JPMorgan (AMJB) plans notes linked to J.P. Morgan Multi-Asset Index

Q: What are JPMorgan Chase Financial (AMJB) notes linked to the J.P. Morgan Multi-Asset Index?

These notes are unsecured obligations of JPMorgan Chase Financial Company LLC , fully guaranteed by JPMorgan Chase & Co., that return principal at maturity plus an Additional Amount tied to the performance of the J.P. Morgan Multi-Asset Index.

Q: How is the payoff on the J.P. Morgan Multi-Asset Index notes determined?

At maturity, investors receive $1,000 per note plus an Additional Amount equal to $1,000 × Index Return × a participation rate of at least 308.00% , with the Additional Amount floored at zero.

Q: Do the JPMorgan Multi-Asset Index notes pay interest?

No. The notes do not pay periodic interest . Investors forgo coupons in exchange for potential upside based on index appreciation and full repayment of principal at maturity, subject to issuer and guarantor credit risk.

Q: What are key risks of investing in the J.P. Morgan Multi-Asset Index notes?

Key risks include credit risk of JPMorgan Financial and JPMorgan Chase & Co., no interest payments, potential lack of liquidity, an estimated value below the issue price, complex index rules with leverage and short positions, and exposure to futures, commodity, equity, bond, currency and non-U.S. market risks.

Q: How does the J.P. Morgan Multi-Asset Index allocate its investments?

The index uses a momentum-based, rules-driven strategy over up to 10 futures-based constituents in equities, bonds and commodities, applies caps and floors on weights, rebalances at least monthly and targets a volatility threshold initially set at 4% , while deducting 1.00% per annum daily.

Q: How are these J.P. Morgan Multi-Asset Index notes treated for U.S. federal income tax purposes?

The notes are expected to be treated as contingent payment debt instruments . Investors generally must accrue original issue discount annually at a comparable yield and recognize interest income or loss on sale or at maturity as described in the tax discussion.

Filing Impact

(Neutral)

Filing Sentiment

(Neutral)

Form Type

424B2

Rhea-AI Filing Summary

JPMorgan Chase Financial Company LLC, fully guaranteed by JPMorgan Chase & Co., plans to issue structured notes linked to the J.P. Morgan Multi-Asset Index, maturing on January 5, 2029. The notes do not pay periodic interest but aim to return the full $1,000 principal at maturity, subject to the credit risks of both entities, plus an Additional Amount based on index performance.

The Additional Amount equals $1,000 × Index Return × a participation rate of at least 308.00%, with no downside participation if the index finishes at or below its initial level. The index allocates dynamically across equity, bond and commodity futures, applies a 1.00% per annum daily deduction, and targets a volatility threshold initially set at 4%. If the notes priced on the example date, their estimated value would be about $957.70 per $1,000 and will not be less than $900.00 per $1,000 when finalized.

The filing highlights significant risks, including complex index rules, potential short positions, lack of liquidity, an estimated value below issue price, and tax treatment as contingent payment debt instruments requiring annual accrual of original issue discount.

12/05/2025 - 02:33 PM

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 December 4, 2025 

December   , 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. 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 the J.P. Morgan Multi-Asset Index due 

January 5, 2029 

Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. 

•  The notes are designed for investors who seek exposure to any appreciation of the J.P. Morgan Multi-Asset Index over 

the term of the notes. 

•  Investors should be willing to forgo interest 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 December 30, 2025 and are expected to settle on or about January 5, 2026. 

•  CUSIP: 48136LU23 

Investing in the notes involves a number of risks.  See “Risk Factors” beginning on page S-2 of the accompanying 

prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors” beginning on page PS-12 

of the accompanying product supplement, “Risk Factors” beginning on page US-4 of the accompanying underlying 

supplement and “Selected Risk Considerations” beginning on page PS-6 of this pricing supplement. 

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved 

of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, 

underlying supplement, prospectus supplement, prospectus and prospectus addendum.  Any representation to the contrary is a 

criminal offense. 

Price to Public (1) 

Fees and Commissions (2) 

Proceeds to Issuer 

Per note 

$1,000 

$

$

Total 

$

$

$

(1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the 

notes. 

(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling 

commissions it receives from us to other affiliated or unaffiliated dealers.  In no event will these selling commissions exceed $25.00 

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 $957.70 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 $900.00 per $1,000 principal amount note.  See “The Estimated Value of the Notes” in this 

pricing supplement for additional information. 

The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency 

and are not obligations of, or guaranteed by, a bank.

PS-1 | Structured Investments 

Notes Linked to 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. 

Index: The J.P. Morgan Multi-Asset Index (Bloomberg ticker: 

MAX).  The level of the Index reflects a 1.00% per annum daily 

deduction. 

Participation Rate: At least 308.00% (to be provided in the 

pricing supplement) 

Pricing Date: On or about December 30, 2025 

Original Issue Date (Settlement Date): On or about January 

5, 2026 

Observation Date*: January 2, 2029 

Maturity Date*: January 5, 2029 

* Subject to postponement in the event of a market disruption event 

and as described under “Supplemental Terms of the Notes — 

Postponement of a Determination Date — Notes linked solely to the 

Index” in the accompanying underlying supplement and “General 

Terms of Notes — Postponement of a Payment Date” in the 

accompanying 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 × Index Return × Participation Rate, 

provided that the Additional Amount will not be less than zero. 

Index Return: 

(Final Value – Initial Value) 

Initial Value 

Initial Value: The closing level of the Index on the Pricing Date 

Final Value: The closing level of the Index on the Observation 

Date 

† Subject to the impact of a commodity hedging disruption event as 

described under “General Terms of Notes — Consequences of a 

Commodity Hedging Disruption Event” in the accompanying product 

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 Value.

PS-2 | Structured Investments 

Notes Linked to 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 “Commodity Exchange Act”).  The notes are offered pursuant to an exemption from regulation under the Commodity Exchange 

Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or more payments indexed to the 

value, level or rate of one or more commodities, as set out in section 2(f) of that statute.  Accordingly, you are not afforded any 

protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity Futures Trading Commission. 

Any values of the Index, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of 

manifest error or inconsistency, by amendment of this pricing supplement and the corresponding terms of the notes.  Notwithstanding 

anything to the contrary in the indenture governing the notes, that amendment will become effective without consent of the holders of 

the notes or any other party.   

PS-3 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

The J.P. Morgan Multi-Asset Index 

The J.P. Morgan Multi-Asset Index (the “Index”) was developed and is maintained and calculated by JPMS, one of our affiliates.  The 

Index is reported by Bloomberg L.P. under the ticker symbol “MAX Index.” 

The Index seeks to provide a dynamic and diversified asset allocation based on a momentum investment strategy.  The Index tracks 

the return of (a) a dynamic notional portfolio consisting of up to 10 excess return futures-based indices (each, a “Constituent” and 

collectively, the “Constituents”), converted into U.S. dollars (in the case of Constituents not denominated in U.S. 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 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.  A diversified portfolio’s return is the weighted average of its constituents’ returns, but its volatility is 

less than the weighted average of its constituents’ volatilities, because different assets don’t always move in the same direction — in 

this sense, a diversified portfolio can be said to deliver average returns with below-average volatility.  In order to ensure diversification, 

the 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.  Each Constituent’s assigned weight must also be an increment of 5%, and the 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 “Background on the J.P. Morgan Futures Indices” in the accompanying underlying 

supplement. 

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 

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 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. 

PS-4 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

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 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 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 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 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 Index.  On any given day, the closing level of the Index (the “Index Level”) reflects (a) the weighted U.S. 

dollar performance of the Constituents tracked by the Index on that day less (b) the 1.00% per annum daily deduction.  The Index Level 

was set equal to 100.00 on February 22, 1994, the base date of the Index.  The Index Calculation Agent (as defined below) began 

calculating the Index on a live basis on November 18, 2022. 

The Index is an “excess return” index because it provides notional exposure to the Constituents that in turn provide exposure to futures 

contract returns that reflect changes in the price of those futures contracts, as well as their “roll” returns.  The Index is not a “total return” 

index because the Constituents do not reflect interest that could be earned on funds notionally committed to the trading of futures 

contracts. 

JPMS is currently the sponsor of the Index (the “Index Sponsor”) and the calculation agent of the Index (the “Index Calculation Agent”). 

See “The J.P. Morgan Multi-Asset Index” in the accompanying underlying supplement for additional information about the Index. 

No assurance can be given that the investment strategy used to construct the Index will be successful or that the Index will 

outperform any alternative portfolio or strategy that might be constructed from the Constituents.  There is no guarantee that 

past performance trends referenced in identifying a selected portfolio will continue during the subsequent period when the 

Index provides exposure to that selected portfolio.  In addition, no assurance can be given that the actual realized volatility of 

the Index will approximate 4%.  The actual realized volatility of the 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. 

The Index is described as a “notional” or “synthetic” portfolio of assets because there is no actual portfolio of assets to 

which any person is entitled or in which any person has any ownership interest.  The Index merely references certain assets, 

the performance of which will be used as a reference point for calculating the Index Level. 

PS-5 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

Hypothetical Payout Profile 

The following table and graph illustrate the hypothetical payment at maturity on the notes linked to a hypothetical Index.  The 

hypothetical payments set forth below assume the following: 

•  an Initial Value of 100.00; and  

•  a Participation Rate of 308.00%.  

The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial 

Value.  The actual Initial Value will be the closing level of the Index on the Pricing Date and will be provided in the pricing supplement.  

For historical data regarding the actual closing levels of the Index, please see the historical information set forth under “Hypothetical 

Back-Tested Data and Historical Information” in this pricing supplement. 

Each hypothetical payment 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 Value 

Index Return 

Additional Amount 

Payment at Maturity 

165.00 

65.00% 

$2,002.00 

$3,002.00 

150.00 

50.00% 

$1,540.00 

$2,540.00 

140.00 

40.00% 

$1,232.00 

$2,232.00 

130.00 

30.00% 

$924.00 

$1,924.00 

120.00 

20.00% 

$616.00 

$1,616.00 

110.00 

10.00% 

$308.00 

$1,308.00 

105.00 

5.00% 

$154.00 

$1,154.00 

101.00 

1.00% 

$30.80 

$1,030.80 

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 the J.P. Morgan Multi-Asset Index 

The following graph demonstrates the hypothetical payments at maturity on the notes for a range of Index Returns.  There can be no 

assurance that the performance of the Index 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 Value is greater than the Initial Value, investors will receive at maturity the $1,000 principal amount plus the Additional 

Amount, which is equal to $1,000 times the Index Return times the Participation Rate of at least 308.00%. 

•  Assuming a hypothetical Participation Rate of 308.00%, if the closing level of the Index increases 10.00%, investors will receive at 

maturity a return equal to 30.80%, or $1,308.00 per $1,000 principal amount note. 

Par Scenario: 

If the Final Value is equal to or less than the Initial 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. 

Selected Risk Considerations 

An investment in the notes involves significant risks.  These risks are explained in more detail in the “Risk Factors” sections of the 

accompanying prospectus supplement, product supplement and underlying supplement and in Annex A to the accompanying 

prospectus addendum. 

Risks Relating to the Notes Generally 

• THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY —  

If the Final Value is less than or equal to the Initial 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. 

PS-7 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

• THE 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 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. 

• YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES OR LOANS UNDERLYING THE 

CONSTITUENTS OR HAVE ANY RIGHTS WITH RESPECT TO THE SECURITIES, COMMODITIES, COMMODITY FUTURES 

CONTRACTS, LOANS OR OTHER ASSETS UNDERLYING THE CONSTITUENTS. 

• 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 

Amount for your notes early based on the calculation agent’s good faith determination of the option value for your notes (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 

maturity, and that amount will not reflect any appreciation of the Index after such early determination.  See “General Terms of 

Notes — Consequences of a Commodity Hedging Disruption Event” in the accompanying product supplement for 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 

Participation Rate. 

Risks Relating to Conflicts of Interest 

• POTENTIAL CONFLICTS —  

We and our affiliates play a variety of roles in connection with the notes.  In performing these duties, our and JPMorgan Chase & 

Co.’s economic interests are potentially adverse to your interests as an investor in the notes.  It is possible that hedging or trading 

activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the 

PS-8 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

value of the notes declines.  Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product 

supplement.  See also “— Risks Relating to the Index — Our Affiliate, JPMS, Is the Index Sponsor and Index Calculation Agent 

and May Adjust the Index in a Way that Affects Its Level” below. 

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) and the level of the 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 and the securities, commodities, commodity 

futures contracts, loans and other assets underlying the Constituents of the Index. 

Risks Relating to the Estimated Value and Secondary Market Prices of the Notes 

• THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF 

THE NOTES —  

The estimated value of the notes is only an estimate determined by reference to several factors.  The original issue price of the 

notes will exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are 

included in the original issue price of the notes.  These costs include the selling commissions, the projected profits, if any, that our 

affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging 

our obligations under the notes.  See “The Estimated Value of the Notes” in this pricing supplement. 

• THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER 

FROM OTHERS’ ESTIMATES —  

See “The Estimated Value of the Notes” in this pricing supplement. 

• THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —  

The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding 

rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates.  Any difference may 

be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, 

operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income 

instruments of JPMorgan Chase & Co.  This internal funding rate is based on certain market inputs and assumptions, which may 

prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes.  The use of an 

internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any 

secondary market prices of the notes.  See “The Estimated Value of the Notes” in this pricing supplement. 

• THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT 

STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME 

PERIOD —  

We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in 

connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.  

See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period.  

Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by 

JPMS (and which may be shown on your customer account statements). 

• SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE 

NOTES —  

Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other 

things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, 

also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging 

PS-9 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

costs that are included in the original issue price of the notes.  As a result, the price, if any, at which JPMS will be willing to buy the 

notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price.  Any sale by you prior to 

the Maturity Date could result in a substantial loss to you. 

• SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —  

The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which 

may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging 

costs and the level of the Index.  Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for 

the notes, which may also be reflected on customer account statements.  This price may be different (higher or lower) than the 

price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market.  See “Risk Factors — 

Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be 

impacted by many economic and market factors” in the accompanying product supplement. 

Risks Relating to the Index 

• JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, THE 

REFERENCE INDEX UNDERLYING THE FUTURES CONTRACTS INCLUDED IN ONE OF THE EQUITY CONSTITUENTS (AS 

DEFINED BELOW), 

but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect 

the securities included in the reference index underlying the futures contracts included in that Equity Constituent. 

• OUR AFFILIATE, JPMS, IS THE INDEX SPONSOR AND INDEX CALCULATION AGENT AND MAY ADJUST THE INDEX IN A 

WAY THAT AFFECTS ITS LEVEL — 

JPMS, one of our affiliates, currently acts as the Index Sponsor and the Index Calculation Agent and is responsible for calculating 

and maintaining the 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, is entitled to exercise discretion.  The rules 

governing the Index may be amended at any time by the Index Sponsor, in its sole discretion.  The rules also permit the use of 

discretion by the Index Sponsor and the Index Calculation Agent in relation to the Index in specific instances, including, but not 

limited to, the determination of whether to replace a Constituent 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 to calculate and publish the levels of the Index and 

the interpretation of the rules governing the Index.  Although JPMS, acting as the Index Sponsor and the Index Calculation Agent, 

will make all determinations and take all action in relation to the 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 Index and the value of your notes. 

Although judgments, policies and determinations concerning the 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 actions that 

might affect the value of your notes.  Furthermore, the inclusion of any Constituent in the Index is not an investment 

recommendation by us or JPMS of that Constituent or any of the futures contracts underlying that Constituent. 

• AN INVESTMENT IN THE NOTES CARRIES THE RISKS ASSOCIATED WITH THE INDEX’S MOMENTUM INVESTMENT 

STRATEGY — 

The 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 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 (the “Equity 

Constituents”) and the aggregate assigned weights of the J.P. Morgan 5Y U.S. Treasury Futures Index, the J.P. Morgan 10Y U.S. 

Treasury Futures Index, the J.P. Morgan German Government Bond Futures Index and the J.P. Morgan Japanese Government 

Bond Futures Index (the “Bond Constituents”) 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. 

PS-10 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

Furthermore, the Index will maintain a 100% net long exposure to the 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 Index will track 

the performance of the relevant Constituents until the next rebalancing of the Index, even when the performance of those 

Constituents is worse than their recent performance, or than the performance of the remaining Constituents. 

In addition, due to the Index’s momentum investment strategy, the Index may fail to realize gains that could occur as 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 Index, which is rebalanced based on prior trends, may decline. 

• THE 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 

Index’s strategy is based on momentum investing, the Index may perform poorly during times when a Constituent’s 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-trending, sideways markets, momentum investment strategies are subject to “whipsaws.”  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 Index may perform poorly in non-trending, “choppy” markets characterized by short-term 

volatility. 

● BECAUSE THE INDEX MAY INCLUDE NOTIONAL SHORT POSITIONS, THE NOTES MAY BE SUBJECT TO ADDITIONAL 

RISKS — 

During each rebalancing of the Index, the 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 Oil 

Futures Index and the J.P. Morgan Gold Futures Index (the “Commodity Constituents”), thereby providing notional short 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 Index is providing a notional short exposure to that Constituent, thus resulting in an adverse 

effect on the level of the Index and the value of your notes. 

Moreover, if the Index provides both notional long and short exposures to the Constituents, the total long and short exposure to the 

Constituents may exceed 100%, perhaps significantly, which increases the risk that the Index will suffer losses, thereby adversely 

affecting any payment on the notes and the value of the notes. 

• THE INDEX MAY NOT APPROXIMATE ITS INITIAL VOLATILITY THRESHOLD OF 4% — 

No assurance can be given that the Index will maintain an annualized realized volatility that approximates its initial volatility 

threshold of 4%.  The actual realized volatility of the 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 of the 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 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 

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 Index and the value of the notes. 

In addition, due to the weight constraints applied in constructing the 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, may be significantly higher than 4%, even if other assets are not experiencing high volatility. 

PS-11 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

• A SIGNIFICANT PORTION OF THE INDEX’S EXPOSURE MAY BE ALLOCATED TO THE BOND CONSTITUENTS — 

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 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 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 Index and any payment on, and the value of, the notes. 

• THE INDEX IS SUBJECT TO CONCENTRATION RISK IN ITS ALLOCATION AMONG THE CONSTITUENTS — 

The strategy employed by the Index involves an asset allocation that imposes certain weight caps and floors that may result in the 

Index being allocated to as few as three Constituents, with up to 40% of the Index being allocated to a single Equity Constituent 

and/or any single Bond Constituent.  Under these circumstances, the Index may face more risks than if it were diversified broadly 

over numerous asset classes and geographical regions.  Accordingly, the 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 Index allocation will sometimes result in exposure to only the Equity 

Constituents and the Bond Constituents, without any exposure to the Commodity Constituents. 

• CHANGES IN THE VALUES OF THE CONSTITUENTS MAY OFFSET EACH OTHER — 

Because the notes are linked to the Index, which is linked to the performance of the 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 Index, increases in the values of some of the Constituents may be moderated, or more 

than offset, by lesser increases or declines in the values of other Constituents.  In addition, high correlation during periods of 

negative returns among Constituents could have a material adverse effect on the performance of the Index. 

● THE INDEX IS AN “EXCESS RETURN” INDEX AND NOT A “TOTAL RETURN” INDEX BECAUSE THE CONSTITUENTS 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 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 

three sources: (a) changes in the price of the relevant futures contracts (which is known as the “price return”); (b) any profit or loss 

realized when rolling the relevant futures contracts (which is known as the “roll return”); and (c) any interest earned on the cash 

deposited as collateral for the purchase of the relevant futures contracts (which is known as the “collateral return”). 

Some indices, including the Constituents (and indirectly, the 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 

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 INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND 

ARE SUBJECT TO INHERENT LIMITATIONS —  

The hypothetical back-tested performance of the Index set forth under “Hypothetical Back-Tested Data and Historical Information” 

in this pricing supplement is purely theoretical and does not represent the actual historical performance of the Index and has not 

been verified by an independent third party.  Hypothetical back-tested performance measures have inherent limitations.  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.   

PS-12 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

• THE INVESTMENT STRATEGY USED TO CONSTRUCT THE INDEX INVOLVES REGULAR REBALANCING AND 

WEIGHTING CONSTRAINTS THAT ARE APPLIED TO THE CONSTITUENTS — 

The Constituents 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 Index will outperform any alternative investment in the Constituents. 

• A CONSTITUENT 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, the affected Constituent may be replaced by 

a substitute index or the Index Calculation Agent may cease calculation and publication of the Index on a date determined by the 

Index Calculation Agent.  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 Index, any Constituent or any reference index, where that material interference or change is not acceptable to the 

Index Calculation Agent.  If the Index Calculation Agent determines in its discretion that no suitable substitute is available for an 

affected Constituent, then the Index Calculation Agent will determine its good faith estimate of the closing level of that Constituent 

and remove it from the Index.  In any such case, the Index Calculation Agent will, in good faith, make related adjustments to the 

rules governing the Index that it determines to be appropriate.  See “The J.P. Morgan Multi-Asset Index — Succession and 

Extraordinary Events” in the accompanying underlying supplement for a summary of events that could trigger an extraordinary 

event. 

You should realize that the changing of a Constituent may affect the performance of the 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. 

● THE CONSTITUENTS ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS — 

Each Constituent 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 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 

“daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these limits is 

referred to as a “limit price.”  Once the limit price has been reached in a particular contract, no trades may be made at a price 

beyond the limit, or trading may be limited for a set period of time.  Limit prices have the effect of precluding trading in a particular 

contract or forcing the liquidation of contracts at potentially disadvantageous times or prices.  These circumstances could delay the 

calculation of the levels of the Constituents and the level of the Index and could affect the levels of the Constituents and adversely 

affect the level of the Index and any payments on, and the value of, your notes. 

PS-13 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

• AN INCREASE IN THE MARGIN REQUIREMENTS FOR FUTURES CONTRACTS INCLUDED IN THE 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, 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 Index and any payments on, 

and the value of, the notes may be adversely affected. 

• THE CONSTITUENTS MAY IN THE FUTURE INCLUDE CONTRACTS THAT ARE NOT TRADED ON REGULATED FUTURES 

EXCHANGES —  

The Constituents are currently based solely on futures contracts traded on regulated futures exchanges (referred to in the United 

States as “designated contract markets”).  If these exchange-traded futures contracts cease to exist, or if the calculation agent for 

the Constituents substitutes a futures contract in certain circumstances, the 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 Index, through its exposure to the 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. 

● CHANGES IN FUTURE PRICES OF THE FUTURES CONTRACTS INCLUDED IN THE CONSTITUENTS RELATIVE TO THEIR 

CURRENT PRICES COULD LEAD TO A DECREASE IN ANY PAYMENT ON THE NOTES — 

The Constituents are composed of futures contracts.  As the contracts underlying the Constituents 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.  This process is referred 

to as “rolling.”  Excluding other considerations, if the market for the underlying futures contracts is in “contango,” where the prices 

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 creating a negative “roll yield.”  In addition, 

excluding other considerations, if the market for the underlying futures contracts is in “backwardation,” where the prices are lower 

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 lower than the price of the October contract, thereby creating a positive “roll yield.”   

When the 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 Index and, accordingly, any payment on the notes.  In addition, when the 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 Index and, accordingly, any payment on the notes. 

● THE INDEX SHOULD NOT BE COMPARED TO ANY OTHER INDEX OR STRATEGY SPONSORED BY ANY OF OUR 

AFFILIATES — 

The Index follows a notional rules-based proprietary strategy that may have objectives, features and/or constituents that are similar 

to those of another index or strategy sponsored by any of our affiliates (each, a “J.P. Morgan Index”).  No assurance can be given 

that these similarities will form a basis for comparison between the Index and any other J.P. Morgan Index, and no assurance can 

be given that the Index would be more successful than or outperform any other J.P. Morgan Index.  The Index operates 

independently and does not necessarily revise, enhance, modify or seek to outperform any other J.P. Morgan Index. 

● OTHER KEY RISKS: 

o  THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE 

EMPLOYED IN RESPECT OF THE CONSTITUENTS. 

o  THE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES.  THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO 

WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST. 

PS-14 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

o  THE INDEX, WHICH WAS ESTABLISHED ON NOVEMBER 18, 2022, AND THE 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.  

o  THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK BECAUSE THE VALUES OF THE CONSTITUENTS 

DENOMINATED IN CURRENCIES OTHER THAN THE U.S. DOLLAR ARE CONVERTED INTO U.S. DOLLARS FOR 

PURPOSES OF CALCULATING THE LEVEL OF THE INDEX. 

o  THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH NON-U.S. SECURITIES MARKETS AND 

SMALL-CAPITALIZATION STOCKS. 

o  THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING 

INTEREST RATE-RELATED RISKS AND CREDIT RISK. 

o  THE COMMODITY FUTURES CONTRACTS UNDERLYING THE COMMODITY CONSTITUENTS ARE SUBJECT TO 

UNCERTAIN LEGAL AND REGULATORY REGIMES. 

o  INVESTMENTS RELATED TO THE VALUES OF THE COMMODITIES TEND TO BE MORE VOLATILE THAN 

TRADITIONAL INVESTMENTS. 

o  HIGHER FUTURE PRICES OF THE COMMODITY FUTURES CONTRACTS CONSTITUTING THE COMMODITY 

CONSTITUENTS RELATIVE TO THEIR CURRENT PRICES MAY DECREASE THE AMOUNT PAYABLE AT MATURITY. 

o  THE MARKET PRICE OF CRUDE OIL AND GOLD WILL AFFECT THE VALUE OF THE NOTES. 

Please refer to the “Risk Factors” section of the accompanying underlying supplement for more details regarding the above-listed and 

other risks. 

PS-15 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

Hypothetical Back-Tested Data and Historical Information 

The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly 

closing levels of the Index from January 3, 2020 through November 11, 2022 and the historical performance of the Index based on the 

weekly historical closing levels of the Index from November 18, 2022 through November 28, 2025.  The Index was established on 

November 18, 2022, as represented by the vertical line in the following graph.  All data to the left of that vertical line reflect hypothetical 

back-tested performance of the Index.  All data to the right of that vertical line reflect actual historical performance of the Index.  The 

closing level of the Index on December 3, 2025 was 315.49.  We obtained the closing levels above and below from the Bloomberg 

Professional® service (“Bloomberg”), without independent verification. 

The data for the hypothetical back-tested performance of the Index set forth in the following graph are purely theoretical and do not 

represent the actual historical performance of the Index.  See “Selected Risk Considerations — Risks Relating to the Index — 

Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations” 

above. 

The hypothetical back-tested and historical closing levels of the Index should not be taken as an indication of future performance, and 

no assurance can be given as to the closing level of the Index on the Pricing Date or the Observation Date.  There can be no assurance 

that the performance of the Index will result in a payment at maturity in excess of your principal amount, subject to the credit risks of 

JPMorgan Financial and JPMorgan Chase & Co. 

The hypothetical back-tested closing levels of the Index have inherent limitations and have not been verified by an independent third 

party.  These hypothetical back-tested closing levels are determined by means of a retroactive application of a back-tested model 

designed with the benefit of hindsight.  Hypothetical back-tested results are neither an indicator nor a guarantee of future returns.  No 

representation is made that an investment in the notes will or is likely to achieve returns similar to those shown.  Alternative modeling 

techniques or assumptions would produce different hypothetical back-tested closing levels of the Index that might prove to be more 

appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above. 

Treatment as Contingent Payment Debt Instruments 

You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection 

thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent 

Payment Debt Instruments” in the accompanying product supplement no. 3-I.  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 tax purposes as “contingent payment debt instruments.”  As discussed in that subsection, you generally will be 

required to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable yield,” as determined by us, 

although we will not make any payment with respect to the notes 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.  

PS-16 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

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 

notes’ adjusted issue price. 

Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding 

tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain 

financial instruments linked to U.S. equities or indices that include U.S. equities.  Section 871(m) provides certain exceptions to this 

withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable 

Treasury regulations.  Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 

1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal 

income tax purposes (each an “Underlying Security”).  Based on certain determinations made by us, we expect that Section 871(m) will 

not apply to the notes with regard to Non-U.S. Holders.  Our determination is not binding on the IRS, and the IRS may disagree with 

this determination.  Section 871(m) is complex and its application may depend on your particular circumstances, including whether you 

enter into other transactions with respect to an Underlying Security.  If necessary, further information regarding the potential application 

of Section 871(m) will be provided in the pricing supplement for the notes.  You should consult your tax adviser regarding the potential 

application of Section 871(m) to the notes.  

The discussions in the preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax 

Consequences” (and in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More 

than One Year — Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, 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 

may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, 

operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income 

instruments of JPMorgan Chase & Co.  This internal funding rate is based on certain market inputs and assumptions, which may prove 

to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes.  The use of an internal 

funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market 

prices of the notes.  For additional information, see “Selected Risk Considerations — Risks Relating to the Estimated Value and 

Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this 

pricing supplement. 

The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our 

affiliates.  These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on 

various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other 

factors, as well as assumptions about future market events and/or environments.  Accordingly, the estimated value of the notes is 

determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at that 

time. 

PS-17 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

The estimated value of the notes does not represent future values of the notes and may differ from others’ estimates.  Different pricing 

models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes.  In 

addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect.  On 

future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or 

JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at 

which JPMS would be willing to buy notes from you in secondary market transactions. 

The estimated value of the notes will be lower than the original issue price of the notes because costs associated with selling, 

structuring and hedging the notes are included in the original issue price of the notes.  These costs include the selling commissions 

paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming 

risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes.  Because 

hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that 

is more or less than expected, or it may result in a loss.  A portion of the profits, if any, realized in hedging our obligations under the 

notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging 

profits.  See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The 

Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement. 

Secondary Market Prices of the Notes 

For information about factors that will impact any secondary market prices of the notes, see “Risk Factors — Risks Relating to the 

Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many 

economic and market factors” in the accompanying product supplement.  In addition, we generally expect that some of the costs 

included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by 

JPMS in an amount that will decline to zero over an initial predetermined period.  These costs can include selling commissions, 

projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates 

for structured debt issuances.  This initial predetermined time period is intended to be the shorter of six months and one-half of the 

stated term of the notes.  The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a 

profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as 

determined by our affiliates.  See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices 

of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May 

Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement. 

Supplemental Use of Proceeds 

The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the 

notes.  See “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 J.P. Morgan Multi-Asset Index” in this pricing supplement for a description of the market exposure provided by 

the notes. 

The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other 

affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent 

in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes. 

Additional Terms Specific to the Notes 

You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable 

agent.  We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance.  In the event of any 

changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase.  

You may also choose to reject such changes, in which case we may reject your offer to purchase. 

You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying 

prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus 

addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying 

supplement.  This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all 

other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, 

correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of 

ours.  You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying 

prospectus supplement, the accompanying product supplement and the accompanying underlying supplement and in Annex A to the 

PS-18 | Structured Investments 

Notes Linked to the J.P. Morgan Multi-Asset Index 

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: 

http://www.sec.gov/Archives/edgar/data/19617/000121390023029706/ea153081_424b2.pdf    

•  Underlying supplement no. 23-I dated August 28, 2023: 

http://www.sec.gov/Archives/edgar/data/19617/000121390023071317/ea160620_424b2.pdf  

•  Prospectus supplement and prospectus, each dated April 13, 2023:  

http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf 

•  Prospectus addendum dated June 3, 2024: 

http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm 

Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617.  As used in this pricing 

supplement, “we,” “us” and “our” refer to JPMorgan Financial. 

Source: View Original Filing on SEC EDGAR

FAQ

What are JPMorgan Chase Financial (AMJB) notes linked to the J.P. Morgan Multi-Asset Index?

These notes are unsecured obligations of JPMorgan Chase Financial Company LLC, fully guaranteed by JPMorgan Chase & Co., that return principal at maturity plus an Additional Amount tied to the performance of the J.P. Morgan Multi-Asset Index.

How is the payoff on the J.P. Morgan Multi-Asset Index notes determined?

At maturity, investors receive $1,000 per note plus an Additional Amount equal to $1,000 × Index Return × a participation rate of at least 308.00%, with the Additional Amount floored at zero.

Do the JPMorgan Multi-Asset Index notes pay interest?

No. The notes do not pay periodic interest. Investors forgo coupons in exchange for potential upside based on index appreciation and full repayment of principal at maturity, subject to issuer and guarantor credit risk.

What are key risks of investing in the J.P. Morgan Multi-Asset Index notes?

Key risks include credit risk of JPMorgan Financial and JPMorgan Chase & Co., no interest payments, potential lack of liquidity, an estimated value below the issue price, complex index rules with leverage and short positions, and exposure to futures, commodity, equity, bond, currency and non-U.S. market risks.

How does the J.P. Morgan Multi-Asset Index allocate its investments?

The index uses a momentum-based, rules-driven strategy over up to 10 futures-based constituents in equities, bonds and commodities, applies caps and floors on weights, rebalances at least monthly and targets a volatility threshold initially set at 4%, while deducting 1.00% per annum daily.

What is the estimated value of the J.P. Morgan Multi-Asset Index notes?

If priced on the example date, the estimated value would be about $957.70 per $1,000 principal amount note, and when finalized it will not be less than $900.00 per $1,000, reflecting selling costs, hedging costs and issuer funding assumptions.

How are these J.P. Morgan Multi-Asset Index notes treated for U.S. federal income tax purposes?

The notes are expected to be treated as contingent payment debt instruments. Investors generally must accrue original issue discount annually at a comparable yield and recognize interest income or loss on sale or at maturity as described in the tax discussion.