JPM-C JP Morgan Chase and Co

Key Terms

Additional Key Terms

Supplemental Terms of the Notes

Notwithstanding anything to the contrary in the accompanying product supplement, all values with respect to calculations in connection with the notes will be rounded to the nearest ten-thousandth, with five one hundred-thousandths rounded upward (e.g., 0.87645 would be rounded to 0.8765).

The Review Dates are Determination Dates for purposes of the accompanying product supplement but are not subject to postponement under “General Terms of Notes — Postponement of a Determination Date.” Instead, they are subject to adjustment as described below.

With respect to any day, the Reference Rate refers to the rate for U.S. dollar swaps with a designated maturity of 2 years, referencing the Secured Overnight Financing Rate (“SOFR”) (compounded in arrears for twelve months using standard market conventions), that appears on the Bloomberg Screen USISSO02 Page at approximately 11:00 a.m., New York City time, on that day, as determined by the calculation agent, provided that, if no such rate appears on the Bloomberg Screen USISSO02 Page on that day at approximately 11:00 a.m., New York City time, then the calculation agent, after consulting such sources as it deems comparable to the foregoing display page, or any such source it deems reasonable from which to estimate the relevant rate for U.S. dollar swaps referencing SOFR, will determine the Reference Rate for that day in its sole discretion.

“Bloomberg Screen USISSO02 Page” means the display designated as the Bloomberg screen “USISSO02” or such other page as may replace the Bloomberg screen “USISSO02” on that service or such other service or services as may be nominated for the purpose of displaying rates for U.S. dollar swaps referencing SOFR by ICE Benchmark Administration Limited (“IBA”) or its successor or such other entity assuming the responsibility of IBA or its successor in calculating rates for U.S. dollar swaps referencing SOFR in the event IBA or its successor no longer does so.

Notwithstanding the foregoing paragraph:

(i)  If the calculation agent determines in its sole discretion on or prior to the relevant day that the relevant rate for U.S. dollar swaps referencing SOFR has been discontinued or that rate has ceased to be published permanently or indefinitely, then the calculation agent will use as the Reference Rate for that day a substitute or successor rate that it has determined in its sole discretion, after consulting an investment bank of national standing in the United States (which may be an affiliate of ours) or any other source it deems reasonable, to be a commercially reasonable replacement rate; and

(ii) If the calculation agent has determined a substitute or successor rate in accordance with the foregoing, the calculation agent may determine in its sole discretion, after consulting an investment bank of national standing in the United States (which may be an affiliate of ours) or any other source it deems reasonable, the definitions of business day and Review Date and any other relevant methodology for calculating that substitute or successor rate, including any adjustment factor, spread and/or formula it determines is needed to make that substitute or successor rate comparable to the relevant rate for U.S. dollar swaps referencing SOFR, in a manner that is consistent with industry-accepted practices for that substitute or successor rate.

JPMS, one of our affiliates, will act as the calculation agent for the notes. We may appoint a different calculation agent, including ourselves or another affiliate of ours, from time to time after the date of this pricing supplement without your consent and without notifying you.  See “General Terms of Notes — Calculation Agent” in the accompanying product supplement.

What Is the Total Return on the Notes upon an Automatic Call or at Maturity, Assuming a Range of Performances for the Reference Rate?

The following table illustrates the hypothetical simple total return (i.e., not compounded) on the notes that could be realized with respect to the applicable Review Date for a range of movements in the Reference Rate as shown under the columns “Reference Rate Appreciation/Depreciation at Review Date” and “Reference Rate Return.” The following table assumes a hypothetical Reference Strike Rate of 3.8000%, a hypothetical Call Level of 3.2300% (equal to 85% of the hypothetical Reference Strike Rate) with respect to the first Review Date, a hypothetical Call Level of 2.8500% (equal to 75% of the hypothetical Reference Strike Rate) with respect to the second Review Date, a hypothetical Call Level of 2.4700% (equal to 65% of the hypothetical Reference Strike Rate) with respect to the third Review Date and a hypothetical Call Level of 1.9000% (equal to 50% of the hypothetical Reference Strike Rate) with respect to the final Review Date. The table reflects that the call premiums used to calculate the call premium amount applicable to the first, second, third and final Review Dates are 5.50%, 11.00%, 16.50% and 22.00%, respectively, regardless of any appreciation of the Reference Rate, which may be significant. There will be only one payment on the notes whether called or at maturity. An entry of “N/A” indicates that the notes would not be called on the applicable Review Date, and no payment would be made on the applicable Call Settlement Date. Each hypothetical return set forth below is for illustrative purposes only and may not be the actual total return applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.

(1) The Reference Rate Return will not be less than 100%.

Hypothetical Examples of Amount Payable upon Automatic Call or at Maturity

The following examples illustrate how the payment upon an automatic call or at maturity in different hypothetical scenarios is calculated.

Example 1: The Reference Rate increases from the Reference Strike Rate of 3.8000% to a Reference Rate of 4.1800% on the first Review Date. Because the Reference Rate on the first Review Date of 4.1800% is greater than the Call Level of 3.2300% applicable to the first Review Date, the notes are automatically called, and the investor receives a single payment of $1,055.00 per $1,000 principal amount note on the first Call Settlement Date. No further payments will be made on the notes.

Example 2: The Reference Rate decreases from the Reference Strike Rate of 3.8000% to Reference Rates of 3.0400%, 2.6600% and 2.2800% on the first, second and third Review Dates, respectively, and decreases from the Reference Strike Rate of 3.8000% to a Final Reference Rate of 2.0900%. Because the Reference Rate on each of the first three Review Dates (3.0400%, 2.6600% and 2.2800%) is less than the Call Level of 3.2300%, 2.8500% and 2.4700%, respectively, applicable to that Review Date, the notes are not automatically called on those Review Dates. However, because the Final Reference Rate of

2.0900% is greater than the Call Level of 1.9000% applicable to the final Review Date, even though the Final Reference Rate is less than the Reference Strike Rate, the notes are automatically called on the final Review Date, and the investor receives a single payment at maturity of $1,220.00 per $1,000 principal amount note.

Example 3: The Reference Rate decreases from the Reference Strike Rate of 3.8000% to Reference Rates of 3.0400%, 2.6600% and 2.2800% on the first, second and third Review Dates, respectively, and to a Final Reference Rate of 1.5200%. Because (a) the Reference Rate on each of the first three Review Dates (3.0400%, 2.6600% and 2.2800%) is less than the Call Level of 3.2300%, 2.8500% and 2.4700%, respectively, applicable to that Review Date, (b) the Final Reference Rate of 1.5200% is less than the Call Level of 1.9000% applicable to the final Review Date and (c) the Reference Rate Return is -60%, the notes are not automatically called, and the investor receives a payment at maturity that is less than the principal amount for each $1,000 principal amount note, calculated as follows:

$1,000 + ($1,000 × -60%) = $400

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

Selected Purchase Considerations

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, although not free from doubt, the gain or loss on your notes should be treated as short-term capital gain or loss unless you hold your notes for more than a year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser of notes at the issue price.  However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely affected.  In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.  The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.  It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge.  While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.  You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice.

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 and below.

In addition, because the return on the notes is based on the percentage change of the Reference Rate from the Reference Strike Rate, rather than the percentage point change in the Reference Rate, a very small percentage point decline in the Reference Rate can result in the notes not being automatically called and/or in a significant loss on the notes.  For example, assuming a Reference Strike Rate of 3.8000%, if the notes have not been previously automatically called and the Reference Rate were to decline by only 2.28 percentage points from the assumed Reference Strike Rate to a Reference Rate of 1.5200% on the final Review Date, that move would represent a 60% decline from the assumed Reference Strike Rate and the notes would not be automatically called on the final Review Date and you would lose 60.00% of their principal amount at maturity.

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.

Risks Relating to Conflicts of Interest

In addition, although the calculation agent has made all determinations and has taken all actions in relation to the establishment of the Reference Strike Rate in good faith, it should be noted that such discretion could have an impact (positive or negative), on the value of your notes. The calculation agent is under no obligation to consider your interests as a holder of the notes in taking any actions, including the determination of the Reference Strike Rate, that might affect the value of your notes.

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

would be willing to buy notes from you in secondary market transactions. See “The Estimated Value of the Notes” in this pricing supplement.

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” above.

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.

Risks Relating to the Reference Rate

These and other factors may have a negative effect on the performance of the Reference Rate and on the value of the notes in the secondary market.

The Reference Rate may be negative. A Final Reference Rate that is less than the Reference Strike Rate by more than 50% will result in a reduction of principal payment at maturity. A decline from the Reference Strike Rate to the Final Reference Rate that is only slightly more than 50% will result in a significant loss of principal. In addition, these and other factors may have a negative impact on the value of your notes in the secondary market.

In addition, the publication of SOFR began in April 2018, and, therefore, it has a limited history.  The future performance of the Reference Rate and SOFR cannot be predicted based on the limited historical performance.  The levels of Reference Rate and SOFR during the term of the notes may bear little or no relation to the historical actual or historical indicative data.  Prior observed patterns, if any, in the behavior of market variables and their relation to Reference Rate and SOFR, such as correlations, may change in the future.  While some pre-publication historical data for SOFR has been released by the Federal Reserve Bank of New York (“FRBNY”), production of such historical indicative SOFR data inherently involves assumptions, estimates and approximations.

No future performance of the Reference Rate or SOFR may be inferred from any of the historical actual or historical indicative SOFR data.  Hypothetical or historical performance data are not indicative of, and have no bearing on, the potential performance of Reference Rate or SOFR.  Changes in the levels of SOFR will affect the Reference Rate and, therefore, the return on the notes and the trading price of the notes, but it is impossible to predict whether such levels will rise or fall.  There can be no assurance that the Reference Rate or SOFR will be positive.

successor rate, including any adjustment factor it determines is needed to make that substitute or successor rate comparable to the relevant rate for U.S. dollar swaps referencing SOFR, in a manner that is consistent with industry-accepted practices for that substitute or successor rate.

Any of the foregoing determinations or actions by the calculation agent could result in adverse consequences to the value of the Reference Rate used on any Review Date, which could adversely affect the return on and the market value of the notes.

Historical Information

The following graph sets forth the historical weekly performance of the Reference Rate from November 19, 2021 (the first Friday on which the Reference Rate was published by Bloomberg Professional^® service (“Bloomberg”)) through March 17, 2023. The Reference Rate on March 17, 2023 was 3.957%. We obtained the levels of the Reference Rate above and below from Bloomberg, without independent verification.

The historical levels of the Reference Rate should not be taken as an indication of future performance, and no assurance can be given as to the level of the Reference Rate on any Review Date. There can be no assurance that the performance of the Reference Rate will result in the return of any of your principal amount. You should note that publication of the U.S. Dollar SOFR ICE Swap Rate began on November 8, 2021, and it therefore has a limited history.

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 is 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-rate debt of JPMorgan Chase & Co. 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, 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 “Selected Risk Considerations — 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 this pricing 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 that 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.”

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