[FWP] Morgan Stanley Free Writing Prospectus

Rhea-AI Filing Summary

J.P. Morgan Chase Financial Company LLC, fully guaranteed by JPMorgan Chase & Co., is marketing 6-year Uncapped Dual Directional Accelerated Barrier Notes linked to the S&P 500 Futures Excess Return Index. Key commercial terms are:

• Pricing Date / Maturity: 25 Jul 2025 / 30 Jul 2031
• Minimum Denomination: US$1,000
• Upside Leverage Factor: ≥ 1.72× on positive index performance (exact factor set on pricing date)
• Barrier Amount: 60 % of Initial Value, observed only at maturity
• Payment Profiles:
  • Final Value > Initial Value: Principal + (Principal × Index Return × Upside Leverage)
  • Final ≤ Initial but ≥ Barrier: Principal + (Principal × |Index Return|) — producing a positive “absolute” return on losses up to 40 %
  • Final < Barrier: Principal + (Principal × Index Return) — full downside participation below –40 %
• Effective Cap: 40 % total return in scenarios where the Index Return is negative (because the absolute-return feature tops out at –40 %)
• Estimated Value at Issuance: ≥ US$920 per US$1,000 note (below offer price, reflecting dealer margin and hedging costs)
• CUSIP: 48136FNH1; free-writing prospectus filed under Rule 433

The notes pay no periodic coupons and are subject to the credit risk of both the issuer and its parent guarantor. Secondary-market liquidity is expected to be limited; J.P. Morgan Securities LLC may provide bid prices but is not obligated to do so. Investors have no ownership rights in E-Mini S&P 500 futures contracts or underlying S&P 500 equities.

Material risk factors highlighted include potential loss of principal below the 60 % barrier, limited upside in negative index scenarios, negative roll yield inherent in futures-based indices, conflicts of interest arising from JPMorgan’s hedging and calculation-agent roles, and uncertain U.S. tax treatment.

Positive

• Upside Leverage ≥ 1.72× amplifies gains when the index ends higher than its initial level.
• 40 % downside buffer with absolute-return feature allows positive returns on index losses up to –40 %.
• Single-observation barrier means intra-term breaches do not trigger losses; only final level matters.

Negative

• Principal fully at risk below –40 %; investors participate 1:1 in deeper declines and could lose entire investment.
• No coupon or dividend yield; performance depends solely on final index level.
• Limited liquidity; JPMS is not obliged to make markets, potentially causing significant bid–offer deterioration.
• Estimated value ≤ 92 % of face indicates immediate economic cost to investor.
• Credit risk of issuer and guarantor could affect note value regardless of index performance.

Insights

Structured-Product Analyst

TL;DR: Note offers ≥1.72× upside, 40 % buffer, but capital is fully at risk below –40 % and upside is limited on declines.

From a structured-product standpoint, the deal combines three common features: leveraged upside participation, an absolute-return component for moderate declines, and a European barrier that converts to linear downside below –40 %. The structure appeals to investors expecting the S&P 500 to be range-bound or moderately bullish over six years. Estimated fair value (≥92 % of face) implies a ~8 % placement fee/hedging cost, in line with market norms. Credit exposure to JPM Chase is investment-grade, but spread widening could pressure secondary prices. Overall, risk-reward is balanced yet complex; suitability is limited to sophisticated investors who can tolerate illiquidity and potential full principal loss.

Multi-Asset Portfolio Manager

TL;DR: Instrument provides asymmetric equity exposure but sacrifices dividends, liquidity and carries issuer credit risk.

Relative to a direct S&P 500 allocation, investors gain leverage on the upside and buffered absolute performance through –40 %. However, they forgo dividend yield (~1.4 % annually) and face path-dependency: a single observation at maturity sets the outcome, rendering interim index rallies irrelevant if the index finishes lower. The 40 % cap on negative scenarios also curtails benefits of the buffer. In portfolio construction, the note could replace a small equity slice for clients seeking defined outcomes, yet its complexity, tax uncertainty and low estimated value argue for caution. I deem the market impact minimal—JPMS issues similar paper regularly without affecting broader credit or equity markets.

Free Writing Prospectus to Preliminary Pricing Supplement No. 9,267

Registration Statement Nos. 333-275587; 333-275587-01

Dated July 10, 2025; Filed pursuant to Rule 433

Morgan Stanley

1 -Year BAC Contingent Income Auto-Callable Securities

This document provides a summary of the terms of the securities. Investors must carefully review the accompanying preliminary pricing supplement referenced below, product supplement and prospectus, and the “Risk Considerations” on the following page, prior to making an investment decision.

Summary Terms
Issuer:	Morgan Stanley Finance LLC
Guarantor:	Morgan Stanley
Underlying stock:	Bank of America Corporation common stock (“BAC”)
Stated principal amount:	$1,000 per security
Issue price:	$1,000 per security
Pricing date:	July 18, 2025
Original issue date:	July 23, 2025 (3 business days after the pricing date)
Maturity date:	July 23, 2026
Early redemption:	If, on any of the first three determination dates, the determination closing price of the underlying stock is greater than or equal to the initial share price, the securities will be automatically redeemed for an early redemption payment on the third business day following the related determination date, as set forth below. No further payments will be made on the securities once they have been redeemed.
Early redemption payment:	The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) the contingent quarterly coupon with respect to the related determination date.
Determination closing price:	The closing price of the underlying stock on any determination date other than the final determination date times the adjustment factor on such determination date.
Contingent quarterly coupon:	●If, on any determination date, the determination closing price or the final share price, as applicable, is greater than or equal to the downside threshold price, we will pay a contingent quarterly coupon at an annual rate of 10.00% (corresponding to approximately $25.00 per quarter per security) on the related contingent payment date. ●If, on any determination date, the determination closing price or the final share price, as applicable, is less than the downside threshold price, no contingent quarterly coupon will be paid with respect to that determination date .    
Determination dates:	Quarterly, beginning on October 20, 2025, as set forth below, subject to postponement for non-trading days and certain market disruption events. We also refer to July 20, 2026 as the final determination date.
Contingent payment dates:	With respect to each determination date other than the final determination date, the third business day after the related determination date, as set forth below. The payment of the contingent quarterly coupon, if any, with respect to the final determination date will be made on the maturity date.
Payment at maturity1:	●If the final share price is greater than or equal to the downside threshold price:	(i) the stated principal amount plus (ii) the contingent quarterly coupon with respect to the final determination date
	●If the final share price is less than the downside threshold price:	(i) the stated principal amount multiplied by (ii) the share performance factor

Share performance factor:	Final share price divided by the initial share price
Adjustment factor:	1.0, subject to adjustment in the event of certain corporate events affecting the underlying stock
Downside threshold price:	80% of the initial share price
Initial share price:	The closing price of the underlying stock on the pricing date
Final share price:	The closing price of the underlying stock on the final determination date times the adjustment factor on such date
CUSIP / ISIN:	61778NKH3 / US61778NKH34
Preliminary pricing supplement:	https://www.sec.gov/Archives/edgar/data/895421/000183988225038167/ms9267_424b2-20864.htm

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Determination Dates	Contingent Payment Dates / Early Redemption Dates
October 20, 2025	October 23, 2025
January 20, 2026	January 23, 2026
April 20, 2026	April 23, 2026
July 20, 2026 (final determination date)	July 23, 2026 (maturity date)

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Hypothetical Payout at Maturity1 (if the securities have not previously been redeemed)
Change in Underlying Stock	Payment at Maturity (excluding any coupon payable at maturity)
+40%	$1,000
+30%	$1,000
+20%	$1,000
+10%	$1,000
0%	$1,000
-10%	$1,000
-20%	$1,000
-21%	$790
-30%	$700
-40%	$600
-50%	$500
-60%	$400
-70%	$300
-80%	$200
-90%	$100
-100%	$0
1All payments are subject to our credit risk

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The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling toll-free 1-800-584-6837.

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Underlying Stock

For more information about the underlying stock, including historical performance information, see the accompanying preliminary pricing supplement.

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Risk Considerations

The risks set forth below are discussed in more detail in the “Risk Factors” section in the accompanying preliminary pricing supplement. Please review those risk factors carefully prior to making an investment decision.

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Risks Relating to an Investment in the Securities

●The securities do not guarantee the return of any principal.

●You will not receive any contingent quarterly coupon for any quarterly period where the determination closing price is less than the downside threshold price.

●The contingent quarterly coupon, if any, is based solely on the determination closing price or the final share price, as applicable.

●Investors will not participate in any appreciation in the price of the underlying stock.

●The automatic early redemption feature may limit the term of your investment to approximately three months. If the securities are redeemed early, you may not be able to reinvest at comparable terms or returns.

●The market price will be influenced by many unpredictable factors.

●The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities.

●As a finance subsidiary, MSFL has no independent operations and will have no independent assets.

●Investing in the securities is not equivalent to investing in the common stock of Bank of America Corporation.

●The securities will not be listed on any securities exchange and secondary trading may be limited.

●The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the securities in the original issue price reduce the economic terms of the securities, cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market prices.

●The estimated value of the securities is approximately $971.10 per security, or within $35.00 of that estimate, and is determined by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum secondary market price.

●Hedging and trading activity by our affiliates could potentially adversely affect the value of the securities.

●The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the securities.

●The U.S. federal income tax consequences of an investment in the securities are uncertain.

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Risks Relating to the Underlying Stock

●No affiliation with Bank of America Corporation.

●We may engage in business with or involving Bank of America Corporation without regard to your interests.

●Governmental regulatory actions, such as sanctions, could adversely affect your investment in the securities.

●The antidilution adjustments the calculation agent is required to make do not cover every corporate event that could affect the underlying stock.

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Tax Considerations

You should review carefully the discussion in the accompanying preliminary pricing supplement under the caption “Additional Information About the Securities–Tax considerations” concerning the U.S. federal income tax consequences of an investment in the securities, and you should consult your tax adviser.

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FAQ

What is the Upside Leverage Factor on the JPMorgan 6-year barrier notes?

The Upside Leverage Factor will be set on the pricing date at not less than 1.72× of the positive Index Return.

How does the 60 % barrier protect my principal?

If the Index never falls below the barrier at maturity, you receive at least your principal plus an absolute return on moves between 0 % and –40 %.

What happens if the S&P 500 Futures Excess Return Index drops more than 40 %?

You incur 1:1 downside exposure below the barrier, potentially losing all of your principal at maturity.

Are there any periodic interest payments on these notes?

No. The notes do not pay coupons; all returns are realized only at maturity.

Can I sell the notes before maturity?

JPMS may repurchase the notes in the secondary market, but is not obligated to do so and prices may be well below face value.

What is the estimated value of the notes at issuance?

J.P. Morgan estimates the initial value at no less than US$920 per US$1,000 note, reflecting dealer margins and hedging costs.

Do I have any ownership in S&P 500 futures or index constituents?

No. The notes are unsecured obligations; investors have no direct rights to the underlying futures contracts or equities.