Results
JPMorgan Chase & Co.
10/14/2025 | Press release | Distributed by Public on 10/14/2025 15:10
Primary Offering Prospectus (Form 424B2)
October 9, 2025 Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlying supplement no. 1-I dated April 13, 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
$4,600,000
Auto Callable Contingent Interest Notes Linked to the
Nasdaq-100 Futures Excess ReturnTM Index due October 15,
2030
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
• The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for
which the closing level of the Nasdaq-100 Futures Excess ReturnTM 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.
• The notes will be automatically called if the closing level of the Index on any Review Date (other than the first, second,
third and final Review Dates) is greater than or equal to the Initial Value.
• The earliest date on which an automatic call may be initiated is October 9, 2026.
• Investors should be willing to accept the risk of losing a significant portion or all of their principal and the risk that no
Contingent Interest Payment may be made with respect to some or all Review Dates.
• Investors should also be willing to forgo fixed interest payments, in exchange for the opportunity to receive Contingent
Interest Payments.
• 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 priced on October 9, 2025 and are expected to settle on or about October 15, 2025.
• CUSIP: 48136HJ82
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 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)(3)
Proceeds to Issuer
Per note
$1,000
-
$1,000
Total
$4,600,000
-
$4,600,000
(1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the
notes.
(2) All sales of the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an
investment adviser. These broker-dealers will forgo any commissions related to these sales. See "Plan of Distribution (Conflicts of
Interest)" in the accompanying product supplement.
(3) J.P. Morgan Securities LLC, which we refer to as JPMS, will pay a structuring fee of $8.00 per $1,000 principal amount note with
respect to all of the notes to other affiliated or unaffiliated dealers.
The estimated value of the notes, when the terms of the notes were set, was $975.30 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
Auto Callable Contingent Interest Notes Linked to the Nasdaq-100 Futures
Excess ReturnTM 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 Nasdaq-100 Futures Excess ReturnTM Index
(Bloomberg ticker: NDXNQER)
Contingent Interest Payments: If the notes have not been
automatically called and the closing level of the Index on any
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 $23.875 (equivalent to a Contingent Interest Rate of
9.55% per annum, payable at a rate of 2.3875% per quarter).
If the closing level of the Index on any Review Date is less than
the Interest Barrier, no Contingent Interest Payment will be
made with respect to that Review Date.
Contingent Interest Rate: 9.55% per annum, payable at a rate
of 2.3875% per quarter
Interest Barrier / Trigger Value: 70.00% of the Initial Value,
which is 475.75941
Pricing Date: October 9, 2025
Original Issue Date (Settlement Date): On or about October
15, 2025
Review Dates*: January 9, 2026, April 9, 2026, July 9, 2026,
October 9, 2026, January 11, 2027, April 9, 2027, July 9, 2027,
October 11, 2027, January 10, 2028, April 10, 2028, July 10,
2028, October 9, 2028, January 9, 2029, April 9, 2029, July 9,
2029, October 9, 2029, January 9, 2030, April 9, 2030, July 9,
2030 and October 9, 2030 (final Review Date)
Interest Payment Dates*: January 14, 2026, April 14, 2026,
July 14, 2026, October 15, 2026, January 14, 2027, April 14,
2027, July 14, 2027, October 14, 2027, January 13, 2028, April
13, 2028, July 13, 2028, October 12, 2028, January 12, 2029,
April 12, 2029, July 12, 2029, October 12, 2029, January 14,
2030, April 12, 2030, July 12, 2030 and the Maturity Date
Maturity Date*: October 15, 2030
Call Settlement Date*: If the notes are automatically called on
any Review Date (other than the first, second, third and final
Review Dates), the first Interest Payment Date immediately
following that Review Date
* Subject to postponement in the event of a market disruption event and
as described under "General Terms of Notes - Postponement of a
Determination Date - Notes Linked to a Single Underlying - Notes
Linked to a Single Underlying (Other Than a Commodity Index)" 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 Review Date (other than
the first, second, third and final Review Dates) 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 that Review Date, payable on the applicable Call
Settlement Date. No further payments will be made on the
notes.
Payment at Maturity:
If the notes have not been automatically called 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 applicable to the final Review Date.
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 × 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
30.00% 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,
which was 679.6563
Final Value: The closing level of the Index on the final Review
Date
PS-2 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Nasdaq-100 Futures
Excess ReturnTM 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.
For purposes of the accompanying product supplement, the Index will be deemed to be an Equity Index, except as provided below, and
any references in the accompanying product supplement to the securities included in an Equity Index (or similar references) should be
read to refer to the securities included in the Nasdaq-100® Index, which is the reference index for the futures contracts included in the
Index. Notwithstanding the foregoing, the Index will be deemed to be a Commodity Index for purposes of the section entitled "The
Underlyings - Indices - Discontinuation of an Index; Alteration of Method of Calculation" in the accompanying product supplement.
Notwithstanding anything to the contrary in the accompanying product supplement, if a Determination Date (as defined in the
accompanying product supplement) has been postponed to the applicable Final Disrupted Determination Date (as defined in the
accompanying product supplement) and that day is a Disrupted Day (as defined in the accompanying product supplement), the
calculation agent will determine the closing level of the Index for that Determination Date on that Final Disrupted Determination Date in
accordance with the formula for and method of calculating the closing level of the Index last in effect prior to the commencement of the
market disruption event (or prior to the non-trading day), using the official settlement price (or, if trading in the relevant futures contract
has been materially suspended or materially limited, the calculation agent's good faith estimate of the applicable settlement price that
would have prevailed but for that suspension or limitation) at the close of the principal trading session on that date of each futures
contract most recently composing the Index, as well as any futures contract required to roll any expiring futures contract in accordance
with the method of calculating the Index.
Any values of the Index, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of
manifest error or inconsistency, by amendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding
anything to the contrary in the indenture governing the notes, that amendment will become effective without consent of the holders of
the notes or any other party.
How the Notes Work
Payments in Connection with the First, Second and Third Review Dates
The closing level of the Index is greater than or
equal to the Interest Barrier.
The closing level of the Index is less than the Interest
Barrier.
First, Second and Third Review Dates
Compare the closing level of the Index to the Interest Barrier on each Review Date.
You will receive a Contingent Interest Payment on the
applicable Interest Payment Date.
Proceed to the next Review Date.
No Contingent Interest Payment will be made with respect to
the applicable Review Date.
Proceed to the next Review Date.
PS-3 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Nasdaq-100 Futures
Excess ReturnTM Index
Payments in Connection with Review Dates (Other than the First, Second, Third and Final Review Dates)
Payment at Maturity If the Notes Have Not Been Automatically Called
The notes will be automatically called on the applicable Call Settlement Date and you will
receive (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date.
No further payments will be made on the notes.
Review Dates (Other than the First, Second, Third and Final Review Dates)
Automatic Call
The closing level of the
Index is greater than or
equal to the Initial Value.
The closing level of the
Index is less than the
Initial Value.
Initial
Value You will receive a Contingent Interest
Payment on the applicable Interest
Payment Date.
Proceed to the next Review Date.
The closing level of the
Index is greater than or
equal to the Interest
Barrier.
No
Automatic
Call No Contingent Interest Payment will
be made with respect to the
applicable Review Date.
Proceed to the next Review Date.
The closing level of the Index
is less than the Interest
Barrier.
Compare the closing level of the Index to the Initial Value and the Interest Barrier on each Review Date until the final Review
Date or any earlier automatic call.
Review Dates Preceding the
Final Review Date
You will receive (a) $1,000 plus (b) the
Contingent Interest Payment
applicable to the final Review Date.
The notes are not
automatically called.
Proceed to maturity
Final Review Date Payment at Maturity
The Final Value is greater than or equal to the
Trigger Value.
You will receive:
$1,000 + ($1,000 ×Index Return)
Under these circumstances, you will
lose a significant portion or all of your
principal amount at maturity.
The Final Value is less than the Trigger Value.
PS-4 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Nasdaq-100 Futures
Excess ReturnTM 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 the Contingent Interest Rate of 9.55% per annum, depending on how many Contingent Interest Payments are made
prior to automatic call or maturity.
Number of Contingent
Interest Payments
Total Contingent Interest
Payments
20
$477.500
19
$453.625
18
$429.750
17
$405.875
16
$382.000
15
$358.125
14
$334.250
13
$310.375
12
$286.500
11
$262.625
10
$238.750
9
$214.875
8
$191.000
7
$167.125
6
$143.250
5
$119.375
4
$95.500
3
$71.625
2
$47.750
1
$23.875
0
$0.000
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked to a hypothetical Index, assuming a range of performances for the
hypothetical Index on the Review Dates. The hypothetical payments set forth below assume the following:
• an Initial Value of 100.00;
• an Interest Barrier and a Trigger Value of 70.00 (equal to 70.00% of the hypothetical Initial Value); and
• a Contingent Interest Rate of 9.55% per annum.
The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value.
The actual Initial Value is the closing level of the Index on the Pricing Date and is specified under "Key Terms - Initial Value" in this
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.
PS-5 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Nasdaq-100 Futures
Excess ReturnTM Index
Example 1 - Notes are automatically called on the fourth Review Date.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
105.00
$23.875
Second Review Date
110.00
$23.875
Third Review Date
115.00
$23.875
Fourth Review Date
110.00
$1,023.875
Total Payment
$1,095.50 (9.55% return)
Because the closing level of the Index on the fourth 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 $1,023.875 (or $1,000 plus the Contingent Interest
Payment applicable to the fourth Review Date), payable on the applicable Call Settlement Date. The notes are not automatically
callable before the fourth Review Date, even though the closing level of the Index on each of the first, second and third Review Dates is
greater than the Initial Value. When added to the Contingent Interest Payments received with respect to the prior Review Dates, the
total amount paid, for each $1,000 principal amount note, is $1,095.50. 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.
Date
Closing Level
Payment (per $1,000 principal amount note)
First Review Date
95.00
$23.875
Second Review Date
85.00
$23.875
Third through Nineteenth
Review Dates
Less than Interest Barrier
$0
Final Review Date
90.00
$1,023.875
Total Payment
$1,071.625 (7.1625% return)
Because the notes have not been automatically called and the Final Value is greater than or equal to the Trigger Value, the payment at
maturity, for each $1,000 principal amount note, will be $1,023.875 (or $1,000 plus the Contingent Interest Payment applicable to the
final Review Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,071.625.
Example 3 - 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 Review Date
40.00
$0
Second Review Date
45.00
$0
Third through Nineteenth
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 × (-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.
PS-6 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Nasdaq-100 Futures
Excess ReturnTM Index
Selected Risk Considerations
An investment in the notes involves significant risks. These risks are explained in more detail in the "Risk Factors" sections of the
accompanying prospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
• YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes 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 30.00% 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 a Review Date only if
the closing level of the Index on that Review Date is greater than or equal to the Interest Barrier. If the closing level of the Index on
that Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Accordingly, if the closing level of the Index on each Review Date is less than the Interest Barrier, you will not receive any interest
payments over the term of the notes.
• CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. -
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amounts due on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined by the market for taking that credit
risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
• AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to
JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in
respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make
payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
• THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO 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.
PS-7 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Nasdaq-100 Futures
Excess ReturnTM Index
• YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE E-MINI® NASDAQ-100® FUTURES CONTRACTS (THE
"UNDERLYING FUTURES CONTRACTS") OR THE SECURITIES INCLUDED IN THE INDEX UNDERLYING THE
UNDERLYING FUTURES CONTRACTS.
• 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.
• 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.
Risks Relating to Conflicts of Interest
• POTENTIAL CONFLICTS -
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase &
Co.'s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading
activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to "Risk Factors - Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
• THE ESTIMATED VALUE OF THE NOTES IS 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 exceeds the estimated value of the notes because costs associated with structuring and hedging the notes are included in
the original issue price of the notes. These costs include the structuring fee, 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,
PS-8 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Nasdaq-100 Futures
Excess ReturnTM Index
also, because secondary market prices (a) exclude the structuring fee and (b) may exclude projected hedging profits, if any, and
estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will
be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price.
Any sale by you prior to the Maturity Date could result in a substantial loss to you.
• SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which
may either offset or magnify each other, aside from the structuring fee, 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
• AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Some of the equity securities included in the Nasdaq-100 Index®, the index underlying the Underlying Futures Contracts, have
been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks
associated with the home countries of the issuers of those non-U.S. equity securities. The prices of securities issued by non-U.S.
companies may be affected by political, economic, financial and social factors in the home countries of those issuers, or global
regions, including changes in government, economic and fiscal policies and currency exchange laws.
• THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS -
The Index tracks the excess return of the Underlying Futures Contracts. The price of an Underlying Futures Contract depends not
only on the level of the underlying index referenced by the Underlying Futures Contract, but also on a range of other factors,
including but not limited to the performance and volatility of the U.S. stock market, corporate earnings reports, geopolitical events,
governmental and regulatory policies and the policies of the Chicago Mercantile Exchange (the "Exchange") on which the
Underlying 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 the Underlying 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 THE UNDERLYING 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 the Underlying 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 those 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 level of the Index and could adversely affect the level of the Index and any payments on, and the
value of, your notes.
• THE PERFORMANCE OF THE INDEX WILL DIFFER FROM THE PERFORMANCE OF THE INDEX UNDERLYING THE
UNDERLYING FUTURES CONTRACTS -
A variety of factors can lead to a disparity between the performance of a futures contract on an equity index and the performance
of that equity index, including the expected dividend yields of the equity securities included in that equity index, an implicit financing
cost associated with futures contracts and policies of the exchange on which the futures contracts are traded, such as margin
requirements. Thus, a decline in expected dividends yields or an increase in margin requirements may adversely affect the
performance of the Index. In addition, the implicit financing cost will negatively affect the performance of the Index, with a greater
negative effect when market interest rates are higher. During periods of high market interest rates, the Index is likely to
underperform the equity index underlying the Underlying Futures Contracts, perhaps significantly.
• NEGATIVE ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY AFFECT
THE LEVEL OF THE INDEX AND THE VALUE OF THE NOTES -
The Index tracks the excess return of the Underlying Futures Contracts. Unlike common equity securities, futures contracts, by
their terms, have stated expirations. As the exchange-traded Underlying Futures Contracts approach expiration, they are replaced
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by contracts of the same series that have a later expiration. For example, an Underlying Futures Contract notionally purchased
and held in June may specify a September expiration date. As time passes, the contract expiring in September is replaced by a
contract for delivery in December. This is accomplished by notionally selling the September contract and notionally purchasing the
December contract. This process is referred to as "rolling." Excluding other considerations, if prices are higher in the distant
delivery months than in the nearer delivery months, the notional purchase of the December contract would take place at a price
that is higher than the price of the September contract, thereby creating a negative "roll return." Negative roll returns adversely
affect the returns of the Underlying Futures Contracts and, therefore, the level of the Index and any payments on, and the value of,
the notes. Because of the potential effects of negative roll returns, it is possible for the level of the Index to decrease significantly
over time, even when the levels of the underlying index referenced by the Underlying Futures Contracts are stable or increasing.
• 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 "The Index" 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 modelling techniques might produce
significantly different results and may prove to be more appropriate. Past performance, and especially hypothetical back-tested
performance, is not indicative of future results. This type of information has inherent limitations and you should carefully consider
these limitations before placing reliance on such information. 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.
• OTHER KEY RISKS:
o THE INDEX, WHICH WAS ESTABLISHED ON APRIL 1, 2024, HAS LIMITED OPERATING HISTORY AND MAY PERFORM
IN UNANTICIPATED WAYS.
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.
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The Index
The Index measures the performance of the nearest maturing quarterly Underlying Futures Contracts trading on the Chicago Mercantile
Exchange (the "Exchange"). The Underlying Futures Contracts are U.S. dollar-denominated futures contracts based on the Nasdaq-
100 Index®. The Nasdaq-100 Index® is a modified market capitalization-weighted index of 100 of the largest non-financial securities
listed on The Nasdaq Stock Market based on market capitalization. For additional information about the Nasdaq-100 Index®, see
"Equity Index Descriptions - The Nasdaq-100 Index®" in the accompanying underlying supplement. For additional information about
the Index and the Underlying Futures Contracts, see Annex A in this pricing supplement.
Hypothetical Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested performance of the Index based on the weekly hypothetical back-tested
closing levels of the Index from January 3, 2020 through March 28, 2024, and the historical performance of the Index based on the
weekly historical closing levels of the Index from April 5, 2024 through October 3, 2025. The Index was established on April 1, 2024, 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 October 9, 2025 was 679.6563. 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 below 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 any Review Date. There can be no assurance that the performance
of the Index will result in the return of any of your principal amount or the payment of any interest.
The hypothetical back-tested closing levels of the Index have inherent limitations and have not been verified by an independent third
party. These hypothetical back-tested closing levels are determined by means of a retroactive application of a back-tested model
designed with the benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guarantee of future returns. No
representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modeling
techniques or assumptions would produce different hypothetical back-tested closing levels of the Index that might prove to be more
appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product
supplement no. 4-I. In determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as
prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as
described in the section entitled "Material U.S. Federal Income Tax Consequences - Tax Consequences to U.S. Holders - Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons" in the accompanying product supplement. Based on the
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advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other
reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes
could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal
income tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require
investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related
topics, including the character of income or loss with respect to these instruments and the relevance of factors such as the nature of the
underlying property to which the instruments are linked. While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the
tax consequences of an investment in the notes, possibly with retroactive effect. The discussions above 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. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders - Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least
if an applicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent, intend to)
withhold on any Contingent Interest Payment paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an
applicable income tax treaty under an "other income" or similar provision. We will not be required to pay any additional amounts with
respect to amounts withheld. In order to claim an exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the
notes must comply with certification requirements to establish that it is not a U.S. person and is eligible for such an exemption or
reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should consult your tax adviser regarding the tax treatment
of the notes, including the possibility of obtaining a refund of any withholding tax and the certification requirement described above.
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, our special tax counsel is of the
opinion that Section 871(m) should 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. You should consult your tax
adviser regarding the potential application of Section 871(m) to the notes.
In the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
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.
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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 is 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 Is 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 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 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 structuring fee paid to 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.
Supplemental Plan of Distribution
All sales of the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an
investment adviser. These broker-dealers will forgo any commissions related to these sales. See "Plan of Distribution (Conflicts of
Interest)" in the accompanying product supplement.
JPMS will pay a structuring fee of $8.00 per $1,000 principal amount note with respect to all of the notes to other affiliated or unaffiliated
dealers.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offered by this pricing supplement have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the "master note"), and such notes have been delivered against payment as
contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a
valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel
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expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'s obligation under the related guarantee.
This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the
trustee's authorization, execution and delivery of the indenture and its authentication of the master note and the validity, binding nature
and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2023.
Additional Terms Specific to the Notes
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 and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, as the
notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our
filings for the relevant date on the SEC website):
• Product supplement no. 4-I dated April 13, 2023:
• Underlying supplement no. 1-I dated April 13, 2023:
• Prospectus supplement and prospectus, each dated April 13, 2023:
• Prospectus addendum dated June 3, 2024:
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used in this pricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.
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Annex A
The Nasdaq-100 Futures Excess ReturnTM Index
All information contained in this pricing supplement regarding the Nasdaq-100 Futures Excess ReturnTM Index (the "NDX Futures
Index"), including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly
available information, without independent verification. This information reflects the policies of, and is subject to change by, Nasdaq,
Inc. ("Nasdaq"). The NDX Futures Index is calculated, maintained and published by Nasdaq. Nasdaq has no obligation to continue to
publish, and may discontinue the publication of, the NDX Futures Index.
The NDX Futures Index is reported by Bloomberg L.P. under the ticker symbol "NDXNQER."
The Base Value of the NDX Futures Index was set equal to 100.00 on September 30, 1999, the "Index Base Date." The NDX Futures
Index has been calculated on a live basis since April 1, 2024, the "Index Live Date."
The NDX Futures Index measures the performance of the nearest maturing quarterly E-mini® Nasdaq-100® futures contracts (Symbol:
NQ) (the "Underlying Futures Contracts") trading on the Chicago Mercantile Exchange (the "Exchange"). The Underlying Futures
Contracts are U.S. dollar-denominated futures contracts based on the Nasdaq-100 Index®. For additional information about the
Nasdaq-100 Index®, see "Equity Index Descriptions - The Nasdaq-100 Index®" in the accompanying underlying supplement. The
NDX Futures Index is calculated real-time from the price change of the Underlying Futures Contracts. The NDX Futures Index is an
"excess return" index that is based on price levels of the Underlying Futures Contracts as well as the discount or premium obtained by
"rolling" hypothetical positions in the Underlying Futures Contracts as they approach delivery. The NDX Futures Index does not reflect
interest earned on hypothetical, fully collateralized contract positions.
Index Rolling
As each Underlying Futures Contract approaches maturity, it is replaced by the next maturing Underlying Futures Contract in a process
referred to as "rolling." The rolling of the NDX Futures Index occurs quarterly over a three-day rolling period (the "roll period") every
March, June, September and December, effective after the close of trading on the fifth, fourth and third business days (each, a "roll
day") preceding the last trading date of the maturing Underlying Futures Contract. The number of units over the roll period will change
equally each day as illustrated below, provided that there is no Index Market Disruption Event (as described under "- Index Market
Disruption Events" below) on a roll day (a "Roll Day Disruption").
Roll Period Day
Proportion of Current Contract
Proportion of Next Contract
Day 1
2/3
1/3
Day 2
1/3
2/3
Day 3
0
1
On any scheduled roll day during the roll period, the occurrence of any Index Market Disruption Event below will result in a Roll Day
Disruption and an adjustment to the roll period such that no changes to the units of the current or next contract will occur until such time
as the Roll Day Disruption is no longer occurring. After the Roll Day Disruption ends, on the next day during the Roll Period, the unit
proportions between the current contract and the next contract will "catch up" to where they would have been in the absence of a
disruption, as illustrated below.
Roll Period Day
Proportion of Current Contract
Proportion of Next Contract
Day 1*
1
0
Day 2**
1/3
2/3
Day 3
0
1
*Disruption occurs on Day 1 of the Roll Period; no changes are made to the proportion of the units of the current contract and the next
contract.
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**Day 2's proportions are identical to where they would have been in the absence of a disruption on Day 1 of the Roll Period.
Index Market Disruption Events
Each of the below described events is an "Index Market Disruption Event" for the purposes of this description.
• Trading Disruption: Any unscheduled closure of the Exchange; a material suspension, limitation or disruption of trading on the
Exchange; a failure of the Exchange to publish the relevant price, level, value or other information; a halt in trading, such as a
circuit breaker or other exchange-imposed halt; or any other event that materially affects the ability of market participants to trade,
effect transactions in, maintain or unwind positions in that futures contract.
• Exchange Disruption: Any exchange related event that disrupts or impairs the ability of market participants to effect transactions or
obtain market values or price discovery of a component used directly or indirectly in the NDX Futures Index.
• Price Failure: Any event that impairs or prevents the ability of Nasdaq to obtain a relevant price, level, rate, value or any other
information from an exchange or other source necessary, on a timely basis and in a manner acceptable to Nasdaq, in order to
perform the calculation of the NDX Futures Index.
• Inaccurate Data: The price or value of a component that has been calculated by reference to data that, in the determination of the
Nasdaq, is inaccurate, incomplete and/or does not adequately reflect the true market price or value of such component.
• Force Majeure: Any event or circumstance (including, without limitation, a systems failure, natural or man-made disaster, act of
God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance, or restrictions due to
emergency powers enforced by federal, state or local government agencies), that is beyond the reasonable control of Nasdaq and
that Nasdaq determines, in its sole discretion, affects the NDX Futures Index, a component of the NDX Futures Index, any input
data required to calculate the Index, or that prevents the ability of Nasdaq to calculate the NDX Futures Index.
• General Moratorium: Nasdaq observes on any day that there has been a declaration of a general moratorium in respect of banking
activities in any relevant jurisdiction.
Index Calculations
The closing level of the NDX Futures Index on any trading day reflects the change in the daily contract price of the Underlying Futures
Contract since the immediately preceding Index Calculation Day (defined as each weekday that is not a scheduled holiday according to
Nasdaq's publicly available index holiday schedule). Additionally, on each roll day during the quarterly roll period, the closing level of
the NDX Futures Index reflects the proportional change from the daily contract price of the maturing Underlying Futures Contract on the
immediately preceding trading day to the daily contract price of the next maturing Underlying Futures Contract on that roll day.
The daily contract price of an Underlying Futures Contract will be the settlement price reported by the Exchange. If an Index Market
Disruption Event occurs (as defined under "- Index Rolling - Index Market Disruption Events" above) or is occurring on an Index
Calculation Day that Nasdaq determines materially affects the NDX Futures Index, Nasdaq may:
• Delay the calculation of the Index and halt the dissemination of the value of the NDX Futures Index and /or other information
relating to the NDX Futures Index until such time, which may be a subsequent Index Calculation Day, that Nasdaq determines that
such Index Market Disruption Event is no longer occurring.
• Determine a good faith estimate of any affected or missing input data required to calculate the NDX Futures Index or the value of
the NDX Futures Index for such Index Calculation Day or time for such Index Calculation Day.
Index Corrections and Recalculations
Nasdaq reserves the right to recalculate an index at its discretion in the event that settlement prices are amended or upon the
occurrence of a missed index methodology event (deviation from what is stated in the methodology document).
License Agreement
The notes are not sponsored, endorsed, sold or promoted by Nasdaq or its affiliates (Nasdaq, with its affiliates, are referred to as the
"Corporations"). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and
disclosures relating to, the notes. The Corporations make no representation or warranty, express or implied to the owners of the notes
or any member of the public regarding the advisability of investing in securities generally or in the notes particularly, or the ability of the
NDX Futures Index to track general stock market performance. The Corporations' only relationship to J.P. Morgan Financial and J.P.
Morgan Chase & Co. (the "Licensee") is in the licensing of the Nasdaq®, the Nasdaq-100 Index® and certain trade names of the
Corporations and the use of the NDX Futures Index, which is determined, composed and calculated by Nasdaq without regard to the
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Licensee or the notes. Nasdaq has no obligation to take the needs of the Licensee or the owners of the notes into consideration in
determining, composing or calculating the NDX Futures Index. The Corporations are not responsible for and have not participated in
the determination of the timing of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation
by which the notes are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or
trading of the notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE NDX
FUTURES INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED,
AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY
FROM THE USE OF THE NDX FUTURES INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO
EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NDX FUTURES INDEX OR ANY DATA INCLUDED THEREIN.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY
LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF
THE POSSIBILITY OF SUCH DAMAGES.
Background on Futures Contracts
Overview of Futures Markets
Futures contracts are contracts that legally obligate the holder to buy or sell an asset at a predetermined delivery price during a
specified future time period. Futures contracts are traded on regulated futures exchanges, in the over-the-counter market and on
various types of physical and electronic trading facilities and markets. An exchange-traded futures contract provides for the purchase
and sale of a specified type and quantity of an underlying asset or financial instrument during a stated delivery month for a fixed price.
A futures contract provides for a specified settlement month in which the cash settlement is made or in which the underlying asset or
financial instrument is to be delivered by the seller (whose position is therefore described as "short") and acquired by the purchaser
(whose position is therefore described as "long").
No purchase price is paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents
must be deposited with the broker as "initial margin." This amount varies based on the requirements imposed by the exchange clearing
houses, but it may be lower than 5% of the notional value of the contract. This margin deposit provides collateral for the obligations of
the parties to the futures contract.
By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market
participant may be able to earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in
futures contracts.
In the United States, futures contracts are traded on designated contract markets. At any time prior to the expiration of a futures
contract, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the
position, subject to the availability of a liquid secondary market. This operates to terminate the position and fix the trader's profit or loss.
Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a "futures
commission merchant," which is a member of the clearing house.
Unlike common equity securities, futures contracts, by their terms, have stated expirations. At a specific point in time prior to expiration,
trading in a futures contract for the current delivery month will cease. As a result, a market participant wishing to maintain its exposure
to a futures contract on a particular asset or financial instrument with the nearest expiration must close out its position in the expiring
contract and establish a new position in the contract for the next delivery month, a process referred to as "rolling." For example, a
market participant with a long position in a futures contract expiring in November who wishes to maintain a position in the nearest
delivery month will, as the November contract nears expiration, sell the November contract, which serves to close out the existing long
position, and buy a futures contract expiring in December. This will "roll" the November position into a December position, and, when
the November contract expires, the market participant will still have a long position in the nearest delivery month.
PS-17 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Nasdaq-100 Futures
Excess ReturnTM Index
Futures exchanges and clearing houses in the United States are subject to regulation by the Commodity Futures Trading Commission
(the "CFTC"). Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits,
maximum price fluctuations and trading halts and suspensions and requiring liquidation of contracts in certain circumstances. Futures
markets outside the United States are generally subject to regulation by foreign regulatory authorities comparable to the CFTC. The
structure and nature of trading on non-U.S. exchanges, however, may differ from the above description.
Underlying Futures Contracts
E-mini® Nasdaq-100® futures contracts are U.S. dollar-denominated futures contracts, based on the Nasdaq-100 Index®, traded on the
Exchange, representing a contract unit of $20.00 multiplied by the index level of the Nasdaq-100 Index®, measured in cents per index
point. From April 10, 1996, the E-mini® Nasdaq-100® futures contracts have traded on the Exchange.
E-mini® Nasdaq-100® futures contracts listed for six consecutive quarters for each March, June, September and December and four
additional December contract months are available for trading. Trading of the E-mini® Nasdaq-100® futures contracts will terminate at
9:30 A.M. Eastern time on the third Friday of the contract month.
The daily settlement prices of the E-mini® Nasdaq-100® futures contracts are based on trading activity in the relevant contract (and in
the case of a lead month also being the expiry month, together with trading activity on lead month-second month spread contracts) on
the Exchange during a specified settlement period. The final settlement price of E-mini® Nasdaq-100® futures contracts is determined
through the "end of month fair value procedure," which fixes a price based on trading activity on the Exchange in the E-mini® Nasdaq-
100® futures contracts between 2:59:30 P.M. and 3:00:00 P.M. Central time on the last business day of each month.
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