The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not
an offer to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated September 19, 2025
September , 2025 Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlying supplement no. 1-I dated April 13, 2023,
the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024
JPMorgan Chase Financial Company LLC
Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
S&P 500® Futures Excess Return Index and the Russell
2000® Futures Excess Return Index due September 28, 2028
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
• The notes are designed for investors who seek a fixed return of at least 26.80% at maturity if the Final Value of the lesser
performing of the S&P 500® Futures Excess Return Index and the Russell 2000® Futures Excess Return Index, which we
refer to as the Indices, is greater than or equal to 70.00% of its Initial Value, which we refer to as a Digital Barrier.
• Investors should be willing to forgo interest payments and be willing to lose a significant portion or all of their principal
amount at maturity.
• 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.
• Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the
performance of each of the Indices individually, as described below.
• Minimum denominations of $1,000 and integral multiples thereof
• The notes are expected to price on or about September 25, 2025 and are expected to settle on or about September 30,
2025.
• CUSIP: 48136HBY3
Investing in the notes involves a number of risks. See “Risk Factors” beginning on page S-2 of the accompanying
prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors” beginning on page PS-11
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,
underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the contrary is a
criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(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 it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $7.50 per
$1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
If the notes priced today, the estimated value of the notes would be approximately $979.60 per $1,000 principal amount
note. The estimated value of the notes, when the terms of the notes are set, will be provided in the pricing supplement
and will not be less than $940.00 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.
PS-1 | Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the S&P 500®
Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The S&P 500® Futures Excess Return Index
(Bloomberg ticker: SPXFP) and the Russell 2000® Futures
Excess Return Index (Bloomberg ticker: RTYFPE)
Contingent Digital Return: At least 26.80% (to be provided in
the pricing supplement)
Digital Barrier: With respect to each Index, 70.00% of its Initial
Value
Barrier Amount: With respect to each Index, 65.00% of its
Initial Value
Pricing Date: On or about September 25, 2025
Original Issue Date (Settlement Date): On or about
September 30, 2025
Observation Date*: September 25, 2028
Maturity Date*: September 28, 2028
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to Multiple Underlyings”
and “General Terms of Notes — Postponement of a Payment Date”
in the accompanying product supplement
Payment at Maturity:
If the Final Value of each Index is greater than or equal to its
Digital Barrier, your payment at maturity per $1,000 principal
amount note will be calculated as follows:
$1,000 + ($1,000 × Contingent Digital Return)
If the Final Value of either Index is less than its Digital Barrier
but the Final Value of each Index is greater than or equal to its
Barrier Amount, you will receive the principal amount of your
notes at maturity.
If the Final Value of either Index is less than its Barrier Amount,
your payment at maturity per $1,000 principal amount note will
be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
If the Final Value of either Index is less than its Barrier Amount,
you will lose more than 35.00% of your principal amount at
maturity and could lose all of your principal amount at maturity.
Lesser Performing Index: The Index with the Lesser
Performing Index Return
Lesser Performing Index Return: The lower of the Index
Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial Value: With respect to each Index, the closing level of
that Index on the Pricing Date
Final Value: With respect to each Index, the closing level of
that Index on the Observation Date
PS-2 | Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the S&P 500®
Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
Supplemental Terms of the Notes
The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended
(the “Commodity Exchange Act”). The notes are offered pursuant to an exemption from regulation under the Commodity Exchange
Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or more payments indexed to the
value, level or rate of one or more commodities, as set out in section 2(f) of that statute. Accordingly, you are not afforded any
protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity Futures Trading Commission.
For purposes of the accompanying product supplement, each Index will be deemed to be an Equity Index, except as provided below,
and any references in the accompanying product supplement to the securities included in an Equity Index (or similar references) should
be read to refer to the securities included in the S&P 500® Index or the Russell 2000® Index, as applicable, which are the reference
indices for the futures contracts included in the S&P 500® Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index, respectively. Notwithstanding the foregoing, each Index will be deemed to be a Commodity Index for purposes of the section
entitled “The Underlyings — Indices — Discontinuation of an Index; Alteration of Method of Calculation” in the accompanying product
supplement.
Notwithstanding anything to the contrary in the accompanying product supplement, if a Determination Date (as defined in the
accompanying product supplement) has been postponed to the applicable Final Disrupted Determination Date (as defined in the
accompanying product supplement) and that day is a Disrupted Day (as defined in the accompanying product supplement), the
calculation agent will determine the closing level of the affected Index for that Determination Date on that Final Disrupted Determination
Date in accordance with the formula for and method of calculating the closing level of the affected Index last in effect prior to the
commencement of the market disruption event (or prior to the non-trading day), using the official settlement price (or, if trading in the
relevant futures contract has been materially suspended or materially limited, the calculation agent’s good faith estimate of the
applicable settlement price that would have prevailed but for that suspension or limitation) at the close of the principal trading session
on that date of each futures contract most recently composing the affected Index, as well as any futures contract required to roll any
expiring futures contract in accordance with the method of calculating the affected Index.
Any values of the Indices, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, by amendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding
anything to the contrary in the indenture governing the notes, that amendment will become effective without consent of the holders of
the notes or any other party.
PS-3 | Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the S&P 500®
Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total return and payment at maturity on the notes linked to two hypothetical
Indices. The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing
the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below
assume the following:
• an Initial Value for the Lesser Performing Index of 100.00;
• a Contingent Digital Return of 26.80%;
• a Digital Barrier for the Lesser Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value); and
• a Barrier Amount for the Lesser Performing Index of 65.00 (equal to 65.00% of its hypothetical Initial Value).
The hypothetical Initial Value of the Lesser Performing Index of 100.00 has been chosen for illustrative purposes only and may not
represent a likely actual Initial Value of either Index. The actual Initial Value of each Index will be the closing level of that Index on the
Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing levels of each Index, please
see the historical information set forth under “The Indices” in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the
actual total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and
graph have been rounded for ease of analysis.
Final Value of the
Lesser Performing
Index
Lesser Performing Index
Return
Total Return on the Notes
Payment at Maturity
180.00
80.00%
26.80%
$1,268.00
165.00
65.00%
26.80%
$1,268.00
150.00
50.00%
26.80%
$1,268.00
140.00
40.00%
26.80%
$1,268.00
130.00
30.00%
26.80%
$1,268.00
126.80
26.80%
26.80%
$1,268.00
120.00
20.00%
26.80%
$1,268.00
110.00
10.00%
26.80%
$1,268.00
105.00
5.00%
26.80%
$1,268.00
101.00
1.00%
26.80%
$1,268.00
100.00
0.00%
26.80%
$1,268.00
95.00
-5.00%
26.80%
$1,268.00
90.00
-10.00%
26.80%
$1,268.00
80.00
-20.00%
26.80%
$1,268.00
70.00
-30.00%
26.80%
$1,286.00
69.99
-30.01%
0.00%
$1,000.00
65.00
-35.00%
0.00%
$1,000.00
64.99
-35.01%
-35.01%
$649.90
60.00
-40.00%
-40.00%
$600.00
50.00
-50.00%
-50.00%
$500.00
40.00
-60.00%
-60.00%
$400.00
30.00
-70.00%
-70.00%
$300.00
20.00
-80.00%
-80.00%
$200.00
10.00
-90.00%
-90.00%
$100.00
0.00
-100.00%
-100.00%
$0.00
PS-4 | Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the S&P 500®
Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
The following graph demonstrates the hypothetical payments at maturity on the notes for a range of Lesser Performing Index Returns.
There can be no assurance that the performance of the Lesser Performing Index will result in the return of any of your principal amount.
How the Notes Work
Upside Scenario:
If the Final Value of each Index is greater than or equal to its Digital Barrier of 70.00% of its Initial Value, investors will receive at
maturity the $1,000 principal amount plus a fixed return equal to the Contingent Digital Return of at least 26.80%, which reflects the
maximum return at maturity.
• Assuming a hypothetical Contingent Digital Return of 26.80%, if the closing level of the Lesser Performing Index increases 10.00%,
investors will receive at maturity a return equal to 26.80%, or $1,268.00 per $1,000 principal amount note.
• Assuming a hypothetical Contingent Digital Return of 26.80%, if the closing level of the Lesser Performing Index increases 80.00%,
investors will receive at maturity a return equal to 26.80%, or $1,268.00 per $1,000 principal amount note.
• Assuming a hypothetical Contingent Digital Return of 26.80%, if the closing level of the Lesser Performing Index decreases
10.00%, investors will receive at maturity a return equal to 26.80%, or $1,268.00 per $1,000 principal amount note.
Par Scenario:
If the Final Value of either Index is less than its Digital Barrier of 70.00% of its Initial Value but the Final Value of each Index is greater
than or equal to its Barrier Amount of 65.00% of its Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of either Index is less than its Barrier Amount of 65.00% of its Initial Value, investors will lose 1% of the principal
amount of their notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value.
• For example, if the closing level of the Lesser Performing Index declines 60.00%, investors will lose 60.00% of their principal
amount and receive only $400.00 per $1,000 principal amount note at maturity.
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees
and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
PS-5 | Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the S&P 500®
Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
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 product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
• YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the Final Value of either Index is less than its Barrier Amount, you will lose
1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial
Value. Accordingly, under these circumstances, you will lose more than 35.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
• YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN,
regardless of any appreciation of either Index, which may be significant.
• YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE —
If the Final Value of either Index is less than its Digital Barrier, you will not be entitled to receive the Contingent Digital Return at
maturity.
• CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit
risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
• AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
—
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to
JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in
respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable 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. For more
information, see the accompanying prospectus addendum.
• YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each
individual Index. Poor performance by either of the Indices over the term of the notes may negatively affect your payment at
maturity and will not be offset or mitigated by positive performance by the other Index.
• YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
• THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
If the Final Value of either Index is less than its Barrier Amount, the benefit provided by the Barrier Amount will terminate and you
will be fully exposed to any depreciation of the Lesser Performing Index.
• THE NOTES DO NOT PAY INTEREST.
• YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE UNDERLYING FUTURES CONTRACTS OR THE SECURITIES
INCLUDED IN THE INDEX UNDERLYING ANY UNDERLYING FUTURES CONTRACT.
• THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE LEVEL
OF THAT INDEX IS VOLATILE.
PS-6 | Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the S&P 500®
Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
• LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
• THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
You should consider your potential investment in the notes based on the minimums for the estimated value of the notes and the
Contingent Digital Return.
Risks Relating to Conflicts of Interest
• POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase &
Co.’s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading
activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product
supplement.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
• THE ESTIMATED VALUE OF THE NOTES WILL BE 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 will exceed 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.
• THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
See “The Estimated Value of the Notes” in this pricing supplement.
• THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may
be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income
instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
• THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by
JPMS (and which may be shown on your customer account statements).
• SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other
things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and,
also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
PS-7 | Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the S&P 500®
Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the
notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to
the Maturity Date could result in a substantial loss to you.
• SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which
may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging
costs and the levels of the Indices. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price
for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be
impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Indices
• JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, THE INDEX
UNDERLYING THE UNDERLYING FUTURES CONTRACTS OF THE S&P 500® FUTURES EXCESS RETURN INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the level of the S&P 500® Futures Excess Return Index.
• EACH INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE APPLICABLE UNDERLYING FUTURES
CONTRACTS —
Each Index tracks the excess return of the applicable Underlying Futures Contracts (as defined under “The Indices” below). The
price of an Underlying Futures Contract depends not only on the level of the underlying index referenced by the Underlying Futures
Contract, but also on a range of other factors, including but not limited to the performance and volatility of the U.S. stock market,
corporate earnings reports, geopolitical events, governmental and regulatory policies and the policies of the exchange on which the
applicable Underlying Futures Contracts trade. In addition, the futures markets are subject to temporary distortions or other
disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government
regulation and intervention. These factors and others can cause the prices of the applicable Underlying Futures Contracts to be
volatile and could adversely affect the level of the Indices and any payments on, and the value of, your notes.
• SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE APPLICABLE UNDERLYING FUTURES CONTRACTS MAY
ADVERSELY AFFECT THE VALUE OF YOUR NOTES —
Futures markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity, the
participation of speculators, and government regulation and intervention. In addition, futures exchanges generally have regulations
that limit the amount of the applicable Underlying Futures Contract price fluctuations that may occur in a single day. These limits
are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a
result of those limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract, no trades may
be made at a price beyond the limit, or trading may be limited for a set period of time. Limit prices have the effect of precluding
trading in a particular contract or forcing the liquidation of contracts at potentially disadvantageous times or prices. These
circumstances could delay the calculation of the level of each Index and could adversely affect the level of each Index and any
payments on, and the value of, your notes.
• THE PERFORMANCE OF EACH INDEX WILL DIFFER FROM THE PERFORMANCE OF THE INDEX UNDERLYING ITS
UNDERLYING FUTURES CONTRACTS —
A variety of factors can lead to a disparity between the performance of a futures contract on an equity index and the performance
of that equity index, including the expected dividend yields of the equity securities included in that equity index, an implicit financing
cost associated with futures contracts and policies of the exchange on which the futures contracts are traded, such as margin
requirements. Thus, a decline in expected dividends yields or an increase in margin requirements may adversely affect the
performance of each Index. In addition, the implicit financing cost will negatively affect the performance of each Index, with a
greater negative effect when market interest rates are higher. During periods of high market interest rates, each Index is likely to
underperform the equity index underlying its Underlying Futures Contracts, perhaps significantly.
• NEGATIVE ROLL RETURNS ASSOCIATED WITH THE APPLICABLE UNDERLYING FUTURES CONTRACTS MAY
ADVERSELY AFFECT THE LEVEL OF EACH INDEX AND THE VALUE OF THE NOTES —
Each Index tracks the excess return of the applicable Underlying Futures Contracts. Unlike common equity securities, futures
contracts, by their terms, have stated expirations. As the exchange-traded Underlying Futures Contracts approach expiration, they
are replaced by contracts of the same series that have a later expiration. For example, an Underlying Futures Contract notionally
purchased and held in June may specify a September expiration date. As time passes, the contract expiring in September is
PS-8 | Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the S&P 500®
Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
replaced by a contract for delivery in December. This is accomplished by notionally selling the September contract and notionally
purchasing the December contract. This process is referred to as “rolling.” Excluding other considerations, if prices are higher in
the distant delivery months than in the nearer delivery months, the notional purchase of the December contract would take place at
a price that is higher than the price of the September contract, thereby creating a negative “roll return.” Negative roll returns
adversely affect the returns of the applicable Underlying Futures Contracts and, therefore, the level of each Index and any
payments on, and the value of, the notes. Because of the potential effects of negative roll returns, it is possible for the level of
each Index to decrease significantly over time, even when the levels of the underlying index referenced by the applicable
Underlying Futures Contracts are stable or increasing.
• AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE RUSSELL 2000® INDEX, THE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS OF THE
RUSSELL 2000® FUTURES EXCESS RETURN INDEX —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a
dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
• HYPOTHETICAL BACK-TESTED DATA RELATING TO THE RUSSELL 2000® FUTURES EXCESS RETURN INDEX DO NOT
REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT TO INHERENT LIMITATIONS —
The hypothetical back-tested performance of the Russell 2000® Futures Excess Return Index set forth under “The Indices” in this
pricing supplement is purely theoretical and does not represent the actual historical performance of the Russell 2000® Futures
Excess Return Index and has not been verified by an independent third party. Hypothetical back-tested performance measures
have inherent limitations. Alternative modelling techniques might produce significantly different results and may prove to be more
appropriate. Past performance, and especially hypothetical back-tested performance, is not indicative of future results. This type
of information has inherent limitations and you should carefully consider these limitations before placing reliance on such
information. Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that
has been designed with the benefit of hindsight.
• OTHER KEY RISKS:
o EACH INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO
WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST.
o THE RUSSELL 2000® FUTURES EXCESS RETURN INDEX, WHICH WAS ESTABLISHED ON MAY 20, 2024, HAS LIMITED
OPERATING HISTORY AND MAY PERFORM IN UNANTICIPATED WAYS.
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Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
The Indices
The S&P 500® Futures Excess Return Index measures the performance of the nearest maturing quarterly E-mini® S&P 500® futures
contracts (Symbol: ES) (with respect to the S&P 500® Futures Excess Return Index, the “Underlying Futures Contracts”) trading on the
Chicago Mercantile Exchange (the “Exchange”). The Underlying Futures Contracts are U.S. dollar-denominated futures contracts
based on the S&P 500® Index. The S&P 500® Index consists of stocks of 500 companies selected to provide a performance
benchmark for the U.S. equity markets. For additional information about the S&P 500® Futures Excess Return Index and its Underlying
Futures Contracts, see Annex A in this pricing supplement.
The Russell 2000® Futures Excess Return Index measures the performance of the nearest maturing quarterly E-mini® Russell 2000®
futures contracts (Symbol: RTY) (with respect to the Russell 2000® Futures Excess Return Index, the “Underlying Futures Contracts”)
trading on the Exchange. The Underlying Futures Contracts are U.S. dollar-denominated futures contracts based on the Russell 2000®
Index. The Russell 2000® Index consists of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the
index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000® Futures Excess Return Index and its Underlying Futures Contracts, see Annex B in this pricing supplement.
Hypothetical Back-Tested Data and Historical Information
The following graphs set forth the historical performance of the S&P 500® Futures Excess Return Index based on the weekly historical
closing levels of the S&P 500® Futures Excess Return Index from January 3, 2020 through September 12, 2025 and the hypothetical
back-tested performance of the Russell 2000® Futures Excess Return Index based on the hypothetical back-tested weekly closing
levels of the Russell 2000® Futures Excess Return Index from January 3, 2020 through May 17, 2024 and the historical performance of
the Russell 2000® Futures Excess Return Index based on the weekly historical closing levels of the Russell 2000® Futures Excess
Return Index from May 24, 2024 through September 12, 2025. The Russell 2000® Futures Excess Return Index was established on
May 20, 2024, 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 Russell 2000® Futures Excess Return Index. All data to the right of that vertical line reflect actual historical
performance of the Russell 2000® Futures Excess Return Index. The closing level of the S&P 500® Futures Excess Return Index on
September 17, 2025 was 543.13. The closing level of the Russell 2000® Futures Excess Return Index on September 17, 2025 was
330.10. We obtained the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification.
The data for the hypothetical back-tested performance of the Russell 2000® Futures Excess Return Index set forth below are purely
theoretical and do not represent the actual historical performance of the Russell 2000® Futures Excess Return Index. See “Selected
Risk Considerations — Risks Relating to the Indices — Hypothetical Back-Tested Data Relating to the Russell 2000® Futures Excess
Return Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations” above.
The hypothetical back-tested and historical closing levels of each Index should not be taken as an indication of future performance, and
no assurance can be given as to the closing level of either Index on the Pricing Date or the Observation Date. There can be no
assurance that the performance of the Indices will result in the return of any of your principal amount.
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Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
The hypothetical back-tested closing levels of the Russell 2000® Futures Excess Return Index have inherent limitations and have not
been verified by an independent third party. These hypothetical back-tested closing levels are determined by means of a retroactive
application of a back-tested model designed with the benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a
guarantee of future returns. No representation is made that an investment in the notes will or is likely to achieve returns similar to those
shown. Alternative modeling techniques or assumptions would produce different hypothetical back-tested closing levels of the Russell
2000® Futures Excess Return Index that might prove to be more appropriate and that might differ significantly from the hypothetical
back-tested closing levels of the Russell 2000® Futures Excess Return Index set forth above.
Tax Treatment
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions”
that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the
accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-
term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue
price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the
notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on
whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary
income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates,
any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the
tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented
by this notice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January
PS-11 | Structured Investments
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Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, we expect that Section 871(m) will
not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with
this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you
enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential application
of Section 871(m) will be provided in the pricing supplement for the notes. You should consult your tax adviser regarding the potential
application of Section 871(m) to the notes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the
notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at
any time. The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied
funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference
may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income
instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see “Selected Risk Considerations — Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on
various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is
determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at that
time.
The estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different pricing
models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In
addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On
future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
which JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes will be 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. A portion of the profits, if any, realized in hedging our obligations under the
notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The
Estimated Value of the Notes Will Be 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
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Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
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 “Hypothetical Payout Profile” and “How the Notes Work” in this pricing supplement for an illustration of the risk-return profile
of the notes and “The Indices” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus 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.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable
agent. We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any
changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase.
You may also choose to reject such changes, in which case we may reject your offer to purchase.
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, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all
other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of
ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying
prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, 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. 4-I dated April 13, 2023:
• Underlying supplement no. 1-I dated April 13, 2023:
• Prospectus supplement and prospectus, each dated April 13, 2023:
• Prospectus addendum dated June 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing
supplement, “we,” “us” and “our” refer to JPMorgan Financial.
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Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
Annex A
The S&P 500® Futures Excess Return Index
All information contained in this pricing supplement regarding the S&P 500® Futures Excess Return Index (the “SPX Futures Index”),
including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly
available information, without independent verification. This information reflects the policies of, and is subject to change by, S&P Dow
Jones Indices LLC (“S&P Dow Jones”). The SPX Futures Index is calculated, maintained and published by S&P Dow Jones. S&P Dow
Jones has no obligation to continue to publish, and may discontinue the publication of, the SPX Futures Index.
The SPX Futures Index is reported by Bloomberg under the ticker symbol “SPXFP.”
The SPX Futures Index measures the performance of the nearest maturing quarterly E-mini® S&P 500® futures contracts (Symbol: ES)
(with respect to the SPX Futures Index, the “Underlying Futures Contracts”) trading on the Chicago Mercantile Exchange (the
“Exchange”). E-mini® S&P 500® futures contracts are U.S. dollar-denominated futures contracts based on the S&P 500® Index. For
additional information about the S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement. The SPX Futures Index is calculated real-time from the price change of the Underlying Futures Contracts. The
SPX Futures Index is an “excess return” index that is based on price levels of the Underlying Futures Contracts as well as the discount
or premium obtained by “rolling” hypothetical positions in the Underlying Futures Contracts as they approach delivery. The SPX
Futures Index does not reflect interest earned on hypothetical, fully collateralized contract positions.
Index Rolling
As each Underlying Futures Contract approaches maturity, it is replaced by the next maturing Underlying Futures Contract in a process
referred to as “rolling.” The rolling of the SPX Futures Index occurs quarterly over a one-day rolling period (the “roll day”) every March,
June, September and December, effective after the close of trading five business days preceding the last trading date of the maturing
Underlying Futures Contract.
On any scheduled roll day, the occurrence of either of the following circumstances will result in an adjustment of the roll day according
to the procedure set forth in this section:
• An exchange holiday occurs on that scheduled roll day.
• The daily contract price of any Underlying Futures Contract within the index on that scheduled roll day is a limit price.
If either of the above events occur, the relevant roll day will take place on the next designated commodity index business day whereby
none of the circumstances identified take place.
If a disruption is approaching the last trading day of a contract expiration, the Index Committee (defined below) will convene to
determine the appropriate course of action, which may include guidance from the Exchange.
The Index Committee may change the date of a given rebalancing for reasons including market holidays occurring on or around the
scheduled rebalancing date. Any such change will be announced with proper advance notice where possible.
Index Calculations
The closing level of the SPX Futures Index on any trading day reflects the change in the daily contract price of the Underlying Futures
Contract since the immediately preceding trading day. On each quarterly roll day, the closing level of the SPX Futures Index reflects
the change from the daily contract price of the maturing Underlying Futures Contract on the immediately preceding trading day to the
daily contract price of the next maturing Underlying Futures Contract on that roll day.
The daily contract price of an Underlying Futures Contract will be the settlement price reported by the Exchange. If the Exchange fails
to open due to unforeseen circumstances, such as natural disasters, inclement weather, outages, or other events, the SPX Futures
Index uses the prior daily contract prices. In situations where the Exchange is forced to close early due to unforeseen events, such as
computer or electric power failures, weather conditions or other events, S&P Dow Jones calculates the closing level of the SPX Futures
Index based on (1) the daily contract price published by the Exchange, or (2) if no daily contract price is available, the Index Committee
determines the course of action and notifies clients accordingly.
Index Corrections and Recalculations
S&P Dow Jones reserves the right to recalculate an index at its discretion in the event that settlement prices are amended or upon the
occurrence of a missed index methodology event (deviation from what is stated in the methodology document).
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Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
Index Governance
An S&P Dow Jones index committee (the “Index Committee”) maintains the SPX Futures Index. All committee members are full-time
professional members of S&P Dow Jones’ staff. The Index Committee may revise index policy covering rules for including currencies,
the timing of rebalancing or other matters. The Index Committee considers information about changes to the SPX Futures Index and
related matters to be potentially market moving and material. Therefore, all Index Committee discussions are confidential.
The Index Committees reserve the right to make exceptions when applying the methodology of the SPX Futures Index if the need
arises. In any scenario where the treatment differs from the general rules stated in this document or supplemental documents, notice
will be provided, whenever possible.
In addition to the daily governance of the SPX Futures Index and maintenance of its index methodology, at least once within any 12-
month period, the Index Committee reviews the methodology to ensure the SPX Futures Index continues to achieve the stated
objectives, and that the data and methodology remain effective. In certain instances, S&P Dow Jones may publish a consultation
inviting comments from external parties.
License Agreement
JPMorgan Chase & Co. or its affiliate has entered into an agreement with S&P Dow Jones that provides it and certain of its affiliates or
subsidiaries, including JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the SPX Futures Index,
which is owned and published by S&P Dow Jones, in connection with certain securities, including the notes.
The notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones or its third-party licensors. Neither S&P Dow Jones nor
its third-party licensors make any representation or warranty, express or implied, to the owners of the notes or any member of the public
regarding the advisability of investing in securities generally or in the notes particularly or the ability of the SPX Futures Index to track
general stock market performance. S&P Dow Jones’ and its third-party licensors’ only relationship to JPMorgan Financial or JPMorgan
Chase & Co. is the licensing of certain trademarks and trade names of S&P Dow Jones and the third-party licensors and of the SPX
Futures Index which is determined, composed and calculated by S&P Dow Jones or its third-party licensors without regard to JPMorgan
Financial or JPMorgan Chase & Co. or the notes. S&P Dow Jones and its third-party licensors have no obligation to take the needs of
JPMorgan Financial or JPMorgan Chase & Co. or the owners of the notes into consideration in determining, composing or calculating
the SPX Futures Index. Neither S&P Dow Jones nor its third-party licensors are responsible for and has not participated in the
determination of the prices and amount of the notes or the timing of the issuance or sale of the notes or in the determination or
calculation of the equation by which the notes are to be converted into cash. S&P Dow Jones has no obligation or liability in connection
with the administration, marketing or trading of the notes.
NEITHER S&P DOW JONES, ITS AFFILIATES NOR THEIR THIRD-PARTY LICENSORS GUARANTEE THE ADEQUACY,
ACCURACY, TIMELINESS OR COMPLETENESS OF THE SPX FUTURES INDEX OR ANY DATA INCLUDED THEREIN OR ANY
COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC
COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES, ITS AFFILIATES AND THEIR THIRD-PARTY LICENSORS
SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P
DOW JONES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE SPX
FUTURES INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT
WHATSOEVER SHALL S&P DOW JONES, ITS AFFILIATES OR THEIR THIRD-PARTY LICENSORS BE LIABLE FOR ANY
INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF
PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF
SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.
“S&P®” and “S&P 500®” are trademarks of S&P Global, Inc. or its affiliates and have been licensed for use by JPMorgan Chase & Co.
and its affiliates, including JPMorgan Financial.
Background on Futures Contracts
Overview of Futures Markets
Futures contracts are contracts that legally obligate the holder to buy or sell an asset at a predetermined delivery price during a
specified future time period. Futures contracts are traded on regulated futures exchanges, in the over-the-counter market and on
various types of physical and electronic trading facilities and markets. An exchange-traded futures contract provides for the purchase
and sale of a specified type and quantity of an underlying asset or financial instrument during a stated delivery month for a fixed price.
A futures contract provides for a specified settlement month in which the cash settlement is made or in which the underlying asset or
financial instrument is to be delivered by the seller (whose position is therefore described as “short”) and acquired by the purchaser
(whose position is therefore described as “long”).
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Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
No purchase price is paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents
must be deposited with the broker as “initial margin.” This amount varies based on the requirements imposed by the exchange clearing
houses, but it may be lower than 5% of the notional value of the contract. This margin deposit provides collateral for the obligations of
the parties to the futures contract
By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market
participant may be able to earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in
futures contracts.
In the United States, futures contracts are traded on designated contract markets. At any time prior to the expiration of a futures
contract, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the
position, subject to the availability of a liquid secondary market. This operates to terminate the position and fix the trader’s profit or loss.
Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a “futures
commission merchant,” which is a member of the clearing house.
Unlike common equity securities, futures contracts, by their terms, have stated expirations. At a specific point in time prior to expiration,
trading in a futures contract for the current delivery month will cease. As a result, a market participant wishing to maintain its exposure
to a futures contract on a particular asset or financial instrument with the nearest expiration must close out its position in the expiring
contract and establish a new position in the contract for the next delivery month, a process referred to as “rolling.” For example, a
market participant with a long position in a futures contract expiring in November who wishes to maintain a position in the nearest
delivery month will, as the November contract nears expiration, sell the November contract, which serves to close out the existing long
position, and buy a futures contract expiring in December. This will “roll” the November position into a December position, and, when
the November contract expires, the market participant will still have a long position in the nearest delivery month.
Futures exchanges and clearing houses in the United States are subject to regulation by the Commodity Futures Trading Commission
(the “CFTC”). Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits,
maximum price fluctuations and trading halts and suspensions and requiring liquidation of contracts in certain circumstances. Futures
markets outside the United States are generally subject to regulation by foreign regulatory authorities comparable to the CFTC. The
structure and nature of trading on non-U.S. exchanges, however, may differ from the above description.
Underlying Futures Contracts
E-mini® S&P 500® futures contracts are U.S. dollar-denominated futures contracts, based on the S&P 500® Index, traded on the
Exchange, representing a contract unit of $50 multiplied by the S&P 500® Index, measured in cents per index point.
E-mini® S&P 500® futures contracts listed for the nearest nine quarters, for each March, June, September and December, and the
nearest three Decembers are available for trading. Trading of the E-mini® S&P 500® futures contracts will terminate at 9:30 A.M.
Eastern time on the third Friday of the contract month.
The daily settlement prices of the E-mini® S&P 500® futures contracts are based on trading activity in the relevant contract (and in the
case of a lead month also being the expiry month, together with trading activity on lead month-second month spread contracts) on the
Exchange during a specified settlement period. The final settlement price of E-mini® S&P 500® futures contracts is based on the
opening prices of the component stocks in the S&P 500® Index, determined on the third Friday of the contract month.
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Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
Annex B
The Russell 2000® Futures Excess Return Index
All information contained in this pricing supplement regarding the Russell 2000® Futures Excess Return Index (the “RTY Futures
Index”), including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly
available information, without independent verification. This information reflects the policies of, and is subject to change by, FTSE
International Limited (“FTSE”). The RTY Futures Index is calculated by MerQube, Inc. (the “Index Calculation Agent”), and maintained
and published by FTSE. FTSE has no obligation to continue to publish, and may discontinue the publication of, the RTY Futures Index.
The RTY Futures Index is reported by Bloomberg L.P. under the ticker symbol “RTYFPE.”
The RTY Futures Index has been calculated on a live basis since May 20, 2024, the “Index Live Date.”
The RTY Futures Index measures the performance of the nearest maturing quarterly E-mini® Russell 2000® futures contracts (Symbol:
RTY) (with respect to the RTY Futures Index, the “Underlying Futures Contracts”) trading on the Chicago Mercantile Exchange (the
“Exchange”). E-mini® Russell 2000® futures contracts are U.S. dollar-denominated futures contracts based on the Russell 2000® Index.
For additional information about the Russell 2000® Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying
underlying supplement. The RTY Futures Index is calculated real-time from the price change of the Underlying Futures Contracts. The
RTY Futures Index is an “excess return” index that is based on price levels of the Underlying Futures Contracts as well as the discount
or premium obtained by “rolling” hypothetical positions in the Underlying Futures Contracts as they approach delivery. The RTY
Futures Index does not reflect interest earned on hypothetical, fully collateralized contract positions.
Index Rolling
As each Underlying Futures Contract approaches maturity, it is replaced by the next maturing Underlying Futures Contract in a process
referred to as “rolling.” The rolling of the RTY Futures Index occurs quarterly over a three-day rolling period (the “roll period”) every
March, June, September and December, effective after the close of trading on the fifth, fourth and third business days (each, a “roll
day”) preceding the last trading date of the maturing Underlying Futures Contract. The number of units over the roll period will change
equally each day as illustrated below, provided that no Index Market Disruption Events occurred on any business day during the roll
period.
Roll Period Day
Proportion of Current Contract
Proportion of Next Contract
Day 1
2/3
1/3
Day 2
1/3
2/3
Day 3
0
1
If an Index Market Disruption Event occurs on any business day during the roll period that is not the last business day of the roll period,
the portion of the roll will be postponed to the first roll business day immediately following that business day.
If an Index Market Disruption Event occurs on the last business day of the roll period, the roll on that business day will not be
postponed.
Index Market Disruption Events
An Index Market Disruption Event can be defined as the occurrence of one or more of the following events if, in the discretion of the
Index Calculation Agent, that event is material:
PS-17 | Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the S&P 500®
Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
• The Index Calculation Agent observes on any business day that there has been a declaration of a general moratorium in respect of
banking activities in any relevant jurisdiction.
• The occurrence of an event that makes it impossible or not reasonably practicable on any business day for the Index Calculation
Agent to obtain the value of any Underlying Futures Contract, or any other price or necessary information for purposes of
calculating the value of the RTY Futures Index in a manner acceptable to the Index Calculation Agent.
• The administrator of the Underlying Futures Contract fails to announce or publish the level of that Underlying Futures Contract on a
business day on which the level of that Underlying Futures Contract was scheduled to be announced or published.
• The occurrence or existence of a lack of, or material decline in, the liquidity in the market for trading of any Underlying Futures
Contract on any business day.
• A force majeure event or any event that disrupts or impairs (as determined by the Index Calculation Agent acting in a reasonable
manner) the ability of market participants in general to establish, maintain or unwind transactions in, or obtain market values for,
futures, forwards, options, swaps or other over-the-counter derivative transactions indirectly included in and/or that may be used for
hedging any Underlying Futures Contract.
• A suspension, disruption, absence or material limitation imposed on trading by the Exchange or observed in any related over-the-
counter market(s) or otherwise and whether by reason of movements in price exceeding limits permitted by the Exchange or
otherwise in the futures, forwards, options, swaps or other over-the-counter derivative transactions indirectly included in and/or that
may be used for hedging the RTY Futures Index.
Index Calculations
The closing level of the RTY Futures Index on any trading day reflects the change in the daily contract price of the Underlying Futures
Contract since the immediately preceding business day. Additionally, on each roll day during the quarterly roll period, the closing level
of the RTY Futures Index reflects the proportional change from the daily contract price of the maturing Underlying Futures Contract on
the immediately preceding trading day to the daily contract price of the next maturing Underlying Futures Contract on that roll day.
The daily contract price of an Underlying Futures Contract will be the settlement price reported by the Exchange. If, on any business
day, an Index Market Disruption Event occurs or is occurring that the Index Calculation Agent determines, in its sole discretion,
materially affects the RTY Futures Index, the Index Calculation Agent may, but not limited to:
• Use the last available closing futures value to calculate and publish the closing level of the RTY Futures Index; and/or
• Defer or suspend the calculation and publication of the closing level of the RTY Futures Index and any other information relating to
the RTY Futures Index until the next business day on which that Index Market Disruption Event has ceased.
Index Corrections and Recalculations
FTSE reserves the right to recalculate an index at its discretion in the event that settlement prices are amended or upon the occurrence
of a missed index methodology event (deviation from what is stated in the methodology document).
License Agreement
Frank Russell Company (“Russell”) is the source and owner of the trademarks, service marks and copyrights related to the Russell
Indices. Russell® is a trademark of Frank Russell Company. Neither Russell nor its licensors accept any liability for any errors or
omissions in the Russell Indices and/or Russell ratings or underlying data and no party may rely on any Russell Indices and/or Russell
ratings and/or underlying data contained in this communication. No further distribution of Russell Data is permitted without Russell’s
express written consent. Russell does not promote, sponsor or endorse the content of this communication.
The Russell 2000® Futures Excess Return Index (for the purposes of this disclaimer, the “Index”) is a trademark of Frank Russell
Company (“Russell”) and has been licensed for use by JPMorgan Chase & Co. and its affiliates (“J.P. Morgan”). These notes are not in
any way sponsored, endorsed, sold or promoted by Russell or the London Stock Exchange Group companies (“LSEG”) (together the
“Licensor Parties”) and none of the Licensor Parties make any claim, prediction, warranty or representation whatsoever, expressly or
impliedly, either as to (i) the results to be obtained from the use of the Index (upon which the notes are based), (ii) the figure at which
the Index is said to stand at any particular time on any particular day or otherwise, or (iii) the suitability of the Index for the purpose to
which it is being put in connection with the notes. None of the Licensor Parties have provided or will provide any financial or investment
advice or recommendation in relation to the Index to J.P. Morgan or to its clients. The Index is calculated by Russell or its agent. None
of the Licensor Parties shall be (a) liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under any
obligation to advise any person of any error therein.
PS-18 | Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the S&P 500®
Futures Excess Return Index and the Russell 2000® Futures Excess Return
Index
Background on Futures Contracts
Overview of Futures Markets
Futures contracts are contracts that legally obligate the holder to buy or sell an asset at a predetermined delivery price during a
specified future time period. Futures contracts are traded on regulated futures exchanges, in the over-the-counter market and on
various types of physical and electronic trading facilities and markets. An exchange-traded futures contract provides for the purchase
and sale of a specified type and quantity of an underlying asset or financial instrument during a stated delivery month for a fixed price.
A futures contract provides for a specified settlement month in which the cash settlement is made or in which the underlying asset or
financial instrument is to be delivered by the seller (whose position is therefore described as “short”) and acquired by the purchaser
(whose position is therefore described as “long”).
No purchase price is paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents
must be deposited with the broker as “initial margin.” This amount varies based on the requirements imposed by the exchange clearing
houses, but it may be lower than 5% of the notional value of the contract. This margin deposit provides collateral for the obligations of
the parties to the futures contract.
By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market
participant may be able to earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in
futures contracts.
In the United States, futures contracts are traded on designated contract markets. At any time prior to the expiration of a futures
contract, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the
position, subject to the availability of a liquid secondary market. This operates to terminate the position and fix the trader’s profit or loss.
Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a “futures
commission merchant,” which is a member of the clearing house.
Unlike common equity securities, futures contracts, by their terms, have stated expirations. At a specific point in time prior to expiration,
trading in a futures contract for the current delivery month will cease. As a result, a market participant wishing to maintain its exposure
to a futures contract on a particular asset or financial instrument with the nearest expiration must close out its position in the expiring
contract and establish a new position in the contract for the next delivery month, a process referred to as “rolling.” For example, a
market participant with a long position in a futures contract expiring in November who wishes to maintain a position in the nearest
delivery month will, as the November contract nears expiration, sell the November contract, which serves to close out the existing long
position, and buy a futures contract expiring in December. This will “roll” the November position into a December position, and, when
the November contract expires, the market participant will still have a long position in the nearest delivery month.
Futures exchanges and clearing houses in the United States are subject to regulation by the Commodity Futures Trading Commission
(the “CFTC”). Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits,
maximum price fluctuations and trading halts and suspensions and requiring liquidation of contracts in certain circumstances. Futures
markets outside the United States are generally subject to regulation by foreign regulatory authorities comparable to the CFTC. The
structure and nature of trading on non-U.S. exchanges, however, may differ from the above description.
Underlying Futures Contracts
E-mini® Russell 2000® futures contracts are U.S. dollar-denominated futures contracts, based on the Russell 2000® Index, traded on
the Exchange, representing a contract unit of $50.00 multiplied by the index level of Russell 2000® Index, measured in cents per index
point. From February 4, 1993 to September 18, 2008, and since July 10, 2017, E-mini® Russell 2000® futures contracts have traded on
the Exchange. From August 8, 2007 to June 15, 2018, E-mini® Russell 2000® futures contracts traded on the ICE Futures U.S.
exchange.
E-mini® Russell 2000® futures contracts listed for the nearest five quarters, for each March, June, September and December are
available for trading. Trading of the E-mini® Russell 2000® futures contracts will terminate at 9:30 A.M. Eastern time on the third Friday
of the contract month.
The daily settlement prices of the E-mini® Russell 2000® futures contracts are based on trading activity in the relevant contract (and in
the case of a lead month also being the expiry month, together with trading activity on lead month-second month spread contracts) on
the Exchange during a specified settlement period. The final settlement price of E-mini® Russell 2000® futures contracts is determined
through the “end-of-month fair value procedure,” which fixes a price based on trading activity on the Exchange in the E-mini® Russell
2000® futures contracts between 2:59:30 P.M. and 3:00:00 P.M. Central time.