# EDGAR Filing Document

**Accession Number:** 0000019617
**File Stem:** 0001213900-23-001712
**Filing Date:** 2023-1
**Character Count:** 78855
**Document Hash:** 38b249603359e78819961b99007deb45
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001213900-23-001712.hdr.sgml**: 20230109

**ACCESSION NUMBER**: 0001213900-23-001712

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 34

**FILED AS OF DATE**: 20230109

**DATE AS OF CHANGE**: 20230109

**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:** 23518708

**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:** 23518709

**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

---

| | |
|:---|:---|
| **Pricing supplement** <br> *To prospectus dated April 8, 2020,<br> prospectus supplement dated April 8, 2020 and<br> product supplement no. 4-II dated November 4, 2020* | &nbsp;&nbsp; **Registration Statement Nos. 333-236659 and 333-236659-01<br> Dated January 6, 2023**<br> **Rule 424(b)(2)** |
| **JPMorgan Chase Financial Company LLC** | &nbsp;&nbsp; **Registration Statement Nos. 333-236659 and 333-236659-01<br> Dated January 6, 2023**<br> **Rule 424(b)(2)** |

---

---

| | |
|:---|:---|
| Structured<br> Investments | &nbsp;&nbsp;&nbsp; **$500,000**<br> **Return Notes Linked to a Basket of 30 Reference Stocks due January 23, 2024**<br> **Fully and Unconditionally Guaranteed by JPMorgan Chase & Co**. |

---

**General**

&nbsp;&nbsp;&nbsp;&nbsp;· The notes are designed for investors who seek exposure to the performance
of a Basket of 30 unequally weighted Reference Stocks, subject to the Basket Adjustment Factor. The Basket is comprised of Reference Stocks
of 30 U.S.-listed companies.

&nbsp;&nbsp;&nbsp;&nbsp;· Investors should be willing to forgo interest and dividend payments and, if
the Ending Basket Level declines by more than approximately 1.33202%, be willing to lose some or all of their principal amount at maturity.

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

&nbsp;&nbsp;&nbsp;&nbsp;· Minimum denominations of $10,000 and integral multiples of $1,000 in excess
thereof

**Key Terms**

---

| | |
|:---|:---|
| &nbsp;&nbsp;Issuer: | JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| &nbsp;&nbsp;Guarantor: | JPMorgan Chase & Co. |
| &nbsp;&nbsp;Basket: | The Basket is comprised of Reference Stocks of 30 U.S.-listed companies (each, a "Reference Stock" and collectively, the "Reference Stocks"). The Bloomberg ticker symbol, issuers of the Reference Stocks, the relevant exchange on which it is listed, the Stock Weight, Base Date Stock Price and the closing price on the Pricing Date of each Reference Stock are set forth under "The Basket" on page PS-1 of this pricing supplement. |
| &nbsp;&nbsp;Payment at Maturity: | Payment at maturity will reflect the performance of the Basket, subject to the Basket Adjustment Factor. Accordingly, at maturity, you will receive an amount per $1,000 principal amount note calculated as follows:<br> $1,000 × (1 + Basket Return) × Basket Adjustment Factor<br> ***The Basket Adjustment Factor of 101.35% will provide a buffer against a modest decline of the Basket. The buffer provided by the Basket Adjustment Factor will be approximately 1.33202% and, if the Ending Basket Level is less than the Basket Strike Level by more than the buffer, you will lose some or all of your principal amount at maturity. In no event will the Payment at Maturity be less than zero.*** *For more information on how the Basket Adjustment Factor can impact your payment at maturity, please see "What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Basket?" in this pricing supplement.* |
| &nbsp;&nbsp;Basket Return: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(Ending Basket Level – Basket Strike Level)</u><br> Basket Strike Level |
| &nbsp;&nbsp;Basket Adjustment Factor: | 101.35% |
| &nbsp;&nbsp;Basket Strike Level: | The closing level of the Basket on the Strike Date, which was 100.98. |
| &nbsp;&nbsp;Ending Basket Level: | The closing level of the Basket on the Valuation Date. |
| &nbsp;&nbsp;Closing Level of the Basket: | On the Base Date, the closing level of the Basket was set equal to 100. On any subsequent date, the closing level of the Basket will be calculated as follows:<br> 100 × [1 + sum of (Stock Return of each Reference Stock × Stock Weight of that Reference Stock)]<br> A level of the Basket may be published on the Bloomberg Professional<sup>®</sup> service ("Bloomberg") under the Bloomberg ticker "JPPBINFL". Any levels so published are for informational purposes only and are not binding in any way with respect to the notes. Although that level may appear under that Bloomberg ticker during the term of the notes, any such level may not be the same as the closing level of the Basket determined by the calculation agent on the Valuation Date. You will not have any rights or claims, whether legal or otherwise, relating to any information regarding that level (whether displayed on Bloomberg or elsewhere) with respect to the notes. |
| &nbsp;&nbsp;Stock Return: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; With respect to each Reference Stock, on any relevant date:<br> <u>(Final Stock Price – Base Date Stock Price)</u><br> Base Date Stock Price |
| &nbsp;&nbsp;Stock Weight: | With respect to each Reference Stock, the weight of that Reference Stock in the Basket as of the Base Date, as specified under "The Basket." |
| &nbsp;&nbsp;Base Date Stock Price: | With respect to each Reference Stock, the closing price of one share of that Reference Stock on the Base Date, as specified in "The Basket" on page PS-1 of this pricing supplement. The Base Date Stock Price is not determined by reference to the closing price of the Reference Stock on the Strike Date or the Pricing Date. |
| &nbsp;&nbsp;Final Stock Price: | With respect to each Reference Stock, on any relevant date, the closing price of one share of that Reference Stock on that date |
| &nbsp;&nbsp;Stock Adjustment Factor: | With respect to each Reference Stock, the Stock Adjustment Factor is referenced in determining the closing price of one share of that Reference Stock and was set equal to 1.0 on the Base Date. The Stock Adjustment Factor of each Reference Stock is subject to adjustment upon the occurrence of certain corporate events affecting that 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. |
| &nbsp;&nbsp;Base Date: | February 16, 2022 |
| &nbsp;&nbsp;Strike Date: | January 5, 2023 |
| &nbsp;&nbsp;Pricing Date: | January 6, 2023 |
| &nbsp;&nbsp;Original Issue Date: | On or about January 11, 2023 (Settlement Date) |
| &nbsp;&nbsp;Valuation Date\*: | January 18, 2024 |
| &nbsp;&nbsp;Maturity Date\*: | January 23, 2024 |
| &nbsp;&nbsp;CUSIP: | 48133TSN6 |

---

\* Subject to postponement in the event of certain market disruption events and as described under "General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings" and "General Terms of Notes — Postponement of a Payment Date" in the accompanying product supplement

**Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of the accompanying prospectus supplement, "Risk Factors" beginning on page PS-12 of the 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 pricing supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.

---

| | | | |
|:---|:---|:---|:---|
|  | **Price to Public (1)** | **Fees and Commissions (2)** | **Proceeds to Issuer** |
| **Per note** | $1000.00 | $10.00 | $990.00 |
| **Total** | $500000.00 | $5000.00 | $495000.00 |

---

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

(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions
of $10.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. 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 $987.50 per $1,000 principal amount note.** See "The Estimated Value of the Notes" in this pricing supplement for additional information.

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

![](image_001.jpg)

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

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

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

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

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

**The Basket**

The following table sets forth, for each Reference Stock, its issuer, Bloomberg ticker symbol, the relevant exchange on which each Reference Stock is listed, Stock Weight, Base Date Stock Price and closing price on the Strike Date.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Reference Stock Issuer/Reference Stock** | &nbsp;&nbsp;**Reference Stock Issuer/Reference Stock** | &nbsp;&nbsp;**Bloomberg<br> Ticker<br> Symbol** | &nbsp;&nbsp;**Relevant Exchange** | &nbsp;&nbsp;**Stock Weight\*** | &nbsp;&nbsp;**Base Date<br> Stock Price\*\*** | &nbsp;&nbsp; **Closing<br> Price**<br> **on the Strike**<br> **Date\*\*\*** |
| &nbsp;&nbsp;ConocoPhillips | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;COP UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;6.0000000000% | &nbsp;&nbsp;$90.210 | &nbsp;&nbsp;$116.77 |
| &nbsp;&nbsp;Exxon Mobil Corporation | &nbsp;&nbsp;Common stock, no par value | &nbsp;&nbsp;XOM UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;6.0000000000% | &nbsp;&nbsp;$78.350 | &nbsp;&nbsp;$109.21 |
| &nbsp;&nbsp;Citigroup Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;C UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;6.0000000000% | &nbsp;&nbsp;$66.950 | &nbsp;&nbsp;$46.75 |
| &nbsp;&nbsp;Wells Fargo & Company | &nbsp;&nbsp;Common stock, par value $1-2/3 per share | &nbsp;&nbsp;WFC UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;6.0000000000% | &nbsp;&nbsp;$58.140 | &nbsp;&nbsp;$42.42 |
| &nbsp;&nbsp;The Charles Schwab Corporation | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;SCHW UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;6.0000000000% | &nbsp;&nbsp;$89.330 | &nbsp;&nbsp;$83.11 |
| &nbsp;&nbsp;Freeport-McMoRan Inc. | &nbsp;&nbsp;Common stock, par value $0.10 per share | &nbsp;&nbsp;FCX UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;5.6945985535% | &nbsp;&nbsp;$44.250 | &nbsp;&nbsp;$39.84 |
| &nbsp;&nbsp;Devon Energy Corporation | &nbsp;&nbsp;Common stock, par value $0.10 per share | &nbsp;&nbsp;DVN UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;4.6025747231% | &nbsp;&nbsp;$53.850 | &nbsp;&nbsp;$60.17 |
| &nbsp;&nbsp;Occidental Petroleum Corporation | &nbsp;&nbsp;Common stock, par value $0.20 per share | &nbsp;&nbsp;OXY UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;4.4827205825% | &nbsp;&nbsp;$39.650 | &nbsp;&nbsp;$62.22 |
| &nbsp;&nbsp;Schlumberger N.V. (Schlumberger Limited) | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;SLB UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;4.1930029039% | &nbsp;&nbsp;$41.690 | &nbsp;&nbsp;$52.67 |
| &nbsp;&nbsp;Pioneer Natural Resources Company | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;PXD UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;4.0475218497% | &nbsp;&nbsp;$222.480 | &nbsp;&nbsp;$227.13 |
| &nbsp;&nbsp;EOG Resources, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;EOG UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;3.8808474144% | &nbsp;&nbsp;$111.770 | &nbsp;&nbsp;$124.38 |
| &nbsp;&nbsp;Alcoa Corporation | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;AA UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;3.6861697331% | &nbsp;&nbsp;$77.840 | &nbsp;&nbsp;$45.49 |
| &nbsp;&nbsp;Truist Financial Corporation | &nbsp;&nbsp;Common stock, par value $5.00 per share | &nbsp;&nbsp;TFC UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;3.2141205821% | &nbsp;&nbsp;$64.710 | &nbsp;&nbsp;$44.44 |
| &nbsp;&nbsp;Dow Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;DOW UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;2.9834995181% | &nbsp;&nbsp;$62.080 | &nbsp;&nbsp;$52.91 |
| &nbsp;&nbsp;Valero Energy Corporation | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;VLO UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;2.8597777592% | &nbsp;&nbsp;$88.040 | &nbsp;&nbsp;$126.59 |
| &nbsp;&nbsp;Phillips 66 | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;PSX UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;2.7452245687% | &nbsp;&nbsp;$88.300 | &nbsp;&nbsp;$103.02 |
| &nbsp;&nbsp;Marathon Oil Corporation | &nbsp;&nbsp;Common stock, par value $1.00 per share | &nbsp;&nbsp;MRO UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;2.4340310093% | &nbsp;&nbsp;$21.070 | &nbsp;&nbsp;$25.87 |
| &nbsp;&nbsp;Synchrony Financial | &nbsp;&nbsp;Common stock, par value $0.001 per share | &nbsp;&nbsp;SYF UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;2.3647848207% | &nbsp;&nbsp;$44.850 | &nbsp;&nbsp;$31.98 |
| &nbsp;&nbsp;Diamondback Energy, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;FANG UW | &nbsp;&nbsp;The NASDAQ Global Select Market | &nbsp;&nbsp;2.2518046372% | &nbsp;&nbsp;$129.820 | &nbsp;&nbsp;$134.04 |
| &nbsp;&nbsp;Prudential Financial, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;PRU UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;2.1813662656% | &nbsp;&nbsp;$118.160 | &nbsp;&nbsp;$99.44 |
| &nbsp;&nbsp;LyondellBasell Industries N.V. | &nbsp;&nbsp;Ordinary shares, par value €0.04 per share | &nbsp;&nbsp;LYB UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;2.1222154338% | &nbsp;&nbsp;$103.150 | &nbsp;&nbsp;$86.93 |

---

JPMorgan Structured Investments — PS-1 <br> Return Notes Linked to a Basket of 30 Reference Stocks

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;Citizens Financial Group, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;CFG UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;2.0692942471% | &nbsp;&nbsp;$55.230 | &nbsp;&nbsp;$40.47 |
| &nbsp;&nbsp;United Airlines Holdings, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;UAL UW | &nbsp;&nbsp;The Nasdaq Stock Market LLC | &nbsp;&nbsp;1.9071296560% | &nbsp;&nbsp;$50.210 | &nbsp;&nbsp;$41.24 |
| &nbsp;&nbsp;APA Corporation | &nbsp;&nbsp;Common stock, par value $0.625 per share | &nbsp;&nbsp;APA UW | &nbsp;&nbsp;The NASDAQ Global Select Market | &nbsp;&nbsp;1.8638036702% | &nbsp;&nbsp;$32.400 | &nbsp;&nbsp;$41.76 |
| &nbsp;&nbsp;Regions Financial Corporation | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;RF UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1.8541656172% | &nbsp;&nbsp;$25.240 | &nbsp;&nbsp;$21.67 |
| &nbsp;&nbsp;CF Industries Holdings, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;CF UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1.8372979718% | &nbsp;&nbsp;$74.420 | &nbsp;&nbsp;$83.78 |
| &nbsp;&nbsp;KeyCorp | &nbsp;&nbsp;Common shares, par value $1.00 per share | &nbsp;&nbsp;KEY UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1.7860116922% | &nbsp;&nbsp;$26.610 | &nbsp;&nbsp;$17.84 |
| &nbsp;&nbsp;M&T Bank Corporation | &nbsp;&nbsp;Common stock, par value $0.50 per share | &nbsp;&nbsp;MTB UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1.7590706551% | &nbsp;&nbsp;$186.100 | &nbsp;&nbsp;$146.24 |
| &nbsp;&nbsp;Avis Budget Group, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;CAR UW | &nbsp;&nbsp;The NASDAQ Global Select Market | &nbsp;&nbsp;1.6574906094% | &nbsp;&nbsp;$174.800 | &nbsp;&nbsp;$168.85 |
| &nbsp;&nbsp;Baker Hughes Company | &nbsp;&nbsp;Class A common stock, par value $0.0001 per share | &nbsp;&nbsp;BKR UW | &nbsp;&nbsp;The Nasdaq Stock Market LLC | &nbsp;&nbsp;1.5214755261% | &nbsp;&nbsp;$29.710 | &nbsp;&nbsp;$28.80 |

---

\* The Stock Weight of each Reference Stock reflects its weight in the Basket as of the Base Date.

\*\* The Base Date Stock Price of each Reference Stock is the closing price of one share of that Reference Stock on the Base Date.

\*\*\* The closing price of each Reference Stock is the closing price of one share of that Reference Stock on the Strike Date.

JPMorgan Structured Investments — PS-2 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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

The following table and examples illustrate the hypothetical total return or payment at maturity on the notes. The "total return" as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below assumes a Basket Strike Level of 100 and reflects the Basket Adjustment Factor of 101.35%. The hypothetical Basket Strike Level of 100 has been chosen for illustrative purposes only and does not represent the actual Basket Strike Level. The actual Basket Strike Level is the closing level of the Basket on the Strike Date. For historical data regarding the actual closing levels of the Basket, please see the historical information set forth under "The Basket and the Reference Stocks" in this pricing supplement. Each hypothetical total return or payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Ending Basket Level** | &nbsp;&nbsp;**Basket Return** | &nbsp;&nbsp;**Total Return** |
| &nbsp;&nbsp;200.0000 | &nbsp;&nbsp;100.00000% | &nbsp;&nbsp;102.7000% |
| &nbsp;&nbsp;190.0000 | &nbsp;&nbsp;90.00000% | &nbsp;&nbsp;92.5650% |
| &nbsp;&nbsp;180.0000 | &nbsp;&nbsp;80.00000% | &nbsp;&nbsp;82.4300% |
| &nbsp;&nbsp;170.0000 | &nbsp;&nbsp;70.00000% | &nbsp;&nbsp;72.2950% |
| &nbsp;&nbsp;160.0000 | &nbsp;&nbsp;60.00000% | &nbsp;&nbsp;62.1600% |
| &nbsp;&nbsp;150.0000 | &nbsp;&nbsp;50.00000% | &nbsp;&nbsp;52.0250% |
| &nbsp;&nbsp;140.0000 | &nbsp;&nbsp;40.00000% | &nbsp;&nbsp;41.8900% |
| &nbsp;&nbsp;130.0000 | &nbsp;&nbsp;30.00000% | &nbsp;&nbsp;31.7550% |
| &nbsp;&nbsp;120.0000 | &nbsp;&nbsp;20.00000% | &nbsp;&nbsp;21.6200% |
| &nbsp;&nbsp;110.0000 | &nbsp;&nbsp;10.00000% | &nbsp;&nbsp;11.4850% |
| &nbsp;&nbsp;105.0000 | &nbsp;&nbsp;5.00000% | &nbsp;&nbsp;6.4175% |
| &nbsp;&nbsp;**100.0000** | &nbsp;&nbsp;**0.00000%** | &nbsp;&nbsp;**1.3500%** |
| &nbsp;&nbsp;98.6680 | &nbsp;&nbsp;-1.33202% | &nbsp;&nbsp;0.0000% |
| &nbsp;&nbsp;95.0000 | &nbsp;&nbsp;-5.00000% | &nbsp;&nbsp;-3.7175% |
| &nbsp;&nbsp;90.0000 | &nbsp;&nbsp;-10.00000% | &nbsp;&nbsp;-8.7850% |
| &nbsp;&nbsp;80.0000 | &nbsp;&nbsp;-20.00000% | &nbsp;&nbsp;-18.9200% |
| &nbsp;&nbsp;70.0000 | &nbsp;&nbsp;-30.00000% | &nbsp;&nbsp;-29.0550% |
| &nbsp;&nbsp;60.0000 | &nbsp;&nbsp;-40.00000% | &nbsp;&nbsp;-39.1900% |
| &nbsp;&nbsp;50.0000 | &nbsp;&nbsp;-50.00000% | &nbsp;&nbsp;-49.3250% |
| &nbsp;&nbsp;40.0000 | &nbsp;&nbsp;-60.00000% | &nbsp;&nbsp;-59.4600% |
| &nbsp;&nbsp;30.0000 | &nbsp;&nbsp;-70.00000% | &nbsp;&nbsp;-69.5950% |
| &nbsp;&nbsp;20.0000 | &nbsp;&nbsp;-80.00000% | &nbsp;&nbsp;-79.7300% |
| &nbsp;&nbsp;10.0000 | &nbsp;&nbsp;-90.00000% | &nbsp;&nbsp;-89.8650% |
| &nbsp;&nbsp;0.0000 | &nbsp;&nbsp;-100.00000% | &nbsp;&nbsp;-100.0000% |

---

**Hypothetical Examples of Amount Payable at Maturity** 

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

**Example 1: The level of the Basket increases from the Basket Strike Level of 100.00 to an Ending Basket Level of 110.00.** Because the Ending Basket Level of 110.00 is greater than the Basket Strike Level of 100.00 and the Basket Return is 10.00%, the investor receives a payment at maturity of $1,114.85 per $1,000 principal amount note, calculated as follows:

$1,000 × (1 + 10.00%) × 101.35% = $1,114.85

**Example 2: The level of the Basket decreases from the Basket Strike Level of 100.00 to an Ending Basket Level of 50.00.** Because the Ending Basket Level of 50.00 is less than the Basket Strike Level of 100.00 and the Basket Return is -50.00%, the investor receives a payment at maturity of $506.75 per $1,000 principal amount note, calculated as follows:

$1,000 × (1 + -50.00%) × 101.35% = $506.75

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

JPMorgan Structured Investments — PS-3 <br> Return Notes Linked to a Basket of 30 Reference Stocks

**Selected Purchase Considerations**

&nbsp;&nbsp;&nbsp;&nbsp;· **UNCAPPED INVESTMENT EXPOSURE TO THE PERFORMANCE OF THE BASKET** — The
notes provide uncapped exposure to the performance of the Basket, enhanced by the Basket Adjustment Factor. **Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.'s ability to pay its obligations as they become due.** 

&nbsp;&nbsp;&nbsp;&nbsp;· **RETURN LINKED TO AN UNEQUALLY WEIGHTED BASKET OF 30 REFERENCE STOCKS** — The return on the notes is linked to the performance of an unequally weighted Basket that consists
of 30 Reference Stocks as set forth under "The Basket" on page PS-1 of this pricing supplement.

&nbsp;&nbsp;&nbsp;&nbsp;· **STOCK RETURN MEASURED FROM THE BASE DATE** — The Stock Return is determined with reference to the performance of each Reference Stock from the Base Date, not the closing price
of any Reference Stock on the Strike Date or Pricing Date.

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

Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as "open transactions" that are not debt instruments for U.S. federal income tax purposes, as more fully described in "Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments" in the accompanying product supplement. Assuming this treatment is respected, 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. You should consult your tax advisor as to the possibility and the tax consequences in that event.

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. As discussed in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding tax (or a lower rate under an applicable treaty) 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, even in cases where the derivatives do not provide for payments explicitly linked to dividends. Each such linked U.S. stock is an "Underlying Security". Section 871(m) generally applies to notes that substantially replicate the economic performance of one or more Underlying Securities, as determined upon issuance, based on tests set forth in the applicable Treasury regulations (a "Specified Security"). We intend to treat the notes as Specified Securities and therefore as being subject to Section 871(m). Under the applicable Treasury regulations, the dividend equivalent amount is calculated using a formula that is based on the actual dividends paid with respect to the Underlying Securities (subject to certain assumptions), even if these dividends are not explicitly reflected in determining any payment on the note. We have estimated the implicit dividend equivalent amounts relating to all Underlying Securities with respect to a note as 3.38%. We will treat these amounts as payable quarterly on or before March 31, 2023, on June 30, 2023, on September 30, 2023 and on December 31, 2023, respectively. If you are a non-U.S. Holder, you should expect withholding agents to withhold 30% (or a lower rate under the dividend provision of an applicable income tax treaty) of the estimated implicit dividend equivalent amounts from your payment at maturity, if not sooner, based on the payment schedule listed above. Furthermore, if you sell or otherwise dispose of the notes prior to maturity, you should expect withholding agents to withhold 30% (or lower rate under the dividend provision of an applicable income tax treaty) of any estimated implicit dividend equivalent amounts that have accrued on the notes and that have not already been withheld on. We will not provide any further information concerning the actual dividend equivalent amounts, which may differ from our estimated implicit dividend equivalent amounts. You should consult your tax adviser regarding the application of these rules.

Our determinations (including with respect to the dividend equivalent amount) are generally binding on you, but are not binding on the IRS, and the IRS may disagree with our determinations. Section 871(m) is complex and its application may depend on your particular circumstances. You should consult your tax adviser regarding the application of Section 871(m) to the notes.

Withholding under legislation commonly referred to as "FATCA" may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note although under recently proposed

JPMorgan Structured Investments — PS-4 <br> Return Notes Linked to a Basket of 30 Reference Stocks

regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization), no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax adviser regarding the potential application of FATCA to the notes.

We will not pay any additional amounts with respect to any withholding tax.

**Selected Risk Considerations**

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Basket or any of the Reference Stocks. These risks are explained in more detail in the "Risk Factors" section of the accompanying product supplement.

**Risks Relating to the Notes Generally**

&nbsp;&nbsp;&nbsp;&nbsp;· **YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS** — The notes
do not guarantee any return of your principal. The amount payable at maturity, if any, will reflect the performance of the Reference Stocks,
enhanced by the Basket Adjustment Factor. The buffer provided by the Basket Adjustment Factor will be approximately 1.33202% and, if the
Ending Basket Level is less than the Basket Strike Level by more than the buffer, you will lose some or all of your principal amount at
maturity. In no event will the Payment at Maturity be less than zero.

&nbsp;&nbsp;&nbsp;&nbsp;· **CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —** The notes are subject to our and JPMorgan Chase & Co.'s credit risks, and our and JPMorgan Chase & Co.'s credit ratings
and credit spreads may adversely affect the market value of the notes. Investors are dependent on our and JPMorgan Chase & Co.'s
ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.'s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we
and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and
you could lose your entire investment.

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

&nbsp;&nbsp;&nbsp;&nbsp;· **CORRELATION (OR LACK OF CORRELATION) OF THE REFERENCE STOCKS** — The notes are linked to an unequally weighted Basket consisting of 30 Reference Stocks. Price movements of
the Reference Stocks may or may not be correlated with each other. At a time when the value of one or more of the Reference Stocks increases,
the value of the other Reference Stocks may not increase as much or may even decline. Therefore, in calculating the Ending Basket Level,
increases in the value of one or more of the Reference Stocks may be moderated, or more than offset, by the lesser increases or declines
in the values of the other Reference Stocks. In addition, high correlation of movements in the values of the Reference Stocks during periods
of negative returns among the Reference Stocks could have an adverse effect on the payment at maturity on the notes. There can be no assurance
that the Ending Basket Level will be higher than the Basket Strike Level.

&nbsp;&nbsp;&nbsp;&nbsp;· **NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCKS** — As a holder of the notes, you will not have any ownership interest or rights in any of the Reference Stocks, such as
voting rights or dividend payments. In addition, the issuers of the Reference Stocks will not have any obligation to consider your interests
as a holder of the notes in taking any corporate action that might affect the value of the relevant Reference Stocks and the notes.

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

&nbsp;&nbsp;&nbsp;&nbsp;· **NO INTEREST PAYMENTS** — As a holder of the notes, you will not
receive any interest payments.

**Risks Relating to Conflicts of Interest**

&nbsp;&nbsp;&nbsp;&nbsp;· **POTENTIAL CONFLICTS —** We and our
affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent
of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the
notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes.
In performing these duties, our and JPMorgan Chase & Co.'s economic interests and the economic interests of the calculation
agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan
Chase & Co.'s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.'s
economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. It is possible
that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or
our affiliates while the value of the notes declines. Please refer to "Risk Factors — Risks Relating to Conflicts of Interest"
in the accompanying product supplement for additional information about these risks.

JPMorgan Structured Investments — PS-5 <br> Return Notes Linked to a Basket of 30 Reference Stocks

We and/or our affiliates may also currently or from time to time engage in business with the Reference Stock issuers, including extending loans to, or making equity investments in, the Reference Stock issuers or providing advisory services to the Reference Stock issuers. In addition, one or more of our affiliates may publish research reports or otherwise express opinions with respect to the Reference Stock issuers, and these reports may or may not recommend that investors buy or hold the Reference Stocks. As a prospective purchaser of the notes, you should undertake an independent investigation of the Reference Stock issuers that in your judgment is appropriate to make an informed decision with respect to an investment in the notes.

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

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

&nbsp;&nbsp;&nbsp;&nbsp;· **THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS' ESTIMATES —** The estimated value of the notes is determined
by reference to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based
on market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the notes that
are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the future
may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on,
among other things, changes in market conditions, our or JPMorgan Chase & Co.'s creditworthiness, interest rate movements and
other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
See "The Estimated Value of the Notes" in this pricing supplement.

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

&nbsp;&nbsp;&nbsp;&nbsp;· **THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —** We generally expect that some of the costs included in the original issue price of the notes will be partially
paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging
costs and our internal secondary market funding rates for structured debt issuances. See "Secondary Market Prices of the Notes"
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes
during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account
statements).

&nbsp;&nbsp;&nbsp;&nbsp;· **SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —** Any secondary market prices of the notes will likely be lower than
the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary market
funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging
profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any,
at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is likely to be lower than the original
issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk
consideration for information about additional factors that will impact any secondary market prices of the notes.

The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. See "— Lack of Liquidity" below.

&nbsp;&nbsp;&nbsp;&nbsp;· **SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS** — The secondary market price of the notes during their term will be impacted
by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected
hedging profits, if any, estimated hedging costs and the price of one share of each Reference Stock.

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.

JPMorgan Structured Investments — PS-6 <br> Return Notes Linked to a Basket of 30 Reference Stocks

**Risks Relating to the Basket**

&nbsp;&nbsp;&nbsp;&nbsp;· **NO AFFILIATION WITH THE REFERENCE STOCK ISSUERS** — We are not affiliated with the issuers of the Reference Stocks. We assume no responsibility for the adequacy of the information
about the Reference Stock issuers contained in this pricing supplement. You should undertake your own investigation into the Reference
Stocks and their issuers. We are not responsible for the Reference Stock issuers' public disclosure of information, whether contained
in SEC filings or otherwise.

&nbsp;&nbsp;&nbsp;&nbsp;· **THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCKS IS LIMITED AND MAY BE DISCRETIONARY** — The calculation agent will make adjustments to the Stock Adjustment Factor for
each Reference Stock for certain corporate events affecting that Reference Stock. However, the calculation agent will not make an adjustment
in response to all events that could affect each Reference Stock. If an event occurs that does not require the calculation agent to make
an adjustment, the value of the notes may be materially and adversely affected. You should also be aware that the calculation agent may
make adjustments in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative
effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these
determinations.

&nbsp;&nbsp;&nbsp;&nbsp;· **THE REFERENCE STOCKS ARE CONCENTRATED IN THE OIL AND GAS, ENERGY AND FINANCIAL SECTORS** — A substantial portion of the Reference Stocks has been issued by companies whose
business is associated with the oil and gas, energy and financial sectors. Because the value of the notes is determined by the performance
of the Basket consisting of the Reference Stocks, an investment in these notes will be concentrated in these sectors. As a result, the
value of the notes may be subject to greater volatility and be more adversely affected by a single positive or negative economic, political
or regulatory occurrence affecting these sectors than a different investment linked to securities of a more broadly diversified group
of issuers.

&nbsp;&nbsp;&nbsp;&nbsp;· **RISKS ASSOCIATED WITH NON-U.S. SECURITIES WITH RESPECT TO THE ORDINARY SHARES OF LYONDELLBASELL INDUSTRIES N.V. AND THE COMMON STOCK OF SCHLUMBERGER N.V.** — Each of the
ordinary shares of LyondellBasell Industries N.V. and the common stock of Schlumberger N.V. have been issued by non-U.S. companies. Investments
in securities linked to the value of such non-U.S. equity securities involve risks associated with the home countries of the issuers of
those non-U.S. equity securities.

&nbsp;&nbsp;&nbsp;&nbsp;· **LIMITED TRADING HISTORY WITH RESPECT TO THE COMMON STOCK OF DOW INC.** — On April 1, 2019, DuPont de Nemours, Inc. completed the separation of its materials science business
as a result of which Dow Inc. became the parent company of, and the SEC successor registrant to, The Dow Chemical Company. The common
stock of Dow Inc. commenced trading on the New York Stock Exchange on April 2, 2019 and therefore has limited historical performance.
Past performance should not be considered indicative of future performance.

&nbsp;&nbsp;&nbsp;&nbsp;· **IN SOME CIRCUMSTANCES, THE PAYMENT YOU RECEIVE ON THE NOTES MAY BE BASED ON THE VALUE OF CASH, SECURITIES (INCLUDING SECURITIES OF OTHER ISSUERS) OR OTHER PROPERTY DISTRIBUTED TO HOLDERS OF A REFERENCE STOCK UPON THE OCCURRENCE OF A REORGANIZATION EVENT** — Following certain corporate events relating to a Reference Stock where its issuer
is not the surviving entity, a liquidation of a Reference Stock issuer or other reorganization events affect a Reference Stock issuer
as described in the accompanying product supplement, a portion of any payment on the notes may be based on the common stock (or other
security) of a successor to that Reference Stock issuer or any cash or any other assets distributed to holders of that Reference Stock
in the relevant corporate event. The occurrence of these corporate events and the consequent adjustments may materially and adversely
affect the value of the notes. The specific corporate events that can lead to these adjustments and the procedures for selecting the Exchange
Property (as defined in the accompanying product supplement) are described in the accompanying product supplement.

JPMorgan Structured Investments — PS-7 <br> Return Notes Linked to a Basket of 30 Reference Stocks

**The Basket and the Reference Stocks**

**Public Information**

All information contained in this pricing supplement on the Reference Stocks and on the Reference Stock issuers is derived from publicly available sources, without independent verification. Each Reference Stock is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the exchange provided in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in the accompanying product supplement. Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the Exchange Act can be located by reference to the SEC file number provided in the table below, and can be accessed through www.sec.gov.

We do not make any representation that these publicly available documents are accurate or complete. We obtained the closing prices below from Bloomberg, without independent verification. The closing prices below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Bloomberg<br> Ticker Symbol** | &nbsp;&nbsp;**Reference Stock Issuer/Reference Stock** | &nbsp;&nbsp;**Reference Stock Issuer/Reference Stock** | &nbsp;&nbsp;**Relevant<br> Exchange** | &nbsp;&nbsp;**SEC File<br> Number** | &nbsp;&nbsp;**Closing Price on the <br> Pricing Date** |
| &nbsp;&nbsp;Alcoa Corporation | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;AA UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-37816 | &nbsp;&nbsp;$45.49 |
| &nbsp;&nbsp;APA Corporation | &nbsp;&nbsp;Common stock, par value $0.625 per share | &nbsp;&nbsp;APA UW | &nbsp;&nbsp;The NASDAQ Global Select Market | &nbsp;&nbsp;1-40144 | &nbsp;&nbsp;$41.76 |
| &nbsp;&nbsp;Baker Hughes Company | &nbsp;&nbsp;Class A common stock, par value $0.0001 per share | &nbsp;&nbsp;BKR UW | &nbsp;&nbsp;The Nasdaq Stock Market LLC | &nbsp;&nbsp;1-38143 | &nbsp;&nbsp;$28.80 |
| &nbsp;&nbsp;Citigroup Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;C UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-9924 | &nbsp;&nbsp;$46.75 |
| &nbsp;&nbsp;Avis Budget Group, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;CAR UW | &nbsp;&nbsp;The NASDAQ Global Select Market | &nbsp;&nbsp;001-10308 | &nbsp;&nbsp;$168.85 |
| &nbsp;&nbsp;CF Industries Holdings, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;CF UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-32597 | &nbsp;&nbsp;$83.78 |
| &nbsp;&nbsp;Citizens Financial Group, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;CFG UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-36636 | &nbsp;&nbsp;$40.47 |
| &nbsp;&nbsp;ConocoPhillips | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;COP UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-32395 | &nbsp;&nbsp;$116.77 |
| &nbsp;&nbsp;Dow Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;DOW UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-38646 | &nbsp;&nbsp;$52.91 |
| &nbsp;&nbsp;Devon Energy Corporation | &nbsp;&nbsp;Common stock, par value $0.10 per share | &nbsp;&nbsp;DVN UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-32318 | &nbsp;&nbsp;$60.17 |
| &nbsp;&nbsp;EOG Resources, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;EOG UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-9743 | &nbsp;&nbsp;$124.38 |
| &nbsp;&nbsp;Diamondback Energy, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;FANG UW | &nbsp;&nbsp;The NASDAQ Global Select Market | &nbsp;&nbsp;001-35700 | &nbsp;&nbsp;$134.04 |
| &nbsp;&nbsp;Freeport-McMoRan Inc. | &nbsp;&nbsp;Common stock, par value $0.10 per share | &nbsp;&nbsp;FCX UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-11307-01 | &nbsp;&nbsp;$39.84 |
| &nbsp;&nbsp;KeyCorp | &nbsp;&nbsp;Common shares, par value $1.00 per share | &nbsp;&nbsp;KEY UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-11302 | &nbsp;&nbsp;$17.84 |
| &nbsp;&nbsp;LyondellBasell Industries N.V. | &nbsp;&nbsp;Ordinary shares, par value €0.04 per share | &nbsp;&nbsp;LYB UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-34726 | &nbsp;&nbsp;$86.93 |
| &nbsp;&nbsp;Marathon Oil Corporation | &nbsp;&nbsp;Common stock, par value $1.00 per share | &nbsp;&nbsp;MRO UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-1513 | &nbsp;&nbsp;$25.87 |
| &nbsp;&nbsp;M&T Bank Corporation | &nbsp;&nbsp;Common stock, par value $0.50 per share | &nbsp;&nbsp;MTB UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-9861 | &nbsp;&nbsp;$146.24 |
| &nbsp;&nbsp;Occidental Petroleum Corporation | &nbsp;&nbsp;Common stock, par value $0.20 per share | &nbsp;&nbsp;OXY UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-9210 | &nbsp;&nbsp;$62.22 |
| &nbsp;&nbsp;Prudential Financial, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;PRU UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-16707 | &nbsp;&nbsp;$99.44 |
| &nbsp;&nbsp;Phillips 66 | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;PSX UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-35349 | &nbsp;&nbsp;$103.02 |
| &nbsp;&nbsp;Pioneer Natural Resources Company | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;PXD UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-13245 | &nbsp;&nbsp;$227.13 |
| &nbsp;&nbsp;Regions Financial Corporation | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;RF UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-34034 | &nbsp;&nbsp;$21.67 |
| &nbsp;&nbsp;The Charles Schwab Corporation | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;SCHW UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-9700 | &nbsp;&nbsp;$83.11 |
| &nbsp;&nbsp;Schlumberger N.V. (Schlumberger Limited) | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;SLB UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-4601 | &nbsp;&nbsp;$52.67 |

---

JPMorgan Structured Investments — PS-8 <br> Return Notes Linked to a Basket of 30 Reference Stocks

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Bloomberg<br> Ticker Symbol** | &nbsp;&nbsp;**Reference Stock Issuer/Reference Stock** | &nbsp;&nbsp;**Reference Stock Issuer/Reference Stock** | &nbsp;&nbsp;**Relevant<br> Exchange** | &nbsp;&nbsp;**SEC File<br> Number** | &nbsp;&nbsp;**Closing Price on the<br> Pricing Date** |
| &nbsp;&nbsp;Synchrony Financial | &nbsp;&nbsp;Common stock, par value $0.001 per share | &nbsp;&nbsp;SYF UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-36560 | &nbsp;&nbsp;$31.98 |
| &nbsp;&nbsp;Truist Financial Corporation | &nbsp;&nbsp;Common stock, par value $5.00 per share | &nbsp;&nbsp;TFC UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-10853 | &nbsp;&nbsp;$44.44 |
| &nbsp;&nbsp;United Airlines Holdings, Inc. | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;UAL UW | &nbsp;&nbsp;The Nasdaq Stock Market LLC | &nbsp;&nbsp;001-06033 | &nbsp;&nbsp;$41.24 |
| &nbsp;&nbsp;Valero Energy Corporation | &nbsp;&nbsp;Common stock, par value $0.01 per share | &nbsp;&nbsp;VLO UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-13175 | &nbsp;&nbsp;$126.59 |
| &nbsp;&nbsp;Wells Fargo & Company | &nbsp;&nbsp;Common stock, par value $1-2/3 per share | &nbsp;&nbsp;WFC UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;001-2979 | &nbsp;&nbsp;$42.42 |
| &nbsp;&nbsp;Exxon Mobil Corporation | &nbsp;&nbsp;Common stock, no par value | &nbsp;&nbsp;XOM UN | &nbsp;&nbsp;New York Stock Exchange | &nbsp;&nbsp;1-2256 | &nbsp;&nbsp;$109.21 |

---

According to publicly available filings of the relevant Reference Stock issuer with the SEC:

&nbsp;&nbsp;&nbsp;&nbsp;· Alcoa Corporation focuses on bauxite, alumina, and aluminum products.

&nbsp;&nbsp;&nbsp;&nbsp;· APA Corporation engages in hydrocarbon exploration.

&nbsp;&nbsp;&nbsp;&nbsp;· Baker Hughes Company is an energy technology company with a diversified portfolio
of technologies and services that span the energy and industrial value chain.

&nbsp;&nbsp;&nbsp;&nbsp;· Citigroup Inc. is a global diversified financial services holding company
whose businesses provide consumers, corporations, governments and institutions with a broad, yet focused, range of financial products
and services, including consumer banking and credit, corporate and investment banking, securities brokerage, trade and securities services
and wealth management.

&nbsp;&nbsp;&nbsp;&nbsp;· Avis Budget Group, Inc. is a provider of mobility solutions through Avis,
Budget and Zipcar.

&nbsp;&nbsp;&nbsp;&nbsp;· CF Industries Holdings, Inc. is a manufacturer of hydrogen and nitrogen products
for clean energy, fertilizer, emissions abatement, and other industrial applications.

&nbsp;&nbsp;&nbsp;&nbsp;· Citizens Financial Group, Inc. offers a broad range of retail and commercial
banking products and services to more than five million individuals, small businesses, middle-market companies, large corporations and
institutions.

&nbsp;&nbsp;&nbsp;&nbsp;· ConocoPhillips is an independent E&P company headquartered in Houston,
Texas with operations and activities in 14 countries.

&nbsp;&nbsp;&nbsp;&nbsp;· Dow Inc. combines global breadth, asset integration and scale, focused innovation
and leading business positions to achieve profitable growth.

&nbsp;&nbsp;&nbsp;&nbsp;· Devon Energy Corporation is an independent energy company engaged primarily
in the exploration, development and production of oil, natural gas and NGLs.

&nbsp;&nbsp;&nbsp;&nbsp;· EOG Resources, Inc. explores for, develops, produces and markets crude oil,
natural gas liquids (NGLs) and natural gas primarily in major producing basins in the United States of America (United States or U.S.),
The Republic of Trinidad and Tobago (Trinidad), The People's Republic of China (China), the Sultanate of Oman (Oman) and, from time to
time, select other international areas.

&nbsp;&nbsp;&nbsp;&nbsp;· Diamondback Energy, Inc. is an independent oil and natural gas company focused
on the acquisition, development, exploration and exploitation of unconventional, onshore oil and natural gas reserves in the Permian Basin
in West Texas.

&nbsp;&nbsp;&nbsp;&nbsp;· Freeport-McMoRan Inc. is an international mining company and operates geographically
diverse assets with significant proven and probable reserves of copper, gold and molybdenum.

&nbsp;&nbsp;&nbsp;&nbsp;· KeyCorp is a bank-based financial services company.

&nbsp;&nbsp;&nbsp;&nbsp;· LyondellBasell Industries N.V. is a global, independent chemical company.

&nbsp;&nbsp;&nbsp;&nbsp;· Marathon Oil Corporation is an independent exploration and production company
incorporated in 2001, focused on U.S. resource plays: the Eagle Ford in Texas, the Bakken in North Dakota, STACK and SCOOP in Oklahoma
and Northern Delaware in New Mexico.

&nbsp;&nbsp;&nbsp;&nbsp;· M&T Bank Corporation has two wholly owned bank subsidiaries: Manufacturers
and Traders Trust Company and Wilmington Trust, National Association. The banks collectively offer a wide range of retail and commercial
banking, trust and wealth management, and investment services to their customers.

&nbsp;&nbsp;&nbsp;&nbsp;· Occidental Petroleum Corporation's principal businesses consist of three
reporting segments: oil and gas, chemical and midstream and marketing.

&nbsp;&nbsp;&nbsp;&nbsp;· Prudential Financial, Inc. is a global financial services provider and active
global investment manager.

&nbsp;&nbsp;&nbsp;&nbsp;· Phillips 66 is divided into four segments consisting of Midstream, Chemicals,
Refining and Marketing and Specialties.

&nbsp;&nbsp;&nbsp;&nbsp;· Pioneer Natural Resources Company is an independent oil and gas exploration
and production company that explores for, develops and produces oil, NGLs and gas within the United States, with operations in the Permian
Basin in West Texas.

&nbsp;&nbsp;&nbsp;&nbsp;· Regions Financial Corporation provides traditional commercial, retail and
mortgage banking services, as well as other financial services in the fields of asset management, wealth management, securities brokerage,
trust services, merger and acquisition advisory services, and other specialty financing.

&nbsp;&nbsp;&nbsp;&nbsp;· The Charles Schwab Corporation is a savings and loan holding company.

&nbsp;&nbsp;&nbsp;&nbsp;· Schlumberger Limited is a technology company that partners with customers
to access energy by providing leading digital solutions and deploying innovative technologies to enable performance and sustainability
for the global energy industry. Schlumberger collaborates to create technology that unlocks access to energy for the benefit of
all.

&nbsp;&nbsp;&nbsp;&nbsp;· Synchrony Financial offers consumer financial services company delivering
digitally-enabled product suites.

&nbsp;&nbsp;&nbsp;&nbsp;· Truist Financial Corporation is a banking organization headquartered in Charlotte,
North Carolina. Truist conducts its business operations primarily through its bank subsidiary, Truist Bank, and other nonbank subsidiaries.

&nbsp;&nbsp;&nbsp;&nbsp;· United Airlines Holdings, Inc. (formerly known as United Continental Holdings,
Inc.) transports people and cargo through its mainline and regional operations.

&nbsp;&nbsp;&nbsp;&nbsp;· Valero Energy Corporation owns 15 petroleum refineries that produce conventional
gasolines, premium gasolines, reformulated gasoline, gasoline meeting the specifications of the California Air Resources Board (CARB),
diesel, low-sulfur diesel, ultra-low-sulfur diesel, CARB diesel, other distillates, jet fuel, asphalt, petrochemicals, lubricants, and
other refined petroleum products.

JPMorgan Structured Investments — PS-9 <br> Return Notes Linked to a Basket of 30 Reference Stocks

&nbsp;&nbsp;&nbsp;&nbsp;· Wells Fargo & Company is a financial holding company and a bank holding
company.

&nbsp;&nbsp;&nbsp;&nbsp;· Exxon Mobil Corporation's principal business involves exploration for, and
production of, crude oil and natural gas and manufacture, trade, transport and sale of crude oil, natural gas, petroleum products, petrochemicals
and a wide variety of specialty products.

**Historical Information Regarding the Basket and the Reference Stocks** 

The following graphs show the historical weekly performance of the Basket as a whole from January 5, 2018 through December 30, 2022, as well as the Reference Stocks (other than the common stock of Dow Inc.) from January 5, 2018 through December 30, 2022 and the common stock of Dow Inc., par value $0.01 per share, based on the weekly historical prices of one share of Dow Inc. from April 5, 2019 through December 30, 2022. The common stock of Dow Inc. commenced trading on the New York Stock Exchange on April 2, 2019 and therefore has limited historical performance. The graph of the historical Basket performance reflects that the closing level of the Basket on the Base Date was 100 and the Stock Weights were as specified under "The Basket" in this pricing supplement. For the avoidance of doubt, the performance in the Basket graph from January 5, 2018 to April 4, 2019 does not include any performance for the common stock of Dow Inc. during that time period. The closing level of the Basket on January 6, 2023 was 103.29.

We obtained the various closing prices below from the Bloomberg Professional<sup>®</sup> service ("Bloomberg"), without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.

Since the commencement of trading of each Reference Stock, the price of that Reference Stock has experienced significant fluctuations. The historical performance of each Reference Stock and the historical performance of the Basket should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of each Reference Stock or the levels of the Basket on the Valuation Date. There can be no assurance that the performance of the Basket will result in the return of any of your principal amount.

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JPMorgan Structured Investments — PS-10 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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JPMorgan Structured Investments — PS-11 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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JPMorgan Structured Investments — PS-12 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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JPMorgan Structured Investments — PS-13 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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JPMorgan Structured Investments — PS-14 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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JPMorgan Structured Investments — PS-15 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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JPMorgan Structured Investments — PS-16 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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JPMorgan Structured Investments — PS-17 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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JPMorgan Structured Investments — PS-18 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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JPMorgan Structured Investments — PS-19 <br> Return Notes Linked to a Basket of 30 Reference Stocks

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JPMorgan Structured Investments — PS-20 <br> Return Notes Linked to a Basket of 30 Reference Stocks

 ****

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

The estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes. See "Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes 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 selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See "Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period" in this pricing supplement.

**Supplemental Use of Proceeds**

The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes. See "What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Basket?" and "Hypothetical Examples of Amount Payable at Maturity" in this pricing supplement for an illustration of the risk-return profile of the notes and "The Basket and the Reference Stocks" in this pricing supplement for a description of the market exposure provided by the notes.

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

JPMorgan Structured Investments — PS-21 <br> Return Notes Linked to a Basket of 30 Reference Stocks

**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.

**Validity of the Notes and the Guarantee**

In the opinion of Latham & Watkins LLP, as special product counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and 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 special product 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 notes 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 February 26, 2020, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 26, 2020.

JPMorgan Structured Investments — PS-22 <br> Return Notes Linked to a Basket of 30 Reference Stocks

## 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 $500,000.