JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 04:04
Primary Offering Prospectus - Form 424B2
The information in this preliminary pricing supplement is notcomplete and maybe changed. This preliminary pricing supplement is not
an offer to sell nordoes itseek an offer tobuy these securitiesin any jurisdiction where the offer or sale is notpermitted.
Subjectto completion dated October 29,2024
October , 2024RegistrationStatement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplementtoproduct supplementno. 4-I dated April 13,2023, underlying supplement no. 1-I dated April13,2023,theprospectus and
prospectus supplement, each dated April 13,2003,andthe prospectusaddendum dated June 3, 2024
JPMorganChase FinancialCompany LLC
Structured Investments
UncappedBuffered Return EnhancedNotes Linked to the
Least Performing of the S&P 500® Futures Excess Return
Index, the S&P 500® Equal Weight Indexand the Dow Jones
Industrial Average®dueNovember 4, 2027
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
•Thenotes are designed for investors whoseek an uncapped return of at least 1.904 times any appreciationof the least
performing of theS&P 500®Futures Excess ReturnIndex, the S&P 500® Equal Weight Indexand the Dow Jones
Industrial Average®, which we refer to astheIndices,at maturity.
•Investors should be willing to forgo interest anddividend payments and be willing to lose some or all of their principal
amount at maturity.
•The notes areunsecuredandunsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed 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., asguarantor of the notes.
•Payments onthenotes are not linkedto abasket composed of the Indices.Payments on the notesare linkedto the
performance of each of the Indices individually, as described below.
•Minimum denominations of $1,000 and integral multiplesthereof
•The notes areexpected to price on or about October 31, 2024 and are expected to settleon or about November 5, 2024.
•CUSIP: 48135UW30
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 accompanyingprospectus addendum,"Risk Factors" beginning on page PS-11
of the accompanying product supplementand "Selected Risk Considerations" beginning on page PS-4 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 accuracyor the adequacy ofthis pricing supplement or theaccompanying product supplement,
underlyingsupplement, prospectus supplement, prospectusand prospectusaddendum.Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Feesand Commissions(2)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1) See "Supplemental Use of Proceeds" in this pricing supplementfor information about thecomponents of theprice to publicof the
notes.
(2) J.P. Morgan Securities LLC, which we refer toasJPMS,acting asagent for JPMorganFinancial,willpay allof theselling
commissions it receives from us toother affiliated or unaffiliated dealers. In no event will theseselling commissionsexceed$3.00 per
$1,000 principal amountnote. See "PlanofDistribution (ConflictsofInterest)" in theaccompanying productsupplement.
If the notes priced today, the estimated value of the notes would be approximately $989.40 per $1,000 principal amount
note. The estimated value of the notes, when the termsof the notes are set, will beprovided in the pricing supplement
and will not be less than $960.00 per $1,000principal amount note.See"The Estimated Value of the Notes" in this
pricing supplement for additional information.
Thenotes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly ownedfinance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Indices: The S&P 500® Futures Excess Return Index
(Bloombergticker: SPXFP), the S&P 500® Equal Weight Index
(Bloombergticker: SPW) and the Dow Jones Industrial
Average® (Bloomberg ticker:INDU)
Upside Leverage Factor: At least 1.904 (tobe provided inthe
pricingsupplement)
Buffer Amount:25.00%
Downside Leverage Factor: An amount equal to 1 / (1 -
Buffer Amount), which is1.33333
Pricing Date: On or aboutOctober 31, 2024
Original Issue Date (Settlement Date): Onor about November
5, 2024
Observation Date*: November 1, 2027
Maturity Date*: November 4,2027
* Subjectto postponement in theevent of amarket disruption event
and as described under"General Terms of Notes-Postponement
of a DeterminationDate -Notes LinkedtoMultipleUnderlyings"
and "General TermsofNotes-Postponement ofa Payment Date"
in theaccompanying productsupplement
Payment at Maturity:
If theFinal Valueof each Index is greater than itsInitial Value,
your payment at maturityper$1,000principal amount note will
be calculated as follows:
$1,000 + ($1,000 × Least Performing Index Return × Upside
LeverageFactor)
If (i) the Final Value of one or more Indicesis greater than its
Initial Value and the Final Value of the other Index or Indicesis
equal toitsInitialValueor isless than itsInitial Value by up to
theBuffer Amount or (ii) the Final Value of each Index is equal
to itsInitial Value or is lessthan its Initial Value by up to the
Buffer Amount, you will receive the principal amount of your
notes at maturity.
If theFinal Value of any Indexis less than itsInitial Valueby
more thantheBuffer Amount, your payment at maturity per
$1,000 principal amountnote will be calculated as follows:
$1,000 + [$1,000 × (LeastPerforming Index Return + Buffer
Amount) × Downside Leverage Factor]
If theFinal Valueof any Indexis less than itsInitial Valueby
more thanthe Buffer Amount,you will lose some or all of your
principal amount at maturity.
Least Performing Index: TheIndexwith the Least Performing
Index Return
Least Performing Index Return:Thelowest of theIndex
Returns of the Indices
Index Return:
With respect to each Index,
(Final Value -InitialValue)
Initial Value
Initial Value:With respect toeach Index, the closing level of
that Index onthe Pricing Date
Final Value: With respect to eachIndex, the closing level of
that Indexonthe Observation Date
PS-2 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
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, commonlyknown as the hybrid instrument exemption, that is available tosecurities that have one or morepaymentsindexed to the
value, level or rate of one or more commodities, asset out in section 2(f) of that statute. Accordingly, you are not afforded any
protection provided by the Commodity Exchange Act or anyregulation promulgated by theCommodity Futures Trading Commission.
For purposes of the accompanying product supplement, theS&P 500®Futures Excess Return Index willbe deemed to be an Equity
Index, except as provided below, and any referencesin the accompanying product supplement to the securities included in an Equity
Index (or similar references) should be read to refer to the securities included in the S&P 500®Index, which is the reference index for
the futures contracts included in the S&P 500® Futures Excess Return Index.Notwithstanding the foregoing, the S&P 500® Futures
Excess ReturnIndex will be deemed to be a CommodityIndex for purposes of the section entitled "The Underlyings-Indices-
Discontinuationof an Index; Alteration of Method of Calculation" in the accompanying product supplement.
Notwithstandinganything to the contrary in the accompanying product supplement, if a Determination Date (as defined in the
accompanying product supplement) has been postponed to the applicable Final Disrupted Determination Date (as defined in the
accompanying product supplement) and that day is a Disrupted Day (asdefined intheaccompanying product supplement), the
calculation agent will determine theclosing level of the S&P 500® Futures Excess ReturnIndex for that Determination Date on that
Final Disrupted Determination Date in accordance with the formula for andmethodof calculating the closing level of the S&P 500®
Futures Excess Return Index last in effect prior to the commencement of the market disruptionevent (or prior to the non-trading day),
using the officialsettlement price (or, if trading in the relevant futurescontract has been materiallysuspended ormaterially limited, the
calculation agent's good faithestimate of the applicable settlement price that would have prevailedbut for that suspension or limitation)
at theclose of the principal tradingsession on that date of each futures contract most recentlycomposing the S&P 500® Futures
Excess ReturnIndex, as well as any futurescontract required to roll any expiring futures contract in accordance with the method of
calculating the S&P 500® Futures Excess Return Index.
Any valuesof the Indices, and anyvalues derived therefrom, included in this pricingsupplement may be corrected, in the event of
manifest error or inconsistency, byamendment of this pricing supplement andthe correspondingterms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will become effective without consent of the holders of
the notes or any other party.
PS-3 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total return and payment at maturityon the noteslinkedtothreehypothetical
Indices. The"total return"asusedin this pricing supplement is the number, expressed as a percentage, that resultsfrom comparing
the payment at maturityper $1,000 principal amount note to$1,000. The hypothetical total returns and payments set forth below
assume the following:
•an Initial Value for theLeast PerformingIndex of 100.00;
•an UpsideLeverage Factor of 1.904;
•a Buffer Amount of 25.00%; and
•a DownsideLeverage Factor of 1.33333.
The hypotheticalInitial Value of the Least Performing Index of 100.00 hasbeen chosen for illustrative purposes only and maynot
represent a likely actual InitialValue of anyIndex. The actual Initial Value of each Indexwill bethe closinglevelof that Index on the
Pricing Date and will be provided in thepricing supplement. For historical data regarding the actual closing levels of each Index, please
see the historicalinformationset forth under "The Indices"in thispricing supplement.
Each hypothetical total returnor hypotheticalpayment at maturity set forth belowis for illustrative purposes only and may not be the
actual total return or paymentat maturity applicableto apurchaser of the notes. The numbers appearingin the followingtableand
graphhave been rounded for ease of analysis.
Final Value of the Least
Performing Index
Least Performing Index
Return
Total Returnon the
Notes
Payment at Maturity
165.00
65.00%
123.760%
$2,237.60
150.00
50.00%
95.200%
$1,952.00
140.00
40.00%
76.160%
$1,761.60
130.00
30.00%
57.120%
$1,571.20
120.00
20.00%
38.080%
$1,380.80
110.00
10.00%
19.040%
$1,190.40
105.00
5.00%
9.520%
$1,095.20
101.00
1.00%
1.904%
$1,019.04
100.00
0.00%
0.000%
$1,000.00
95.00
-5.00%
0.000%
$1,000.00
90.00
-10.00%
0.000%
$1,000.00
80.00
-20.00%
0.000%
$1,000.00
75.00
-25.00%
0.000%
$1,000.00
70.00
-30.00%
-6.667%
$933.33
60.00
-40.00%
-20.000%
$800.00
50.00
-50.00%
-33.333%
$666.67
40.00
-60.00%
-46.667%
$533.33
30.00
-70.00%
-60.000%
$400.00
20.00
-80.00%
-73.333%
$266.67
10.00
-90.00%
-86.666%
$133.34
0.00
-100.00%
-100.000%
$0.00
PS-4 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
The following graph demonstratesthehypothetical payments at maturity on the notes for a rangeof Least Performing Index Returns.
There canbe no assurance that the performance of the Least Performing Index will result in the return of any of your principal amount.
How the Notes Work
Upside Scenario:
If theFinal Valueof each Index is greater than itsInitial Value, investors will receive at maturitythe $1,000 principal amount plusa
return equal tothe Least Performing Index Return times theUpside Leverage Factor ofat least1.904.
•Assuming ahypothetical Upside Leverage Factor of 1.904, if the closinglevel of the Least PerformingIndex increases10.00%,
investors will receive at maturity a return equal to 19.04%, or $1,190.40 per $1,000 principal amount note.
Par Scenario:
If (i) the Final Value of one or more Indicesis greater thanits InitialValue and the Final Value of the other Index or Indicesis equal to its
Initial Value or is less than its InitialValue by up to the Buffer Amount of 25.00% or (ii) the Final Value of each Index is equal toits Initial
Valueor is less than itsInitialValue byup to theBuffer Amount of 25.00%, investors will receive at maturity theprincipal amount of their
notes.
Downside Scenario:
If theFinal Value of any Indexis less than itsInitial Value bymore than the Buffer Amount of 25.00%, investors will lose 1.33333%of
the principal amount of their notesfor every 1% that the Final Value of the Least Performing Index is less than its InitialValuebymore
than the Buffer Amount.
•For example, if the closing level of the Least Performing Index declines 60.00%, investorswill lose46.667% of their principal
amount and receive only $533.33 per $1,000principalamount note at maturity, calculatedas follows:
$1,000 + [$1,000 × (-60.00% +25.00%) × 1.33333] = $533.33
The hypothetical returnsand hypothetical payments on the notesshown above applyonlyif you hold the notes for their entire term.
These hypotheticals do not reflect the feesor expenses that would be associated withanysaleinthesecondarymarket.If these fees
and expenses were included, the hypothetical returnsand hypothetical paymentsshown above would likely be lower.
PS-5 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
Selected Risk Considerations
An investment in the notesinvolvessignificant risks. These risks areexplained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. If the Final Valueof any Index is less than itsInitial Value by more than
25.00%, you will lose 1.33333% of the principal amount of your notesfor every 1% that the Final Value of the Least Performing
Index is lessthan itsInitial Value by more than 25.00%. Accordingly, under these circumstances, you willlose some or all of your
principal amount at maturity.
•CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our andJPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined bythemarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to you under the notes and you could loseyour 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 thecollection of intercompany obligations. Aside from the initial capitalcontribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to makepayments under loansmade by us to
JPMorgan Chase & Co. or under other intercompany agreements. Asa result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a keyoperating subsidiary of JPMorgan Chase & Co.and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to havesufficient resources tomeet our obligations in
respect of the notesas 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 toseek payment under the related guaranteebyJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX -
Payments onthenotes are not linked to a basket composed of theIndices and are contingent upon the performance of each
individual Index. Poor performance by any of the Indices over the termof the notes may negatively affectyour payment at maturity
and will not be offset or mitigated by positive performance byanyother Index.
•YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
•THE NOTES DO NOT PAY INTEREST.
•YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE S&P 500® EQUAL WEIGHT INDEX OR THE
DOW JONES INDUSTRIAL AVERAGE® INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
•YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE E-MINI® S&P 500®FUTURES CONTRACTS (THE
"UNDERLYING FUTURES CONTRACTS") OR THE SECURITIES INCLUDED IN THE INDEX UNDERLYING THE
UNDERLYING FUTURES CONTRACTS.
•LACK OF LIQUIDITY -
The notes will not belisted on anysecurities exchange. Accordingly, the price at whichyou may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy the notes. You may notbe able to sellyour notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should beableand 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 notesbased on the minimums for the estimated value of the notes and the
Upside Leverage Factor.
PS-6 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
Risks Relating toConflicts of Interest
•POTENTIAL CONFLICTS -
We and our affiliatesplay avarietyof roles in connection with the notes. In performing these duties, our and JPMorganChase &
Co.'seconomic interests are potentially adverse toyour interests as an investor in the notes. It ispossiblethat hedging or trading
activities of ours or our affiliates inconnection with the notescould result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to"RiskFactors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
•THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors. The original issueprice of the
notes will exceed the estimated valueof the notesbecause costs associatedwith 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 notesand the estimated cost of hedging
our obligations under thenotes. See "The Estimated Value of theNotes" in this pricingsupplement.
•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 pricingsupplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determinationof the estimated value of the notesmay differ from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, among other things, our and our affiliates' view of thefunding value of the notes as well as the higher issuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay
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 potentialchanges tothat ratemay have an adverse effect on the termsof thenotes and any
secondarymarket prices of the notes. See"The Estimated Value of the Notes" in thispricing 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 generallyexpect that some of the costs included in the original issue price of the noteswill be partiallypaid back toyou in
connection with any repurchases of your notesbyJPMS in an amount that will decline to zero over an initial predetermined period.
See"SecondaryMarket Prices of the Notes" in this pricingsupplement for additionalinformation relating to this initial period.
Accordingly, the estimatedvalue of your notesduring this initial period may be lower than the valueof the notesaspublished by
JPMS (and which may be shown onyour customer account statements).
•SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket pricesof the notes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take into account our internal secondarymarket funding rates for structured debt issuances and,
also, because secondarymarket prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included intheoriginal 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 secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
the Maturity Datecould result in a substantialloss to you.
•SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of thenotes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, aside from theselling commissions, projected hedgingprofits, if any, estimatedhedging
costs and thelevelsof the Indices. Additionally, independent pricingvendors and/or thirdparty 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
PS-7 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
price of thenotes, if any, at whichJPMS may be willing to purchase your notes in the secondarymarket. See "Risk Factors-
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes- Secondarymarket pricesof the notes will be
impacted by many economic and market factors"in the accompanying product supplement.
Risks Relating to theIndices
•JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX, THE INDEX
UNDERLYING THE S&P 500® FUTURES EXCESS RETURN INDEX, AND THE S&P 500® EQUAL WEIGHT INDEX AND THE
DOW JONES INDUSTRIAL AVERAGE®,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking anycorporate action that might affect
the level of any Index.
•THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS WITH
RESPECT TO THE S&P 500®FUTURES EXCESS RETURN INDEX -
The S&P 500®Futures Excess Return Index tracks the excess return of the Underlying Futures Contracts. Theprice of an
Underlying Futures Contract depends not only on the level of the underlying index referenced by the Underlying Futures Contract,
but also on a range of other factors, including but not limited to theperformance and volatility of the U.S. stock market, corporate
earnings reports, geopolitical events, governmental and regulatorypoliciesand the policies of the Chicago Mercantile Exchange
(the "Exchange") on which the Underlying Futures Contracts trade. In addition, the futuresmarketsaresubject to temporary
distortionsor other disruptions due to various factors, including the lackof liquidity in the markets, the participation ofspeculators
and government regulation and intervention. These factorsand others can cause the prices of the Underlying Futures Contractsto
be volatileandcould adversely affect the level of the S&P 500® Futures Excess Return Indexandanypaymentson, and the value
of, your notes.
•SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY
AFFECT THE VALUE OF YOUR NOTES WITH RESPECT TO THE S&P 500® FUTURES EXCESS RETURN INDEX -
Futures marketsare subject to temporary distortions or other disruptionsdue tovarious factors, includinglack of liquidity, the
participation of speculators, and government regulation and intervention. In addition, futures exchanges generally have regulations
that limit the amount of the Underlying Futures Contract price fluctuations that may occur in a single day. Theselimits are
generally referred to as "dailyprice fluctuation limits" and the maximum or minimum price of a contract on any given day as a result
of those limits is referred to as a "limit price." Once the limit price has been reached in a particular contract, no tradesmay 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 aparticular contract or forcing the liquidation of contractsat potentially disadvantageous times or prices. These circumstances
could delay the calculation of the level of the S&P 500®Futures Excess Return Index and could adversely affect the levelof the
S&P 500® Futures Excess Return Indexand any payments on, and the valueof, your notes.
•THE PERFORMANCE OF THE S&P 500® FUTURES EXCESS RETURN INDEX WILL DIFFER FROM THE PERFORMANCE OF
THE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS-
A varietyof factorscanlead to a disparitybetween the performance of a futures contract on an equity index and the performance
of that equity index, including the expected dividendyields of the equitysecuritiesincludedin that equity index, an implicit financing
cost associated with futures contracts and policies of the exchange on which the futurescontracts are traded, such as margin
requirements.Thus, a decline in expected dividends yieldsor an increase in margin requirements mayadversely affect the
performance of the S&P 500®Futures Excess Return Index. In addition, the implicit financing cost willnegatively affect the
performance of the S&P 500®Futures Excess Return Index, with agreater negative effect when market interest ratesare higher.
During periodsof highmarket interest rates, the S&P 500®Futures Excess Return Index is likelyto underperform the equity index
underlying the Underlying Futures Contracts, perhaps significantly.
PS-8 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
•NEGATIVE ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY AFFECT
THE LEVEL OF THE S&P® 500 FUTURES EXCESS RETURN INDEX AND THE VALUE OF THE NOTES -
The S&P 500®Futures Excess Return Index tracks the excess return of the Underlying Futures Contracts. Unlike common equity
securities, futurescontracts, by their terms, have stated expirations. As the exchange-traded UnderlyingFutures Contracts
approachexpiration, they are replacedbycontractsof the same series that have a later expiration. For example, an Underlying
Futures Contract notionally purchasedand held inJune mayspecify a September expiration date. As time passes, the contract
expiring in September is replacedby a contract for deliveryin December. Thisisaccomplished bynotionally selling the September
contract and notionally purchasing the December contract. Thisprocess is referred to as "rolling." Excluding other considerations,
if prices are higher in the distant deliverymonths than inthenearer delivery months, the notional purchaseof the December
contract would take place at a price that is higher than the price of the September contract,thereby creating a negative "roll return."
Negative roll returns adversely affect the returnsof the Underlying Futures Contracts and, therefore, the levelof the S&P 500®
Futures Excess Return Indexand any payments on, and the value of, the notes. Becauseof the potential effects of negative roll
returns, it is possible for the levelof the S&P 500® Futures Excess ReturnIndex to decrease significantly over time, evenwhen the
levelsof the underlying index referenced bythe Underlying Futures Contracts are stable or increasing.
•OTHER KEY RISK:
THE S&P 500®FUTURES EXCESS RETURN INDEXCOMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO
ACTUAL PORTFOLIO OF ASSETS TO WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY
OWNERSHIP INTEREST.
PS-9 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
The Indices
The S&P 500® Futures Excess Return Index measures the performance of thenearest maturing quarterly UnderlyingFutures Contracts
trading on the Chicago Mercantile Exchange (the "Exchange"). The Underlying Futures Contracts are U.S. dollar-denominated futures
contracts based on the S&P 500® Index. The S&P 500® Index consists of stocksof 500 companies selectedto provide aperformance
benchmark for the U.S. equitymarkets. For additional information about the S&P 500® Futures Excess Return Index and the
Underlying Futures Contracts, see Annex A in this pricingsupplement.
TheS&P 500® EqualWeight Indexis an equal-weighted version of the S&P 500® Index. The S&P 500® Index consists of stocks of 500
companiesselected to provide a performance benchmark for the U.S.equitymarkets. For additional information about the S&P 500®
EqualWeight Index, see "Equity Index Descriptions- The S&P EqualWeight Indices" inthe accompanying underlyingsupplement.
The Dow Jones Industrial Average®consistsof 30 commonstocks chosenas representative of the broad market of U.S. industry. For
additional information about the Dow Jones Industrial Average®, see "Equity Index Descriptions-The Dow Jones Industrial Average®"
in the accompanying underlying supplement.
Historical Information
The following graphsset forththe historical performance of eachIndex based onthe weekly historical closing levels fromJanuary 4,
2019 through October 25, 2024.The closing level of the S&P 500® Futures Excess Return Index on October 25, 2024 was495.37.
The closing levelof the S&P 500® Equal Weight Index on October 25, 2024 was 7,219.98. The closing levelof the Dow Jones
Industrial Average®on October 25, 2024 was42,114.40.We obtained the closinglevels aboveandbelow from the Bloomberg
Professional® service ("Bloomberg"), without independent verification.
Thehistorical closing levels of each Indexshouldnot be taken asan indicationof future performance, and no assurance can begiven
as to the closing level of any Index on the Pricing Date or theObservation Date.There can be no assurance that the performance of
theIndiceswill result in the return of any of your principal amount.
PS-10 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
Tax Treatment
You should review carefully the section entitled"Material U.S. Federal Income Tax Consequences"in the accompanying product
supplement no. 4-I. The following discussion, when read in combination withthat section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal incometax consequences of owning and disposing of notes.
Based oncurrent market conditions, in the opinion of our special tax counselit is reasonable to treat the notes as"open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, as more fully described in "Material U.S. Federal Income Tax
Consequences- Tax Consequences to U.S. Holders- Notes Treated as Open Transactions That Are Not Debt Instruments"in the
accompanying product supplement.Assuming this treatment is respected, the gain or losson your notes should be treated aslong-
termcapitalgain or loss if youhold your notes for more than a year, whether or not you arean initial purchaser of notes at the issue
price. However, the IRS or acourt may not respect this treatment, in which casethetiming andcharacter of any income or losson the
notes could be materiallyandadversely affected. Inaddition, in 2007Treasury and the IRS released a notice requesting comments on
the U.S. federal income taxtreatment of "prepaid forwardcontracts" and similar instruments.The notice focuses in particular on
whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as
the natureof the underlying property to which the instruments arelinked; the degree, if any, to which income (including anymandated
accruals) realizedbynon-U.S. investorsshouldbe subject to withholding tax; and whether these instruments are or should besubject
to the"constructiveownership" regime, which very generallycan operate to recharacterizecertain long-termcapital gainas ordinary
PS-11 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
income and impose a notional interest charge. While the notice requestscomments onappropriate transition rulesand effective dates,
any Treasury regulations or other guidancepromulgated after consideration of theseissues couldmateriallyandadversely affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. You should consult your taxadviser regarding the
U.S. federal incometax consequences of an investment in the notes, including possible alternative treatments and the issuespresented
by thisnotice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unlessan income tax treaty applies) on dividend equivalentspaid 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 fromthescopeof Section 871(m) instruments issued prior toJanuary
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 taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, we expect that Section 871(m) will
not apply tothenotes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, andthe IRS may disagree with
thisdetermination. Section871(m) is complex and its application may depend on your particular circumstances, including whether you
enter intoother 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 shouldconsult your taxadviser regarding the potential
application of Section 871(m) to thenotes.
The Estimated Value of the Notes
Theestimated value of the notes set forth on the cover of this pricing supplementisequal to the sum of the values of thefollowing
hypothetical components: (1) a fixed-income debt component withthesame maturityasthe notes, valued usingthe internal funding
ratedescribed below, and (2) the derivative or derivatives underlyingtheeconomic 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 secondarymarket (if anyexists) at
any time.The internal funding rate used in the determination of the estimated valueof the notesmay differ from the market-implied
funding rate for vanilla fixed income instrumentsof asimilar maturityissued by JPMorganChase & Co. or its affiliates. Any difference
maybe based on, among other things, ourand our affiliates'view of the funding value of the notes as well as the higherissuance,
operational and ongoingliability management costs of the notesin comparisonto those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co.This internal funding rate is based on certain market inputs and assumptions, which may prove
to beincorrect, and is intended to approximatetheprevailing market replacement funding rate for the notes. The use of an internal
funding rate and anypotential changes to that ratemay have an adverse effect on the terms of the notes and anysecondary market
prices of the notes. For additional information, see"Selected Risk Considerations -Risks Relating to the Estimated Value and
Secondary Market Pricesof the Notes - The Estimated Value of the NotesIsDerived byReference toan Internal Funding Rate" in this
pricingsupplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates.These modelsare dependent on inputssuch as the traded market prices of comparable derivative instruments and on
variousother 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, theestimated value of thenotes is
determined when the termsof the notes are set based on market conditions and other relevant factors and assumptions existing at that
time.
Theestimated valueof the notes doesnot represent future values of the notes and may differ from others' estimates. Different pricing
modelsand assumptionscould provide valuations forthe notes that are greater than or lessthan the estimated value of the notes.In
addition, market conditions and other relevant factors in the futuremay change, and any assumptions may prove to be incorrect.On
futuredates, the value of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
which JPMS would be willingto buy notesfromyou in secondarymarket transactions.
The estimated value of the notes will be lower than the original issue priceof the notes because costs associated with selling,
structuring and hedging the notes are included in the originalissue price of the notes. These costs include the sellingcommissions
paidto JPMS and other affiliated or unaffiliated dealers, theprojected profits, if any, that our affiliatesexpect to realize for assuming
risks inherent in hedging our obligations under thenotes and the estimated cost of hedgingour obligations under the notes. Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result inaprofit that
ismoreor less than expected,or it may result in a loss. A portionof the profits, if any, realized in hedging our obligations under the
notes may be allowed toother affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
PS-12 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
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 secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes - Secondary market prices of the notes will beimpacted bymany
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 willbe partially paid back toyou in connection withany repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period.These costs caninclude selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structureddebt issuances.This initial predeterminedtime period is intended to be the shorter of sixmonths and one-half of the
stated term of thenotes.Thelengthof any such initial period reflects the structure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimatedcosts of hedging the notesand 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 pricingsupplement.
Supplemental Use of Proceeds
The notes areoffered 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 supplementfor an illustration of the risk-return profile
of thenotes and"The Indices"in thispricingsupplementfor a description of themarket exposure provided by the notes.
The originalissue price of thenotes is equal to the estimated value of the notes plus the selling commissions paid toJPMS 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 thenotes, 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 anyoffer to purchase, the notes prior totheir issuance.In the event of any
changes to the terms of the notes, we will notifyyou and youwill be asked toaccept such changes in connection withyour purchase.
You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should readthispricing supplementtogether with theaccompanyingprospectus, as supplemented bytheaccompanying
prospectussupplement relating to our SeriesA medium-term notes of which these notes are a part,the accompanying prospectus
addendumand the more detailed information contained in the accompanyingproduct supplement and the accompanying underlying
supplement.This pricingsupplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other writtenmaterialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours.You should carefully consider, among other things, the matters set forth inthe "RiskFactors" sections of the accompanying
prospectussupplement and the accompanyingproduct supplement and in Annex A to the accompanying prospectusaddendum asthe
notes involve risksnot associated with conventional debt securities.We urgeyou to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
You may access these documentson the SEC website at www.sec.govasfollows (or if such addresshaschanged, by reviewingour
filingsfor the relevant dateon the SEC website):
•Product supplement no. 4-I dated April13, 2023:
•Underlying supplement no. 1-Idated April 13, 2023:
•Prospectus supplement and prospectus, each dated April 13, 2023:
•Prospectus addendum datedJune 3, 2024:
Our CentralIndex Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617.As used in thispricing
supplement,"we,""us" and "our" refer to JPMorgan Financial.
PS-13 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
Annex A
The S&P 500®Futures Excess Return Index
All information contained in this pricing supplement regarding the S&P 500®Futures Excess Return Index (the "SPX Futures Index"),
including, without limitation, its make-up, method of calculation andchanges in its components, hasbeen derived from publicly
available information, without independent verification. Thisinformation reflects the policies of, and is subject to change by, S&P Dow
Jones Indices LLC ("S&P Dow Jones"). The SPX FuturesIndexiscalculated, maintainedand published by S&P Dow Jones. S&P Dow
Jones hasno obligation to continue to publish, and maydiscontinue the publication of, theSPX Futures Index.
TheSPX Futures Index is reported by Bloomberg L.P. under the ticker symbol "SPXFP."
The SPX Futures Index measures the performance of the nearest maturing quarterly E-mini® S&P 500® futures contracts (Symbol: ES)
(the "Underlying Futures Contracts") trading on the ChicagoMercantile Exchange (the "Exchange"). E-mini® S&P 500® futures
contracts are U.S. dollar-denominated futurescontracts based on the S&P 500®Index. For additional informationabout the S&P 500®
Index, see "Equity Index Descriptions -The S&P U.S. Indices" in the accompanying underlying supplement. The SPX FuturesIndex
is calculated real-time from the price change of the Underlying Futures Contracts. The SPX Futures Index is an "excess return" index
that is based on price levels of the Underlying Futures Contracts as wellasthediscount orpremiumobtained by "rolling" hypothetical
positions in the Underlying Futures Contractsasthey approach delivery. The SPX FuturesIndex does not reflect interest earned on
hypothetical, fully collateralized contract positions.
Index Rolling
As each Underlying Futures Contract approachesmaturity, it is replaced by thenext maturing Underlying Futures Contract in a process
referred to as "rolling." The rollingof the SPX Futures Indexoccurs quarterly over a one-day rolling period (the "rollday") every March,
June, September and December, effectiveafter thecloseof trading five businessdays preceding the last trading date of the maturing
Underlying Futures Contract.
On anyscheduled roll day, the occurrenceof either of the followingcircumstances will result in an adjustment of the roll day according
to theprocedure set forth in this section:
•An exchange holiday occurs on that scheduled roll day.
•The daily contract price of any Underlying Futures Contract within the indexon that scheduled roll day is a limit price.
If either of the above eventsoccur, the relevant roll day will take place on the next designated commodityindex businessday whereby
noneof the circumstances identified take place.
If a disruption is approaching the last trading day of a contract expiration, the Index Committee (defined below) willconvene to
determine the appropriatecourse of action, which may include guidance from the Exchange.
The Index Committee may change the date of a given rebalancing for reasons including market holidays occurring on or around the
scheduled rebalancing date. Any such change will beannounced with proper advance notice wherepossible.
Index Calculations
The closing levelof the SPX Futures Indexon any trading day reflects the change in the daily contract price of the Underlying Futures
Contract since the immediately precedingtrading day. On eachquarterly roll day, the closing level of the SPX Futures Index reflects
the change from the daily contract price of the maturing Underlying Futures Contract on the immediately preceding trading day to the
daily contract price of the next maturing Underlying Futures Contract on that roll day.
The daily contract price of an Underlying FuturesContract will be the settlement price reported by the Exchange. If the Exchange fails
to open due to unforeseencircumstances, such as natural disasters, inclement weather, outages, or other events, the SPX Futures
Index usesthe prior daily contract prices. In situations where the Exchange is forced to close early due to unforeseen events, such as
computer or electric power failures, weather conditions or other events, S&P Dow Jones calculates theclosing level of the SPX Futures
Index basedon (1) the daily contract price published bythe Exchange, or (2) if no daily contract price is available, the Index Committee
determines thecourse of action and notifies clients accordingly.
Index Correctionsand Recalculations
S&P Dow Jones reserves the right to recalculatean index at its discretion in the event that settlement prices are amended or upon the
occurrence of a missed indexmethodology event (deviation from what is stated in the methodologydocument).
PS-14 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
Index Governance
An S&P Dow Jones indexcommittee (the "Index Committee") maintains the SPX Futures Index. All committee membersare full-time
professional members of S&P Dow Jones'staff. The Index Committee may reviseindex policycovering rules for including currencies,
the timing of rebalancing or other matters. The Index Committeeconsiders information about changes to the SPX Futures Index and
related matters to be potentially market moving and material.Therefore, all Index Committee discussions are confidential.
The Index Committees reserve the right tomake exceptions when applying the methodology of the SPX Futures Index if the need
arises. In anyscenario where the treatment differs from thegeneral rules stated in this document or supplemental documents, notice
will be provided, whenever possible.
In addition to the dailygovernanceof the SPX Futures Indexandmaintenance of itsindex methodology, at least once within any12-
month period, the Index Committee reviews the methodology toensure the SPX FuturesIndex continues to achieve the stated
objectives, and that the data and methodology remaineffective. In certain instances, S&P Dow Jonesmay publish a consultation
inviting comments from external parties.
License Agreement
JPMorgan Chase & Co. or its affiliate has entered into an agreement with S&P Dow Jonesthat provides it and certainof its affiliates or
subsidiaries, includingJPMorgan Financial, with a non-exclusive licenseand, for a fee, with the right to usethe SPX Futures Index,
which isowned and publishedby S&P Dow Jones, inconnection with certain securities, including the notes.
The notes arenot sponsored, endorsed, sold or promoted by S&P Dow Jonesor its third-party licensors. Neither S&P Dow Jones nor
its third-party licensors make any representation or warranty, express or implied, to the owners of thenotes or any member of the public
regarding the advisabilityof investing in securities generally or in the notes particularlyor the ability of the SPX Futures Index to track
general stock market performance. S&P Dow Jones' and its third-party licensors' only relationship toJPMorgan Financialor JPMorgan
Chase & Co. is the licensing of certain trademarksand tradenames of S&P Dow Jones and the third-party licensors and of the SPX
Futures Index which is determined, composedand calculated by S&P Dow Jones or its third-partylicensors without regard to JPMorgan
Financial or JPMorgan Chase & Co. or the notes. S&P Dow Jones and its third-party licensors have no obligation to take the needs of
JPMorgan Financialor JPMorgan Chase & Co. or the owners of the notes intoconsideration indetermining, composing or calculating
the SPX Futures Index. Neither S&P Dow Jones nor its third-partylicensors are responsible for and hasnot participated in the
determination of the pricesand amount of the notes or the timing of the issuance or saleof the notes or in the determination or
calculation of the equation bywhich thenotes are to be convertedinto cash. S&P Dow Jones has no obligation or liabilityin connection
with the administration, marketing or trading of the notes.
NEITHER S&P DOW JONES, ITS AFFILIATES NOR THEIR THIRD-PARTY LICENSORS GUARANTEE THE ADEQUACY,
ACCURACY, TIMELINESS OR COMPLETENESS OF THE SPX FUTURESINDEX OR ANY DATA INCLUDED THEREIN OR ANY
COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC
COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES, ITS AFFILIATES AND THEIR THIRD-PARTY LICENSORS
SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P
DOW JONES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE SPX
FUTURESINDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT
WHATSOEVER SHALL S&P DOW JONES, ITS AFFILIATES OR THEIR THIRD-PARTY LICENSORS BE LIABLE FOR ANY
INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF
PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF
SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.
"S&P®" and "S&P 500®" aretrademarks of S&PGlobal, Inc. or its affiliates and have been licensed for usebyJPMorgan Chase & Co.
and its affiliates, includingJPMorgan Financial.
Background on Futures Contracts
Overview of FuturesMarkets
Futures contracts arecontracts that legallyobligate the holder to buyor sellan asset at apredetermined delivery price during a
specified futuretime period. Futures contracts are traded on regulatedfuturesexchanges, in the over-the-counter market and on
varioustypes of physical and electronic trading facilitiesand markets. An exchange-traded futurescontract provides for the purchase
and sale of a specified type and quantity of anunderlyingasset or financial instrument during a stated deliverymonth for a fixed price.
A futures contract provides fora specified settlement month in which the cashsettlement is made or in which the underlying asset or
financial instrument is to be delivered by theseller (whose position is therefore described as"short") and acquired by the purchaser
(whoseposition is therefore described as "long").
PS-15 | Structured Investments
UncappedBuffered Return Enhanced Notes Linked to theLeastPerforming
of theS&P 500®Futures Excess ReturnIndex, the S&P 500®EqualWeight
Index and the Dow JonesIndustrial Average®
No purchase priceispaid or receivedon the purchase or sale of a futurescontract. Instead, an amount of cash or cash equivalents
must bedeposited with the broker as "initial margin." This amount varies based on the requirements imposedbytheexchange clearing
houses, but it maybelower than 5% of the notional valueof the contract. This margin deposit provides collateral for the obligations of
the parties to thefuturescontract.
By depositing margin, which may varyin formdepending on the exchange, with the clearing house or broker involved, a market
participant may be able to earn interest on its marginfunds, thereby increasing the total return that it may realize froman investment in
futures contracts.
In the United States, futurescontractsare traded on designated contract markets. Atany time prior to the expiration of a futures
contract, a trader may elect toclose out its position by taking an oppositeposition on the exchange on which the trader obtained the
position, subject to the availabilityof a liquid secondary market. This operates to terminatethe position and fix the trader's profit or loss.
Futures contracts arecleared through the facilities of a centralized clearinghouse and a brokerage firm, referred to asa "futures
commissionmerchant," which is a member of the clearing house.
Unlike commonequitysecurities, futures contracts, by their terms, have stated expirations. At a specific point in time prior to expiration,
trading in a futures contract for the current deliverymonth will cease. As a result, a market participant wishing to maintain itsexposure
to a futures contract on aparticular asset or financial instrument with the nearest expirationmust close out its position in the expiring
contract and establish a new positionin thecontract for the next delivery month, a process referred to as "rolling." For example, a
market participant with alongposition in a futures contract expiring in November who wishes to maintain a position in the nearest
delivery month will, as the November contract nearsexpiration, sell the November contract, which serves to close out the existing long
position, and buy a futurescontract expiring inDecember. This will "roll" the November position into a December position, and, when
the November contract expires, themarket participant willstill have a longposition in the nearest deliverymonth.
Futures exchangesand clearing houses in the United States are subject to regulation by the CommodityFutures TradingCommission
(the "CFTC"). Exchanges may adopt rules and take other actions that affect trading, including imposing speculative positionlimits,
maximum price fluctuationsand tradinghalts andsuspensions and requiring liquidation of contractsincertain circumstances. Futures
marketsoutside the United Statesare generally subject to regulation by foreign regulatory authoritiescomparable to theCFTC. The
structureandnature of trading on non-U.S. exchanges, however, may differ fromtheabove description.
Underlying Futures Contracts
E-mini® S&P 500® futures contracts are U.S. dollar-denominated futures contracts, based on the S&P 500® Index, traded on the
Exchange, representing acontract unit of $50multiplied by the S&P 500® Index, measured in cents per index point.
E-mini® S&P 500® futures contracts listed for the nearest nine quarters, for each March, June, September and December, and the
nearest three Decembers areavailable for trading. Tradingof the E-mini®S&P 500® futures contracts will terminate at 9:30 A.M.
Eastern time on the third Friday of the contract month.
The daily settlement prices of the E-mini® S&P 500® futures contractsare based on trading activity in the relevant contract (and in the
case of a lead month also being theexpiry month, together with trading activity onlead month-second monthspread contracts) onthe
Exchange during a specified settlement period. The final settlement price of E-mini® S&P 500® futures contracts is basedon the
opening prices of the component stocksin the S&P 500®Index, determined on the third Fridayof the contract month.