# EDGAR Filing Document

**Accession Number:** 0001665650
**File Stem:** 0001213900-25-050032
**Filing Date:** 2025-6
**Character Count:** 40854
**Document Hash:** 07fd2ccee694d1c34468682dc761b3f5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001213900-25-050032.hdr.sgml**: 20250602

**ACCESSION NUMBER**: 0001213900-25-050032

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 18

**FILED AS OF DATE**: 20250602

**DATE AS OF CHANGE**: 20250602

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN CHASE & CO
- **CENTRAL INDEX KEY:** 0000019617
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **ORGANIZATION NAME:** 02 Finance
- **EIN:** 132624428
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-270004
- **FILM NUMBER:** 251015024

**BUSINESS ADDRESS:**
- **STREET 1:** 383 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** 2122706000

**MAIL ADDRESS:**
- **STREET 1:** 383 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** J P MORGAN CHASE & CO
- **DATE OF NAME CHANGE:** 20010102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CHASE MANHATTAN CORP /DE/
- **DATE OF NAME CHANGE:** 19960402

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CHEMICAL BANKING CORP
- **DATE OF NAME CHANGE:** 19920703
**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMorgan Chase Financial Co. LLC
- **CENTRAL INDEX KEY:** 0001665650
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **ORGANIZATION NAME:** 02 Finance
- **EIN:** 475462128
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-270004-01
- **FILM NUMBER:** 251015025

**BUSINESS ADDRESS:**
- **STREET 1:** 383 MADISON AVENUE
- **STREET 2:** FLOOR 21
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10179
- **BUSINESS PHONE:** (212) 270-6000

**MAIL ADDRESS:**
- **STREET 1:** 383 MADISON AVENUE
- **STREET 2:** FLOOR 21
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10179

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 May 30, 2025

June , 2025

Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)

# JPMorgan Chase Financial Company LLC

# Structured Investments

# Auto Callable Contingent Interest Notes Linked to the MerQube US Large-Cap Vol Advantage Index due June 11, 2030

# Fully and Unconditionally Guaranteed by JPMorgan Chase &amp; Co.

- The notes are designed for investors who seek a Contingent Interest Payment with respect to each monthly Interest Review Date for which the closing level of the MerQube US Large-Cap Vol Advantage Index, which we refer to as the Index, is greater than or equal to 70.00% of the Initial Value, which we refer to as the Interest Barrier.
- If the closing level of the Index is greater than or equal to the Interest Barrier on any Interest Review Date, investors will receive, in addition to the Contingent Interest Payment with respect to that Interest Review Date, any previously unpaid Contingent Interest Payments for prior Interest Review Dates.
- The notes will be automatically called if the closing level of the Index on any quarterly Autocall Review Date is greater than or equal to the Initial Value.
- The earliest date on which an automatic call may be initiated is June 8, 2026.
- Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment may be made with respect to some or all Interest Review Dates.
- Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.
- The Index is subject to a 6.0% per annum daily deduction. This daily deduction will offset any appreciation of the futures contracts included in the Index, will heighten any depreciation of those futures contracts and will generally be a drag on the performance of the Index. The Index will trail the performance of an identical index without a deduction. See "Selected Risk Considerations - Risks Relating to the Notes Generally - The Level of the Index Will Include a 6.0% per Annum Daily Deduction" in this pricing supplement.
- The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase &amp; 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 &amp; Co., as guarantor of the notes.
- Minimum denominations of $1,000 and integral multiples thereof
- The notes are expected to price on or about June 6, 2025 and are expected to settle on or about June 11, 2025.
- CUSIP: 48136ESF3

Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-11 of the accompanying product supplement, "Risk Factors" beginning on page US-4 of the accompanying underlying supplement and "Selected Risk Considerations" beginning on page PS-8 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 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 $9.00 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 $933.20 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.

Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlying supplement no. 5-III dated March 5, 2025, the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024

Key Terms

Issuer: JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase &amp; Co.

Guarantor: JPMorgan Chase &amp; Co.

Index: The MerQube US Large-Cap Vol Advantage Index (Bloomberg ticker: MQUSLVA). The level of the Index reflects a deduction of 6.0% per annum that accrues daily.

## Contingent Interest Payments:

If the notes have not been automatically called and the closing level of the Index on any Interest Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at least $10.9583 (equivalent to a Contingent Interest Rate of at least 13.15% per annum, payable at a rate of at least 1.09583% per month) (to be provided in the pricing supplement), plus any previously unpaid Contingent Interest Payments for any prior Interest Review Dates.

If the Contingent Interest Payment is not paid on any Interest Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing level of the Index on the Interest Review Date related to that later Interest Payment Date is greater than or equal to the Interest Barrier. You will not receive any unpaid Contingent Interest Payments if the closing level of the Index on each subsequent Interest Review Date is less than the Interest Barrier.

Contingent Interest Rate: At least 13.15% per annum, payable at a rate of at least 1.09583% per month (to be provided in the pricing supplement)

Interest Barrier: 70.00% of the Initial Value

Trigger Value: 50.00% of the Initial Value

Pricing Date: On or about June 6, 2025

Original Issue Date (Settlement Date): On or about June 11, 2025

Interest Review Dates*: As specified under "Key Terms Relating to the Interest Review Dates, Autocall Review Dates and Interest Payment Dates" in this pricing supplement

Autocall Review Dates*: As specified under "Key Terms Relating to the Interest Review Dates, Autocall Review Dates and Interest Payment Dates" in this pricing supplement

Interest Payment Dates*: As specified under "Key Terms Relating to the Interest Review Dates, Autocall Review Dates and Interest Payment Dates" in this pricing supplement

Maturity Date*: June 11, 2030

Call Settlement Date*: If the notes are automatically called on any Autocall Review Date, the first Interest Payment Date immediately following that Autocall Review Date

* Subject to postponement in the event of a market disruption event and as described under "Supplemental Terms of the Notes - Postponement of a Determination Date - Notes Linked Solely to an Index" in the accompanying underlying supplement and "General Terms of Notes - Postponement of a Payment Date" in the accompanying product supplement

## Automatic Call:

If the closing level of the Index on any Autocall Review Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the Interest Review Date corresponding to that Autocall Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Interest Review Dates, payable on the applicable Call Settlement Date. No further payments will be made on the notes.

## Payment at Maturity:

If the notes have not been automatically called and the Final Value is greater than or equal to the Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the final Review Date plus (c) if the Contingent Interest Payment applicable to the final Review Date is payable, any previously unpaid Contingent Interest Payments for any prior Interest Review Dates.

If the notes have not been automatically called and the Final Value is less than the Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:

$$1,000 + ($1,000 \times Index Return)$$

If the notes have not been automatically called and the Final Value is less than the Trigger Value, you will lose more than 50.00% of your principal amount at maturity and could lose all of your principal amount at maturity.

## 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 final Review Date

PS-1\Structured Investments

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-Cap Vol Advantage Index

Key Terms Relating to the Interest Review Dates, Autocall Review Dates and Interest Payment Dates

Interest Review Dates*: July 7, 2025, August 6, 2025, September 8, 2025, October 6, 2025, November 6, 2025, December 8, 2025, January 6, 2026, February 6, 2026, March 6, 2026, April 6, 2026, May 6, 2026, June 8, 2026, July 6, 2026, August 6, 2026, September 8, 2026, October 6, 2026, November 6, 2026, December 7, 2026, January 6, 2027, February 8, 2027, March 8, 2027, April 6, 2027, May 6, 2027, June 7, 2027, July 6, 2027, August 6, 2027, September 7, 2027, October 6, 2027, November 8, 2027, December 6, 2027, January 6, 2028, February 7, 2028, March 6, 2028, April 6, 2028, May 8, 2028, June 6, 2028, July 6, 2028, August 7, 2028, September 6, 2028, October 6, 2028, November 6, 2028, December 6, 2028, January 8, 2029, February 6, 2029, March 6, 2029, April 6, 2029, May 7, 2029, June 6, 2029, July 6, 2029, August 6, 2029, September 6, 2029, October 8, 2029, November 6, 2029, December 6, 2029, January 7, 2030, February 6, 2030, March 6, 2030, April 8, 2030, May 6, 2030 and June 6, 2030 (the "final Review Date")

Autocall Review Dates*: June 8, 2026, September 8, 2026, December 7, 2026, March 8, 2027, June 7, 2027, September 7, 2027, December 6, 2027, March 6, 2028, June 6, 2028, September 6, 2028, December 6, 2028, March 6, 2029, June 6, 2029, September 6, 2029, December 6, 2029 and March 6, 2030

Interest Payment Dates*: July 10, 2025, August 11, 2025, September 11, 2025, October 9, 2025, November 12, 2025, December 11, 2025, January 9, 2026, February 11, 2026, March 11, 2026, April 9, 2026, May 11, 2026, June 11, 2026, July 9, 2026, August 11, 2026, September 11, 2026, October 9, 2026, November 12, 2026, December 10, 2026, January 11, 2027, February 11, 2027, March 11, 2027, April 9, 2027, May 11, 2027, June 10, 2027, July 9, 2027, August 11, 2027, September 10, 2027, October 12, 2027, November 12, 2027, December 9, 2027, January 11, 2028, February 10, 2028, March 9, 2028, April 11, 2028, May 11, 2028, June 9, 2028, July 11, 2028, August 10, 2028, September 11, 2028, October 12, 2028, November 9, 2028, December 11, 2028, January 11, 2029, February 9, 2029, March 9, 2029, April 11, 2029, May 10, 2029, June 11, 2029, July 11, 2029, August 9, 2029, September 11, 2029, October 11, 2029, November 9, 2029, December 11, 2029, January 10, 2030, February 11, 2030, March 11, 2030, April 11, 2030, May 9, 2030 and the Maturity Date

* Subject to postponement in the event of a market disruption event and as described under "Supplemental Terms of the Notes - Postponement of a Determination Date - Notes Linked Solely to an Index" in the accompanying underlying supplement and "General Terms of Notes - Postponement of a Payment Date" in the accompanying product supplement

PS-2\Structured Investments

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-Cap Vol Advantage Index

The MerQube US Large-Cap Vol Advantage Index

The MerQube US Large-Cap Vol Advantage Index (the "Index") was developed by MerQube (the "Index Sponsor" and "Index Calculation Agent"), in coordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the Index Calculation Agent. The Index was established on February 11, 2022. An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as a member of the board of directors of the Index Sponsor.

The Index attempts to provide a dynamic rules-based exposure to an unfunded rolling position in E-mini® S&amp;P 500® futures (the "Futures Contracts"), which reference the S&amp;P 500® Index, while targeting a level of implied volatility, with a maximum exposure to the Futures Contracts of 500% and a minimum exposure to the Futures Contracts of 0%. The Index is subject to a 6.0% per annum daily deduction. The S&amp;P 500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For more information about the Futures Contracts and the S&amp;P 500® Index, see "Background on E-mini® S&amp;P 500® Futures" and "Background on the S&amp;P 500® Index," respectively, in the accompanying underlying supplement.

On each weekly Index rebalance day, the exposure to the Futures Contracts is set equal to (a) the 35% implied volatility target (the "target volatility") divided by (b) the one-week implied volatility of the SPDR® S&amp;P 500® ETF Trust (the "SPY Fund"), subject to a maximum exposure of 500%. For example, if the implied volatility of the SPY Fund is equal to 17.5%, the exposure to the Futures Contracts will equal 200% (or 35% / 17.5%) and if the implied volatility of the SPY Fund is equal to 40%, the exposure to the Futures Contracts will equal 87.5% (or 35% / 40%). The Index's exposure to the Futures Contracts will be greater than 100% when the implied volatility of the SPY Fund is below 35%, and the Index's exposure to the Futures Contracts will be less than 100% when the implied volatility of the SPY Fund is above 35%. In general, the Index's target volatility feature is expected to result in the volatility of the Index being more stable over time than if no target volatility feature were employed. No assurance can be provided that the volatility of the Index will be stable at any time.

The investment objective of the SPY Fund is to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&amp;P 500® Index. For more information about the SPY Fund, see "Background on the SPDR® S&amp;P 500® ETF Trust" in the accompanying underlying supplement. The Index uses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.

The 6.0% per annum daily deduction will offset any appreciation of the Futures Contracts, will heighten any depreciation of the Futures Contracts and will generally be a drag on the performance of the Index. The Index will trail the performance of an identical index without a deduction.

Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Trigger Value and the other economic terms available on the notes are more favorable to investors than the terms that would be available on a hypothetical note issued by us linked to an identical index without a daily deduction. However, there can be no assurance that any improvement in the terms of the notes derived from the daily deduction will offset the negative effect of the daily deduction on the performance of the Index. The return on the notes may be lower than the return on a hypothetical note issued by us linked to an identical index without a daily deduction.

The daily deduction and the volatility of the Index (as influenced by the Index's target volatility feature) are two of the primary variables that affect the economic terms of the notes. Additionally, the daily deduction and volatility of the Index are two of the inputs our affiliates' internal pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes of determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of the notes. See "The Estimated Value of the Notes" and "Selected Risk Considerations - Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing supplement.

The Index is subject to risks associated with the use of significant leverage. In addition, the Index may be significantly uninvested on any given day, and, in that case, will realize only a portion of any gains due to appreciation of the Futures Contracts on that day. The index deduction is deducted daily at a rate of 6.0% per annum, even when the Index is not fully invested.

No assurance can be given that the investment strategy used to construct the Index will achieve its intended results or that the Index will be successful or will outperform any alternative index or strategy that might reference the Futures Contracts.

For additional information about the Index, see "The MerQube Vol Advantage Index Series" in the accompanying underlying supplement.

PS-3\Structured Investments

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-Cap Vol Advantage Index

Supplemental Terms of the Notes

The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended (the "Commodity Exchange Act"). The notes are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, as set out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity Futures Trading Commission. Any value of any underlier, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment will become effective without consent of the holders of the notes or any other party.

## How the Notes Work

## Payments in Connection with Interest Review Dates Preceding the Final Review Date

## Interest Review Dates Preceding the Final Review Date That Are Not Autocall Review Dates

Compare the closing level of the Index to the Interest Barrier on each Interest Review Date that is not an Autocall Review Date until the final Review Date or any earlier automatic call. Refer to the second diagram if an Interest Review Date is also an Autocall Review Date.

The closing level of the Index is greater than or equal to the Interest Barrier.

You will receive (a) a Contingent Interest Payment on the applicable Interest Payment Date plus (b) any previously unpaid Contingent Interest Payments for any prior Interest Review Dates.

Proceed to the next Interest Review Date.

The closing level of the Index is less than the Interest Barrier.

No Contingent Interest Payment will be made with respect to the applicable Interest Review Date.

Proceed to the next Interest Review Date.

## Interest Review Dates That Are Also Autocall Review Dates

Compare the closing level of the Index to the Initial Value and the Interest Barrier on each Interest Review Date that is also an Autocall Review Date until any earlier automatic call.

The closing level of the Index is greater than or equal to the Initial Value.

The notes will be automatically called on the applicable Call Settlement Date, and you will receive (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Interest Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Interest Review Dates.

No further payments will be made on the notes.

The closing level of the Index is less than the Initial Value.

No Automatic Call

The closing level of the Index is greater than or equal to the Interest Barrier.

You will receive (a) a Contingent Interest Payment on the applicable Interest Payment Date plus (b) any previously unpaid Contingent Interest Payments for any prior Interest Review Dates. Proceed to the next Interest Review Date.

The closing level of the Index is less than the Interest Barrier.

No Contingent Interest Payment will be made with respect to the applicable Interest Review Date. Proceed to the next Interest Review Date.

PS-4\Structured Investments

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-Cap Vol Advantage Index

Payment at Maturity If the Notes Have Not Been Automatically Called

| Autocall Review Dates Preceding the Final Review Date | Final Review Date | Payment at Maturity |
| --- | --- | --- |
| The notes are not automatically called. | The Final Value is greater than or equal to the Trigger Value. | You will receive (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the final Review Date plus (c) if the Contingent Interest Payment applicable to the final Review Date is payable, any previously unpaid Contingent Interest Payments for any prior Interest Review Dates. |
| Proceed to maturity | The Final Value is less than the Trigger Value. | You will receive: $1,000 + ($1,000 × Index Return) Under these circumstances, you will lose some or all of your principal amount at maturity. |

PS-5\ Structured Investments

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-Cap Vol Advantage Index

# Total Contingent Interest Payments

The table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest Rate of 13.15% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual Contingent Interest Rate will be provided in the pricing supplement and will be at least 13.15% per annum.

| Number of Contingent Interest Payments | Total Contingent Interest Payments |
| --- | --- |
| 60 | $657.5000 |
| 59 | $646.5417 |
| 58 | $635.5833 |
| 57 | $624.6250 |
| 56 | $613.6667 |
| 55 | $602.7083 |
| 54 | $591.7500 |
| 53 | $580.7917 |
| 52 | $569.8333 |
| 51 | $558.8750 |
| 50 | $547.9167 |
| 49 | $536.9583 |
| 48 | $526.0000 |
| 47 | $515.0417 |
| 46 | $504.0833 |
| 45 | $493.1250 |
| 44 | $482.1667 |
| 43 | $471.2083 |
| 42 | $460.2500 |
| 41 | $449.2917 |
| 40 | $438.3333 |
| 39 | $427.3750 |
| 38 | $416.4167 |
| 37 | $405.4583 |
| 36 | $394.5000 |
| 35 | $383.5417 |
| 34 | $372.5833 |
| 33 | $361.6250 |
| 32 | $350.6667 |
| 31 | $339.7083 |
| 30 | $328.7500 |
| 29 | $317.7917 |
| 28 | $306.8333 |
| 27 | $295.8750 |
| 26 | $284.9167 |
| 25 | $273.9583 |
| 24 | $263.0000 |
| 23 | $252.0417 |
| 22 | $241.0833 |
| 21 | $230.1250 |
| 20 | $219.1667 |
| 19 | $208.2083 |
| 18 | $197.2500 |
| 17 | $186.2917 |
| 16 | $175.3333 |
| 15 | $164.3750 |
| 14 | $153.4167 |
| 13 | $142.4583 |
| 12 | $131.5000 |
| 11 | $120.5417 |
| 10 | $109.5833 |
| 9 | $98.6250 |
| 8 | $87.6667 |
| 7 | $76.7083 |
| 6 | $65.7500 |
| 5 | $54.7917 |
| 4 | $43.8333 |
| 3 | $32.8750 |
| 2 | $21.9167 |
| 1 | $10.9583 |
| 0 | $0.0000 |

PS-6\Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US LargeCap Vol Advantage Index

# Hypothetical Payout Examples

The following examples illustrate payments on the notes linked to a hypothetical Index, assuming a range of performances for the hypothetical Index on the Interest Review Dates and Autocall Review Dates. The hypothetical payments set forth below assume the following:

- an Initial Value of 100.00;
- an Interest Barrier of 70.00 (equal to 70.00% of the hypothetical Initial Value);
- a Trigger Value of 50.00 (equal to 50.00% of the hypothetical Initial Value); and
- a Contingent Interest Rate of 13.15% per annum (payable at a rate of 1.09583% per month).

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

The actual Initial Value will be the closing level of the Index on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing levels of the Index, please see the historical information set forth under "Hypothetical Back-Tested Data and Historical Information" in this pricing supplement.

Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.

## Example 1 - Notes are automatically called on the first Autocall Review Date.

| Date | Closing Level | Payment (per $1,000 principal amount note) |
| --- | --- | --- |
| First Interest Review Date | 105.00 | $10.9583 |
| Second Interest Review Date | 110.00 | $10.9583 |
| Third through Eleventh Interest Review Dates | Greater than Initial Value | $10.9583 |
| Twelfth Interest Review Date (first Autocall Review Date) | 110.00 | $1,010.9583 |
|  | Total Payment | $1,131.50 (13.15% return) |

Because the closing level of the Index on the first Autocall Review Date, which is also the twelfth Interest Review Date, is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,010.9583 (or $1,000 plus the Contingent Interest Payment applicable to the twelfth Interest Review Date plus the unpaid Contingent Interest Payments for any prior Interest Review Dates), payable on the applicable Call Settlement Date. When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,131.50. No further payments will be made on the notes.

## Example 2 - Notes have NOT been automatically called and the Final Value is greater than or equal to the Trigger Value and the Interest Barrier.

| Date | Closing Level | Payment (per $1,000 principal amount note) |
| --- | --- | --- |
| First Interest Review Date | 95.00 | $10.9583 |
| Second Interest Review Date | 85.00 | $10.9583 |
| Third through Fifty-Ninth Interest Review Dates | Less than Interest Barrier | $0 |
| Final Review Date | 90.00 | $1,635.5833 |
|  | Total Payment | $1,657.50 (65.75% return) |

Because the notes have not been automatically called and the Final Value is greater than or equal to the Trigger Value and the Interest Barrier, the payment at maturity, for each $1,000 principal amount note, will be $1,635.5833 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date plus the unpaid Contingent Interest Payments for any prior Interest Review Dates). When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,657.50.

PS-7\ Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Large-Cap Vol Advantage Index

Example 3 - Notes have NOT been automatically called and the Final Value is less than the Interest Barrier but is greater than or equal to the Trigger Value.

| Date | Closing Level | Payment (per $1,000 principal amount note) |
| --- | --- | --- |
| First Interest Review Date | 80.00 | $10.9583 |
| Second Interest Review Date | 75.00 | $10.9583 |
| Third through Fifty-Ninth Interest Review Dates | Less than Interest Barrier | $0 |
| Final Review Date | 50.00 | $1,000.00 |
|  | Total Payment | $1,021.9167 (2.19167% return) |

Because the notes have not been automatically called and the Final Value is less than the Interest Barrier but is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00. When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,021.9167.

Example 4 - Notes have NOT been automatically called and the Final Value is less than the Trigger Value.

| Date | Closing Level | Payment (per $1,000 principal amount note) |
| --- | --- | --- |
| First Interest Review Date | 40.00 | $0 |
| Second Interest Review Date | 45.00 | $0 |
| Third through Fifty-Ninth Interest Review Dates | Less than Interest Barrier | $0 |
| Final Review Date | 40.00 | $400.00 |
|  | Total Payment | $400.00 (-60.00% return) |

Because the notes have not been automatically called, the Final Value is less than the Trigger Value and the Index Return is -60.00%, the payment at maturity will be $400.00 per $1,000 principal amount note, calculated as follows:

$$1,000 + [$1,000 \times (-60.00%)] = \$400.00$$

The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.

## Selected Risk Considerations

An investment in the notes involves significant risks. These risks are explained in more detail in the "Risk Factors" sections of the accompanying prospectus supplement, product supplement and underlying supplement and in Annex A to the accompanying prospectus addendum.

## Risks Relating to the Notes Generally

- YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes do not guarantee any return of principal. If the notes have not been automatically called and the Final Value is less than the Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances, you will lose more than 50.00% of your principal amount at maturity and could lose all of your principal amount at maturity.

- THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL -
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to an Interest Review Date (and we will pay you any previously unpaid Contingent Interest Payments for any prior Interest Review Dates) only if the closing level of the Index on that Interest Review Date is greater than or equal to the Interest Barrier. If the closing level of the Index on that Interest Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review Date. You will not receive any unpaid Contingent Interest Payments if the closing level of the Index on each subsequent Interest Review Date is less than the Interest Barrier. Accordingly, if the closing level of the Index on each Interest Review Date is less than the Interest Barrier, you will not receive any interest payments over the term of the notes.

PS-8\Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Large-Cap Vol Advantage Index

- THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION -
The Index is subject to a 6.0% per annum daily deduction. The level of the Index will trail the value of an identically constituted synthetic portfolio that is not subject to any such deduction.
The index deduction will place a significant drag on the performance of the Index, potentially offsetting positive returns on the Index's investment strategy, exacerbating negative returns of its investment strategy and causing the level of the Index to decline steadily if the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of its investment strategy is sufficient to offset the negative effects of the index deduction, and then only to the extent that the return of its investment strategy is greater than the index deduction. As a result of the index deduction, the level of the Index may decline even if the return of its investment strategy is positive.
The daily deduction is one of the inputs our affiliates' internal pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes of determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of the notes. See "The Estimated Value of the Notes" and "- Risks Relating to the Estimated Value and Secondary Market Prices of the Notes" in this pricing supplement.

- CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE &amp; CO. -
Investors are dependent on our and JPMorgan Chase &amp; Co.'s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &amp; 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 &amp; 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 &amp; 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 &amp; Co., substantially all of our assets relate to obligations of JPMorgan Chase &amp; Co. to make payments under loans made by us to JPMorgan Chase &amp; Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase &amp; Co. to meet our obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase &amp; Co. and in a bankruptcy or resolution of JPMorgan Chase &amp; 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 &amp; 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 &amp; Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase &amp; Co. For more information, see the accompanying prospectus addendum.

- THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciation of the Index, which may be significant. You will not participate in any appreciation of the Index.

- THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE-
If the Final Value is less than the Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation of the Index.

- THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If your notes are automatically called, the term of the notes may be reduced to as short as approximately one year and you will not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.

- YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&amp;P 500® INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING THE INDEX.

- THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE.

- JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN THE FUTURE -
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own independent investigation of the merits of investing in the notes, the Index and the futures contracts composing the Index.

- LACK OF LIQUIDITY-
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.

- THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT -
You should consider your potential investment in the notes based on the minimums for the estimated value of the notes and the Contingent Interest Rate.

PS-9\Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Large-Cap Vol Advantage Index