# EDGAR Filing Document

**Accession Number:** 0000019617
**File Stem:** 0001213900-23-011384
**Filing Date:** 2023-2
**Character Count:** 37752
**Document Hash:** da4fa5f6f9682da286c708b9a75b7238
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001213900-23-011384.hdr.sgml**: 20230214

**ACCESSION NUMBER**: 0001213900-23-011384

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 4

**FILED AS OF DATE**: 20230214

**DATE AS OF CHANGE**: 20230214

**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:** 23627157

**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:** 23627158

**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. 1-II dated November 4, 2020* | **Registration Statement Nos. 333-236659 and 333-236659-01<br> Dated February 13, 2023**<br> **Rule 424(b)(2)** |

---

**JPMorgan Chase Financial Company LLC**

**$440,000**

**Floating Rate Notes Linked to the Consumer Price Index due August 15, 2025**

**Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.**

**General**

&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;· The notes are designed for
investors who seek (a) periodic interest payments that are linked to the year-over-year change in the Consumer Price Index as determined
on the applicable Determination Date, *provided* that this rate will not be less than the Minimum Interest Rate of 0.00% per annum,
and (b) the return of their principal amount at maturity.

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

**Key Terms**

---

| | |
|:---|:---|
| Issuer: | JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: | JPMorgan Chase & Co. |
| Payment at Maturity: | On the Maturity Date, we will pay you the principal amount of your notes *plus* any accrued and unpaid interest. |
| Interest: | We will pay you interest on each Interest Payment Date based on the applicable Interest Rate and the applicable Day Count Fraction, subject to the Interest Accrual Convention described below and in the accompanying product supplement. |
| Interest Rate: | With respect to each Interest Period, a rate per annum equal to the CPI Rate as determined on the applicable Determination Date, *provided* that this rate will not be less than the Minimum Interest Rate |
| Interest Periods: | The period beginning on and including the Original Issue Date and ending on but excluding the first Interest Payment Date, and each successive period beginning on and including an Interest Payment Date and ending on but excluding the next succeeding Interest Payment Date, subject to the Interest Accrual Convention described below and in the accompanying product supplement |
| Interest Payment Dates: | Interest on the notes will be payable in arrears on the 16th calendar day of each month, commencing on March 16, 2023, provided that the Interest Payment Date in August 2025 shall occur on the Maturity Date, subject to the Business Day Convention and the Interest Accrual Convention described below and in the accompanying product supplement. |
| Minimum Interest Rate: | 0.00% per annum |
| CPI Rate: | For any Determination Date, the CPI Rate will be calculated as follows:<br> <u>CPI<sub>t-2</sub> - CPI<sub>t-14</sub></u><br> CPI<sub>t-14</sub><br> where: "CPI<sub>t-2</sub>" means, with respect to that Determination Date, the published level of the Consumer Price Index for the calendar month that is two (2) calendar months immediately preceding the calendar month in which that Determination Date falls, which we refer to as the "reference month"; and<br> "CPI<sub>t-14</sub>" means, with respect to that Determination Date, the published level of the Consumer Price Index for the calendar month that is fourteen (14) calendar months immediately preceding the calendar month in which that Determination Date falls. |
| CPI or Consumer Price Index: | The non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers, as published on the Bloomberg Professional<sup>®</sup> service ("Bloomberg") page "CPURNSA" (or any successor source) or any successor index, as determined by the calculation agent in accordance with the procedures set forth under "The Underlyings — Base Rates — CPI Rate" in the accompanying product supplement. |
| Determination Date: | For each Interest Period, the second business day immediately preceding the beginning of that Interest Period. For example, April 13, 2023 (which is two business days immediately prior to April 16, 2023) is the Determination Date of the CPI Rate with respect to interest due and payable on May 16, 2023. On the April 2023 Determination Date, interest will be based on the year-over-year change in CPI between February 2022 and February 2023. |
| Pricing Date: | February 13, 2023 |
| Original Issue Date: | February 16, 2023, subject to the Business Day Convention (Settlement Date) |
| Maturity Date: | August 15, 2025, subject to the Business Day Convention |
| Business Day Convention: | Following |
| Interest Accrual Convention: | Unadjusted |
| Day Count Convention: | 30/360 |
| CUSIP: | 48133U2V3 |

---

I**nvesting in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of the accompanying prospectus supplement, "Risk Factors" beginning on page PS-11 of the accompanying product supplement and "Selected Risk Considerations" beginning on page PS-1 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.

---

| | | | |
|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Price to Public (1)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Fees and Commissions<br> (2)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Proceeds to Issuer** |
| **Per note** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$26.50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$973.50 |
| **Total** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$440000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$11880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$428120 |

---

(1) The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates.

(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 $26.50 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 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):

· Product supplement no. 1-II dated November 4, 2020: <br> [http://www.sec.gov/Archives/edgar/data/19617/000095010320021464/crt_dp139380.pdf](http://www.sec.gov/Archives/edgar/data/19617/000095010320021464/crt_dp139380.pdf)

· Prospectus supplement and prospectus, each dated April 8,
2020:

[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.

**Selected Purchase Considerations**

· **PRESERVATION OF CAPITAL AT MATURITY** — Regardless
of the year-over-year change in the CPI, we will pay you at least the principal amount of your notes if you hold the notes to maturity. **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.** 

· **PERIODIC INTEREST PAYMENTS** — The notes offer
periodic interest payments on each Interest Payment Date. For each Interest Period, the notes will pay an interest rate per annum equal
to the CPI Rate as determined on the applicable Determination Date , *provided* that this rate
will not be less than the Minimum Interest Rate. The yield on the notes may be less than the overall return you would receive from a conventional
debt security that you could purchase today with the same maturity as the notes.

· **POTENTIAL INFLATION PROTECTION** — For each Interest
Period, the Interest Rate on the notes will be a rate per annum equal to the CPI Rate as determined on the applicable Determination Date, *provided* that this rate will not be less than the Minimum Interest Rate. In no event will the Interest Rate for any Interest Period
be less than the Minimum Interest Rate.

· **TREATED AS VARIABLE RATE DEBT INSTRUMENTS –** You
should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product supplement.
You and we agree to treat the notes as "variable rate debt instruments" for U.S. federal income tax purposes. Assuming this
characterization is respected, interest paid on the notes will generally be taxable to you as ordinary interest income at the time it
accrues or is received in accordance with your method of accounting for U.S. federal income tax purposes. In general, gain or loss realized
on the sale, exchange or other disposition of the notes will be capital gain or loss. Prospective purchasers are urged to consult their
own tax advisors regarding the U.S. federal income tax consequences of an investment in the notes, and the potential application of special
rules. Non-U.S. Holders should note that a withholding tax of 30% could be imposed on payments made on the notes to certain foreign entities
unless information reporting and diligence requirements are met, as described in "Material U.S. Federal Income Tax Consequences-Tax
Consequences to Non-U.S. Holders" in the accompanying product supplement.

**Selected Risk Considerations**

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

**Risks Relating to the Notes Generally**

· **THE NOTES ARE NOT ORDINARY DEBT SECURITIES BECAUSE THE INTEREST RATE ON THE NOTES IS A FLOATING RATE AND MAY BE EQUAL TO THE MINIMUM INTEREST RATE** — With respect to each Interest
Period, your notes will pay an interest rate per annum equal to the CPI Rate as determined on the applicable Determination Date (which
is based on the year-over-year change in the level of the CPI), *provided* tha t this rate will
not be less than the Minimum Interest Rate. If the CPI does not increase over the relevant period measured by the CPI Rate, which is likely
to occur when there is little or no inflation, or if the CPI decreases over this period, which is likely to occur when there is deflation,
the Interest Rate for such Interest Period will be equal to the Minimum Interest Rate. If the Interest Rate for an Interest Period is
equal to the Minimum Interest Rate, which will occur if the CPI Rate on the applicable Determination Date is less than or equal to 0.00%
per annum, no interest will be payable with respect to that Interest Period. Accordingly, if the CPI Rate on the Determination Dates for
some or all of the Interest Periods is less than or equal to 0.00% per annum, you may not receive any interest payments for an extended
period over the term of the notes.

· **THE INTEREST RATE ON THE NOTES IS BASED ON THE CPI RATE** — The amount of interest, if any, payable on the notes will depend on a number of factors that could affect the levels of the CPI
Rate, and in turn, could affect the value of the notes. These factors include (but are not limited to) the expected volatility of the
CPI Rate, interest and yield rates in the market generally, the performance of capital markets, monetary policies, fiscal policies, regulatory
or judicial events, inflation, general economic conditions and public expectations with respect to such factors. These and other factors
may have a negative impact on the CPI Rate and on the value of the notes in the

<br> JPMorgan Structured Investments — PS- 1 <br> Floating Rate Notes Linked to the Consumer Price Index

secondary market. The effect that any single factor may have on the CPI Rate may be partially offset by other factors. We cannot predict the factors that may cause the CPI Rate, and consequently the Interest Rate for an Interest Period, to increase or decrease. A decrease in the CPI Rate will result in a reduction of the applicable Interest Rate used to calculate the Interest for any Interest Period.

· **FLOATING RATE NOTES DIFFER FROM FIXED RATE NOTES** —
The rate of interest on your notes will be variable and determined based on the CPI Rate, *provided* that this rate will not be less
than the Minimum Interest Rate, which may be less than returns otherwise payable on notes issued by us with similar maturities. You should
consider, among other things, the overall potential annual percentage rate of interest to maturity of the notes as compared to other investment
alternatives.

· **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.

· **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.

· **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.

**Risks Relating to Conflicts of Interest**

· **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 and hedging our obligations under 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 for our and JPMorgan Chase & Co.'s own accounts or on behalf of customers, could cause our and
JPMorgan Chase & Co.'s economic interests to be adverse to yours and could adversely affect any payment on the notes and the
value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result
in substantial returns for us or our affiliates while the value of the notes declines. Please refer to "Risk Factors — Risks
Relating to Conflicts of Interest" in the accompanying product supplement for additional information about these risks.

**Risks Relating to Secondary Market Prices of the Notes**

· **CERTAIN BUILT-IN COSTS ARE LIKELY TO AFFECT ADVERSELY THE VALUE OF THE NOTES PRIOR TO MATURITY —** While the payment at maturity described in this pricing supplement is based on the full
principal amount of your notes, the original issue price of the notes includes the agent's commission and the estimated cost of
hedging our obligations under the notes through one or more of our affiliates. As a result, the price, if any, at which JPMS will
be willing to purchase notes from you in secondary market transactions, if at all, will likely be lower than the original issue price
and any sale prior to the Maturity Date could result in a substantial loss to you. This secondary market price will also be affected
by a number of factors aside from the agent's commission and hedging costs, including those referred to under "Many Economic
and Market Factors Will Impact the Value of the Notes" below.

The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.

· **MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES** — In addition
to the level of the CPI on any day, the value of the notes will be affected by a number of economic and market factors that may either
offset or magnify each other, including, but not limited to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· any actual or potential change in our creditworthiness or
credit spreads;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the actual and expected volatility of the CPI;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the time to maturity of the notes;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· interest and yield rates in the market generally, as well
as the volatility of those rates;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· fluctuations in the prices of various consumer goods and energy
resources;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· inflation and expectations concerning inflation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a variety of economic, financial, political, regulatory or
judicial events.

<br> JPMorgan Structured Investments — PS- 2 <br> Floating Rate Notes Linked to the Consumer Price Index

**Risks Relating to the CPI Rate**

· **THE CPI AND THE WAY THE BUREAU OF LABOR STATISTICS OF THE U.S. LABOR DEPARTMENT (THE "BLS") CALCULATES THE CPI MAY CHANGE IN THE FUTURE** — There can be no assurance that the
BLS will not change the method by which it calculates the CPI. In addition, changes in the way the CPI is calculated could reduce the
level of the CPI and lower the interest payable with respect to the notes. Accordingly, the amount of interest payable on the notes, and
therefore the value of the notes, may be significantly reduced. If the CPI is discontinued or substantially altered, a successor index
may be employed to calculate the interest payable on the notes and that substitution may adversely affect the value of the notes.

· **THE INTEREST RATE ON THE NOTES MAY NOT REFLECT ACTUAL LEVELS OF INFLATION AFFECTING HOLDERS OF THE NOTES** — The CPI is just one measure of inflation and may not reflect the actual levels
of inflation affecting holders of the notes. Further, the CPI Rate for an Interest Period is based on the lagging percentage change in
the level of the CPI over a specified period. Accordingly, an investment in the notes may not fully offset any inflation actually experienced
by any holder of the notes.

<br> JPMorgan Structured Investments — PS- 3 <br> Floating Rate Notes Linked to the Consumer Price Index

**Hypothetical Interest Rates Based on Historical CPI Levels** 

Provided below are historical levels of the CPI from January 2016 to December 2022. Also provided below are the hypothetical Interest Rates for a hypothetical Interest Period in the calendar months from January 2017 to March 2023 that would have resulted from the year-over-year change in the historical levels of the CPI presented below, subject to the Minimum Interest Rate. We obtained the historical information included below from Bloomberg, without independent verification.

The historical levels of the CPI should not be taken as an indication of future levels of the CPI, and no assurance can be given as to the level of the CPI for any reference month. The hypothetical Interest Rates for a hypothetical Interest Period set forth below are intended to illustrate the effect of general trends in the CPI on the amount of interest payable to you on the notes and assume that the change in the CPI will be measured on a year-over-year basis. However, the CPI may not increase or decrease over the term of the notes in accordance with any of the trends depicted by the historical information in the table below, and the size and frequency of any fluctuations in the CPI level over the term of the notes, which we refer to as the volatility of the CPI, may be significantly different than the historical volatility of the CPI. Additionally, for ease of presentation, the hypothetical Interest Rates set forth below have only been calculated to the third decimal point and rounded to the nearest second decimal point, which is different from the rounding convention applicable to the notes. As a result, the hypothetical Interest Rates depicted in the table below should not be taken as an indication of the actual Interest Rate that will be payable with regard to the Interest Period over the term of the notes.

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | Historical Levels of CPI | Historical Levels of CPI | Historical Levels of CPI | Historical Levels of CPI | Historical Levels of CPI | Historical Levels of CPI | Historical Levels of CPI | Hypothetical Interest Rates Payable | Hypothetical Interest Rates Payable | Hypothetical Interest Rates Payable | Hypothetical Interest Rates Payable | Hypothetical Interest Rates Payable | Hypothetical Interest Rates Payable | Hypothetical Interest Rates Payable |
| | **<u>2016</u>** | **<u>2017</u>** | **<u>2018</u>** | **<u>2019</u>** | **<u>2020</u>** | **<u>2021</u>** | **<u>2022</u>** | **<u>2017</u>** | **<u>2018</u>** | **<u>2019</u>** | **<u>2020</u>** | **<u>2021</u>** | **<u>2022</u>** | **<u>2023</u>** |
| **January** | 236.916 | 242.839 | 247.867 | 251.712 | 257.971 | 261.582 | 281.148 | 1.64% | 2.04% | 2.52% | 1.76% | 1.18% | 6.22% | 7.75% |
| **February** | 237.111 | 243.603 | 248.991 | 252.776 | 258.678 | 263.014 | 283.716 | 1.69% | 2.20% | 2.18% | 2.05% | 1.17% | 6.81% | 7.11% |
| **March** | 238.132 | 243.801 | 249.554 | 254.202 | 258.115 | 264.877 | 287.504 | 2.07% | 2.11% | 1.91% | 2.29% | 1.36% | 7.04% | 6.45% |
| **April** | 239.261 | 244.524 | 250.546 | 255.548 | 256.389 | 267.054 | 289.109 | 2.50% | 2.07% | 1.55% | 2.49% | 1.40% | 7.48% |  |
| **May** | 240.229 | 244.733 | 251.588 | 256.092 | 256.394 | 269.195 | 292.296 | 2.74% | 2.21% | 1.52% | 2.33% | 1.68% | 7.87% |  |
| **June** | 241.018 | 244.955 | 251.989 | 256.143 | 257.797 | 271.696 | 296.311 | 2.38% | 2.36% | 1.86% | 1.54% | 2.62% | 8.54% |  |
| **July** | 240.628 | 244.786 | 252.006 | 256.571 | 259.101 | 273.003 | 296.276 | 2.20% | 2.46% | 2.00% | 0.33% | 4.16% | 8.26% |  |
| **August** | 240.849 | 245.519 | 252.146 | 256.558 | 259.918 | 273.567 | 296.171 | 1.87% | 2.80% | 1.79% | 0.12% | 4.99% | 8.58% |  |
| **September** | 241.428 | 246.819 | 252.439 | 256.759 | 260.280 | 274.310 | 296.808 | 1.63% | 2.87% | 1.65% | 0.65% | 5.39% | 9.06% |  |
| **October** | 241.729 | 246.663 | 252.885 | 257.346 | 260.388 | 276.589 | 298.012 | 1.73% | 2.95% | 1.81% | 0.99% | 5.37% | 8.52% |  |
| **November** | 241.353 | 246.669 | 252.038 | 257.208 | 260.229 | 277.948 | 297.711 | 1.94% | 2.70% | 1.75% | 1.31% | 5.25% | 8.26% |  |
| **December** | 241.432 | 246.524 | 251.233 | 256.974 | 260.474 | 278.802 | 296.797 | 2.23% | 2.28% | 1.71% | 1.37% | 5.39% | 8.20% |  |

---

**Hypothetical Example of Calculation of the CPI Rate** 

The following example illustrates how the CPI Rate is calculated for a hypothetical Interest Period based on a hypothetical Determination Date. The hypothetical CPI Rate in the following example is for illustrative purposes only and may not correspond to the actual CPI Rate for the Interest Period applicable to a purchaser of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.

On a hypothetical Determination Date occurring in February 2023, the relevant CPI Rate is calculated based on the percent change in the CPI for the one-year period from December 2021 (278.802) to December 2022 (296.797) as follows:

---

| | | |
|:---|:---|:---|
| CPI Rate = | <u>296.797 – 278.802</u><br> 278.802 | &nbsp;&nbsp;&nbsp;=6.45% |

---

<br> JPMorgan Structured Investments — PS- 4 <br> Floating Rate Notes Linked to the Consumer Price Index

**Hypothetical Interest Rate for an Interest Period** 

The following table illustrates the Interest Rate determination for an Interest Period for a hypothetical range of performance of the CPI Rate and reflects the Minimum Interest Rate set forth on the cover of this pricing supplement. The hypothetical CPI Rate and interest payments set forth in the following examples are for illustrative purposes only and may not be the actual CPI Rate or interest payment applicable to a purchaser of the notes.

---

| | |
|:---|:---|
| &nbsp;&nbsp; Hypothetical CPI Rate | &nbsp;&nbsp; Hypothetical Interest Rate |
| 9.00% | 9.00% |
| 8.00% | 8.00% |
| 7.00% | 7.00% |
| 6.00% | 6.00% |
| 5.00% | 5.00% |
| 4.00% | 4.00% |
| 3.00% | 3.00% |
| 2.00% | 2.00% |
| 1.00% | 1.00% |
| 0.00% | 0.00%\* |
| -0.50% | 0.00%\* |
| -1.00% | 0.00%\* |
| -2.00% | 0.00%\* |

---

\*The Interest Rate cannot be less than the Minimum Interest Rate of 0.00% per annum.

**Hypothetical Examples of Interest Rate Calculation for the Interest Period** 

The following examples illustrate how the hypothetical Interest Rate is calculated for a particular Interest Period and assume that that the Day Count Fraction for the applicable Interest Period is equal to 30/360. The actual Day Count Fraction for an Interest Period will be calculated in the manner set forth in the accompanying product supplement. The hypothetical Interest Rates in the following examples are for illustrative purposes only and may not correspond to the actual Interest Rate for any Interest Period applicable to a purchaser of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.

**Example 1: With respect to a particular Interest Period, the CPI Rate is 2.00% on the applicable Determination Date.** The Interest Rate applicable to this Interest Period is 2.00% per annum.

The corresponding interest payment per $1,000 principal amount note is calculated as follows:

$1,000 × (2.00%) × (30/360) = $1.67

**Example 2: With respect to a particular Interest Period, the CPI Rate is -2.00% on the applicable Determination Date.** Because the CPI Rate of -2.00% is less than the Minimum Interest Rate of 0.00% per annum, the Interest Rate for this Interest Period is 0.00% per annum and no interest is payable on the notes.

The 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 payments shown above would likely be lower.

<br> JPMorgan Structured Investments — PS- 5 <br> Floating Rate Notes Linked to the Consumer Price Index

**What Is the Consumer Price Index?**

The Consumer Price Index for purposes of the notes is the non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers ("CPI"), reported monthly by the Bureau of Labor Statistics of the U.S. Department of Labor ("BLS") and published on Bloomberg screen CPURNSA or any successor source, as determined by the calculation agent in accordance with the procedures set forth under "The Underlyings — Base Rates — CPI Rate" in the accompanying product supplement. The CPI for a particular month is published during the following month.

The CPI is a measure of the average change in consumer prices over time for a fixed market basket of goods and services, including food and beverages, housing, apparel, transportation, medical care, recreation, and education and communication, and other goods and services. In calculating the CPI, price changes for the various items are averaged together with weights that represent their importance in the spending of urban households in the United States. The contents of the market basket of goods and services and the weights assigned to the various items are updated periodically by the BLS to take into account changes in consumer expenditure patterns. The CPI is expressed in relative terms in relation to a time base reference period for which the level is set at 100.0. The base reference period for these notes is the 1982-1984 average.

**Historical Information**

The following graph sets forth the monthly historical performance of the year-over-year change in the CPI from January 2018 through December 2022. We obtained the rates used to construct the graph below from Bloomberg, without independent verification.

The year-over-year change in the CPI for the month of December 2022 (as compared to December 2021) was 6.45% based on Bloomberg page "CPI YOY." The actual CPI Rate for any Determination Date will be determined in the manner described in "Key Terms — CPI Rate" in this pricing supplement and not by reference to the Bloomberg page "CPI YOY."

The historical year-over-year change in CPI should not be taken as an indication of future results, and no assurance can be given as to the CPI Rate on any Determination Date. There can be no assurance that the performance of the CPI Rate will result in an Interest Rate for any Interest Period that is greater than the Minimum Interest Rate.

![](image_002.jpg)

<br> JPMorgan Structured Investments — PS- 6 <br> Floating Rate Notes Linked to the Consumer Price Index

**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 Sidley Austin LLP, as counsel to the Company and the Guarantor, when the notes offered by this pricing supplement have been executed and issued by the Company and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, (a) such notes will be valid and binding obligations of the Company, 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 the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above and (b) the related guarantee will be a valid and binding obligation of the Guarantor, enforceable in accordance with its 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 the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the Limited Liability Company Act of Delaware and the General Corporation Law of the State of Delaware as in effect on the date hereof. In addition, this opinion is subject to customary assumptions about the trustee's authorization, execution and delivery of the indenture and the genuineness of signatures and certain factual matters, all as stated in the letter of such counsel dated February 26, 2020, which has been filed as Exhibit 5.3 to the Company's registration statement on Form S-3 filed with the Securities and Exchange Commission on February 26, 2020.

<br> JPMorgan Structured Investments — PS- 7 <br> Floating Rate Notes Linked to the Consumer Price Index

## Ex-Filing

**Exhibit 107.1**

The pricing supplement to which this Exhibit is attached is a final prospectus for the related offering. The maximum aggregate offering price of that offering is $440,000.