falls. Each missing (or negative B/P) variable is substituted with the industry, subsector or sector group independently. An industry must have five members or the substitution reverts to the subsector, and so forth to the sector. In addition, a weighted value score is calculated for securities with low analyst coverage for I/B/E/S medium-term growth. For securities with coverage by a single analyst, 2/3 of the industry, subsector, or sector group value score is weighted with 1/3 the security's independent value score. For those securities with coverage by two analysts, 2/3 of the independent security's value score is used and only 1/3 of the industry, subsector, or sector group is weighted. For those securities with at least three analysts contributing to the I/B/E/S medium-term growth, 100% of the independent security's value score is used.

For more information about the index calculation methodology used for the Value Index, see "Equity Index Descriptions — The Russell Indices" in the accompanying underlying supplement. For purposes of this pricing supplement, all references to the Russell Indices contained in the above-referenced section are deemed to include the Value Index.

**Disclaimers** 

The notes are not sponsored, endorsed, sold, or promoted by London Stock Exchange Group plc or its affiliates (collectively, "LSE") or any successor thereto or index owner and neither LSE nor any party hereto makes any representation or warranty whatsoever, whether express or implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the Value Index to track general stock market performance or a segment of the same. LSE's publication of the Value Index in no way suggests or implies an opinion by LSE as to the advisability of investment in any or all of the securities upon which the Value Index is based. LSE's only relationship to JPMorgan Financial, JPMorgan Chase & Co. and their affiliates is the licensing of certain trademarks and trade names of LSE and of the Value Index, which are determined, composed and calculated by LSE without regard to JPMorgan Financial, JPMorgan Chase & Co. and their affiliates or the notes. LSE is not responsible for and has not reviewed the notes or any associated literature or publications and LSE makes no representation or warranty express or implied as to their accuracy or completeness, or otherwise. LSE reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the Value Index. LSE has no obligation or liability in connection with the administration, marketing or trading of the notes.

"Russell 2000<sup>®</sup> Value Index" and "Russell 2000<sup>®</sup> Index" are trademarks of LSE and have been licensed for use by JPMorgan Chase Bank, National Association and its affiliates. This transaction is not sponsored, endorsed, sold, or promoted by LSE and LSE makes no representation regarding the advisability of entering into this transaction.

**LSE DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE VALUE INDEX OR ANY DATA INCLUDED THEREIN AND LSE SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. LSE MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY JPMORGAN FINANCIAL, JPMORGAN CHASE & CO. AND/OR THEIR AFFILIATES, INVESTORS, OWNERS OF THE PRODUCT(S), OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE VALUE INDEX OR ANY DATA INCLUDED THEREIN. LSE MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE VALUE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL LSE HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.**

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| PS-17 \| Structured Investments<br> Capped Return Enhanced Notes Linked to the Lesser Performing of the S&P 500<sup>®</sup> Value Index and the Russell 2000<sup>®</sup> Value Index | ![](image_001.jpg) |

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## Ex-Filing

**Exhibit 107.1**

The pricing supplement to which this Exhibit is attached is a final prospectus for the related offering(s). The maximum aggregate offering price of the related offering(s) is $924,000.