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 2, 2025
January , 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. 1-I dated April 13, 2023, underlying supplement
no. 23-I dated August 28, 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
Notes Linked to an Unequally Weighted Basket Consisting of
the S&P 500®Index and the J.P. Morgan Multi-Asset Index
due February 3, 2028
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
The notes are designed for investors who seek exposure to any appreciation of an unequally weighted basket of the S&P
500®Index and the J.P. Morgan Multi-Asset Index, which we refer to as the Indices, over the term of the notes.
The weighting of each Index will be determined based on the relative performance of the Indices against each other over
the term of the notes. The Index with the better performance will be allocated a weighting of at least 65.00% and the
Index with the lesser performance will be allocated a weighting of at most 35.00%.
Investors should be willing to forgo interest and dividend payments, while seeking full repayment of principal 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 January 31, 2025 and are expected to settle on or about February 5, 2025.
CUSIP: 48135W5D4
-2 of the accompanying
prospectus supplement, Annex A to the accompanying prospectus addendum, -12
of the accompanying product supplement, -4 of the accompanying underlying
supplement no. 23-I beginning on page PS-8 of this pricing supplement.
d or disapproved
of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement,
underlying supplements, 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 $10.00
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 $973.10 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 $950.00 per $1,000 principal amount note. See 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
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Basket: The notes are linked to an unequally weighted basket
consisting of the following:
the S&P 500®Index (Bloomberg ticker: SPX); and
the J.P. Morgan Multi-Asset Index (Bloomberg ticker: MAX)
collectively
The level of the J.P. Morgan Multi-Asset Index reflects a 1.00%
per annum daily deduction.
Better Performing Index Weighting: At least 65.00% (to be
provided in the pricing supplement)
Lesser Performing Index Weighting: At most 35.00% (to be
provided in the pricing supplement)
Participation Rate: 100.00%
Pricing Date: On or about January 31, 2025
Original Issue Date (Settlement Date): On or about February
5, 2025
Observation Date*: January 31, 2028
Maturity Date*: February 3, 2028
* Subject to postponement in the event of a market disruption event
Postponement
of a Determination Date
the accompanying product supplement, as supplemented by
lemental Terms of the Notes Postponement of a
Determination Date Notes linked to the Index and other
23- Postponement of a Payment
product supplement
Payment at Maturity:
At maturity, you will receive a cash payment, for each $1,000
principal amount note, of $1,000 plus the Additional Amount,
which may be zero.
You are entitled to repayment of principal in full at maturity,
subject to the credit risks of JPMorgan Financial and JPMorgan
Chase & Co.
Additional Amount : The Additional Amount payable at
maturity per $1,000 principal amount note will equal:
$1,000 × Basket Return × Participation Rate,
provided that the Additional Amount will not be less than zero.
Basket Return:
(Final Basket Value Initial Basket Value)
Initial Basket Value
Initial Basket Value: Set equal to 100 on the Pricing Date
Final Basket Value: 100 × [1 + (Better Performing Index
Weighting × Index Return of Better Performing Index) + (Lesser
Performing Index Weighting × Index Return of Lesser
Performing Index)]
Better Performing Index: The Index with the higher Index
Return
Lesser Performing Index: The Index with the lower Index
Return
Index Return: With respect to each Index,
(Final Value Initial Value)
Initial Value
Initial Value: With respect to each Index, the closing level of
that Index on the Pricing Date
Final Value: With respect to each Index, the closing level of
that Index on the Observation Date
Subject to the impact of a commodity hedging disruption event as
Consequences of a
supplement. In the event of a commodity hedging disruption event, we
have the right, but not the obligation, to cause the calculation agent to
determine on the commodity hedging disruption date, as defined in the
accompanying product supplement, the value of the Additional Amount
payable at maturity. Under these circumstances, the value of the
Additional Amount payable at maturity will be determined prior to the
Observation Date and without regard to the Final Basket Value.
PS-2 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset 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 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 Indices, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, by amendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding
anything to the contrary in the indenture governing the notes, that amendment will become effective without consent of the holders of
the notes or any other party.
The Basket
The return on the notes is linked to an unequally weighted basket consisting of the S&P 500®Index and the J.P. Morgan Multi-Asset
Index.
The S&P 500®Index
The S&P 500®Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets.
For additional information about the S&P 500®
underlying supplement no. 1-I.
The J.P. Morgan Multi-Asset Index
The J.P. Morgan Multi- one of our affiliates.
The MAX Index seeks to provide a dynamic and diversified asset allocation based on a momentum investment strategy. The MAX
Index tracks the return of (a) a dynamic notional portfolio consisting of up to 10 excess return futures-based indices (each, a
,
dollars), less (b) a 1.00% per annum daily deduction. The Constituents represent a broad range of asset classes (equities, fixed
income and commodities) and developed markets (the United States, Germany and Japan).
The MAX Index selects and rebalances into a new notional portfolio composed of the Constituents at least once each month using a
methodology that is designed to:
maintain a diversified allocation at all times;
allocate dynamically based on the market cycle; and
select allocations that attempt to deliver a stable volatility over time.
Maintaining a diversified allocation.
in
this sense, a diversified portfolio can be said to deliver average returns with below-average volatility. In order to ensure diversification,
the MAX Index constitutes its selected portfolio from a universe of 10 Constituents, and imposes caps and floors on the Constituent
weights at the individual and asset class levels.
assigned weights must sum to 100%. The following table sets forth the current Constituents, the ticker for each Constituent, the
minimum and maximum assigned weight for each Constituent and the minimum and maximum aggregate assigned weight for each
asset class. For additional information about the Constituents, see
accompanying underlying supplement no. 23-I.
Constituent Ticker
Individual
Assigned
Weight
Constraints
Aggregate
Assigned
Weight
Constraints
1 J.P. Morgan US Large Cap Equities Futures Index JPUSLGEQ
Minimum:
-10%
Maximum:
40%
Minimum:
10%
Maximum:
60%
2 J.P. Morgan US Small Cap Equities Futures Index JPUSSMEQ
3 J.P. Morgan German Equities Futures Index JPDEEQ
4 J.P. Morgan Japanese Equities Futures Index JPJPEQ
PS-3 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
Constituent Ticker
Individual
Assigned
Weight
Constraints
Aggregate
Assigned
Weight
Constraints
5 J.P. Morgan 5Y U.S. Treasury Futures Index JPUS5YT
Minimum:
-10%
Maximum:
40%
Minimum:
10%
Maximum:
80%
6 J.P. Morgan 10Y U.S. Treasury Futures Index JPUS10YT
7 J.P. Morgan German Government Bond Futures Index JPDEBUND
8 J.P. Morgan Japanese Government Bond Futures Index JPJP10YB
9 J.P. Morgan Brent Crude Oil Futures Index JPBRENT Minimum:
-20%
Maximum:
20%
Minimum:
-30%
Maximum:
30%
10 J.P. Morgan Gold Futures Index JPMGOLD
Allocating dynamically based on the market cycle. Historical data and statistical analysis support the premise that assets tend to move
in multi-year cycles. Depending on the asset class, these cycles can range from five to 30 years. The presence of these trends is one
possible explanation for the academic research showing that, historically, asset classes exhibiting strong recent returns have been
more likely to continue to exhibit positive returns. The MAX Index attempts to take advantage of this dynamic by identifying a selected
portfolio that reflects the strongest recent returns in local-currency terms from among the possible portfolios that meet the weight
constraints set forth above and the volatility threshold described below.
Targeting stable volatility. One measure of risk used by many investors is volatility, which reflects the degree of variation in the value of
an asset or portfolio over a period of time. Unlike asset-allocation approaches that aim to maintain stable proportions of different assets
throughout the market cycle, the MAX Index attempts to maintain a stable level of volatility over time. As compared to an approach that
maintains consistent weights through the market cycle, the MAX Index is designed to take on more volatility risk in calm markets and
deliver lower volatility in choppy ones.
Identifying a selected portfolio. At least once each month, the MAX Index identifies every notional portfolio that meets the individual
Constituent and asset class weight constraints set forth above with weights in increments of 5% and a total weight of 100% and that
has a recent historical volatility at or below a volatility threshold of 4%. The MAX Index then selects and rebalances into the notional
portfolio from that set with the strongest recent performance in local-currency terms. If no such notional portfolio exists, then the
volatility threshold is increased by 1% (e.g., from 4% to 5%), and the procedure described in this paragraph is repeated, including the
increase to the volatility threshold, until a notional portfolio has been selected.
Calculating the level of the MAX Index. MAX
weighted U.S. dollar performance of the Constituents tracked by the MAX Index on that day less (b) the 1.00% per annum daily
deduction. The MAX Index Level was set equal to 100.00 on February 22, 1994, the base date of the MAX Index. The Index
Calculation Agent (as defined below) began calculating the MAX Index on a live basis on November 18, 2022.
e it provides notional exposure to its Constituents that in turn provide exposure to
The MAX Index is not
e its Constituents do not reflect interest that could be earned on funds notionally committed to the trading of
futures contracts.
C
- -I for additional information about the MAX
Index.
No assurance can be given that the investment strategy used to construct the MAX Index will be successful or that the MAX
Index will outperform any alternative portfolio or strategy that might be constructed from its Constituents. There is no
guarantee that past performance trends referenced in identifying a selected portfolio will continue during the subsequent
period when the MAX Index provides exposure to that selected portfolio. In addition, no assurance can be given that the
actual realized volatility of the MAX Index will approximate 4%. The actual realized volatility of the MAX Index will depend on
the performance of the Constituents included in the selected portfolio(s) from time to time, and, at any time or for extended
periods, may be greater than 4%, perhaps significantly, or less than 4%. Furthermore, the volatility threshold is subject to
upward adjustment and, thus, the realized volatility threshold used to determine any selected portfolio may be greater than
4%, perhaps significantly.
PS-4 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
al portfolio of assets to
which any person is entitled or in which any person has any ownership interest. The MAX Index merely references certain
assets, the performance of which will be used as a reference point for calculating the MAX Index Level.
PS-5 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical payment at maturity on the notes. The hypothetical payments set forth below
assume the following:
an Initial Basket Value of 100.00; and
a Participation Rate of 100.00%.
Each hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the actual payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of
analysis.
Final Basket Value Basket Return Additional Amount Payment at Maturity
165.00 65.00% $650.00 $1,650.00
150.00 50.00% $500.00 $1,500.00
140.00 40.00% $400.00 $1,400.00
130.00 30.00% $300.00 $1,300.00
120.00 20.00% $200.00 $1,200.00
110.00 10.00% $100.00 $1,100.00
105.00 5.00% $50.00 $1,050.00
101.00 1.00% $10.00 $1,010.00
100.00 0.00% $0.00 $1,000.00
95.00 -5.00% $0.00 $1,000.00
90.00 -10.00% $0.00 $1,000.00
80.00 -20.00% $0.00 $1,000.00
70.00 -30.00% $0.00 $1,000.00
60.00 -40.00% $0.00 $1,000.00
50.00 -50.00% $0.00 $1,000.00
40.00 -60.00% $0.00 $1,000.00
30.00 -70.00% $0.00 $1,000.00
20.00 -80.00% $0.00 $1,000.00
10.00 -90.00% $0.00 $1,000.00
0.00 -100.00% $0.00 $1,000.00
PS-6 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
The following graph demonstrates the hypothetical payments at maturity on the notes for a range of Basket Returns. There can be no
assurance that the performance of the Basket will result in a payment at maturity in excess of $1,000.00 per $1,000 principal amount
note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the Notes Work
Upside Scenario:
If the Final Basket Value is greater than the Initial Basket Value, investors will receive at maturity the $1,000 principal amount plus the
Additional Amount, which is equal to $1,000 times the Basket Return times the Participation Rate of 100.00%.
If the Final Basket Value is greater than the Initial Basket Value by 10.00%, investors will receive at maturity a return equal to
10.00%, or $1,100.00 per $1,000 principal amount note.
Par Scenario:
If the Final Basket Value is equal to or less than the Initial Basket Value, the Additional Amount will be zero and investors will receive at
maturity the principal amount of their notes.
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees
and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
PS-7 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
How to Determine the Weightings of the Indices
The following examples illustrate a range of performances of the Indices on the Observation Date. The hypothetical examples set forth
below assume the following:
an Initial Value of 100.00 for each Index;
a Better Performing Index Weighting of 65.00%;
a Lesser Performing Index Weighting of 35.00%; and
an Initial Basket Value of 100.00.
Example 1: All Index Returns are positive.
Index Initial Value Final Value Index Return Basket Weighting
S&P 500®Index 100.00 105.00 5.00% 35.00%
MAX Index 100.00 110.00 10.00% 65.00%
Basket Return: 8.25%
Because the Index Return of the MAX Index is higher than the Index Return of the S&P 500®Index, the MAX Index is weighted at
65.00% and the S&P 500®Index is weighted at 35.00%.
The Final Basket Value is calculated as follows:
100 × [1 + (65.00% × 10.00%) + (35.00% × 5.00%)] = 108.25
Therefore, the Basket Return is 8.25%.
Example 2: All Index Returns are negative.
Index Initial Value Final Value Index Return Basket Weighting
S&P 500®Index 100.00 60.00 -40.00% 65.00%
MAX Index 100.00 50.00 -50.00% 35.00%
Basket Return: -43.50%
Because the Index Return of the S&P 500®Index is higher than the Index Return of the MAX Index, the S&P 500®Index is weighted at
65.00% and the MAX Index is weighted at 35.00%.
The Final Basket Value is calculated as follows:
100 × [1 + (65.00% × -40.00%) + (35.00% × -50.00%)] = 56.50
Therefore, the Basket Return is -43.50%.
Example 3: The Index Returns are mixed.
Index Initial Value Final Value Index Return Basket Weighting
S&P 500®Index 100.00 105.00 5.00% 65.00%
MAX Index 100.00 20.00 -80.00% 35.00%
Basket Return: -24.75%
Because the Index Return of the S&P 500®Index is higher than the Index Return of the MAX Index, the S&P 500®Index is weighted at
65.00% and the MAX Index is weighted at 35.00%.
The Final Basket Value is calculated as follows:
100 × [1 + (65.00% × 5.00%) + (35.00% × -80.00%)] = 75.25
Therefore, the Basket Return is -24.75%.
PS-8 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
Selected Risk Considerations
An investment in the notes involves significant risks. These risks are explained in more detail in the Risk Factors sections of the
accompanying prospectus supplement, product supplement and underlying supplement no. 23-I and in Annex A to the accompanying
prospectus addendum.
Risks Relating to the Notes Generally
THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY
If the Final Basket Value is less than or equal to the Initial Basket Value, 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 MAX INDEX IS SUBJECT TO A 1.00% PER ANNUM DAILY DEDUCTION
This per annum deduction will be deducted daily. As a result of the per annum deduction, the level of the MAX Index will trail the
value of a hypothetical identically constituted notional portfolio from which no such deduction is made.
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 NOTES DO NOT PAY INTEREST.
CORRELATION (OR LACK OF CORRELATION) OF THE INDICES
The notes are linked to an unequally weighted Basket composed of two Indices. In calculating the Final Basket Value, an increase
in the level of one of the Indices may be moderated, or more than offset, by a lesser increase or decline in the level of the other
Index. In addition, high correlation of movements in the levels of the Indices during periods of negative returns between the Indices
could have an adverse effect on the payment at maturity on the notes.
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE S&P 500®INDEX OR HAVE ANY RIGHTS
WITH RESPECT TO THOSE SECURITIES.
YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES OR LOANS UNDERLYING THE
CONSTITUENTS OF THE MAX INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THE SECURITIES, COMMODITIES,
COMMODITY FUTURES CONTRACTS, LOANS OR OTHER ASSETS UNDERLYING THE CONSTITUENTS OF THE MAX
INDEX.
WE MAY DETERMINE THE ADDITIONAL AMOUNT FOR YOUR NOTES EARLY IF A COMMODITY HEDGING DISRUPTION
EVENT OCCURS
If we or our affiliates are unable to effect transactions necessary to hedge our obligations under the notes due to a commodity
hedging disruption event, we may, in our sole and absolute discretion, cause the calculation agent to determine the Additional
i.e., the
price of the embedded option representing the Additional Amount payable on the notes at maturity) on the date on which the
calculation agent determines that a commodity hedging disruption event has occurred, which may be significantly earlier than the
Observation Date. Under these circumstances, the amount due and payable on your notes will be due and payable only at
PS-9 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
of
Notes more
information.
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
Better Performing Index Weighting and the maximum for the Lesser Performing Index Weighting.
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 &
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. P
supplement. Risks Relating to the Basket Our Affiliate, JPMS, Is the Index Sponsor and Index Calculation Agent of
the MAX Index and May Adjus
In addition, one of our affiliates, JPMS, is one of the primary dealers through which the U.S. Federal Reserve conducts open-
market purchases and sales of U.S. Treasury and federal agency securities, including U.S. Treasury notes. These activities may
affect the prices and yields on the U.S. Treasury notes, which may in turn affect the levels of two of the Bond Constituents (as
defined below) of the MAX Index and the level of the MAX Index. JPMS has no obligation to take into consideration your interests
as a holder of the notes when undertaking these activities.
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 Constituents of the MAX Index and the securities,
commodities, commodity futures contracts, loans and other assets underlying the Constituents of the MAX 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
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
e,
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
PS-10 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
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 Basket. 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 Basket
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX, WHICH IS
ALSO THE REFERENCE INDEX UNDERLYING THE FUTURES CONTRACTS INCLUDED IN ONE OF THE EQUITY
CONSTITUENTS (AS DEFINED BELOW) OF THE MAX 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 or the securities included in the S&P 500®Index.
OUR AFFILIATE, JPMS, IS THE INDEX SPONSOR AND INDEX CALCULATION AGENT OF THE MAX INDEX AND MAY
ADJUST THE MAX INDEX IN A WAY THAT AFFECTS ITS LEVEL
JPMS, one of our affiliates, currently acts as the Index Sponsor and the Index Calculation Agent of the MAX Index and is
responsible for calculating and maintaining the MAX Index and developing the guidelines and policies governing its composition
and calculation. In performing these duties, JPMS may have interests adverse to the interests of the holders of the notes, which
may affect your return on the notes, particularly where JPMS, as the Index Sponsor and the Index Calculation Agent of the MAX
Index, is entitled to exercise discretion. The rules governing the MAX Index may be amended at any time by its Index Sponsor, in
its sole discretion. The rules also permit the use of discretion by the Index Sponsor and the Index Calculation Agent of the MAX
Index in relation to the MAX Index in specific instances, including, but not limited to, the determination of whether to replace a
Constituent of the MAX Index with a substitute or successor upon the occurrence of certain events affecting that Constituent, the
selection of any substitute or successor and the determination of the levels to be used in the event of market disruptions that affect
the ability of the Index Calculation Agent of the MAX Index to calculate and publish the levels of the MAX Index and the
interpretation of the rules governing the MAX Index. Although JPMS, acting as the Index Sponsor and the Index Calculation Agent
of the MAX Index, will make all determinations and take all action in relation to the MAX Index acting in good faith, it should be
noted that JPMS may have interests adverse to the interests of the holders of the notes and the policies and judgments for which
JPMS is responsible could have an impact, positive or negative, on the level of the MAX Index and the value of your notes.
Although judgments, policies and determinations concerning the MAX Index are made by JPMS, JPMorgan Chase & Co., as the
ultimate parent company of JPMS, ultimately controls JPMS. JPMS has no obligation to consider your interests in taking any
PS-11 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
actions that might affect the value of your notes. Furthermore, the inclusion of any Constituent in the MAX Index is not an
investment recommendation by us or JPMS of that Constituent or any of the futures contracts underlying that Constituent.
STRATEGY
The MAX Index construction reflects a momentum investment strategy. Momentum investing generally seeks to capitalize on
positive trends in the returns of financial instruments. As such, the weights of the Constituents in the MAX Index are based in part
on the recent performance of the Constituents. However, there is no guarantee that recent performance trends will continue in the
future. In addition, the caps and floors on the Constituent weights applied at the individual and asset class levels will result in lower
weights for the Constituents with the best recent performance than would be the case if those caps and floors were not applied.
Moreover, the aggregate assigned weights of the J.P. Morgan US Large Cap Equities Futures Index, the J.P. Morgan US Small
Cap Equities Futures Index, the J.P. Morgan German Equities Futures Index and the J.P. Morgan Japanese Equities Futures Index
Morgan 10Y U.S. Treasury Futures Index, the J.P. Morgan German Government Bond Futures Index and the J.P. Morgan
in the MAX Index will, in each case, not be less than 10%,
even in cases where the recent performance of the Equity Constituents or the Bond Constituents, as applicable, is significantly
worse than the recent performance of the remaining Constituents.
Furthermore, the MAX Index will maintain a 100% net long exposure to its Constituents at all times, even when most or all
Constituents are displaying negative performance. Moreover, once a selected portfolio has been identified and implemented, the
MAX Index will track the performance of the relevant Constituents until the next rebalancing of the MAX Index, even when the
performance of those Constituents is worse than their recent performance, or than the performance of the remaining Constituents.
a
result of obtaining exposures to financial instruments that have experienced returns one direction, but which subsequently
experience a sudden return in the other direction. As a result, if market conditions do not represent a continuation of prior
observed trends, the level of the MAX Index, which is rebalanced based on prior trends, may decline.
THE MAX INDEX MAY PERFORM POORLY AT TIMES WHEN THE PHASE OF THE MARKET CYCLE IS CHANGING OR
DURING PERIODS CHARACTERIZED BY SHORT-TERM VOLATILITY
While historical data and statistical analysis support the premise that assets tend to move in multi-year cycles, performance of
assets will be variable, even within a particular phase of a market cycle, and the nature of a market cycle is such that the
performance of assets will shift from phases of positive performance to phases of negative performance over time. Because the
performance is not consistent with the current phase of the market cycle or when the current phase of the market cycle for that
Constituent is changing. In non- A
whipsaw occurs when the market reverses and does the opposite of what is indicated by the trend indicator, resulting in a trading
loss during the particular period. Consequently, the MAX Index may perform poorly in non-
characterized by short-term volatility.
BECAUSE THE MAX INDEX MAY INCLUDE NOTIONAL SHORT POSITIONS, THE NOTES MAY BE SUBJECT TO
ADDITIONAL RISKS
During each rebalancing of the MAX Index, the MAX Index may assign negative weights as low as -10% to one or more of the
Equity Constituents and the Bond Constituents and negative weights as low as -20% to one or both of the J.P. Morgan Brent Crude
exposure to one or more Constituents. Unlike long positions, short positions are subject to unlimited risk of loss because there is
no limit on the appreciation of the price of the relevant asset before the short position is closed. It is possible that a Constituent
may appreciate substantially while the MAX Index is providing a notional short exposure to that Constituent, thus resulting in an
adverse effect on the level of the MAX Index and the value of your notes.
Moreover, if the MAX Index provides both notional long and short exposures to its Constituents, the total long and short exposure
to its Constituents may exceed 100%, perhaps significantly, which increases the risk that the MAX Index will suffer losses, thereby
adversely affecting any payment on the notes and the value of the notes.
THE MAX INDEX MAY NOT APPROXIMATE ITS INITIAL VOLATILITY THRESHOLD OF 4%
No assurance can be given that the MAX Index will maintain an annualized realized volatility that approximates its initial volatility
threshold of 4%. The actual realized volatility of the MAX Index will depend on the performance of the Constituents included in the
selected portfolio(s) from time to time, and, at any time or for extended periods, may be greater than 4%, perhaps significantly, or
PS-12 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
less than 4%. Furthermore, the volatility threshold of the MAX Index is subject to upward adjustment and, thus, the realized
volatility threshold used to determine any selected portfolio may be greater than 4%, perhaps significantly. While the assigned
weights of the notional portfolio(s) tracked by the MAX Index are based in part on the recent historical volatility of the relevant
notional portfolio, there is no guarantee that trends existing in the relevant measurement periods will continue in the future. The
volatility of the notional portfolio on any day may change quickly and unexpectedly. Accordingly, the actual annualized realized
volatility of the MAX Index on a daily basis may be greater than or less than the volatility threshold used to select the relevant
selected portfolio(s), which may adversely affect the level of the MAX Index and the value of the notes.
In addition, due to the weight constraints applied in constructing the MAX Index, the aggregate assigned weights of the Equity
Constituents will not be less than 10%, even if the Equity Constituents are performing poorly. In general, the Equity Constituents
will tend to receive their minimum weight of 10% during periods when equities are experiencing poor performance or high volatility.
In addition, during periods when equities are experiencing high volatility, the initial volatility threshold, and the actual realized
volatility, of the MAX Index may be significantly higher than 4%, even if other assets are not experiencing high volatility.
A SIGNIFICANT PORTION OF THE MAX INDEX
Under normal market conditions, the Equity Constituents and the Commodity Constituents have tended to exhibit realized
volatilities that are higher than the realized volatilities of the Bond Constituents in general over time. As a result, the MAX Index will
generally need to reduce its exposure to the Equity Constituents and the Commodity Constituents in order to satisfy the volatility
threshold. Therefore, the MAX Index may have significant exposure for an extended period of time to the Bond Constituents, and
that exposure may be greater, perhaps significantly greater, than its exposure to the Equity Constituents and the Commodity
Constituents. However, the returns of the Bond Constituents may be significantly lower than the returns of the Equity Constituents
and the Commodity Constituents, and possibly even negative while the returns of the Equity Constituents and the Commodity
Constituents are positive, which will adversely affect the level of the MAX Index and any payment on, and the value of, the notes.
THE MAX INDEX IS SUBJECT TO CONCENTRATION RISK IN ITS ALLOCATION AMONG ITS CONSTITUENTS
The strategy employed by the MAX Index involves an asset allocation that imposes certain weight caps and floors that may result
in the MAX Index being allocated to as few as three Constituents, with up to 40% of the MAX Index being allocated to a single
Equity Constituent and/or any single Bond Constituent. Under these circumstances, the MAX Index may face more risks than if it
were diversified broadly over numerous asset classes and geographical regions. Accordingly, the MAX Index may be more
adversely affected by negative economic, political or regulatory occurrences affecting its Constituents and the relevant asset
classes than a more broadly diversified allocation among its Constituents. Additionally, the MAX Index allocation will sometimes
result in exposure to only the Equity Constituents and the Bond Constituents, without any exposure to the Commodity Constituents.
Because the notes are linked in part to the MAX Index, which is linked to the performance of its Constituents, which collectively
represent a broad range of asset classes (equities, fixed income and commodities) and developed markets (the United States,
Germany and Japan), price movements between the Constituents representing different asset classes or developed markets may
not correlate with each other. At a time when the value of a Constituent representing a particular asset class or developed market
increases, the value of other Constituents representing a different asset class or developed market may not increase as much or
may decline. Therefore, in calculating the level of the MAX Index, increases in the values of some of its Constituents may be
moderated, or more than offset, by lesser increases or declines in the values of its other Constituents. In addition, high correlation
during periods of negative returns among its Constituents could have a material adverse effect on the performance of the MAX
Index.
DO NOT REFLECT INTEREST THAT COULD BE EARNED ON FUNDS NOTIONALLY COMMITTED TO THE TRADING OF
FUTURES CONTRACTS
Each of the Constituents is an excess return index and not a total return index. The MAX Index, by providing exposure to the
Constituents, is also an excess return index and not a total return index. The return from investing in futures contracts derives from
fit or loss
realized when rolling the relevant futures contracts (which
Some indices, including the Constituents (and indirectly, the MAX Index), that track futures contracts are excess return indices that
measure 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 futures contracts). By contrast, a total return index, in addition to reflecting those returns, also
reflects interest that could be earned on funds committed to the trading of the underlying futures contracts (i.e., the collateral return
PS-13 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
associated with an investment in futures contracts). Investing in the notes will not generate the same return as would be generated
from investing directly in the relevant futures contracts or in a total return index related to those futures contracts.
HYPOTHETICAL BACK-TESTED DATA RELATING TO THE MAX INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA
AND ARE SUBJECT TO INHERENT LIMITATIONS
The hypothetical back- -Tested Data and Historical
MAX
Index and has not been verified by an independent third party. Hypothetical back-tested performance measures have inherent
limitations. Alternative modeling techniques might produce significantly different results and may prove to be more appropriate.
Past performance, and especially hypothetical back-tested performance, is not indicative of future results. This type of information
has inherent limitations and you should carefully consider these limitations before placing reliance on such information.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed with the benefit of hindsight.
THE INVESTMENT STRATEGY USED TO CONSTRUCT THE MAX INDEX INVOLVES REGULAR REBALANCING AND
WEIGHTING CONSTRAINTS THAT ARE APPLIED TO ITS CONSTITUENTS
The Constituents of the MAX Index are subject to regular rebalancing and weighting constraints applied individually and by asset
type. By contrast, a notional portfolio that does not rebalance monthly and is not subject to any weighting constraints could see
greater compounded gains over time through exposure to a consistently and rapidly appreciating portfolio consisting of the
Constituents. Therefore, your return on the notes may be less than the return you could realize on an alternative investment in the
Constituents that is not subject to regular rebalancing or weighting constraints. No assurance can be given that the investment
strategy used to construct the MAX Index will outperform any alternative investment in its Constituents.
A CONSTITUENT OF THE MAX INDEX MAY BE REPLACED BY A SUBSTITUTE INDEX UPON THE OCCURRENCE OF
CERTAIN EXTRAORDINARY EVENTS
Following the occurrence of certain extraordinary events with respect to a Constituent of the MAX Index, the affected Constituent
may be replaced by a substitute index or the Index Calculation Agent of the MAX Index may cease calculation and publication of
the MAX Index on a date determined by the Index Calculation Agent of the MAX Index. These extraordinary events generally
include events that could materially interfere with the ability of market participants to transact in, or events that could materially
change the underlying economic exposure of, positions with respect to the MAX Index, any Constituent of the MAX Index or any
reference index of the MAX Index, where that material interference or change is not acceptable to the Index Calculation Agent of
the MAX Index. If the Index Calculation Agent of the MAX Index determines in its discretion that no suitable substitute is available
for an affected Constituent, then the Index Calculation Agent of the MAX Index will determine its good faith estimate of the closing
level of that Constituent and remove it from the MAX Index. In any such case, the Index Calculation Agent of the MAX Index will, in
good faith, make related adjustments to the rules governing the MAX Index that it determines to be appropriate.
Morgan Multi-Asset Index ng underlying supplement no. 23-I for a
summary of events that could trigger an extraordinary event.
You should realize that the changing of a Constituent of the MAX Index may affect the performance of the MAX Index, and
therefore, the return on the notes, as the replacement Constituent may perform significantly better or worse than the original
Constituent. Moreover, the policies of the sponsor of the substitute index concerning the methodology and calculation of the
substitute index, including decisions regarding additions, deletions or substitutions of the assets underlying the substitute index,
could affect the level of the substitute index and therefore the value of the notes. The amount payable on the notes and their
market value could also be affected if the sponsor of a substitute index or the sponsor of the reference index discontinues or
suspends calculation or dissemination of the index, in which case it may become difficult to determine the market value of the
notes. The sponsor of the substitute index will have no obligation to consider your interests in calculating or revising such
substitute index.
PS-14 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
Each Constituent of the MAX 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 and could adversely affect the level
of the MAX Index and any payments on, and the value of, your notes.
SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN 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 futures contract price fluctuations that may occur in a single day. These limits are generally referred to as
is
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 levels of the Constituents of the MAX Index and the level of the MAX Index and could affect the levels of the
Constituents of the MAX Index and adversely affect the level of the MAX Index and any payments on, and the value of, your notes.
CONSTITUENTS MAY ADVERSELY AFFECT THE LEVEL OF THAT CONSTITUENT
Futures exchanges require market participants to post collateral in order to open and keep open positions in futures contracts. If
an exchange increases the amount of collateral required to be posted to hold positions in futures contracts underlying the
Constituents of the MAX Index, market participants who are unwilling or unable to post additional collateral may liquidate their
positions, which may cause the price of the relevant futures contracts to decline significantly. As a result, the level of the MAX
Index and any payments on, and the value of, the notes may be adversely affected.
REGULATED FUTURES EXCHANGES
The Constituents of the MAX Index are currently based solely on futures contracts traded on regulated futures exchanges (referred
If these exchange-traded futures contracts cease to exist, or if the
calculation agent for the Constituents of the MAX Index substitutes a futures contract in certain circumstances, the MAX Index may
in the future include futures contracts or over-the-counter contracts traded on trading facilities that are subject to lesser degrees of
regulation or, in some cases, no substantive regulation. As a result, trading in such contracts, and the manner in which prices and
volumes are reported by the relevant trading facilities, may not be subject to the provisions of, and the protections afforded by, the
U.S. Commodity Exchange Act, or other applicable statutes and related regulations that govern trading on regulated U.S. futures
exchanges or similar statutes and regulations that govern trading on regulated non-U.S. futures exchanges. In addition, many
electronic trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading
of contracts on such facilities, and the inclusion of such contracts in the MAX Index, through its exposure to its Constituents, may
be subject to certain risks not presented by futures contracts traded on regulated futures exchanges, including risks related to the
liquidity and price histories of the relevant contracts.
RELATIVE TO THEIR CURRENT PRICES COULD LEAD TO A DECREASE IN ANY PAYMENT ON THE NOTES
The Constituents of the MAX Index are composed of futures contracts. As the contracts underlying the Constituents of the MAX
Index come to expiration, they are replaced by contracts that have a later expiration. For example, a contract notionally purchased
and held in August may specify an October expiration. As time passes, the contract expiring in October is replaced by a contract
for delivery in November. This is accomplished by notionally selling the October contract and notionally purchasing the November
contract. Excluding other considerations, if the market for the underlying futures contracts
are higher in the distant delivery months than in the nearer delivery months, the notional
purchase of the November contract would take place at a price that is higher than the price of the October contract, thereby
In addition, excluding other considerations, if the market for the underlying futures contracts is in
PS-15 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
purchase of the November contract would take place at a price that is lower than the price of the October contract, thereby creating
When the MAX Index provides long exposure to a Constituent, the presence of contango in the relevant markets could adversely
affect the values of that Constituent and the MAX Index and, accordingly, any payment on the notes. In addition, when the MAX
Index provides short exposure to a Constituent, the presence of backwardation in the relevant markets could positively affect the
value of that Constituent and therefore adversely affect the value of the MAX Index and, accordingly, any payment on the notes.
THE MAX INDEX SHOULD NOT BE COMPARED TO ANY OTHER INDEX OR STRATEGY SPONSORED BY ANY OF OUR
AFFILIATES
The MAX Index follows a notional rules-based proprietary strategy that may have objectives, features and/or constituents that are
No assurance can be
given that these similarities will form a basis for comparison between the MAX Index and any other J.P. Morgan Index, and no
assurance can be given that the MAX Index would be more successful than or outperform any other J.P. Morgan Index. The MAX
Index operates independently and does not necessarily revise, enhance, modify or seek to outperform any other J.P. Morgan
Index.
OTHER KEY RISKS RELATING TO THE MAX INDEX:
oTHE MAX INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE
EMPLOYED IN RESPECT OF ITS CONSTITUENTS.
oTHE MAX 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.
oTHE MAX INDEX, WHICH WAS ESTABLISHED ON NOVEMBER 18, 2022, AND ITS CONSTITUENTS, WHICH WERE
ESTABLISHED ON DECEMBER 22, 2020, NOVEMBER 29, 2021 OR OCTOBER 24, 2022, HAVE LIMITED OPERATING
HISTORIES AND MAY PERFORM IN UNANTICIPATED WAYS.
oTHE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE MAX INDEX BECAUSE THE
VALUES OF ITS CONSTITUENTS DENOMINATED IN CURRENCIES OTHER THAN THE U.S. DOLLAR ARE CONVERTED
INTO U.S. DOLLARS FOR PURPOSES OF CALCULATING THE LEVEL OF THE MAX INDEX.
oTHE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH NON-U.S. SECURITIES MARKETS AND
SMALL-CAPITALIZATION STOCKS WITH RESPECT TO THE MAX INDEX.
oTHE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING
INTEREST RATE-RELATED RISKS AND CREDIT RISK, WITH RESPECT TO THE MAX INDEX.
oTHE COMMODITY FUTURES CONTRACTS UNDERLYING THE COMMODITY CONSTITUENTS OF THE MAX INDEX ARE
SUBJECT TO UNCERTAIN LEGAL AND REGULATORY REGIMES.
oINVESTMENTS RELATED TO THE VALUES OF THE COMMODITIES TEND TO BE MORE VOLATILE THAN
TRADITIONAL INVESTMENTS.
oHIGHER FUTURE PRICES OF THE COMMODITY FUTURES CONTRACTS CONSTITUTING THE COMMODITY
CONSTITUENTS OF THE MAX INDEX RELATIVE TO THEIR CURRENT PRICES MAY DECREASE THE AMOUNT
PAYABLE AT MATURITY.
oTHE MARKET PRICE OF CRUDE OIL AND GOLD WILL AFFECT THE VALUE OF THE NOTES.
-I for more details regarding the above-
listed and other risks.
PS-16 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
Hypothetical Back-Tested Data and Historical Information
The following graphs set forth (i) the historical performance of the S&P 500®Index based on the weekly historical closing levels of the
S&P 500®Index from January 4, 2019 through December 27, 2024 and (ii) the hypothetical back-tested performance of the MAX Index
based on the hypothetical back-tested weekly closing levels of the MAX Index from January 4, 2019 through November 11, 2022 and
the historical performance of the MAX Index based on the weekly historical closing levels of the MAX Index from November 18, 2022
through December 27, 2024. The MAX Index was established on November 18, 2022, as represented by the vertical line in the
relevant graph. All data to the left of that vertical line reflect hypothetical back-tested performance of the MAX Index. All data to the
right of that vertical line reflect actual historical performance of the MAX Index. The closing level of the S&P 500®Index on December
30, 2024 was 5,906.94. The closing level of the MAX Index on December 30, 2024 was 290.98. We obtained the closing levels above
and below from the Bloomberg Professional®
The data for the hypothetical back-tested performance of the MAX Index set forth in the relevant graph are purely theoretical and do not
Risks Relating to the Basket
Hypothetical Back-Tested Data Relating to the MAX Index Do Not Represent Actual Historical Data and Are Subject to Inherent
The historical closing levels of the S&P 500®Index and the hypothetical back-tested and historical closing levels of the MAX Index
should not be taken as an indication of future performance, and no assurance can be given as to the Final Basket Value or the closing
levels of the Indices on the Pricing Date or the Observation Date. There can be no assurance that the performance of the Basket 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.
PS-17 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
The hypothetical back-tested closing levels of the MAX 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 MAX Index that might prove to be
more appropriate and that might differ significantly from the hypothetical back-tested closing levels of the MAX Index set forth above.
Treatment as Contingent Payment Debt Instruments
ction
s to U.S. Holders Notes with a Term of More than One Year Notes Treated as Contingent
-I. 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, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated for
U.S. federal income ta
required to accrue original issue discount
although we will not make any payment with respect to the notes until maturity. Upon sale or exchange (including 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 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. 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
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.
PS-18 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset Index
al Income Tax
Tax Consequences to U.S. Holders Notes with a Term of More
than One Year ) in the accompanying product supplement, constitute the
full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of
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. The comparable yield
for the notes will be determined based upon a variety of 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 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
uance,
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
ns Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes
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-19 | Structured Investments
Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500®
Index and the J.P. Morgan Multi-Asset 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 Basket 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
supplements. 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
ou the accompanying
prospectus supplement, the accompanying product supplement and the accompanying underlying supplement no. 23-I 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. 1-I dated April 13, 2023:
Underlying supplement no. 23-I dated August 28, 2023:
Prospectus supplement and prospectus, each dated April 13, 2023:
Prospectus addendum dated June 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co. s CIK is 19617. As used in this pricing
supplement, we, us and our refer to JPMorgan Financial.

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