The J.P. Morgan Multi-Asset Index (the “Index”) was developed and is maintained and calculated by JPMS, one of our affiliates. The

The Index seeks to provide a dynamic and diversified asset allocation based on a momentum investment strategy. The Index tracks

the return of (a) a dynamic notional portfolio consisting of up to 10 excess return futures-based indices (each, a “Constituent” and

collectively, the “Constituents”), converted into U.S. dollars (in the case of Constituents not denominated in U.S. dollars), less (b) a

1.00% per annum daily deduction. The Constituents represent a broad range of asset classes (equities, fixed income and

commodities) and developed markets (the United States, Germany and Japan).

The Index selects and rebalances into a new notional portfolio composed of the Constituents at least once each month using a

methodology that is designed to:

maximum assigned weight for each Constituent and the minimum and maximum aggregate assigned weight for each asset class. For

additional information about the Constituents, see “Background on the J.P. Morgan Futures Indices” in the accompanying underlying

supplement.

Allocating dynamically based on the market cycle. Historical data and statistical analysis support the premise that assets tend to move

in multi-year cycles. Depending on the asset class, these cycles can range from five to 30 years. The presence of these trends is one

possible explanation for the academic research showing that, historically, asset classes exhibiting strong recent returns have been

more likely to continue to exhibit positive returns. The Index attempts to take advantage of this dynamic by identifying a selected

portfolio that reflects the strongest recent returns in local-currency terms from among the possible portfolios that meet the weight

constraints set forth above and the volatility threshold described below.

Targeting stable volatility. One measure of risk used by many investors is volatility, which reflects the degree of variation in the value of

an asset or portfolio over a period of time. Unlike asset-allocation approaches that aim to maintain stable proportions of different assets

throughout the market cycle, the Index attempts to maintain a stable level of volatility over time. As compared to an approach that

maintains consistent weights through the market cycle, the Index is designed to take on more volatility risk in calm markets and deliver

to the volatility threshold, until a notional portfolio has been selected.

Calculating the level of the Index. On any given day, the closing level of the Index (the “Index Level”) reflects (a) the weighted U.S.

dollar performance of the Constituents tracked by the Index on that day less (b) the 1.00% per annum daily deduction. The Index Level

was set equal to 100.00 on February 22, 1994, the base date of the Index. The Index Calculation Agent (as defined below) began

calculating the Index on a live basis on November 18, 2022.

The Index is an “excess return” index because it provides notional exposure to the Constituents that in turn provide exposure to futures

contract returns that reflect changes in the price of those futures contracts, as well as their “roll” returns. The Index is not a “total return”

index because the Constituents do not reflect interest that could be earned on funds notionally committed to the trading of futures

contracts.

JPMS is currently the sponsor of the Index (the “Index Sponsor”) and the calculation agent of the Index (the “Index Calculation Agent”).

See “The J.P. Morgan Multi-Asset Index” in the accompanying underlying supplement for additional information about the Index.

past performance trends referenced in identifying a selected portfolio will continue during the subsequent period when the

realized volatility threshold used to determine any selected portfolio may be greater than 4%, perhaps significantly.

The Index is described as a “notional” or “synthetic” portfolio of assets because there is no actual portfolio of assets to

which any person is entitled or in which any person has any ownership interest. The Index merely references certain assets,

the performance of which will be used as a reference point for calculating the Index Level.

Payment upon an Automatic Call

Payment at Maturity If the Notes Have Not Been Automatically Called

Call Premium Amount

The following table illustrates the hypothetical payment at maturity on the notes linked to a hypothetical Index if the notes have not been

automatically called. The hypothetical payments set forth below assume the following:

Each hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the actual payment at maturity

applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.

If No Automatic Call:

If the notes have not been automatically called, investors will receive at maturity the $1,000 principal amount plus the Additional

Amount, which is equal to $1,000 times the Index Return times the Participation Rate of 100.00%.

other risks.

closing levels of the Index from January 8, 2021 through November 11, 2022, and the historical performance of the Index based on the

weekly historical closing levels of the Index from November 18, 2022 through August 21, 2026. The Index was established on

November 18, 2022, as represented by the vertical line in the following graph. All data to the left of that vertical line reflect hypothetical

back-tested performance of the Index. All data to the right of that vertical line reflect actual historical performance of the Index. The

closing level of the Index on August 21, 2026 was 317.28. We obtained the closing levels above and below from the Bloomberg

payments of interest at a single fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt

of stated interest, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated for U.S. federal

income tax purposes as “contingent payment debt instruments.” As discussed in that subsection, you generally will be required to

will not make any payment with respect to the notes except upon an automatic call or at maturity. Upon sale or exchange (including an

prospectus supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of

notes’ adjusted issue price.

Although it is not entirely clear how the comparable yield and projected payment schedule should be determined when a debt

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

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

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.

The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the

the notes and “The J.P. Morgan Multi-Asset Index” 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

for third-party data analytics and/or electronic platform services.

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 (x)(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

or (y) the validity, legally binding effect or enforceability of any provision that permits holders to collect any portion of the stated principal

amount upon acceleration of the notes to the extent determined to constitute unearned interest. 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, except that such counsel expresses no opinion as to (i) any law, rule or regulation that is applicable to

JPMorgan Financial or JPMorgan Chase & Co., the indenture, the notes, the related guarantee (together with the indenture and the

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

with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as

well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for

implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among

other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying

product supplement and the accompanying underlying supplement, as the notes involve risks not associated with conventional debt

securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

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

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.