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 March 12, 2025
March , 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
Callable Dual Directional Accelerated Barrier Notes
Linked to the S&P 500® Futures Excess Return
Index due March 28, 2030
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
• The notes are designed for investors who seek early exit prior to maturity at a premium if we elect to redeem the notes
early, in whole but not in part, at our option on any of the Optional Call Payment Dates.
• The earliest date on which the notes may be redeemed early is March 31, 2026.
• The notes are also designed for investors who seek an uncapped return of 1.90 times any appreciation of the S&P 500®
Futures Excess Return Index, which we refer to as the Index, at maturity, or a capped, unleveraged return equal to the
absolute value of any depreciation of the Index at maturity (up to 40.00%) if the Final Value is greater than or equal to
60.00% of the Initial Value, which we refer to as the Barrier Amount, and, in each case, if the notes have not been
redeemed early.
• Investors should be willing to forgo interest payments and be willing to lose some 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.
• Minimum denominations of $1,000 and integral multiples thereof
• The notes are expected to price on or about March 24, 2025 and are expected to settle on or about March 27, 2025.
• CUSIP: 48136CSX8
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-6 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 $11.25 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 $941.30 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 $920.00 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
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
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.
Index: The S&P 500® Futures Excess Return Index (Bloomberg ticker:
SPXFP)
Call Premium Amount: The Call Premium Amount with respect to
each Optional Call Payment Date is set forth below:
• 1st Optional Call Payment Date: at least 14.00000% × $1,000
• 2nd Optional Call Payment Date: at least 15.16667% × $1,000
• 3rd Optional Call Payment Date: at least 16.33333% × $1,000
• 4th Optional Call Payment Date: at least 17.50000% × $1,000
• 5th Optional Call Payment Date: at least 18.66667% × $1,000
• 6th Optional Call Payment Date: at least 19.83333% × $1,000
• 7th Optional Call Payment Date: at least 21.00000% × $1,000
• 8th Optional Call Payment Date: at least 22.16667% × $1,000
• 9th Optional Call Payment Date: at least 23.33333% × $1,000
• 10th Optional Call Payment Date: at least 24.50000% × $1,000
• 11th Optional Call Payment Date: at least 25.66667% × $1,000
• 12th Optional Call Payment Date: at least 26.83333% × $1,000
• 13th Optional Call Payment Date: at least 28.00000% × $1,000
• 14th Optional Call Payment Date: at least 29.16667% × $1,000
• 15th Optional Call Payment Date: at least 30.33333% × $1,000
• 16th Optional Call Payment Date: at least 31.50000% × $1,000
• 17th Optional Call Payment Date: at least 32.66667% × $1,000
• 18th Optional Call Payment Date: at least 33.83333% × $1,000
• 19th Optional Call Payment Date: at least 35.00000% × $1,000
• 20th Optional Call Payment Date: at least 36.16667% × $1,000
• 21st Optional Call Payment Date: at least 37.33333% × $1,000
• 22nd Optional Call Payment Date: at least 38.50000% × $1,000
• 23rd Optional Call Payment Date: at least 39.66667% × $1,000
• 24th Optional Call Payment Date: at least 40.83333% × $1,000
• 25th Optional Call Payment Date: at least 42.00000% × $1,000
• 26th Optional Call Payment Date: at least 43.16667% × $1,000
• 27th Optional Call Payment Date: at least 44.33333% × $1,000
• 28th Optional Call Payment Date: at least 45.50000% × $1,000
• 29th Optional Call Payment Date: at least 46.66667% × $1,000
• 30th Optional Call Payment Date: at least 47.83333% × $1,000
• 31st Optional Call Payment Date: at least 49.00000% × $1,000
• 32nd Optional Call Payment Date: at least 50.16667% × $1,000
• 33rd Optional Call Payment Date: at least 51.33333% × $1,000
• 34th Optional Call Payment Date: at least 52.50000% × $1,000
• 35th Optional Call Payment Date: at least 53.66667% × $1,000
• 36th Optional Call Payment Date: at least 54.83333% × $1,000
• 37th Optional Call Payment Date: at least 56.00000% × $1,000
• 38th Optional Call Payment Date: at least 57.16667% × $1,000
• 39th Optional Call Payment Date: at least 58.33333% × $1,000
• 40th Optional Call Payment Date: at least 59.50000% × $1,000
• 41st Optional Call Payment Date: at least 60.66667% × $1,000
• 42nd Optional Call Payment Date: at least 61.83333% × $1,000
• 43rd Optional Call Payment Date: at least 63.00000% × $1,000
• 44th Optional Call Payment Date: at least 64.16667% × $1,000
• 45th Optional Call Payment Date: at least 65.33333% × $1,000
• 46th Optional Call Payment Date: at least 66.50000% × $1,000
• 47th Optional Call Payment Date: at least 67.66667% × $1,000
• final Optional Call Payment Date: at least 68.83333% × $1,000
(in each case, to be provided in the pricing supplement)
Upside Leverage Factor: 1.90
Barrier Amount: 60.00% of the Initial Value
Pricing Date: On or about March 24, 2025
Original Issue Date (Settlement Date): On or about March 27, 2025
Optional Call Payment Dates*: March 31, 2026, April 29, 2026, May 29,
2026, June 29, 2026, July 29, 2026, August 27, 2026, September 29, 2026,
October 29, 2026, November 30, 2026, December 30, 2026, January 28,
2027, March 1, 2027, March 30, 2027, April 29, 2027, May 27, 2027, June
29, 2027, July 29, 2027, August 27, 2027, September 29, 2027, October 28,
2027, November 30, 2027, December 30, 2027, January 27, 2028, February
29, 2028, March 29, 2028, April 27, 2028, May 30, 2028, June 29, 2028, July
27, 2028, August 29, 2028, September 28, 2028, October 27, 2028,
November 29, 2028, December 29, 2028, January 29, 2029, March 1, 2029,
March 29, 2029, April 27, 2029, May 30, 2029, June 28, 2029, July 27, 2029,
August 29, 2029, September 27, 2029, October 29, 2029, November 29,
2029, December 28, 2029, January 29, 2030 and February 28, 2030
Observation Date*: March 25, 2030
Maturity Date*: March 28, 2030
Early Redemption:
We, at our election, may redeem the notes early, in whole but not in part, on
any of the Optional Call Payment Dates at a price, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Call Premium Amount
applicable to that Optional Call Payment Date. If we intend to redeem your
notes early, we will deliver notice to The Depository Trust Company, or DTC,
at least three business days before the applicable Optional Call Payment
Date on which the notes are redeemed early.
If the notes are redeemed early, you will not benefit from the Upside
Leverage Factor that applies to the payment at maturity if the Final Value is
greater than the Initial Value or the absolute return feature that applies to the
payment at maturity if the Final Value is equal to or less than the Initial Value
but greater than or equal to the Barrier Amount. Because the Upside
Leverage Factor and the absolute return feature do not apply to the payment
upon an early redemption, the payment upon an early redemption may be
significantly less than the payment at maturity for the same level of change in
the Index.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value is greater
than the Initial Value, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Index Return × Upside Leverage Factor)
If the notes have not been redeemed early and the Final Value is equal to the
Initial Value or is less than the Initial Value but greater than or equal to the
Barrier Amount, your payment at maturity per $1,000 principal amount note
will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return)
This payout formula results in an effective cap of 40.00% on your return at
maturity if the Index Return is negative. Under these limited circumstances,
your maximum payment at maturity is $1,400.00 per $1,000 principal amount
note.
If the notes have not been redeemed early and the Final Value is less than
the Barrier Amount, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been redeemed early and the Final Value is less than
the Barrier Amount, you will lose more than 40.00% of your principal amount
at maturity and could lose all of your principal amount at maturity.
Absolute Index Return: The absolute value of the Index Return. For
example, if the Index Return is -5%, the Absolute Index Return will equal 5%.
Index Return: (Final Value – Initial Value)
Initial Value
Initial Value: The closing level of the Index on the Pricing Date
Final Value: The closing level of the Index on the Observation Date
* 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 a Single Underlying — Notes Linked
to a Single Underlying (Other Than a Commodity Index)” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
PS-2 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
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, the 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, which is the reference index for the futures contracts included in the
Index. Notwithstanding the foregoing, the 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 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 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 Index, as well as any futures contract required to roll any expiring futures contract in accordance
with the method of calculating the Index.
Any values of the Index, 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
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
Hypothetical Payout Profile
Payment upon an Early Redemption
Payment at Maturity If the Notes Have Not Been Redeemed Early
No payment will be made on the applicable Optional Call
Payment Date.
Proceed to the next Optional Call Payment Date or the
Observation Date, as applicable.
We may elect to redeem the notes early on any of the Optional Call Payment Dates.
Optional Call Payment Dates
No Early Redemption
You will receive on the applicable Optional Call Payment Date (a)
$1,000 plus (b) the Call Premium Amount applicable to that
Optional Call Payment Date.
No further payments will be made on the notes.
Early Redemption
Optional
Call Payment
Dates
You will receive:
$1,000 + ($1,000 × Index Return ×
Upside Leverage Factor)
The notes have not
been redeemed early.
Proceed to the
payment at maturity.
Observation Date Payment at Maturity
The Final Value is greater than the Initial Value.
You will receive:
$1,000 + ($1,000 × Index Return)
Under these circumstances, you will
lose some or all of your principal
amount at maturity.
The Final Value is equal to the Initial Value or is less
than the Initial Value but greater than or equal to
the Barrier Amount.
The Final Value is less than the Barrier Amount.
You will receive:
$1,000 + ($1,000 × Absolute Index
Return)
PS-4 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
Call Premium Amount
The table below illustrates the hypothetical Call Premium Amount per $1,000 principal amount note for each Optional Call Payment
Date based on the minimum Call Premium Amounts set forth under “Key Terms — Call Premium Amount” above. The actual Call
Premium Amounts will be provided in the pricing supplement and will not be less than the minimum Call Premium Amounts set forth
under “Key Terms — Call Premium Amount.”
Optional Call Payment
Date
Call Premium Amount
1st
$140.0000
2nd
$151.6667
3rd
$163.3333
4th
$175.0000
5th
$186.6667
6th
$198.3333
7th
$210.0000
8th
$221.6667
9th
$233.3333
10th
$245.0000
11th
$256.6667
12th
$268.3333
13th
$280.0000
14th
$291.6667
15th
$303.3333
16th
$315.0000
17th
$326.6667
18th
$338.3333
19th
$350.0000
20th
$361.6667
21st
$373.3333
22nd
$385.0000
23rd
$396.6667
24th
$408.3333
25th
$420.0000
26th
$431.6667
27th
$443.3333
28th
$455.0000
29th
$466.6667
30th
$478.3333
31st
$490.0000
32nd
$501.6667
33rd
$513.3333
34th
$525.0000
35th
$536.6667
36th
$548.3333
37th
$560.0000
38th
$571.6667
39th
$583.3333
40th
$595.0000
41st
$606.6667
42nd
$618.3333
43rd
$630.0000
44th
$641.6667
45th
$653.3333
46th
$665.0000
47th
$676.6667
Final
$688.3333
PS-5 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
Payment at Maturity If the Notes Have Not Been Redeemed Early
The following table illustrates the hypothetical total return and payment at maturity on the notes linked to a hypothetical Index if the
notes have not been redeemed early. 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:
• the notes have not been redeemed early;
• an Initial Value of 100.00;
• an Upside Leverage Factor of 1.90; and
• a Barrier Amount of 60.00 (equal to 60.00% of the hypothetical Initial Value).
The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial
Value. The actual Initial Value will be the closing level of the Index on the Pricing Date and will be provided in the pricing supplement.
For historical data regarding the actual closing levels of the Index, please see the historical information set forth under “The Index” 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 have
been rounded for ease of analysis.
Final Value
Index Return
Absolute Index Return
Total Return on the
Notes
Payment at Maturity
165.00
65.00%
N/A
123.50%
$2,235.00
150.00
50.00%
N/A
95.00%
$1,950.00
140.00
40.00%
N/A
76.00%
$1,760.00
130.00
30.00%
N/A
57.00%
$1,570.00
120.00
20.00%
N/A
38.00%
$1,380.00
110.00
10.00%
N/A
19.00%
$1,190.00
105.00
5.00%
N/A
9.50%
$1,095.00
101.00
1.00%
N/A
1.90%
$1,019.00
100.00
0.00%
0.00%
0.00%
$1,000.00
95.00
-5.00%
5.00%
5.00%
$1,050.00
90.00
-10.00%
10.00%
10.00%
$1,100.00
80.00
-20.00%
20.00%
20.00%
$1,200.00
70.00
-30.00%
30.00%
30.00%
$1,300.00
60.00
-40.00%
40.00%
40.00%
$1,400.00
59.99
-40.01%
N/A
-40.01%
$599.90
50.00
-50.00%
N/A
-50.00%
$500.00
40.00
-60.00%
N/A
-60.00%
$400.00
30.00
-70.00%
N/A
-70.00%
$300.00
20.00
-80.00%
N/A
-80.00%
$200.00
10.00
-90.00%
N/A
-90.00%
$100.00
0.00
-100.00%
N/A
-100.00%
$0.00
PS-6 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
How the Notes Work
Upside Scenario If Early Redemption:
If we elect to redeem the notes early, regardless of the performance of the Index, investors will receive on the applicable Optional Call
Payment Date, for each $1,000 principal amount note, (a) $1,000 plus (b) the Call Premium Amount applicable to that Optional Call
Payment Date. No further payments will be made on the notes.
• Assuming a hypothetical Call Premium Amount of $140.00 for the first Optional Call Payment Date, if the notes are redeemed
early on that Optional Call Payment Date, investors will receive a return equal to 14.00%, or $1,140.00 per $1,000 principal
amount note.
• Assuming a hypothetical Call Premium Amount of $688.3333 for the final Optional Call Payment Date, if the notes are
redeemed early on that Optional Call Payment Date, investors will receive a return equal to 68.83333%, or $1,688.3333 per
$1,000 principal amount note.
Index Appreciation Upside Scenario If No Early Redemption:
If the notes have not been redeemed early and the Final Value is greater than the Initial Value, investors will receive at maturity the
$1,000 principal amount plus a return equal to the Index Return times the Upside Leverage Factor of 1.90.
• For example, if the notes have not been redeemed early and the closing level of the Index increases 5.00%, investors will
receive at maturity a return equal to 9.50%, or $1,095.00 per $1,000 principal amount note.
Index Par or Index Depreciation Upside Scenario:
If the notes have not been redeemed early and the Final Value is equal to the Initial Value or is less than the Initial Value but greater
than or equal to the Barrier Amount of 60.00% of the Initial Value, investors will receive at maturity the $1,000 principal amount plus a
return equal to the Absolute Index Return.
• For example, if the notes have not been redeemed early and the closing level of the Index declines 10.00%, investors will
receive at maturity a return equal to 10.00%, or $1,100.00 per $1,000 principal amount note.
Downside Scenario:
If the notes have not been redeemed early and the Final Value is less than the Barrier Amount of 60.00% of the Initial Value, investors
will lose 1% of the principal amount of their notes for every 1% that the Final Value is less than the Initial Value.
• For example, if the notes have not been redeemed early and the closing level of the 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
or until early redemption. 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.
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 notes have not been redeemed early and the Final Value is less than the
Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial
Value. Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
• YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BARRIER AMOUNT IF THE NOTES HAVE NOT BEEN
REDEEMED EARLY AND THE INDEX RETURN IS NEGATIVE —
Because the payment at maturity will not reflect the Absolute Index Return if the notes have not been redeemed early and the Final
Value is less than the Barrier Amount, the Barrier Amount effectively caps your return at maturity if the notes have not been
redeemed early and the Index Return is negative. The maximum payment at maturity if the Index Return is negative is $1,400.00
per $1,000 principal amount note.
PS-7 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
• 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.
• IF THE NOTES ARE REDEEMED EARLY, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE
APPLICABLE CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of the Index, which may be significant. In addition, if the notes are redeemed early, you will not
benefit from the Upside Leverage Factor that applies to the payment at maturity if the Final Value is greater than the Initial Value or
the absolute return feature that applies to the payment at maturity if the Final Value is equal to or less than the Initial Value but
greater than or equal to the Barrier Amount. Because the Upside Leverage Factor and the absolute return feature do not apply to
the payment upon an early redemption, the payment upon an early redemption may be significantly less than the payment at
maturity for the same level of change in the Index.
• THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
If the notes have not been redeemed early and the Final Value is less than the Barrier Amount, the benefit provided by the Barrier
Amount will terminate and you will be fully exposed to any depreciation of the Index.
• THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If we elect to redeem your notes early, the term of the notes may be reduced to as short as approximately one year. There is no
guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar
level of risk. Even in cases where we elect to redeem your notes before maturity, you are not entitled to any fees and commissions
described on the front cover of this pricing supplement.
• THE NOTES DO NOT PAY INTEREST.
• YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE E-MINI® S&P 500® FUTURES CONTRACTS (THE
“UNDERLYING FUTURES CONTRACTS”) OR THE SECURITIES INCLUDED IN THE INDEX UNDERLYING THE
UNDERLYING FUTURES CONTRACTS.
• THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE LEVEL
OF THE INDEX IS VOLATILE.
• 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
Call Premium Amounts.
PS-8 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
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
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 level of the Index. 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 —
PS-9 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
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 Index
• 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 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 Index.
• THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS —
The Index tracks the excess return of the Underlying Futures Contracts. 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 Chicago Mercantile Exchange (the “Exchange”) on which the
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 Underlying Futures Contracts to be volatile and could adversely
affect the level of the Index and any payments on, and the value of, your notes.
• SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE 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 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 the Index and could adversely affect the level of the Index and any payments on, and the
value of, your notes.
• THE PERFORMANCE OF THE INDEX WILL DIFFER FROM THE PERFORMANCE OF THE INDEX UNDERLYING THE
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 the Index. In addition, the implicit financing cost will negatively affect the performance of the Index, with a greater
negative effect when market interest rates are higher. During periods of high market interest rates, the Index is likely to
underperform the equity index underlying the Underlying Futures Contracts, perhaps significantly.
• NEGATIVE ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY AFFECT
THE LEVEL OF THE INDEX AND THE VALUE OF THE NOTES —
The Index tracks the excess return of the 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 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 Underlying Futures Contracts and, therefore, the level of the 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 the Index to decrease significantly
over time, even when the levels of the underlying index referenced by the Underlying Futures Contracts are stable or increasing.
PS-10 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
• OTHER KEY RISK:
o THE 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.
PS-11 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
The Index
The Index measures the performance of the nearest maturing quarterly 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 Index and the Underlying Futures Contracts, see Annex A in this pricing supplement.
Historical Information
The following graph sets forth the historical performance of the Index based on the weekly historical closing levels of the Index from
January 3, 2020 through March 7, 2025. The closing level of the Index on March 11, 2025 was 467.16. We obtained the closing levels
above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should not be taken as an indication of future performance, and no assurance can be given as
to the closing level of the Index on the Pricing Date or the Observation Date. There can be no assurance that the performance of the
Index will result in the return of any of your principal amount.
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.
PS-12 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
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
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.
PS-13 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
Futures Excess Return Index
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices of the notes, see “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many
economic and market factors” in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates
for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the
stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a
profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as
determined by our affiliates. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See “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 Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other
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:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
• Underlying supplement no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
• Prospectus supplement and prospectus, each dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
• Prospectus addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
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.
PS-14 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
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 L.P. 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)
(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).
PS-15 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
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
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“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”).
PS-16 | Structured Investments
Callable Dual Directional Accelerated Barrier Notes Linked to the S&P 500®
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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