JPMorgan Chase & Co.
10/30/2024 | Press release | Distributed by Public on 10/30/2024 14:33
Primary Offering Prospectus - Form 424B2
October 28,2024Registration Statement Nos. 333-270004and 333-270004-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlyingsupplement no. 1-I datedApril 13, 2023,
the prospectus and prospectus supplement, eachdated April 13, 2023, andthe prospectus addendum dated June 3, 2024
JPMorganChase FinancialCompanyLLC
Structured Investments
$381,000
UncappedAccelerated Barrier Notes Linked to the S&P500®
Futures Excess Return Indexdue November 1, 2029
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
•The notes are designed for investors who seek an uncapped returnof 1.7225 times any appreciation of the S&P 500®
Futures Excess ReturnIndexat maturity.
•Investors should be willing to forgo interest payments and be willing to losesome or all of their principal amount at
maturity.
•The notes areunsecuredand unsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, thepayment 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 integral multiplesthereof
•The notes priced on October28, 2024 and are expected to settle on or about October 31, 2024.
•CUSIP:48135UBS8
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 accompanyingprospectus addendum, "Risk Factors"beginning on page PS-11
of the accompanying product supplement and "Selected Risk Considerations" beginning on page PS-4 of this pricing
supplement.
Neither the Securities and Exchange Commission (the"SEC") nor anystate securities commission has approved or disapproved
of the notes or passed uponthe accuracyor the adequacy ofthis pricing supplement or theaccompanying product supplement,
underlying supplement, prospectus supplement, prospectus and prospectusaddendum.Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Fees and Commissions(2)
Proceeds to Issuer
Per note
$1,000
$41.0531
$958.9469
Total
$381,000
$15,641.25
$365,358.75
(1)See"Supplemental Use ofProceeds"in this pricing supplement for information about the components of the price to publicof the
notes.
(2)J.P. MorganSecurities LLC, which we refer toas JPMS, acting asagent for JPMorgan Financial, will pay all of the selling
commissions it receives fromus to other affiliated or unaffiliated dealers. These selling commissions will vary and will be up to $41.25
per $1,000 principalamount note. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.
The estimated value of the notes, whenthe terms of thenoteswere set, was $907.20per $1,000 principal amount note.
See "The Estimated Value of the Notes" in this pricing supplement for additional information.
Thenotes arenot bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteed by, a bank.
PS-1| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return 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 S&P 500®FuturesExcess ReturnIndex (Bloomberg
ticker: SPXFP)
Upside Leverage Factor: 1.7225
Barrier Amount:70.00% of the Initial Value, which is347.683
Pricing Date: October 28, 2024
Original Issue Date(Settlement Date): On or about October
31, 2024
Observation Date*: October 29, 2029
Maturity Date*:November 1,2029
* Subject to postponement in theevent of amarket disruption event
and as described under "General Terms of Notes -Postponement
of a DeterminationDate - NotesLinked toa Single Underlying -
Notes Linked to aSingle Underlying (Other Than aCommodity
Index)"and "General Terms of Notes -Postponement of a
Payment Date"in the accompanying productsupplement
Payment at Maturity:
If the Final Value isgreater than theInitial Value, your payment
at maturity per $1,000 principal amount note will be calculated
as follows:
$1,000 + ($1,000 × Index Return × Upside Leverage Factor)
If the Final Value isequal to the Initial Value or isless than the
Initial Valuebut greater than or equal to the Barrier Amount, you
will receivethe principal amount of your notes at maturity.
If theFinal Valueisless than the Barrier Amount, your payment
at maturity per $1,000 principal amount note will be calculated
as follows:
$1,000 + ($1,000 × Index Return)
If the Final Value isless than the Barrier Amount, you will lose
more than 30.00% of your principal amount at maturity and
could loseall of your principal amount atmaturity.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Indexon thePricing Date,
which was496.69
Final Value:The closing level of the Index on the Observation
Date
PS-2| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return 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 ExchangeAct"). The notes areoffered pursuant 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, 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 purposesof the accompanying product supplement, the Index will be deemedto be an Equity 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 securities included in the S&P 500®Index, whichis the reference index for the futures contractsincluded in the
Index. Notwithstanding the foregoing, the Index will be deemed to be a CommodityIndex for purposes of the section 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) andthat day is a Disrupted Day (as defined in the accompanying product supplement), the
calculation agent willdetermine theclosing 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 theofficial settlement price (or, if trading in the relevant futurescontract
has been materially suspended or materially limited, the calculation agent'sgood faith estimate of the applicablesettlement 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 any expiring futures contract in accordance
with the method of calculating the Index.
Any valuesof the Index, and any values derived therefrom, includedin this pricing supplement may be corrected, in the event of
manifest error or inconsistency, byamendment of thispricingsupplement and thecorrespondingterms of the notes. Notwithstanding
anything to the contraryin theindenture governing the notes, that amendment will becomeeffective without consent of the holders of
the notes or anyother party.
PS-3| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total return and payment at maturity on the noteslinked to a hypotheticalIndex.
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 noteto $1,000. Thehypothetical total returnsand payments set forthbelow assume
the following:
•an Initial Value of 100.00;
•an UpsideLeverage Factor of 1.7225; and
•a Barrier Amount of 70.00 (equal to 70.00%of the hypothetical Initial Value).
The hypothetical Initial Value of 100.00 hasbeen chosen for illustrativepurposes only and doesnot represent theactual Initial Value.
The actual Initial Valueis the closinglevel of the Indexon the Pricing Date and is specified under "Key Terms-Initial Value" in this
pricing supplement. For historical data regarding the actual closinglevels of the Index, please see the historical information set forth
under "The Index" in this pricing supplement.
Each hypothetical total returnor hypothetical payment at maturity set forth below is for illustrative purposes only and maynot be the
actual total return or paymentat maturity applicableto a purchaser of the notes. The numbers appearingin the following table and
graph have been rounded for ease of analysis.
Final Value
Index Return
Total Return on the Notes
Payment at Maturity
165.00
65.00%
111.9625%
$2,119.625
150.00
50.00%
86.1250%
$1,861.250
140.00
40.00%
68.9000%
$1,689.000
130.00
30.00%
51.6750%
$1,516.750
120.00
20.00%
34.4500%
$1,344.500
110.00
10.00%
17.2250%
$1,172.250
105.00
5.00%
8.6125%
$1,086.125
101.00
1.00%
1.7225%
$1,017.225
100.00
0.00%
0.000%
$1,000.000
95.00
-5.00%
0.000%
$1,000.000
90.00
-10.00%
0.000%
$1,000.000
80.00
-20.00%
0.000%
$1,000.000
70.00
-30.00%
0.000%
$1,000.000
69.99
-30.01%
-30.010%
$699.900
60.00
-40.00%
-40.000%
$600.000
50.00
-50.00%
-50.000%
$500.000
40.00
-60.00%
-60.000%
$400.000
30.00
-70.00%
-70.000%
$300.000
20.00
-80.00%
-80.000%
$200.000
10.00
-90.00%
-90.000%
$100.000
0.00
-100.00%
-100.000%
$0.000
PS-4| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
The following graph demonstratesthehypothetical payments at maturity on the notes for arangeof Index Returns. There can beno
assurance that the performance of the Index will result in thereturnof any of your principal amount.
How the Notes Work
Upside Scenario:
If the Final Value isgreater than theInitial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the
Index Return times the Upside Leverage Factor of 1.7225.
•If the closing level of the Index increases10.00%, investorswill receive at maturityareturn equal to 17.225%, or $1,172.25 per
$1,000 principal amount note.
Par Scenario:
If the Final Value isequal to the Initial Value or is less than the Initial Value but greater than or equal to the Barrier Amount of 70.00% of
the Initial Value, investors willreceiveat maturitythe principal amount of their notes.
Downside Scenario:
If theFinal Valueis less than theBarrier Amount of 70.00% of the Initial Value, investors willlose 1% of the principal amount of their
notes for every 1% that the Final Value is less than the Initial Value.
•For example, if the closing level of the Index declines 60.00%, investors will lose 60.00%of their principal amount and receive only
$400.00 per $1,000 principal amount note at maturity.
The hypothetical returnsand hypothetical payments on the notesshown above applyonlyif you hold the notes for their entire term.
These hypotheticals do not reflect the feesor expenses that would be associated with anysale in the secondarymarket. If these fees
and expenses were included, the hypothetical returnsandhypothetical paymentsshown above wouldlikely be lower.
Selected Risk Considerations
An investment in the notesinvolves 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 NotesGenerally
•YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS -
The notes donot guarantee any return of principal. If the Final Value isless thanthe Barrier Amount, 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 loseall of your principalamount at
maturity.
PS-5| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
•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, asdetermined by themarket for taking that credit
risk, is likely to adversely affect thevalue of the notes. If we and JPMorgan Chase & Co. were todefault on our payment
obligations, you maynot 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 financesubsidiary of JPMorgan Chase & Co., we have no independent operations beyond theissuance and administration of
our securities and thecollection of intercompany obligations. Aside from the initial capitalcontribution fromJPMorgan Chase &
Co., substantially all of our assets relate toobligations of JPMorgan Chase & Co. tomakepayments 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 keyoperating subsidiary of JPMorgan Chase & Co. and ina
bankruptcyor resolution of JPMorgan Chase & Co. we are not expectedto 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 rankpari passuwith all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
•THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE-
If the Final Value isless than the Barrier Amount, the benefitprovidedby the Barrier Amountwill terminate and you will be fully
exposed to anydepreciation of the Index.
•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.
•THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE LEVEL
OF THE INDEX IS VOLATILE.
•LACK OF LIQUIDITY -
The notes will not belisted onanysecurities exchange. Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at which JPMS is willing to buy thenotes. You may notbe able to sellyournotes. The notes
are not designedto 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 avariety of roles inconnection with thenotes. In performing these duties, our and JPMorgan Chase &
Co.'seconomic interests are potentially adverse to your interests as an investor in thenotes. It ispossiblethat hedging or trading
activities of ours or our affiliates inconnection with thenotescould 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 IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES -
The estimated value of thenotes is only an estimate determined by reference to several factors. The original issue price of the
notes exceedsthe estimated value of the notes because costs associated withselling, structuring and hedging the notesare
included in theoriginal issue price of the notes. These costs includethe selling 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
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
•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 themarket-implied funding
rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any difference may
be based on, among other things, our and our affiliates' view of thefunding value of the notes as well as the higherissuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixedincome
instrumentsof 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 rateand anypotentialchanges to that rate may have an adverse effect on the termsof 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 generallyexpect that some of the costs included in the original issue price of the noteswill be partiallypaid back toyou in
connection with any repurchases of your notesby JPMS in an amount that will decline to zero over an initial predetermined period.
See"SecondaryMarket Prices of the Notes" in this pricingsupplement for additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period maybe lower than the valueof the notesaspublished 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 willlikely be lower than the original issue price of the notes because, among other
things, secondary market prices take into account our internal secondarymarket funding rates for structured debt issuances and,
also, because secondarymarket prices may exclude sellingcommissions,projected hedging profits, if any, and estimated hedging
costs that are included inthe 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 secondarymarket 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 secondarymarket price of thenotes during their term will be impacted by a number of economic and market factors, which
mayeitheroffset or magnify each other, asidefrom the selling commissions,projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendorsand/or third party broker-dealers may publish a price for
the notes, whichmay 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 secondarymarket. See "Risk Factors-
Risks Relating tothe 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 any corporate 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 UnderlyingFuturesContract depends not
only on the level of the underlying index referenced bythe 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 regulatorypolicies 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 temporarydistortionsor other disruptions due to
various factors, including the lackof liquidity in the markets, the participation of speculators and government regulation and
intervention.These factorsand others can causethe pricesof 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.
PS-7| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
•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 variousfactors, including lack of liquidity, the
participation of speculators, and government regulationand intervention. In addition, futures exchanges generally have regulations
that limit the amount of the UnderlyingFutures 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 asa result
of those limits is referred to asa"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 contractsat potentially disadvantageous times or prices. These circumstances
could delay the calculationof 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 factorscan lead to a disparitybetween 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 securitiesincludedin 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 yieldsor 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 whenmarket interest rates are higher. During periods of highmarket interest rates, the Indexislikely to
underperform the equity indexunderlying 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 equitysecurities, futures contracts, by
their terms, have stated expirations. As the exchange-traded Underlying Futures Contractsapproachexpiration, they are replaced
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 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 delivery months, the notional purchase of the December contract would take place at a price
that is higher than the priceof the September contract, thereby creatinga 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 ispossible for the level of the Index to decrease significantly
over time, even when the levelsof the underlyingindex referenced by the Underlying Futures Contracts are stable or increasing.
•OTHER KEY RISK:
oTHE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO
WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST.
PS-8| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
The Index
TheIndex measures theperformance of the nearest maturing quarterly Underlying Futures Contractstrading on the Chicago Mercantile
Exchange (the "Exchange"). The UnderlyingFutures Contracts are U.S. dollar-denominated futures contracts based on the S&P 500®
Index. The S&P 500® Index consists of stocks of 500 companies selected to providea 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 forththe historical performance of theIndexbased on the weekly historical closing levelsof the Index from
January 4, 2019 through October 25, 2024. The closing level of the Index onOctober 28, 2024was 496.69. We obtained theclosing
levels above 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 the closing level of the Indexonthe Observation Date.There can be no assurance that the performance of the Index will result in the
return of any of your principal amount.
Tax Treatment
You should review carefully the section entitled "Material U.S. Federal Income Tax 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 income tax consequences of owning and disposing of notes.
Basedon current 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. Assuming this treatment is respected, the gainor loss on your notes should be treated aslong-
termcapitalgain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue
price. However, the IRS or acourt maynot respect this treatment, in which case thetiming and character of any income or losson the
notes could be materiallyand adversely affected. Inaddition, in 2007Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of "prepaid forwardcontracts"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 thecharacter of income or loss with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized bynon-U.S. investors should besubject to withholding tax; and whether these instruments are or should be subject
to the "constructive ownership" regime, which very generallycanoperate to recharacterizecertain long-termcapital gain as ordinary
income and impose a notionalinterest charge. While the notice requestscomments onappropriate transition rulesand effective dates,
any Treasury regulations or other guidancepromulgated after consideration of these issues could materiallyand adversely affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. You should consult your taxadviser regarding the
U.S. federal income tax consequences of an investment in the notes, includingpossiblealternative treatments and the issuespresented
by thisnotice.
PS-9| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
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 instrumentslinked toU.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 theapplicable
Treasury regulations. Additionally, a recent IRS notice excludes fromthescope of Section 871(m) instruments issued prior toJanuary
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividendsfor U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, our special taxcounselisof 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 shouldconsult your tax
adviser regarding the potential application of Section871(m) to the notes.
The Estimated Value of the Notes
Theestimated value of the notes set forth on the cover of this pricing supplementisequal to the sum of the values of the following
hypothetical components: (1) a fixed-incomedebt component with thesamematurityas the notes, valuedusing the internalfunding
ratedescribed 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 anyexists) at
any time.The internal funding rate used inthe determination of the estimated valueof the notes may differ from the market-implied
funding rate for vanilla fixed income instruments of asimilar maturityissued by JPMorgan Chase & Co. or its affiliates. Any difference
maybe based on, among other things, our and our affiliates'view of the funding value of the notes as well as the higherissuance,
operational and ongoingliability management costs of thenotes in comparison to those costs for the conventional fixed income
instrumentsof 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 theprevailing market replacement funding rate for the notes. The use of an internal
funding rate and anypotential 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 Pricesof the Notes- The Estimated Value of the NotesIs Derived by Reference to anInternal Funding Rate"in this
pricing supplement.
The value of the derivativeor derivatives underlying the economic terms of thenotes is derived from internal pricing modelsof our
affiliates.These modelsare dependent on inputssuch as the traded market prices of comparable derivative instrumentsand on
various other inputs, some of which aremarket-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about futuremarket events and/or environments.Accordingly, the estimated value of the notes is
determined when the termsof the notes areset basedon market conditions and other relevant factors and assumptions existing at that
time.
Theestimated value of thenotesdoesnot represent future values of thenotes andmay differ from others' estimates. Different pricing
modelsandassumptionscould provide valuations forthe 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 assumptionsmay prove to be incorrect.On
future dates, the value of the notes could changesignificantly 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
whichJPMS would be willing to buy notesfromyou in secondarymarket transactions.
Theestimated value of the notesis lower than the original issue priceof the notesbecause costs associated with selling, structuring
and hedging the notes are included in the originalissue price of the notes.These costsinclude the sellingcommissions 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 thenotes.Becausehedging our
obligations entails riskandmay be influenced by market forces beyond our control, thishedging 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 affiliatedor unaffiliated dealers, and weor 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 IsLower Than the Original Issue Price (Price to Public) of the Notes" inthispricing supplement.
PS-10| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
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 beimpactedby many
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in theoriginal issue price of the notes willbe partially paid back to you inconnection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initialpredetermined period.These costs can includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs andour internal secondary market funding rates
for structured debt issuances.This initial predeterminedtime period is intended to be the shorter of sixmonths and one-half of the
stated term of the notes.Thelengthof anysuch initialperiod reflects thestructure of the notes, whether our affiliatesexpect toearna
profit inconnection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred,as
determined byour 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 areoffered to meet investor demand for products that reflect the risk-returnprofile 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-returnprofile
of the notes and "The Index" in this pricing supplementfor 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 notesplus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as specialproducts counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offered by this pricing supplement have beenissued by JPMorganFinancialpursuant 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 suchnotes have beendelivered against payment as
contemplated herein, suchnotes 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 applicablebankruptcy,
insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, conceptsof good faith, fair dealing andthe lack ofbad faith),provided that such counsel
expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusionsexpressed above or (ii) any provision of the indenture that purports to avoid the effect offraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.'sobligationunder the related guarantee.
Thisopinion is given as of the date hereof and is limited to the laws of the State of New York, the General CorporationLaw of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinionis subject tocustomary assumptions about the
trustee's authorization, execution and delivery of the indenture andits authentication of the master note and thevalidity, binding nature
and enforceability of the indenture with respect to the trustee, all asstated in the letter of such counsel dated February 24, 2023, which
was filed asan 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 supplementedby theaccompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanyingprospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying underlying
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 written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, sample structures, fact sheets, brochures or other educational materialsof
ours. You shouldcarefullyconsider, among other things, the matters set forth in the "Risk Factors" sections of the accompanying
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.
PS-11| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
You may access these documentson the SEC website at www.sec.gov asfollows (or if such addresshaschanged, by reviewingour
filings for the relevant dateon 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 Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.'s CIK is 19617. As used inthispricing
supplement, "we," "us" and "our" refer to JPMorgan Financial.
PS-12| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
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 and changes in its components,hasbeen derived from publicly
available information, without independent verification. This information reflects the policies of, and is subject to change by, S&P Dow
Jones Indices LLC ("S&P Dow Jones"). The SPX Futures Index iscalculated, maintainedand published by S&P Dow Jones. S&P Dow
Jones hasno obligation to continue to publish, and may discontinue 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® futures contracts (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 onthe S&P 500® Index. For additional information about the S&P 500®
Index, see "Equity Index Descriptions-The S&P U.S. Indices" in theaccompanying 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 pricelevels of the Underlying Futures Contracts as wellas the discount orpremiumobtained by "rolling" hypothetical
positions in the Underlying Futures Contractsas they approach delivery. The SPX Futures Index does not reflect interest earnedon
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 SPX Futures Index occurs quarterly over a one-day rolling period (the "rollday") every March,
June, September and December, effective after the closeof trading five businessdays preceding the last trading date of the maturing
Underlying Futures Contract.
On any scheduled roll day, the occurrence of either of the followingcircumstances will result in an adjustment of the roll day according
to the procedure set forth in this section:
•An exchangeholiday occurs on that scheduled roll day.
•The daily contract price of any Underlying Futures Contract within theindexon that scheduled roll day is a limit price.
If either of the aboveeventsoccur, the relevant roll day will take place on the next designated commodity index businessday whereby
none of the circumstances identified take place.
If a disruption is approaching the last trading dayof a contract expiration, the Index Committee (defined below) will convene to
determine the appropriatecourse of action, whichmay include guidance from the Exchange.
The Index Committeemay change the date of a given rebalancing for reasons including market holidays occurring on or around the
scheduledrebalancing date. Any such change will beannounced with proper advance notice where possible.
Index Calculations
The closing levelof the SPX Futures Index on any trading day reflects the change in the daily contract price of the Underlying Futures
Contract since the immediately preceding trading day.On each quarterly 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 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 the Exchange fails
to open due to unforeseen circumstances, such asnatural disasters, inclement weather, outages, or other events, the SPX Futures
Index usesthe prior dailycontract prices. In situations where the Exchange is forced to close early due to unforeseenevents, such as
computer or electric power failures, weather conditions or other events, S&P Dow Jonescalculates the closing level of the SPX Futures
Index based on (1) the dailycontract pricepublishedby the Exchange, or (2) if no daily contract price is available, the Index Committee
determines the course of action and notifies clients accordingly.
Index Corrections and 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 index methodology event (deviation from what is stated in the methodologydocument).
PS-13| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
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 reviseindex policy covering rules for including currencies,
the timing of rebalancing or other matters. The Index Committee considers information about changes to the SPX Futures Indexand
related matters to be potentially market moving and material.Therefore, all Index Committee discussions are confidential.
The Index Committees reserve the right to make exceptions when applying the methodology of the SPX Futures Index if the need
arises. In anyscenario where the treatment differs from the general rules stated in this document or supplemental documents, notice
will be provided, whenever possible.
In addition to the dailygovernance of the SPX Futures Indexand maintenance of itsindexmethodology, at least once within any 12-
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 remain effective. In certain instances, S&P Dow Jones may publish a consultation
inviting comments from external parties.
License Agreement
JPMorgan Chase & Co. or its affiliate has entered into an agreement with S&P Dow Jones that provides it andcertain of its affiliates or
subsidiaries, including JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the SPX Futures Index,
whichis owned and publishedby S&P Dow Jones, inconnection withcertain securities, including the notes.
The notes arenot sponsored, endorsed, sold or promoted by S&P Dow Jones or 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 insecurities generallyor in the notes particularly or the ability of the SPX Futures Index to track
general stock market performance. S&P Dow Jones' and its third-party licensors' only relationship toJPMorgan Financialor JPMorgan
Chase & Co. is the licensing of certain trademarksand trade names of S&P Dow Jones and the third-party licensors and of the SPX
Futures Index which is determined, composed andcalculated 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 have no obligation to take the needs of
JPMorgan Financial or JPMorgan Chase & Co. or the owners of the notes into consideration 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 issuanceor sale of the notes or in the determination or
calculation of the equation bywhich thenotes are to be converted intocash. 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 FUTURESINDEX 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
FUTURESINDEX 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&P Global, Inc. or its affiliates and have beenlicensed for use byJPMorgan Chase & Co.
and its affiliates, including JPMorgan Financial.
Background on Futures Contracts
Overview of Futures Markets
Futures contracts are contracts that legallyobligate the holder to buyor sellan asset at a predetermined delivery price duringa
specified futuretime period. Futures contracts are traded onregulated futures exchanges, in the over-the-counter market and on
various typesof 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 anunderlying asset or financial instrument during a stated delivery month for a fixed price.
A futures contract provides fora specified settlement month in which the cash settlement ismade or in which the underlying asset or
financial instrument is to bedelivered by theseller (whose position is therefore described as "short") and acquired by the purchaser
(whose position is therefore describedas "long").
PS-14| Structured Investments
UncappedAccelerated Barrier Notes Linked to the
S&P 500®FuturesExcess Return Index
No purchase priceis paid or received on the purchase or sale of a futures contract.Instead, an amount of cash or cashequivalents
must be deposited with the broker as "initial margin." This amount varies based on the requirements imposedby the exchange clearing
houses, but it may belower than 5% of the notional value of the contract. This margin deposit providescollateral for theobligations of
the parties to the futurescontract.
By depositing margin, whichmay varyin formdepending on the exchange, with the clearing house or broker involved, a market
participant may be able to earn interest onits margin funds, thereby increasing the total return that it may realize from aninvestment in
futures contracts.
In the United States, futures contractsare 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 availabilityof a liquid secondary market. Thisoperates 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 toas a "futures
commission merchant," which is a member of theclearing house.
Unlike commonequity securities, futures contracts, by their terms, havestated 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 expiration must close out its positionin the expiring
contract andestablish a new position in the contract for the next delivery month, a process referred to as "rolling." For example, a
market participant with along position in a futures contract expiring in November who wishes to maintain a positionin the nearest
delivery month will, as the November contract nearsexpiration, sell the November contract, which serves to closeout theexisting long
position, and buy afuturescontract 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 longposition in the nearest deliverymonth.
Futures exchanges and clearing houses in the United States are subject to regulation by the CommodityFutures 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 liquidationof contractsin certaincircumstances. Futures
marketsoutside the United States are generally subject to regulation by foreign regulatory authorities comparable to the CFTC. The
structure andnature of trading on non-U.S. exchanges, however, may differ from the above 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 multipliedby the S&P 500® Index, measured in centsper 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 the contract month.
The daily settlement prices of the E-mini® S&P 500® futures contractsare based on trading activity in the relevant contract (andin the
case of a lead month also being the expirymonth, together with trading activity on lead month-second monthspread contracts) on the
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.