JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 09:00
Primary Offering Prospectus - Form 424B2
The information in this preliminary pricing supplement is notcomplete and maybechanged.This preliminarypricing supplement is not an
offer to sell nor does it seek anoffer to buythese securities inany jurisdictionwhere the offer or sale is not permitted.
Subjectto completion datedOctober 29,2024
November , 2024
RegistrationStatement Nos.333-270004 and 333-270004-01;Rule 424(b)(2)
Pricingsupplement to product supplementno. 4-Idated April 13, 2023, underlyingsupplement no.1-IdatedApril13,2023, the prospectus and
prospectus supplement, each dated April 13,2023,andtheprospectus addendum dated June 3,2024
JPMorgan Chase Financial Company LLC
Structured Investments
Uncapped Dual Directional Buffered Return Enhanced
Notes Linked to the S&P 500® Futures Excess Return
Index due November4,2027
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
●The notes aredesigned for investors whoseek an uncapped return of at least 1.37timesany appreciation, or a capped,
unleveraged return equal to the absolutevalue of any depreciation (up to the Buffer Amount of 20.00%), of the S&P 500®
Futures Excess Return Indexat maturity.
●Investors should be willing to forgo interest payments and be willing to lose up to 80.00%of their principal amount at
maturity.
●The notes areunsecuredandunsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer toas
JPMorgan Financial, the payment on which is fully and unconditionallyguaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk
of JPMorgan Chase & Co., as guarantor of the notes.
●Minimum denominations of $1,000 and integralmultiplesthereof
●The notes areexpected to price on or about November 1, 2024 and are expected to settle on or about November 6, 2024.
●CUSIP: 48135VBJ6
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page S-2 of theaccompanying
prospectus supplement, Annex A to the accompanyingprospectus addendum, "Risk Factors" beginning on page PS-11 of
the accompanying product supplement and "Selected Risk Considerations" beginning on page PS-5 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 passedupon theaccuracy or theadequacyof thispricing supplement or the accompanying product supplement,
underlyingsupplement, prospectus supplement,prospectusand prospectusaddendum. 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 ofProceeds" in this pricingsupplementforinformation about the components of the price to public ofthenotes.
(2) J.P. Morgan SecuritiesLLC, which we referto asJPMS,actingasagentfor JPMorganFinancial,will pay allof the sellingcommissions it
receivesfrom us tootheraffiliated orunaffiliateddealers.In noeventwillthese sellingcommissions exceed$10.00 per$1,000 principal
amount note. See "Plan ofDistribution (Conflicts of Interest)"in theaccompanyingproductsupplement.
If thenotes priced today, the estimatedvalue of thenoteswould be approximately$979.40 per $1,000principal amount
note. Theestimatedvalue ofthenotes, whentheterms of the notes areset, willbe providedinthe pricing supplement and
will not be less than $950.00per $1,000 principal amount note. See "The Estimated Valueof theNotes"inthis pricing
supplement for additional information.
Thenotesare not bankdeposits, arenot insured bythe Federal Deposit InsuranceCorporationor anyother governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1| Structured Investments
Uncapped Dual Directional BufferedReturnEnhanced NotesLinkedto the S&P 500® Futures
Excess ReturnIndex
Key Terms
Issuer:JPMorgan Chase Financial Company LLC, adirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The S&P 500®FuturesExcess ReturnIndex
(Bloombergticker: SPXFP)
Upside Leverage Factor:At least 1.37 (to be provided in the
pricingsupplement)
Buffer Amount:20.00%
Pricing Date:On or about November 1, 2024
Original Issue Date (Settlement Date):On or about
November 6, 2024
Observation Date*:November 1, 2027
Maturity Date*:November 4,2027
* 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 "GeneralTerms of
Notes-Postponement of a Payment Date" in the
accompanying product supplement
Payment at Maturity:
If theFinal Valueisgreater than the Initial Value, your
payment at maturity per $1,000 principalamount note willbe
calculatedasfollows:
$1,000 + ($1,000 × Index Return × Upside Leverage Factor)
If theFinal Valueisequal to the Initial Value or isless than
the Initial Value byup to the Buffer Amount, your payment at
maturityper $1,000 principal amount note will be calculated
as follows:
$1,000 + ($1,000 × Absolute Index Return)
Thispayout formula results in an effective cap of 20.00% on
your returnat maturity if theIndexReturnisnegative. Under
these limited circumstances, your maximum payment at
maturityis$1,200.00 per $1,000 principal amount note.
If theFinal Valueisless than the Initial Value by more than
the Buffer Amount, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Index Return + Buffer Amount)]
If theFinal Valueisless than the Initial Value by more than
the Buffer Amount, you will lose some or most of your
principal amount at maturity.
Absolute Index Return:The absolute value of the Index
Return. For example, if the Index Return is -5%, the Absolute
Index Return will equal5%.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:Theclosing level of the Indexon the Pricing
Date
Final Value: The closing level of the Index on the
Observation Date
PS-2| Structured Investments
Uncapped Dual Directional BufferedReturnEnhanced NotesLinkedto the S&P 500® Futures
Excess ReturnIndex
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 offeredpursuant to an exemption from regulation under the Commodity Exchange
Act, commonlyknown as the hybrid instrument exemption, that is available tosecurities that have one or morepaymentsindexed to the
value, level or rate of one or more commodities, asset out in section 2(f) of that statute. Accordingly, youare not afforded any
protection provided by the Commodity Exchange Act or anyregulation promulgated by theCommodity Futures Trading Commission.
For purposes of the accompanying product supplement, the Index will be deemedto be anEquity Index, except as provided below, and
any references in the accompanying product supplement to the securitiesincluded in an Equity Index (or similar references) should be
read to refer to the securitiesincludedin the S&P 500®Index, whichis the referenceindex for the futures contractsincluded in the
Index. Notwithstanding the foregoing, the Index will be deemed tobe a CommodityIndex for purposes of thesection entitled "The
Underlyings- Indices-Discontinuation of an Index; Alteration of Method of Calculation" in theaccompanying product supplement.
Notwithstandinganything to the contrary in the accompanying product supplement, if a Determination Date (as defined in the
accompanying product supplement) has been postponed to the applicable Final Disrupted Determination Date (as defined in the
accompanying product supplement) and that day is a Disrupted Day (asdefined intheaccompanying product supplement), the
calculation agent will determine theclosing level of theIndex 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 Indexlast in effect prior to the commencement of the
market disruption event (or prior to the non-trading day), using theofficial settlement price (or, if trading in the relevant futurescontract
hasbeen materially suspended or materially limited, the calculationagent'sgood faith estimate of the applicable settlement price that
would have prevailedbut for that suspension or limitation) at the close of the principal trading session on that dateof each futures
contract most recently composing the Index, as well as any futures contract required to roll anyexpiring futures contract in accordance
with the method of calculatingthe Index.
Any values of the Index, and any valuesderived therefrom, included in this pricing supplement may be corrected, in the eventof
manifest error or inconsistency, byamendment of this pricing supplement andthe correspondingterms of the notes. Notwithstanding
anything to thecontraryin the indenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or any other party.
PS-3| Structured Investments
Uncapped Dual Directional BufferedReturnEnhanced NotesLinkedto the S&P 500® Futures
Excess ReturnIndex
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total return and payment at maturityon the noteslinkedto a hypothetical Index.
The "total return" as used in this pricing supplement is the number, expressed asa percentage, that resultsfrom comparing the
payment at maturity per $1,000 principalamount note to $1,000. The hypothetical total returnsand payments set forth below assume
the following:
●an Initial Value of 100.00;
●an UpsideLeverage Factor of 1.37; and
●a Buffer Amount of 20.00%.
The hypothetical Initial Value of 100.00 hasbeen chosen for illustrative purposes only andmaynot represent a likely actualInitial
Value. Theactual Initial Valuewill be the closinglevel 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 "The Index" in
thispricing supplement.
Each hypothetical total returnor hypotheticalpayment at maturity set forth below is for illustrative purposes only and may not be the
actual total return or paymentat maturity applicableto apurchaser of the notes. The numbers appearing in the following table and
graphhave been rounded for ease of analysis.
Final Value
Index Return
Absolute Index Return
Total Returnon the
Notes
Payment at Maturity
180.00
80.00%
N/A
109.60%
$2,096.00
165.00
65.00%
N/A
89.05%
$1,890.50
150.00
50.00%
N/A
68.50%
$1,685.00
140.00
40.00%
N/A
54.80%
$1,548.00
130.00
30.00%
N/A
41.10%
$1,411.00
120.00
20.00%
N/A
27.40%
$1,274.00
110.00
10.00%
N/A
13.70%
$1,137.00
105.00
5.00%
N/A
6.85%
$1,068.50
101.00
1.00%
N/A
1.37%
$1,013.70
100.00
0.00%
0.00%
0.00%
$1,000.00
95.00
-5.00%
5.00%
5.00%
$1,050.00
90.00
-10.00%
10.00%
10.00%
$1,100.00
85.00
-15.00%
15.00%
15.00%
$1,150.00
80.00
-20.00%
20.00%
20.00%
$1,200.00
70.00
-30.00%
N/A
-10.00%
$900.00
60.00
-40.00%
N/A
-20.00%
$800.00
50.00
-50.00%
N/A
-30.00%
$700.00
40.00
-60.00%
N/A
-40.00%
$600.00
30.00
-70.00%
N/A
-50.00%
$500.00
20.00
-80.00%
N/A
-60.00%
$400.00
10.00
-90.00%
N/A
-70.00%
$300.00
0.00
-100.00%
N/A
-80.00%
$200.00
PS-4| Structured Investments
Uncapped Dual Directional BufferedReturnEnhanced NotesLinkedto the S&P 500® Futures
Excess ReturnIndex
The following graph demonstratesthehypothetical payments at maturity on the notes for a range of Index Returns (-100% to 100%).
There canbe no assurance that the performance of the Index will result in the return of any of your principal amount in excess of
$200.00 per $1,000.00 principal amount note, subject to thecredit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the Notes Work
Index Appreciation Upside Scenario:
If theFinal Valueisgreater than the Initial Value, investors will receive at maturity the $1,000 principal amount plusa return equal to the
Index Returntimesthe Upside Leverage Factor of at least 1.37.
●Assuming ahypothetical Upside Leverage Factor of 1.37, if the closing levelof the Indexincreases 5.00%, investors will receive at
maturitya 6.85% return, or $1,068.50 per $1,000 principal amount note.
Index Par or Index Depreciation Upside Scenario:
If theFinal Valueisequal to the Initial Value or isless than the Initial Value by up to the Buffer Amount of 20.00%, investors will receive
at maturity the $1,000 principal amount plusa return equal to the Absolute IndexReturn.
●For example, if the closing level of the Index declines 10.00%, investors will receive at maturity a 10.00% return, or $1,100.00per
$1,000 principal amount note.
Downside Scenario:
If theFinal Valueisless than the Initial Value by more than theBuffer Amount of 20.00%, investors will lose 1% of the principal amount
of their notes for every 1% that the Final Value is less than the Initial Value by more than the Buffer Amount.
●For example, if the closing level of the Index declines60.00%, investors will lose 40.00%of their principal amount and receive only
$600.00per $1,000 principal amount note at maturity.
The hypothetical returnsand hypothetical payments on the notesshown above apply only if you hold the notes for their entire term.
These hypotheticals do not reflect the feesor expenses that would be associated withanysale inthesecondary market.If these fees
and expenses were included, the hypothetical returnsand hypothetical paymentsshown above would likely be lower.
PS-5| Structured Investments
Uncapped Dual Directional BufferedReturnEnhanced NotesLinkedto the S&P 500® Futures
Excess ReturnIndex
Selected Risk Considerations
An investment in the notesinvolvessignificant 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 donot guarantee any return of principal. If the Final Value is less than the InitialValuebymore than 20.00%, you will
lose 1%of the principal amount of your notes for every 1% that the Final Value is lessthan the Initial Valuebymore than 20.00%.
Accordingly, under these circumstances, you will lose up to 80.00%of your principal amount at maturity.
●YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER AMOUNT IF THE INDEX RETURN IS NEGATIVE -
Because the payment at maturity will not reflect the Absolute Index Return if the Final Value is less than the Initial Valueby more
than the Buffer Amount, the Buffer Amount is effectively a cap onyour return at maturity if the Index Return isnegative. The
maximum payment at maturity if the Index Return isnegative is$1,200.00 per $1,000 principal amount note.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.-
Investors are dependent on our and JPMorgan Chase & Co.'s ability to pay all amountsdue on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined bythe market for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you maynot receive any amounts owed to you under the notes and you could loseyour entire investment.
●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
-
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities and thecollection of intercompany obligations. Asidefrom the initial capital contribution fromJPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loansmade by us to
JPMorgan Chase & Co. or under other intercompany agreements. Asa result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcyor resolution of JPMorgan Chase & Co. we are not expected to havesufficient resources tomeet our obligations in
respect of the notesas they come due. If JPMorgan Chase& Co. does not make payments to us and we are unable tomake
payments on the notes, you may have toseek payment under the related guaranteebyJPMorgan Chase & Co., and that
guarantee will rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
●THE NOTES DO NOT PAY INTEREST.
●YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE E-MINI® S&P 500® FUTURES CONTRACTS (THE
"UNDERLYING FUTURES CONTRACTS") OR THE SECURITIES INCLUDED IN THE INDEX UNDERLYING THE
UNDERLYING FUTURES CONTRACTS.
●LACK OF LIQUIDITY-
The notes will not belisted on anysecurities exchange. Accordingly, theprice at which you maybe able to trade your notesis 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-termtrading 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 notesbased on the minimums for theestimated value of the notes and the
Upside Leverage Factor.
Risks Relating to Conflicts of Interest
●POTENTIAL CONFLICTS-
We and our affiliatesplay avarietyof roles in connection with thenotes. In performingthese duties, our andJPMorgan Chase &
Co.'seconomic interests are potentially adverse toyour interests as an investor in the notes. Itispossible 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 "RiskFactors-Risks Relating to Conflicts of Interest" in the accompanying product
supplement.
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
●THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES -
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the
notes will exceed the estimated valueof the notesbecause costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costsinclude theselling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notesandthe estimated cost ofhedging
our obligations under the notes. See "The Estimated Valueof 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.
PS-6| Structured Investments
Uncapped Dual Directional BufferedReturnEnhanced NotesLinkedto the S&P 500® Futures
Excess ReturnIndex
●THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determinationof the estimated value of the notes maydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, among other things, our and our affiliates' view of thefunding valueof the notes as well as the higher issuance,
operational and ongoingliability management costs of the notes in comparison to those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potentialchanges tothat ratemay have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Valueof the Notes" in thispricing supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME
PERIOD -
We generallyexpect that some of the costs included in theoriginal issue price of the noteswill be partiallypaid back to you in
connection with any repurchases of your notesbyJPMS in an amount that will decline to zero over an initial predetermined period.
See "Secondary Market Prices of the Notes" in thispricing supplementfor additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the valueof the notesaspublished by
JPMS (and which may be shown onyour customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondarymarket prices take into account our internal secondarymarket funding rates for structureddebt issuances and,
also, because secondarymarket prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included intheoriginal issue price of the notes. As a result, the price, if any, at which JPMS will be willing tobuy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
the Maturity Datecould result in a substantialloss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes duringtheir term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom theselling commissions, projected hedging profits, if any, estimatedhedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publish aprice for
the notes, whichmay also be reflectedoncustomer account statements. This price may be different (higher or lower) than the price
of thenotes, 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 SecondaryMarket Prices of the Notes- Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in the accompanying product supplement.
Risks Relating to the Index
●JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®INDEX, THE INDEX
UNDERLYING THE UNDERLYING FUTURES CONTRACTS OF THE INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking anycorporate action that might affect
the level of the Index.
●THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS -
The Index tracks the excess return of the Underlying FuturesContracts. The price of an UnderlyingFutures Contract depends not
only on the level of the underlying index referencedbythe UnderlyingFutures 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, geopoliticalevents,
governmental and regulatorypolicies and the policies of the Chicago Mercantile Exchange (the "Exchange") on which the
Underlying Futures Contracts trade. In addition, the futuresmarketsaresubjectto temporary distortionsor other disruptions due to
variousfactors, including the lackof liquidity in the markets, the participation of speculators and government regulation and
intervention. These factorsand otherscan 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 thevalue of,your notes.
●SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY
AFFECT THE VALUE OF YOUR NOTES -
Futures marketsare subject to temporary distortions or other disruptionsdue to various factors, includinglack of liquidity, the
participation of speculators, and government regulation and intervention. In addition, futures exchanges generally have regulations
that limit the amount of the Underlying Futures Contract price fluctuations that may occur in a single day. These limits are
generally referred to as "dailyprice fluctuation limits" and the maximum or minimum price of a contract on any given day as a result
of those limits is referred to as a "limit price." Once the limit pricehas been reached in a particular contract, no tradesmay be
made at a price beyond the limit, or trading may be limited for a set period of time. Limit priceshave the effect of precluding trading
in aparticular contract or forcing the liquidation of contractsat potentially disadvantageous times or prices. These circumstances
could delay the calculation of the level of the Index and could adverselyaffect the level of the Index and anypaymentson, 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 varietyof factorscanlead to a disparitybetween the performance of a futures contract on an equity index and the performance
of that equity index, including the expected dividendyields of the equitysecuritiesincludedin that equity index, an implicit financing
cost associated with futures contracts and policies of the exchange on which the futurescontracts are traded, such as margin
requirements. Thus, a decline in expected dividends yields or an increase in margin requirements mayadversely 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 highmarket interest rates, the Indexis likely to
underperform the equity indexunderlying the Underlying Futures Contracts, perhaps significantly.
PS-7| Structured Investments
Uncapped Dual Directional BufferedReturnEnhanced NotesLinkedto the S&P 500® Futures
Excess ReturnIndex
●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 FuturesContracts. Unlike common equitysecurities, futures contracts, by
their terms, have statedexpirations. As the exchange-traded Underlying Futures Contractsapproach expiration, they are replaced
by contracts of the same series that have a later expiration. For example, an Underlying Futures Contract notionally purchased
and heldin June mayspecifya September expiration date. As time passes, the contract expiring in September is replaced by a
contract for delivery in December. This is accomplished by notionallyselling the September contract and notionally purchasing the
December contract. Thisprocessis referred to as "rolling." Excluding other considerations, if prices are higher in the distant
delivery months than in the nearer deliverymonths, the notional purchase of the December contract would take place at a price
that is higher than the price of the September contract, thereby creatinga negative "roll return." Negative roll returns adversely
affect the returnsof the Underlying Futures Contracts and, therefore, the levelof the Indexand any payments on, and the value of,
the notes. Because of the potential effects of negative roll returns, it ispossible for the level of the Index todecrease significantly
over time, even when the levels of the underlyingindex referenced by the Underlying Futures Contracts are stable or increasing.
●OTHER KEY RISK:
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.
The Index
The Index measurestheperformance of the nearest maturing quarterly UnderlyingFutures Contractstrading on the Chicago Mercantile
Exchange (the "Exchange"). The UnderlyingFutures Contracts are U.S.dollar-denominated futurescontracts based onthe S&P 500®
Index. The S&P 500® Index consists of stocks of 500 companies selected toprovidea performance benchmark for the U.S. equity
markets. For additional information about the Index and the Underlying Futures Contracts, see Annex A in this pricing supplement.
Historical Information
The following graph sets forth the historical performance of the Index based on the weeklyhistorical closing levelsof the Index from
January4, 2019 through October 25, 2024. The closing level of the Indexon October 28, 2024 was 496.69. We obtainedthe closing
levelsabove and below from the Bloomberg Professional®service ("Bloomberg"), without independent verification.
The historical closing levels of the Index should not be taken as an indication of future performance, and no assurance can be given as
to theclosing level of the Index on the Pricing Date or the Observation Date. There canbe no assurance that the performance of the
Index will result in the return of anyof your principal amount in excess of $200.00 per $1,000.00 principal amount note, subject to the
credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Historical Performance of the S&P 500® Futures ExcessReturn Index
Source: Bloomberg
PS-8| Structured Investments
Uncapped Dual Directional BufferedReturnEnhanced NotesLinkedto the S&P 500® Futures
Excess ReturnIndex
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal IncomeTax Consequences" in the accompanyingproduct
supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal incometax consequences of owning and disposing of notes.
Based oncurrent market conditions, in the opinion of our special tax counselit is reasonable to treat the notes as "open transactions"
that are not debt instrumentsfor U.S. federal income tax purposes, as more fully described in "Material U.S. Federal Income Tax
Consequences- Tax Consequences to U.S. Holders- Notes Treated as Open Transactions That Are Not Debt Instruments" in the
accompanying product supplement. Assumingthis treatment is respected, the gainor losson your notes should be treated aslong-term
capitalgain or loss if you hold your notes for more than a year, whether or not you are an initialpurchaser of notes at the issueprice.
However, the IRS or acourt may not respect thistreatment, in which case the timing and character of any income or loss on the notes
could be materially and adverselyaffected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the
U.S. federal incometax treatment of "prepaid forward contracts" and similar instruments. The noticefocuses in particular onwhether to
require investors in theseinstruments to accrue income over the term of their investment. It also asks for comments onanumber of
related topics, including thecharacter of income or loss with respect to theseinstruments; the relevance of factorssuch asthe nature of
the underlying property to which the instruments are linked; the degree, if any, to which income (includingany mandated accruals)
realizedbynon-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject tothe
"constructive ownership" regime, whichverygenerallycan operate to recharacterize certain long-termcapital gain as ordinary income
and impose a notional interest charge. While the noticerequestscomments onappropriate transition rulesand effective dates, any
Treasury regulationsor other guidance promulgated after consideration of these issues couldmateriallyandadverselyaffect the tax
consequences of an investment in the notes, possibly with retroactive effect. You should consult your taxadviser regarding the U.S.
federal income tax consequencesof an investment in the notes, including possible alternative treatments and the issuespresented by
thisnotice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% withholding
tax (unlessan income tax treaty applies) on dividend equivalentspaid or deemedpaid 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 fromthescope of Section 871(m) instruments issuedprior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could payU.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made byus, we expect that Section 871(m) will
not apply tothenotes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, andthe IRS may disagree with this
determination. Section 871(m) iscomplex and its application maydependon your particular circumstances, including whether you enter
intoother transactions with respect to an Underlying Security. If necessary, further information regarding the potentialapplicationof
Section 871(m) will be provided in the pricingsupplement for the notes. You should consult your tax adviser regarding the potential
application of Section 871(m) to thenotes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement isequal to thesum of thevalues of thefollowing
hypothetical components: (1) a fixed-income debt component with the same maturityasthe notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlyingthe 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 estimatedvalueof the notesmaydiffer from the market-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifferencemay be
based on, among other things, our and our affiliates'view of the funding value of the notesas well as the higher issuance, operational
and ongoing liabilitymanagement costs of thenotesin comparison tothose costs for the conventional fixed income instruments of
JPMorgan Chase & Co. This internal funding rate is based on certain market inputsand assumptions, which mayprove to be incorrect,
and is intended to approximate theprevailingmarket replacement funding rate for the notes. The use of an internal funding rate and
anypotential changes to that rate mayhave an adverse effect on the terms of the notesand 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 Derivedby Reference to an Internal Funding Rate" in thispricing supplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing modelsof our
affiliates. These modelsare dependent on inputs such asthetradedmarket prices of comparablederivative instruments and onvarious
other inputs, some of which are market-observable, and which can includevolatility, 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 aresetbased on market conditions and other relevant factors and assumptions existing at that time.
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The estimated value of the notes doesnot represent future values of the notes and may differ from others' estimates. Different pricing
modelsand assumptionscould 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
futuredates, the value of the notescould change significantly based on, among other things, changes in market conditions, our or
JPMorgan Chase & Co.'s creditworthiness, interest ratemovements and other relevant factors, which may impact the price, if any, at
which JPMS would be willingto buy notesfromyou in secondary market transactions.
The estimated value of the notes will be lower than the original issue price of the notes because costs associated with selling,
structuring and hedging the notes are included in the originalissue price of the notes. These costsinclude the selling commissions paid
to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliatesexpect to realize for assuming risks
inherent in hedging our obligations under the notesandtheestimated cost of hedging our obligationsunder thenotes. Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that
ismoreor 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 toother 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 Valueand SecondaryMarket Prices of theNotes-The
Estimated Value of the NotesWill Be Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricingsupplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see "Risk Factors- Risks Relating to the
Estimated Value and Secondary Market Pricesof the Notes - Secondary market prices of the notes will beimpacted bymany
economic and market factors" in the accompanying product supplement. In addition, we generally expect that some of thecosts
included in the original issue price of the notes willbe partially paid back toyou in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costscan include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structureddebt issuances. Thisinitial predetermined time period is intended to betheshorter of sixmonthsandone-half of the
stated term of thenotes. Thelengthof any such initial period reflects the structure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as
determined by our affiliates. See "Selected Risk Considerations- Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes-The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a LimitedTime Period" in this pricingsupplement.
Supplemental Use of Proceeds
The notes areoffered to meet investordemand 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 thenotes and "The Index" in this pricing supplement for a description of the market exposure provided by the notes.
The originalissue price of thenotes is equal to the estimated value of the notes plus the selling commissions paidtoJPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under thenotes, plus the estimated cost of hedging our obligations under the notes.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying theapplicable
agent. We reserve the right to change the terms of, or rejectanyoffer to purchase, the notes prior totheir issuance. In the event of any
changes to the terms of the notes, we will notifyyou and youwill be asked to accept such changes in connection withyour purchase.
You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should read thispricing supplement together with theaccompanyingprospectus, as supplemented bythe accompanying
prospectussupplement 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 accompanyingunderlying
supplement. This pricingsupplement, together with the documents listed below, contains the terms of the notesand supersedes all
other prior or contemporaneous oral statements as well as any other writtenmaterialsincludingpreliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. You shouldcarefully consider, among other things, the mattersset forthin the "Risk Factors" sections of theaccompanying
prospectussupplement and the accompanying product supplement and in Annex A to the accompanying prospectusaddendum, as the
notes involve risksnot associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
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You may accessthesedocuments onthe SEC websiteat www.sec.gov asfollows (or if such addresshas 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-Idated April 13, 2023:
●Prospectus supplement and prospectus, each dated April 13, 2023:
●Prospectus addendum datedJune 3,2024:
Our CentralIndex Key, orCIK, ontheSEC websiteis1665650,and JPMorganChase & Co.'sCIK is19617. Asused inthis pricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.
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Annex A
The S&P 500®Futures Excess Return Index
All information contained in this pricing supplement regarding the S&P 500®Futures Excess Return Index (the "SPX Futures Index"),
including, without limitation, its make-up, method of calculation andchanges in its components, hasbeen derived from publicly
available information, without independent verification. Thisinformation reflects the policies of, and is subject to change by, S&P Dow
Jones Indices LLC ("S&P Dow Jones"). The SPX FuturesIndexiscalculated, maintainedand published by S&P Dow Jones. S&P Dow
Jones hasno obligation to continue to publish, and maydiscontinue the publication of, theSPX Futures Index.
The SPX Futures Index is reported by Bloomberg L.P.under the ticker symbol "SPXFP."
The SPX Futures Index measures the performance of the nearest maturing quarterly E-mini®S&P 500® futurescontracts (Symbol: ES)
(the "Underlying Futures Contracts") trading on the Chicago Mercantile Exchange (the "Exchange"). E-mini® S&P 500®futures
contracts are U.S. dollar-denominated futurescontracts based on the S&P 500® Index. For additional informationabout the S&P 500®
Index, see "Equity Index Descriptions -The S&P U.S. Indices" inthe accompanying underlying supplement. The SPX FuturesIndex
is calculated real-time from the price change of the Underlying Futures Contracts. The SPX Futures Index is an "excess return" index
that is based on price levels of the Underlying Futures Contracts as well as the discount orpremiumobtained by "rolling" hypothetical
positions in the Underlying Futures Contractsasthey approach delivery. The SPX FuturesIndex does not reflect interest earned on
hypothetical, fully collateralized contract positions.
Index Rolling
As each Underlying Futures Contract approachesmaturity, it is replaced by thenext maturing Underlying Futures Contract in a process
referred to as "rolling." The rollingof the SPX Futures Indexoccurs quarterly over a one-day rolling period (the "rollday") every March,
June, September and December, effectiveafter thecloseof trading five businessdays preceding the last trading date of the maturing
Underlying Futures Contract.
On anyscheduled roll day, the occurrence of either of the following circumstances will result in an adjustment of the roll day according
to theprocedure set forth in this section:
●An exchange holiday occurs on that scheduled roll day.
●The daily contract price of any Underlying Futures Contract within the indexon that scheduled roll day is a limit price.
If either of the above eventsoccur, the relevant roll day will take place on the next designated commodityindex businessday whereby
noneof the circumstances identified take place.
If a disruption is approaching the last trading day of a contract expiration, the Index Committee (defined below) willconvene to
determine the appropriatecourse of action, whichmay include guidance from the Exchange.
The Index Committee may change the date of a given rebalancing for reasons including market holidays occurring on or around the
scheduled rebalancing date. Any such change will beannounced with proper advance notice wherepossible.
Index Calculations
The closing levelof the SPX Futures Indexon any trading day reflects the change in the daily contract price of the Underlying Futures
Contract since the immediately precedingtrading day. On eachquarterly roll day, the closing level of the SPX Futures Index reflects
the change from the daily contract price of the maturing Underlying Futures Contract on the immediatelypreceding trading dayto 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 the Exchange fails
to open due to unforeseencircumstances, such as natural disasters, inclement weather, outages, or other events, the SPX Futures
Index usesthe prior daily contract prices. In situations where the Exchange is forced to close early due to unforeseen events, such as
computer or electric power failures, weather conditions or other events, S&P Dow Jonescalculates theclosing level of the SPX Futures
Index basedon (1) the dailycontract price publishedbytheExchange, or (2) if no daily contract price is available, the Index Committee
determines thecourse of action and notifies clients accordingly.
Index Correctionsand Recalculations
S&P Dow Jones reserves the right to recalculate an index at its discretion in the event that settlement prices are amended or upon the
occurrence of a missed indexmethodology event (deviation from what is stated in themethodology document).
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Index Governance
An S&P Dow Jones indexcommittee (the "Index Committee") maintains the SPX Futures Index. All committee membersare full-time
professional members of S&P Dow Jones' staff. The Index Committee may revise index policycovering rules for including currencies,
the timing of rebalancing or other matters. The Index Committeeconsiders information about changes to the SPX Futures Index and
related matters to be potentially market moving and material.Therefore, all Index Committee discussions are confidential.
The Index Committees reserve the right tomake exceptions when applying the methodology of the SPX Futures Index if the need
arises. In anyscenario where the treatment differs from thegeneral rules stated in this document or supplemental documents, notice
will be provided, whenever possible.
In addition to the dailygovernanceof the SPX Futures Indexandmaintenance of itsindex methodology, at least once within any12-
month period, the Index Committee reviews the methodology toensure the SPX Futures Index continues to achieve the stated
objectives, and that the data and methodology remaineffective. In certain instances, S&P Dow Jonesmay publish a consultation
inviting comments from external parties.
License Agreement
JPMorgan Chase & Co. or itsaffiliate has entered into anagreement with S&P Dow Jonesthat provides it and certainof its affiliates or
subsidiaries, includingJPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the SPX Futures Index,
whichisowned and published by S&P Dow Jones, inconnection withcertain securities, including the notes.
The notes arenot sponsored, endorsed, sold or promoted by S&P Dow Jonesor its third-party licensors. Neither S&P Dow Jones nor
its third-party licensors make any representation or warranty, express or implied, to the owners of the notes or any member of the public
regarding the advisabilityof investing in securities generally or in the notes particularlyor the ability of the SPX Futures Index to track
general stock market performance. S&P Dow Jones' and its third-party licensors' only relationship to JPMorgan Financial or JPMorgan
Chase & Co. is the licensing of certain trademarksand tradenames of S&P Dow Jones and the third-party licensors and of the SPX
Futures Index which is determined, composedand calculated by S&P Dow Jones or its third-partylicensors without regard to JPMorgan
Financial or JPMorgan Chase & Co. or the notes. S&P Dow Jones and its third-party licensors haveno obligation to take the needs of
JPMorgan Financialor JPMorgan Chase & Co. or the owners of the notes intoconsideration indetermining, composing or calculating
the SPX Futures Index. Neither S&P Dow Jones nor its third-partylicensors are responsible for and hasnot participated in the
determination of the pricesand amount of the notes or the timing of the issuance or saleof the notes or in the determination or
calculation of the equation bywhich thenotes are to be convertedinto cash. S&P Dow Jones has no obligation or liabilityin connection
with the administration, marketing or trading of the notes.
NEITHER S&P DOW JONES, ITS AFFILIATES NOR THEIR THIRD-PARTY LICENSORS GUARANTEE THE ADEQUACY,
ACCURACY, TIMELINESS OR COMPLETENESS OF THE SPX FUTURES INDEX OR ANY DATA INCLUDED THEREIN OR ANY
COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC
COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES, ITS AFFILIATES AND THEIR THIRD-PARTY LICENSORS
SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P DOW
JONES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE SPX
FUTURES INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT
WHATSOEVER SHALL S&P DOW JONES, ITS AFFILIATES OR THEIR THIRD-PARTY LICENSORS BE LIABLE FOR ANY
INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES,INCLUDING BUT NOT LIMITED TO, LOSS OF
PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF
SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.
"S&P®" and "S&P 500®" are trademarks of S&PGlobal, Inc. or its affiliates and have beenlicensed for use by JPMorgan Chase & Co.
and its affiliates, includingJPMorgan Financial.
Background on Futures Contracts
Overview of FuturesMarkets
Futures contracts arecontracts that legallyobligate the holder to buyor sellan asset at apredetermined delivery price during a
specified futuretime period. Futures contracts are traded on regulatedfuturesexchanges, in the over-the-counter market and on
varioustypes of physical and electronic trading facilities and markets. Anexchange-traded futurescontract provides for the purchase
and sale of a specified type and quantity of anunderlyingasset or financial instrument during a stated deliverymonth for a fixed price.
A futures contract provides fora specified settlement monthin which the cashsettlement is made or in which the underlying asset or
financial instrument is to be delivered by theseller (whose position is therefore described as "short") and acquired by the purchaser
(whoseposition is therefore described as "long").
No purchase priceispaid or receivedon the purchase or sale of a futurescontract. Instead, an amount of cash or cash equivalents
must bedeposited with the broker as "initial margin." This amount varies based on the requirements imposedbytheexchange clearing
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houses, but it maybelower than 5% of the notional valueof the contract.This margin deposit provides collateral for theobligations of
the parties to the futurescontract.
By depositing margin, which may varyin formdepending on the exchange, with the clearing house or broker involved, a market
participant may be able to earn interest on its marginfunds, thereby increasing the total return that it may realize from aninvestment in
futures contracts.
In the United States, futurescontractsare traded on designated contract markets. At anytime prior to the expiration of a futures
contract, a trader may elect toclose out its position by taking an opposite position on the exchange on which the trader obtained the
position, subject to the availabilityof a liquid secondary market. This operates to terminatethe position and fix the trader's profit or loss.
Futures contracts arecleared through the facilities of a centralized clearing house and a brokerage firm, referred to asa "futures
commissionmerchant," which is a member of the clearing house.
Unlike commonequitysecurities, futures contracts, by their terms, have stated expirations. At a specific point in time prior to expiration,
trading in a futures contract for the current deliverymonth will cease. As a result, a market participant wishing to maintain itsexposure
to a futures contract on aparticular asset or financial instrument with the nearest expirationmust close out its position in the expiring
contract and establish a new positionin thecontract for the next delivery month, a process referred to as "rolling." For example, a
market participant with alongposition in a futures contract expiring in November who wishes to maintain a positionin thenearest
delivery month will, as the November contract nearsexpiration, sell the November contract, which serves to close out the existing long
position, and buy a futurescontract expiring in December. This will "roll" the November position into a December position, and, when
the November contract expires, themarket participant willstill have a longposition in the nearest deliverymonth.
Futures exchangesand clearing houses in the United States are subject to regulation by the CommodityFutures Trading Commission
(the "CFTC"). Exchanges mayadopt rules and takeother actions that affect trading, including imposingspeculative position limits,
maximum price fluctuationsand tradinghalts and suspensions and requiring liquidationof contractsin certain circumstances. Futures
marketsoutside the United Statesare generally subject to regulation by foreign regulatory authoritiescomparable to theCFTC. The
structureandnature of trading on non-U.S. exchanges, however, may differ fromtheabove description.
Underlying Futures Contracts
E-mini® S&P 500® futures contracts are U.S. dollar-denominated futures contracts, based on the S&P 500®Index, traded on the
Exchange, representing acontract unit of $50 multiplied by the S&P 500® Index, measured in cents per index point.
E-mini® S&P 500® futures contracts listed for the nearest nine quarters, for each March, June, September and December, and the
nearest three Decembers areavailable for trading. Trading of the E-mini® S&P 500® futures contracts will terminate at 9:30 A.M.
Eastern time on the third Friday of thecontract month.
The daily settlement prices of the E-mini® S&P 500® futures contractsare based on trading activity in the relevant contract (and in the
case of a lead month also being theexpiry month, together with trading activity onlead month-second monthspread contracts) onthe
Exchange during a specified settlement period. The final settlement price of E-mini®S&P 500® futures contracts is based on the
opening prices of the component stocksin the S&P 500®Index, determined on the third Fridayof the contract month.