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 January 31, 2025
February , 2025 Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 3-I dated April 13, 2023, underlying supplement no. 5-II dated March 5, 2024,
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
Review Notes Linked to the MerQube US Large-Cap Vol
Advantage Index due February 16, 2035
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, on any Review Date, the
closing level of the MerQube US Large-Cap Vol Advantage Index, which we refer to as the Index, is at or above the Call
Value.
● The earliest date on which an automatic call may be initiated is February 14, 2028.
● Investors should be willing to forgo interest and dividend payments, while seeking full repayment of principal at maturity.
● The Index is subject to a 6.0% per annum daily deduction. This daily deduction will offset any appreciation of
the futures contracts included in the Index, will heighten any depreciation of those futures contracts and will
generally be a drag on the performance of the Index. The Index will trail the performance of an identical index
without a deduction. See “Selected Risk Considerations — Risks Relating to the Notes Generally — The Level
of the Index Will Include a 6.0% per Annum Daily Deduction” in this pricing supplement.
● 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 February 13, 2025 and are expected to settle on or about February 18,
2025.
● CUSIP: 48136BWF4
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, “Risk Factors” beginning on page US-4 of the accompanying underlying
supplement and “Selected Risk Considerations” beginning on page PS-7 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 $50.00 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 $866.00 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 $850.00 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
Review Notes Linked to the MerQube US Large-Cap Vol Advantage 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 MerQube US Large-Cap Vol Advantage Index
(Bloomberg ticker: MQUSLVA). The level of the Index reflects a
deduction of 6.0% per annum that accrues daily.
Call Value: 100.00% of the Initial Value
Pricing Date: On or about February 13, 2025
Original Issue Date (Settlement Date): On or about February 18,
2025
Review Dates*: February 14, 2028, March 13, 2028, April 13,
2028, May 15, 2028, June 13, 2028, July 13, 2028, August 14,
2028, September 13, 2028, October 13, 2028, November 13,
2028, December 13, 2028, January 16, 2029, February 13, 2029,
March 13, 2029, April 13, 2029, May 14, 2029, June 13, 2029,
July 13, 2029, August 13, 2029, September 13, 2029, October 15,
2029, November 13, 2029, December 13, 2029, January 14,
2030, February 13, 2030, March 13, 2030, April 15, 2030, May 13,
2030, June 13, 2030, July 15, 2030, August 13, 2030, September
13, 2030, October 14, 2030, November 13, 2030, December 13,
2030, January 13, 2031, February 13, 2031, March 13, 2031, April
14, 2031, May 13, 2031, June 13, 2031, July 14, 2031, August 13,
2031, September 15, 2031, October 13, 2031, November 13,
2031, December 15, 2031, January 13, 2032, February 13, 2032,
March 15, 2032, April 13, 2032, May 13, 2032, June 14, 2032,
July 13, 2032, August 13, 2032, September 13, 2032, October 13,
2032, November 15, 2032, December 13, 2032, January 13,
2033, February 14, 2033, March 14, 2033, April 13, 2033, May 13,
2033, June 13, 2033, July 13, 2033, August 15, 2033, September
13, 2033, October 13, 2033, November 14, 2033, December 13,
2033, January 13, 2034, February 13, 2034, March 13, 2034, April
13, 2034, May 15, 2034, June 13, 2034, July 13, 2034, August 14,
2034, September 13, 2034, October 13, 2034, November 13,
2034, December 13, 2034, January 16, 2035 and February 13,
2035 (final Review Date)
Call Settlement Dates*: February 17, 2028, March 16, 2028,
April 19, 2028, May 18, 2028, June 16, 2028, July 18, 2028,
August 17, 2028, September 18, 2028, October 18, 2028,
November 16, 2028, December 18, 2028, January 19, 2029,
February 16, 2029, March 16, 2029, April 18, 2029, May 17, 2029,
June 18, 2029, July 18, 2029, August 16, 2029, September 18,
2029, October 18, 2029, November 16, 2029, December 18,
2029, January 17, 2030, February 19, 2030, March 18, 2030, April
18, 2030, May 16, 2030, June 18, 2030, July 18, 2030, August 16,
2030, September 18, 2030, October 17, 2030, November 18,
2030, December 18, 2030, January 16, 2031, February 19, 2031,
March 18, 2031, April 17, 2031, May 16, 2031, June 18, 2031,
July 17, 2031, August 18, 2031, September 18, 2031, October 16,
2031, November 18, 2031, December 18, 2031, January 16,
2032, February 19, 2032, March 18, 2032, April 16, 2032, May 18,
2032, June 17, 2032, July 16, 2032, August 18, 2032, September
16, 2032, October 18, 2032, November 18, 2032, December 16,
2032, January 19, 2033, February 17, 2033, March 17, 2033, April
19, 2033, May 18, 2033, June 16, 2033, July 18, 2033, August 18,
2033, September 16, 2033, October 18, 2033, November 17,
2033, December 16, 2033, January 19, 2034, February 16, 2034,
March 16, 2034, April 18, 2034, May 18, 2034, June 16, 2034,
July 18, 2034, August 17, 2034, September 18, 2034, October 18,
2034, November 16, 2034, December 18, 2034, January 19, 2035
and the Maturity Date
Maturity Date*: February 16, 2035
Automatic Call:
If the closing level of the Index on any Review Date is greater than or
equal to the Call Value, the notes will be automatically called for a cash
payment, for each $1,000 principal amount note, equal to (a) $1,000
plus (b) the Call Premium Amount applicable to that Review Date,
payable on the applicable Call Settlement Date. No further payments
will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called, you will receive the
principal amount of your notes at maturity.
If the notes have not been automatically called, you are entitled to
repayment of principal in full at maturity, subject to the credit risks of
JPMorgan Financial and JPMorgan Chase & Co.
Initial Value: The closing level of the Index on the Pricing Date
Final Value: The closing level of the Index on the final Review Date
* Subject to postponement in the event of a market disruption event and as
described under “Supplemental Terms of the Notes — Postponement of a
Determination Date — Notes Linked Solely to an Index” in the accompanying
underlying supplement and “General Terms of Notes — Postponement of a
Payment Date” in the accompanying product supplement
PS-2 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
Key Terms Relating to the Call Premium Amounts
Call Premium Amount: The Call Premium Amount with respect to
each Review Date is set forth below:
• first Review Date:
at least 30.45000% × $1,000
• second Review Date:
at least 31.29583% × $1,000
• third Review Date:
at least 32.14167% × $1,000
• fourth Review Date:
at least 32.98750% × $1,000
• fifth Review Date:
at least 33.83333% × $1,000
• sixth Review Date:
at least 34.67917% × $1,000
• seventh Review Date:
at least 35.52500% × $1,000
• eighth Review Date:
at least 36.37083% × $1,000
• ninth Review Date:
at least 37.21667% × $1,000
• tenth Review Date:
at least 38.06250% × $1,000
• eleventh Review Date:
at least 38.90833% × $1,000
• twelfth Review Date:
at least 39.75417% × $1,000
• thirteenth Review Date:
at least 40.60000% × $1,000
• fourteenth Review Date:
at least 41.44583% × $1,000
• fifteenth Review Date:
at least 42.29167% × $1,000
• sixteenth Review Date:
at least 43.13750% × $1,000
• seventeenth Review Date:
at least 43.98333% × $1,000
• eighteenth Review Date:
at least 44.82917% × $1,000
• nineteenth Review Date:
at least 45.67500% × $1,000
• twentieth Review Date:
at least 46.52083% × $1,000
• twenty-first Review Date:
at least 47.36667% × $1,000
• twenty-second Review Date:
at least 48.21250% × $1,000
• twenty-third Review Date:
at least 49.05833% × $1,000
• twenty-fourth Review Date:
at least 49.90417% × $1,000
• twenty-fifth Review Date:
at least 50.75000% × $1,000
• twenty-sixth Review Date:
at least 51.59583% × $1,000
• twenty-seventh Review Date:
at least 52.44167% × $1,000
• twenty-eighth Review Date:
at least 53.28750% × $1,000
• twenty-ninth Review Date:
at least 54.13333% × $1,000
• thirtieth Review Date:
at least 54.97917% × $1,000
• thirty-first Review Date:
at least 55.82500% × $1,000
• thirty-second Review Date:
at least 56.67083% × $1,000
• thirty-third Review Date:
at least 57.51667% × $1,000
• thirty-fourth Review Date:
at least 58.36250% × $1,000
• thirty-fifth Review Date:
at least 59.20833% × $1,000
• thirty-sixth Review Date:
at least 60.05417% × $1,000
• thirty-seventh Review Date:
at least 60.90000% × $1,000
• thirty-eighth Review Date:
at least 61.74583% × $1,000
• thirty-ninth Review Date:
at least 62.59167% × $1,000
• fortieth Review Date:
at least 63.43750% × $1,000
• forty-first Review Date:
at least 64.28333% × $1,000
• forty-second Review Date:
at least 65.12917% × $1,000
• forty-third Review Date:
at least 65.97500% × $1,000
• forty-fourth Review Date:
at least 66.82083% × $1,000
• forty-fifth Review Date:
at least 67.66667% × $1,000
• forty-sixth Review Date:
at least 68.51250% × $1,000
• forty-seventh Review Date:
at least 69.35833% × $1,000
• forty-eighth Review Date:
at least 70.20417% × $1,000
• forty-ninth Review Date:
at least 71.05000% × $1,000
• fiftieth Review Date:
at least 71.89583% × $1,000
• fifty-first Review Date:
at least 72.74167% × $1,000
• fifty-second Review Date:
at least 73.58750% × $1,000
• fifty-third Review Date:
at least 74.43333% × $1,000
• fifty-fourth Review Date:
at least 75.27917% × $1,000
• fifty-fifth Review Date:
at least 76.12500% × $1,000
• fifty-sixth Review Date:
at least 76.97083% × $1,000
• fifty-seventh Review Date:
at least 77.81667% × $1,000
• fifty-eighth Review Date:
at least 78.66250% × $1,000
• fifty-ninth Review Date:
at least 79.50833% × $1,000
• sixtieth Review Date:
at least 80.35417% × $1,000
• sixty-first Review Date:
at least 81.20000% × $1,000
• sixty-second Review Date:
at least 82.04583% × $1,000
• sixty-third Review Date:
at least 82.89167% × $1,000
• sixty-fourth Review Date:
at least 83.73750% × $1,000
• sixty-fifth Review Date:
at least 84.58333% × $1,000
• sixty-sixth Review Date:
at least 85.42917% × $1,000
• sixty-seventh Review Date:
at least 86.27500% × $1,000
• sixty-eighth Review Date:
at least 87.12083% × $1,000
• sixty-ninth Review Date:
at least 87.96667% × $1,000
• seventieth Review Date:
at least 88.81250% × $1,000
• seventy-first Review Date:
at least 89.65833% × $1,000
• seventy-second Review Date:
at least 90.50417% × $1,000
at least 91.35000% × $1,000
• seventy-fourth Review Date:
at least 92.19583% × $1,000
• seventy-fifth Review Date:
at least 93.04167% × $1,000
• seventy-sixth Review Date:
at least 93.88750% × $1,000
• seventy-seventh Review Date:
at least 94.73333% × $1,000
• seventy-eighth Review Date:
at least 95.57917% × $1,000
• seventy-ninth Review Date:
at least 96.42500% × $1,000
• eightieth Review Date:
at least 97.27083% × $1,000
• eighty-first Review Date:
at least 98.11667% × $1,000
• eighty-second Review Date:
at least 98.96250% × $1,000
• eighty-third Review Date:
at least 99.80833% × $1,000
• eighty-fourth Review Date:
at least 100.65417% × $1,000
• final Review Date:
at least 101.50000% × $1,000
(in each case, to be provided in the pricing supplement)
PS-3 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index
The MerQube US Large-Cap Vol Advantage Index (the “Index”) was developed by MerQube (the “Index Sponsor” and “Index
Calculation Agent”), in coordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the Index
Calculation Agent. The Index was established on February 11, 2022. An affiliate of ours currently has a 10% equity interest in the Index
Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as a member of the board of directors of the Index
Sponsor.
The Index attempts to provide a dynamic rules-based exposure to an unfunded rolling position in E-mini® S&P 500® futures (the
“Futures Contracts”), which reference the S&P 500® Index, while targeting a level of implied volatility, with a maximum exposure to the
Futures Contracts of 500% and a minimum exposure to the Futures Contracts of 0%. The Index is subject to a 6.0% per annum daily
deduction. The S&P 500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity
markets. For more information about the Futures Contracts and the S&P 500® Index, see “Background on E-mini® S&P 500® Futures”
and “Background on the S&P 500® Index,” respectively, in the accompanying underlying supplement.
On each weekly Index rebalance day, the exposure to the Futures Contracts is set equal to (a) the 35% implied volatility target (the
“target volatility”) divided by (b) the one-week implied volatility of the SPDR® S&P 500® ETF Trust (the “SPY Fund”), subject to a
maximum exposure of 500%. For example, if the implied volatility of the SPY Fund is equal to 17.5%, the exposure to the Futures
Contracts will equal 200% (or 35% / 17.5%) and if the implied volatility of the SPY Fund is equal to 40%, the exposure to the Futures
Contracts will equal 87.5% (or 35% / 40%). The Index’s exposure to the Futures Contracts will be greater than 100% when the implied
volatility of the SPY Fund is below 35%, and the Index’s exposure to the Futures Contracts will be less than 100% when the implied
volatility of the SPY Fund is above 35%. In general, the Index’s target volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility feature were employed. No assurance can be provided that the volatility of the
Index will be stable at any time.
The investment objective of the SPY Fund is to provide investment results that, before expenses, correspond generally to the price and
yield performance of the S&P 500® Index. For more information about the SPY Fund, see “Background on the SPDR® S&P 500® ETF
Trust” in the accompanying underlying supplement. The Index uses the implied volatility of the SPY Fund as a proxy for the volatility of
the Futures Contracts.
The 6.0% per annum daily deduction will offset any appreciation of the Futures Contracts, will heighten any depreciation of the Futures
Contracts and will generally be a drag on the performance of the Index. The Index will trail the performance of an identical index
without a deduction.
Holding the estimated value of the notes and market conditions constant, the Call Premium Amounts and the other economic terms
available on the notes are more favorable to investors than the terms that would be available on a hypothetical note issued by us linked
to an identical index without a daily deduction. However, there can be no assurance that any improvement in the terms of the notes
derived from the daily deduction will offset the negative effect of the daily deduction on the performance of the Index. The return on the
notes may be lower than the return on a hypothetical note issued by us linked to an identical index without a daily deduction.
The daily deduction and the volatility of the Index (as influenced by the Index’s target volatility feature) are two of the primary variables
that affect the economic terms of the notes. Additionally, the daily deduction and volatility of the Index are two of the inputs our
affiliates’ internal pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes of
determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivatives underlying the economic terms of the notes. See “The Estimated Value of the Notes”
and “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing
supplement.
The Index is subject to risks associated with the use of significant leverage. In addition, the Index may be significantly
uninvested on any given day, and, in that case, will realize only a portion of any gains due to appreciation of the Futures
Contracts on that day. The index deduction is deducted daily at a rate of 6.0% per annum, even when the Index is not fully
invested.
No assurance can be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successful or will outperform any alternative index or strategy that might reference the Futures Contracts.
For additional information about the Index, see “The MerQube Vol Advantage Index Series” in the accompanying underlying
supplement.
PS-4 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage 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.
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.
How the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically Called
The notes will be automatically called on the applicable Call Settlement Date and you will
receive (a) $1,000 plus (b) the Call Premium Amount applicable to that Review Date.
No further payments will be made on the notes.
Review Dates
Automatic Call
The closing level of the
Index is greater than or
equal to the Call Value.
The closing level of the
Index is less than the
Call Value.
Call
Value
Compare the closing level of the Index to the Call Value on each Review Date until any earlier automatic call.
The notes will not be automatically called. Proceed to the next Review Date, if any.
No Automatic Call
Final Review Date
The notes have not
been automatically
called. Proceed to the
payment at maturity.
Payment at Maturity
You will receive the principal amount of your notes.
PS-5 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
Call Premium Amount
The table below illustrates the hypothetical Call Premium Amount per $1,000 principal amount note for each Review 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.”
Review Date
Call Premium Amount
Review Date
Call Premium Amount
First
$304.5000
Forty-Fourth
$668.2083
Second
$312.9583
Forty-Fifth
$676.6667
Third
$321.4167
Forty-Sixth
$685.1250
Fourth
$329.8750
Forty-Seventh
$693.5833
Fifth
$338.3333
Forty-Eighth
$702.0417
Sixth
$346.7917
Forty-Ninth
$710.5000
Seventh
$355.2500
Fiftieth
$718.9583
Eighth
$363.7083
Fifty-First
$727.4167
Ninth
$372.1667
Fifty-Second
$735.8750
Tenth
$380.6250
Fifty-Third
$744.3333
Eleventh
$389.0833
Fifty-Fourth
$752.7917
Twelfth
$397.5417
Fifty-Fifth
$761.2500
Thirteenth
$406.0000
Fifty-Sixth
$769.7083
Fourteenth
$414.4583
Fifty-Seventh
$778.1667
Fifteenth
$422.9167
Fifty-Eighth
$786.6250
Sixteenth
$431.3750
Fifty-Ninth
$795.0833
Seventeenth
$439.8333
Sixtieth
$803.5417
Eighteenth
$448.2917
Sixty-First
$812.0000
Nineteenth
$456.7500
Sixty-Second
$820.4583
Twentieth
$465.2083
Sixty-Third
$828.9167
Twenty-First
$473.6667
Sixty-Fourth
$837.3750
Twenty-Second
$482.1250
Sixty-Fifth
$845.8333
Twenty-Third
$490.5833
Sixty-Sixth
$854.2917
Twenty-Fourth
$499.0417
Sixty-Seventh
$862.7500
Twenty-Fifth
$507.5000
Sixty-Eighth
$871.2083
Twenty-Sixth
$515.9583
Sixty-Ninth
$879.6667
Twenty-Seventh
$524.4167
Seventieth
$888.1250
Twenty-Eighth
$532.8750
Seventy-First
$896.5833
Twenty-Ninth
$541.3333
Seventy-Second
$905.0417
Thirtieth
$549.7917
Seventy-Third
$913.5000
Thirty-First
$558.2500
Seventy-Fourth
$921.9583
Thirty-Second
$566.7083
Seventy-Fifth
$930.4167
Thirty-Third
$575.1667
Seventy-Sixth
$938.8750
Thirty-Fourth
$583.6250
Seventy-Seventh
$947.3333
Thirty-Fifth
$592.0833
Seventy-Eighth
$955.7917
Thirty-Sixth
$600.5417
Seventy-Ninth
$964.2500
Thirty-Seventh
$609.0000
Eightieth
$972.7083
Thirty-Eighth
$617.4583
Eighty-First
$981.1667
Thirty-Ninth
$625.9167
Eighty-Second
$989.6250
Fortieth
$634.3750
Eighty-Third
$998.0833
Forty-First
$642.8333
Eighty-Fourth
$1,006.5417
Forty-Second
$651.2917
Final
$1,015.0000
Forty-Third
$659.7500
PS-6 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked to a hypothetical Index, assuming a range of performances for the
hypothetical Index on the Review Dates.
In addition, the hypothetical payments set forth below assume the following:
● an Initial Value of 100.00;
● a Call Value of 100.00 (equal to 100.00% of the hypothetical Initial Value); and
● the Call Premium Amounts are equal to the minimum Call Premium Amounts set forth under “Key Terms — Call Premium
Amount” above.
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 “Hypothetical
Back-Tested Data and Historical Information” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically called on the first Review Date.
Date
Closing Level
First Review Date
110.00
Notes are automatically called
Total Payment
$1,304.50 (30.45% return)
Because the closing level of the Index on the first Review Date is greater than or equal to the Call Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, of $1,304.50 (or $1,000 plus the Call Premium Amount applicable to
the first Review Date), payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes are automatically called on the final Review Date.
Date
Closing Level
First Review Date
90.00
Notes NOT automatically called
Second Review Date
75.00
Notes NOT automatically called
Third through Eighty-
Fourth Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
240.00
Notes are automatically called
Total Payment
$2,015.00 (101.50% return)
Because the closing level of the Index on the final Review Date is greater than or equal to the Call Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, of $2,015.00 (or $1,000 plus the Call Premium Amount applicable to
the final Review Date), payable on the applicable Call Settlement Date, which is the Maturity Date.
Example 3 — Notes have NOT been automatically called.
Date
Closing Level
First Review Date
90.00
Notes NOT automatically called
Second Review Date
85.00
Notes NOT automatically called
Third through Eighty-
Fourth Review Dates
Less than Call Value
Notes NOT automatically called
Final Review Date
75.00
Notes NOT automatically called
Total Payment
$1,000.00 (0.00% return)
Because the notes have not been automatically called, the payment at maturity, for each $1,000 principal amount note, will be
$1,000.00.
PS-7 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term
or until automatically called. These hypotheticals do not reflect 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, product supplement and underlying supplement and in Annex A to the accompanying
prospectus addendum.
Risks Relating to the Notes Generally
● IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED, THE NOTES WILL NOT PAY MORE THAN THE PRINCIPAL
AMOUNT AT MATURITY —
If the notes have not been automatically called, you will receive only the principal amount of your notes at maturity, and you will not
be compensated for any loss in value due to inflation and other factors relating to the value of money over time.
● THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION —
The Index is subject to a 6.0% per annum daily deduction. The level of the Index will trail the value of an identically constituted
synthetic portfolio that is not subject to any such deduction.
The index deduction will place a significant drag on the performance of the Index, potentially offsetting positive returns on the
Index’s investment strategy, exacerbating negative returns of its investment strategy and causing the level of the Index to decline
steadily if the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of its investment
strategy is sufficient to offset the negative effects of the index deduction, and then only to the extent that the return of its investment
strategy is greater than the index deduction. As a result of the index deduction, the level of the Index may decline even if the return
of its investment strategy is positive.
The daily deduction is one of the inputs our affiliates’ internal pricing models use to value the derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimated value of the notes set forth on the cover of this pricing
supplement. The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of
the notes. See “The Estimated Value of the Notes” and “— Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes” in this pricing supplement.
● 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.
● THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of the Index, which may be significant. You will not participate in any appreciation of the Index.
PS-8 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
● THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately three years. 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 the notes are called 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 RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500®
INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING
THE INDEX.
● JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED
RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN
THE FUTURE —
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own
independent investigation of the merits of investing in the notes, the Index and the futures contracts composing the 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
Call Premium Amounts.
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.
An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another
of our affiliates, as a member of the board of directors of the Index Sponsor. The Index Sponsor can implement policies, make
judgments or enact changes to the Index methodology that could negatively affect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the value of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising
the Index, and we, JPMS, our other affiliates and our respective employees are under no obligation to consider your interests as an
investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the role of
an employee of JPMS as a member of the board of directors of the Index Sponsor.
In addition, JPMS worked with the Index Sponsor in developing the guidelines and policies governing the composition and
calculation of the Index. Although judgments, policies and determinations concerning the Index were made by JPMS, JPMorgan
Chase & Co., as the parent company of JPMS, ultimately controls JPMS. The policies and judgments for which JPMS was
responsible could have an impact, positive or negative, on the level of the Index and the value of your notes. JPMS is under no
obligation to consider your interests as an investor in the notes in its role in developing the guidelines and policies governing the
Index or making judgments that may affect the level of the Index.
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
PS-9 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
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 —
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,
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® Index.
● THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS —
No assurance can be given that the investment strategy on which the Index is based will be successful or that the Index will
outperform any alternative strategy that might be employed with respect to the Futures Contracts.
● THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY —
No assurance can be given that the Index will maintain an annualized realized volatility that approximates its target volatility of
35%. The Index’s target volatility is a level of implied volatility and therefore the actual realized volatility of the Index may be
PS-10 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
greater or less than the target volatility. On each weekly Index rebalance day, the Index’s exposure to the Futures Contracts is set
equal to (a) the 35% implied volatility target divided by (b) the one-week implied volatility of the SPY Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.
However, there is no guarantee that the methodology used by the Index to determine the implied volatility of the SPY Fund will be
representative of the implied or realized volatility of the Futures Contracts. The performance of the SPY Fund may not correlate
with the performance of the Futures Contracts, particularly during periods of market volatility. In addition, the volatility of the
Futures Contracts on any day may change quickly and unexpectedly and realized volatility may differ significantly from implied
volatility. In general, over time, the realized volatilities of the SPY Fund and the Futures Contracts have tended to be lower than
their respective implied volatilities; however, at any time those realized volatilities may exceed their respective implied volatilities,
particularly during periods of market volatility. Accordingly, the actual annualized realized volatility of the Index may be greater
than or less than the target volatility, which may adversely affect the level of the Index and the value of the notes.
● THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE —
On a weekly Index rebalance day, the Index will employ leverage to increase the exposure of the Index to the Futures Contracts if
the implied volatility of the SPY Fund is below 35%, subject to a maximum exposure of 500%. Under normal market conditions in
the past, the SPY Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leverage in the past, except during periods of elevated volatility. When leverage is employed, any movements in the prices of the
Futures Contracts will result in greater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage will magnify any negative performance of the Futures Contracts, which, in turn, would negatively affect the performance of
the Index. Because the Index’s leverage is adjusted only on a weekly basis, in situations where a significant increase in volatility is
accompanied by a significant decline in the value of the Futures Contracts, the level of the Index may decline significantly before
the following Index rebalance day when the Index’s exposure to the Futures Contracts would be reduced.
● THE INDEX MAY BE SIGNIFICANTLY UNINVESTED —
On a weekly Index rebalance day, the Index’s exposure to the Futures Contracts will be less than 100% when the implied volatility
of the SPY Fund is above 35%. If the Index’s exposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvested portion will earn no return. The Index may be significantly uninvested on any given day, and will
realize only a portion of any gains due to appreciation of the Futures Contracts on any such day. The 6.0% per annum deduction
is deducted daily, even when the Index is not fully invested.
● THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN
EXPIRING FUTURES CONTRACT INCLUDED IN THE INDEX —
As the Futures Contracts included in the Index come to expiration, they are replaced by Futures Contracts that expire three months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the Futures Contract
that expires three months from that time. This process is referred to as “rolling.” Excluding other considerations, if the market for
the Futures Contracts is in “contango,” where the prices are higher in the distant delivery months than in the nearer delivery
months, the purchase of the later Futures Contract would take place at a price that is higher than the price of the expiring Futures
Contract, thereby creating a negative “roll yield.” In addition, excluding other considerations, if the market for the Futures Contracts
is in “backwardation,” where the prices are lower in the distant delivery months than in the nearer delivery months, the purchase of
the later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, thereby creating
a positive “roll yield.” The presence of contango in the market for the Futures Contracts could adversely affect the level of the
Index and, accordingly, any payment on the notes.
● THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT “TOTAL RETURNS” —
The Index is an excess return index that does not reflect total returns. The return from investing in futures contracts derives from
three sources: (a) changes in the price of the relevant futures contracts (which is known as the “price return”); (b) any profit or loss
realized when rolling the relevant futures contracts (which is known as the “roll return”); and (c) any interest earned on the cash
deposited as collateral for the purchase of the relevant futures contracts (which is known as the “collateral return”).
The Index measures the returns accrued from investing in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated with an investment in the Futures Contracts). By contrast, a total return index, in addition to reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e., the
collateral return associated with an investment in the Futures Contracts). Investing in the notes will not generate the same return
as would be generated from investing in a total return index related to the Futures Contracts.
PS-11 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
● CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES —
The Index generally provides exposure to a single futures contract on the S&P 500® Index that trades on the Chicago Mercantile
Exchange. Accordingly, the notes are less diversified than other funds, investment portfolios or indices investing in or tracking a
broader range of products and, therefore, could experience greater volatility. You should be aware that other indices may be more
diversified than the Index in terms of both the number and variety of futures contracts. You will not benefit, with respect to the
notes, from any of the advantages of a diversified investment and will bear the risks of a highly concentrated investment.
● THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY —
The Index tracks the returns of futures contracts. The price of a futures contract depends not only on the price of the underlying
asset referenced by the futures contract, but also on a range of other factors, including but not limited to changing supply and
demand relationships, interest rates, governmental and regulatory policies and the policies of the exchanges on which the 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 futures contracts to be volatile.
● SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES —
Futures markets like the Chicago Mercantile Exchange, the market for the Futures Contracts, 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. In addition, futures exchanges have regulations that limit the amount of fluctuation in
some futures contract prices that may occur during 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 these 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 affect the level of the Index and therefore
could affect adversely the value of your notes.
● THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE —
The official settlement price and intraday trading prices of the Futures Contracts are calculated and published by the Chicago
Mercantile Exchange and are used to calculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price and intraday trading prices and may delay or prevent the calculation
of the Index.
● CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY
ADVERSELY AFFECT THE VALUE OF THE NOTES —
Futures exchanges require market participants to post collateral in order to open and to keep open positions in futures contracts. If
an exchange changes the amount of collateral required to be posted to hold positions in the Futures Contracts, market participants
may adjust their positions, which may affect the prices of the Futures Contracts. As a result, the level of the Index may be affected,
which may adversely affect the value of the notes.
● HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS —
The hypothetical back-tested performance of the Index set forth under “Hypothetical Back-Tested Data and Historical Information”
in this pricing supplement is purely theoretical and does not represent the actual historical performance of the Index and has not
been verified by an independent third party. Hypothetical back-tested performance measures have inherent limitations.
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. 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.
PS-12 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
● OTHER KEY RISKS:
o THE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS.
o HISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE
PERFORMANCE OF THE INDEX DURING THE TERM OF THE NOTES.
Please refer to the “Risk Factors” section of the accompanying underlying supplement for more details regarding the above-listed
and other risks.
PS-13 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
Hypothetical Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly
closing levels of the Index from January 3, 2020 through February 4, 2022, and the historical performance of the Index based on the
weekly historical closing levels of the Index from February 11, 2022 through January 24, 2025. The Index was established on February
11, 2022, as represented by the vertical line in the following graph. All data to the left of that vertical line reflect hypothetical back-
tested performance of the Index. All data to the right of that vertical line reflect actual historical performance of the Index. The closing
level of the Index on January 29, 2025 was 3,756.30. 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 Index set forth in the following graph are purely theoretical and do not
represent the actual historical performance of the Index. See “Selected Risk Considerations — Risks Relating to the Index —
Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations”
above.
The hypothetical back-tested and 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 any Review Date. There can be no assurance
that the performance of the Index will result in a payment at maturity in excess of your principal amount, subject to the credit risks of
JPMorgan Financial and JPMorgan Chase & Co.
The hypothetical back-tested closing levels of the 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 Index that might prove to be more
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
Tax Treatment
There is uncertainty regarding the U.S. federal income tax consequences of an investment in the notes due to the lack of governing
authority. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the
subsection thereof entitled “Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as
Contingent Payment Debt Instruments” in the accompanying product supplement no. 3-I. Based on current market conditions, we
intend to treat the notes for U.S. federal income tax purposes as “contingent payment debt instruments.” Assuming this treatment is
respected, as discussed in that subsection, unlike a traditional debt instrument that provides for periodic payments of interest at a single
fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt of stated interest, you generally
will be required to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable yield,” as determined by
us, although we will not make any payment with respect to the notes except upon an automatic call or at maturity. Upon sale or
exchange (including an automatic call or at maturity), you will recognize taxable income or loss equal to the difference between the
amount received from the sale or exchange and your adjusted basis in the note, which generally will equal the cost thereof, increased
PS-14 | Structured Investments
Review Notes Linked to the MerQube US Large-Cap Vol Advantage Index
by the amount of OID you have accrued in respect of the note. You generally must treat any income as interest income and any loss as
ordinary loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject
to limitations. Special rules may apply if any payment in excess of the principal amount of your note is treated as becoming fixed prior
to maturity. You should consult your tax adviser concerning the application of these rules. The discussions herein and in the
accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules under
Section 451(b) of the Code. Purchasers who are not initial purchasers of notes at their issue price should consult their tax advisers with
respect to the tax consequences of an investment in notes, including the treatment of the difference, if any, between the basis in their
notes and the notes’ adjusted issue price.
Because our intended treatment of the notes as CPDIs is based on current market conditions, we may determine an alternative
treatment is more appropriate based on circumstances at the time of pricing. Our ultimate determination will be binding on you, unless
you properly disclose to the IRS an alternative treatment. Also, the IRS may challenge the treatment of the notes as CPDIs. If we
determine not to treat the notes as CPDIs, or if the IRS successfully challenges the treatment of the notes as CPDIs, then the notes will
be treated as debt instruments that are not CPDIs and, unless treated as issued with less than a specified de minimis amount of original
issue discount, could (depending on the facts at the time of pricing) require the accrual of original issue discount as ordinary interest
income based on a yield to maturity different from (and possibly higher than) the comparable yield. Accordingly, under this treatment,
your annual taxable income from (and adjusted tax basis in) the notes could be higher or lower than if the notes were treated as CPDIs,
and any loss recognized upon a disposition of the notes (including upon maturity) would be capital loss, the deductibility of which is
subject to limitations. Accordingly, this alternative treatment could result in adverse tax consequences to you.
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 discussions in the preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax
Consequences” (and in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More
than One Year — Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, to the extent
they reflect statements of law, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax
consequences of owning and disposing of the notes.
Comparable Yield and Projected Payment Schedule
We will determine the comparable yield for the notes and will provide that comparable yield and the related projected payment schedule
(or information about how to obtain them) in the pricing supplement for the notes, which we will file with the SEC. Although it is not
entirely clear how the comparable yield and projected payment schedule should be determined when a debt instrument may be
redeemed by the issuer prior to maturity, we will determine the comparable yield based upon the term to maturity of the notes assuming
no early redemption occurs and a variety of other factors, including actual market conditions and our borrowing costs for debt
instruments of comparable maturities at the time of issuance. The comparable yield and projected payment schedule are
determined solely to calculate the amount on which you will be taxed with respect to the notes in each year and are neither a
prediction nor a guarantee of what the actual yield or timing of the payment or payments will be.
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,
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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
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 “How the Notes Work” and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return
profile of the notes and “The MerQube US Large-Cap Vol Advantage 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.
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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, the accompanying product supplement and the accompanying underlying 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. 3-I dated April 13, 2023:
● Underlying supplement no. 5-II dated March 5, 2024:
● 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.