JPMorgan Chase & Co.
10/31/2024 | Press release | Distributed by Public on 10/31/2024 04:19
Primary Offering Prospectus - Form 424B2
The information in this preliminary pricing supplement is notcomplete and maybe changed. This preliminary pricing supplement is not
an offer to sell nordoes itseek an offer tobuy these securitiesin any jurisdiction where the offer or sale is notpermitted.
Subjectto completion dated October 30,2024
November ,2024RegistrationStatement Nos. 333-270004and 333-270004-01; Rule 424(b)(2)
Pricingsupplement to product supplement no.4-I dated April 13,2023, underlying supplement no. 1-IdatedApril13,2023, theprospectus and
prospectus supplement, each dated April 13,2023,and the prospectusaddendum dated June 3, 2024
JPMorganChase FinancialCompany LLC
Structured Investments
Uncapped Dual Directional Accelerated Barrier Notes Linked
to the S&P 500® Futures Excess Return Indexdue November
27, 2030
Fully and UnconditionallyGuaranteed by JPMorgan Chase & Co.
•Thenotes are designed for investors whoseek an uncapped return of at least 1.80timesany appreciation of the S&P
Futures Excess Return 500®Index, which we refer to as the Index,at maturity.
•The notes arealso designed for investors who seek acapped, unleveraged return equal to the absolutevalue of any
depreciation of the Index at maturity (up to 40.00%) if the Final Valueisgreater than or equal to60.00%of the Initial
Value, which we refer to as the Barrier Amount.
•Investors should be willing to forgo interest payments and be willing to lose some or all of their principal amount at
maturity.
•The notes areunsecuredandunsubordinated obligations ofJPMorgan Chase Financial Company LLC, which we refer to
asJPMorgan 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., asguarantor of the notes.
•Minimum denominations of $1,000 and integral multiplesthereof
•Thenotes are expected to price on or about November 22, 2024 and are expected to settle on or about November 27,
2024.
•CUSIP: 48135VAR9
Investing in the notes involves a number of risks. See "Risk Factors"beginning on page S-2 of the accompanying
prospectus supplement,Annex A to the accompanying prospectus addendum, "Risk Factors" beginning on page PS-11
of the accompanying product supplement and "Selected Risk Considerations" beginning on page PS-4 of this pricing
supplement.
Neither the Securities and Exchange Commission (the"SEC") nor anystate securitiescommission has approved or disapproved
of thenotes or passed upon the accuracyor the adequacy of this pricing supplement or theaccompanying product supplement,
underlyingsupplement,prospectus supplement, prospectus and prospectusaddendum. Any representation to thecontrary is a
criminal offense.
Price to Public (1)
Feesand Commissions(2)(3)
Proceeds to Issuer
Per note
$1,000
$
$
Total
$
$
$
(1) See "Supplemental Use ofProceeds" in this pricing supplementfor information about thecomponents of theprice to publicof the
notes.
(2) J.P.Morgan Securities LLC, which werefer toasJPMS,acting as agent for JPMorganFinancial,willpay allof theselling
commissions it receives from us toother affiliated or unaffiliated dealers. Inno event willtheseselling commissions exceed$32.50
per $1,000 principal amountnote. See "Plan of Distribution (Conflicts ofInterest)" in the accompanyingproduct supplement.
(3) JPMS may pay astructuring fee of $9.00 per $1,000 principal amount note with respect to some or all ofthenotes to other affiliated
orunaffiliateddealers.
If the notes priced today, the estimated value of the notes would be approximately $941.90per $1,000 principal amount
note. The estimated valueof the notes, when the termsof the notes are set, will beprovided in the pricing supplement
and will not be less than $920.00 per $1,000 principal amount note. See"The Estimated Value of the Notes" in this
pricing supplement for additional information.
Thenotes are not bank deposits, are not insured by the FederalDeposit Insurance Corporation or any other governmentalagency
and are not obligations of, or guaranteedby, a bank.
PS-1| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess 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:At least 1.80(to be provided in the
pricingsupplement)
Barrier Amount:60.00% of the Initial Value
Pricing Date: On or about November 22, 2024
Original Issue Date (Settlement Date): On or about November
27, 2024
Observation Date*: November 22, 2030
Maturity Date*: November 27, 2030
* Subjectto postponement in theevent of amarket disruption event
and as described under"General Termsof Notes-Postponement
of a DeterminationDate - Notes Linkedtoa Single Underlying -
Notes Linkedto a SingleUnderlying (Other Than aCommodity
Index)"and "General Terms ofNotes -Postponement of a
Payment Date" in the accompanying product supplement
Payment at Maturity:
If theFinal Valueisgreater than the Initial Value, your payment
at maturityper $1,000 principal amount note will be calculated
as follows:
$1,000 + ($1,000 × Index Return × Upside Leverage Factor)
If theFinal Valueisequal to the Initial Valueor is less than the
Initial Valuebut greater than or equal to the Barrier Amount,
your payment at maturity per $1,000principal amount note will
be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return)
Thispayout formula results in an effective cap of 40.00% on
your returnat maturity if the Index Return isnegative. Under
these limited circumstances, your maximum payment at
maturityis$1,400.00 per $1,000 principalamount note.
If theFinal Value isless 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 40.00% of your principal amount at maturity and
could loseallof your principal amount atmaturity.
Absolute Index Return: Theabsolute value of the Index
Return. For example, if the Index Return is-5%, the Absolute
IndexReturn will equal5%.
Index Return:
(Final Value -Initial Value)
Initial Value
Initial Value:The closing level of the Indexon the Pricing Date
Final Value:The closing levelof the Index on the Observation
Date
PS-2| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess 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 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 reference index 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 the accompanying product supplement.
Notwithstandinganything to the contrary intheaccompanying product supplement, if a Determination Date (as defined in the
accompanying product supplement) has been postponed to the applicable Final DisruptedDetermination 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 onthat 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 calculation agent'sgood faith estimateof the applicablesettlement pricethat
would have prevailedbut for that suspension or limitation) at the close of the principal trading sessionon that dateof eachfutures
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 event of
manifest error or inconsistency, byamendment of this pricing supplement andthe correspondingterms of thenotes. 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 DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess Return Index
Hypothetical Payout Profile
The following tableand graph illustratethehypothetical total return and payment at maturityon the noteslinkedtoa hypothetical Index.
The"total return" as used in this pricing supplement is the number, expressed asa percentage, that results from comparing the
payment at maturity per $1,000 principal amount noteto $1,000. The hypothetical total returnsandpaymentsset forthbelow assume
the following:
•an Initial Value of 100.00;
•an UpsideLeverage Factor of 1.80; and
•a Barrier Amount of 60.00(equal to 60.00%of the hypotheticalInitial Value).
The hypotheticalInitial Value of 100.00 has been chosen for illustrativepurposes only andmaynot representa likely actualInitial
Value. The actualInitial Value will bethe closinglevelof the Index on the Pricing Date and will be providedin the pricingsupplement.
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 maynot be the
actual total return or paymentat maturity applicableto apurchaser of the notes. The numbers appearingin the followingtable and
graph have been rounded for ease of analysis.
Final Value
Index Return
Absolute Index Return
Total Returnon the Notes
Payment at Maturity
165.00
65.00%
N/A
117.00%
$2,170.00
150.00
50.00%
N/A
90.00%
$1,900.00
140.00
40.00%
N/A
72.00%
$1,720.00
130.00
30.00%
N/A
54.00%
$1,540.00
120.00
20.00%
N/A
36.00%
$1,360.00
110.00
10.00%
N/A
18.00%
$1,180.00
105.00
5.00%
N/A
9.00%
$1,090.00
101.00
1.00%
N/A
1.80%
$1,018.00
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
80.00
-20.00%
20.00%
20.00%
$1,200.00
70.00
-30.00%
30.00%
30.00%
$1,300.00
60.00
-40.00%
40.00%
40.00%
$1,400.00
59.99
-40.01%
N/A
-40.01%
$599.90
50.00
-50.00%
N/A
-50.00%
$500.00
40.00
-60.00%
N/A
-60.00%
$400.00
30.00
-70.00%
N/A
-70.00%
$300.00
20.00
-80.00%
N/A
-80.00%
$200.00
10.00
-90.00%
N/A
-90.00%
$100.00
0.00
-100.00%
N/A
-100.00%
$0.00
PS-4| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess Return Index
The following graph demonstratesthehypothetical payments at maturity on the notes for a rangeof Index Returns. There can beno
assurance that the performance of the Index will result in the return of any of your principal amount.
How the Notes Work
Index AppreciationUpsideScenario:
If theFinal Valueisgreater than the Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the
Index Returntimes the Upside Leverage Factor of at least 1.80.
•Assuming a hypotheticalUpside Leverage Factorof 1.80, if the closinglevel of the Indexincreases 10.00%, investors will receive
at maturity a return equalto18.00%, or $1,180.00 per $1,000 principal amount note.
Index Par or Index Depreciation Upside Scenario:
•If the Final Valueisequal to theInitial Value or isless than the InitialValue but greater than or equal to the Barrier Amount of
60.00% of the Initial Value, investors will receive at maturity the $1,000 principalamount plus a return equal to the Absolute Index
Return.
•For example, if theclosing level of the Index declines 10.00%, investors will receive at maturity a returnequal to 10.00%, or
$1,100.00 per $1,000 principal amount note.
Downside Scenario:
If theFinal Value isless than theBarrier Amount of 60.00%of the Initial Value, investors will lose 1%of the principal amount of their
notes for every 1% that the FinalValue is less than theInitialValue.
•For example, if theclosing 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 returnsand hypothetical paymentsshown above would likely be lower.
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 andproduct 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 Valueisless than the 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 40.00% of your principal amount at maturity and could loseall of your principalamount at
maturity.
PS-5| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess Return Index
•YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BARRIER 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 Barrier Amount, the
Barrier Amount effectivelycaps your return at maturity if the Index Return is negative. The maximum payment at maturity if the
Index Return is negative is$1,400.00 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 bythemarket 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. Aside from 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 have sufficient resources to meet our obligations in
respect of the notesas 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 toseek payment under the related guarantee byJPMorgan 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 theFinal Valueisless than the Barrier Amount, the benefitprovided bytheBarrier Amountwill terminate and you will be fully
exposed to any depreciation of theIndex.
•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 -
Thenotes will not be listed onanysecurities exchange.Accordingly, the price at which you may be able to trade your notes is
likelyto depend on the price, if any, at whichJPMS is willing to buy thenotes. Youmay notbe able to sellyournotes. The notes
are not designed to be short-term trading instruments. Accordingly, you should beable 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 performing these duties, our and JPMorgan Chase &
Co.'seconomic interests are potentially adverse toyour interests as an investor in the notes. It ispossiblethat 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 accompanyingproduct
supplement.
PS-6| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess Return Index
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
noteswill exceed the estimated valueof the notesbecause costs associatedwith selling, structuring and hedging thenotes are
included in the original issue price of the notes.Thesecosts includethe selling commissions, the structuring fee, if any, the
projected profits, if any, that our affiliates expect to realizefor assuming risksinherent in hedging our obligations under the notes
and the estimated cost of hedging our obligations under the notes. See "The Estimated Value of the Notes" in this pricing
supplement.
•THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS'ESTIMATES -
See"The Estimated Value of the Notes" in this pricing supplement.
•THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determinationof the estimated value of the notesmaydiffer from themarket-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 value of the notes as well as the higherissuance,
operational and ongoingliability management costs of the notes in comparisonto 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 the prevailing market replacement funding rate for the notes.The use of an
internal funding rateand any potential changes tothat ratemay havean adverse effect on the termsof the notes and any
secondarymarket prices of the notes.See"TheEstimated Value of 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 the original 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"SecondaryMarket Prices of the Notes" in this pricingsupplement for 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, secondary market prices take into account our internal secondarymarket funding rates for structured debt issuances and,
also, because secondarymarket prices (a) exclude the structuring fee, if any, and (b) mayexcludeselling commissions, projected
hedging profits, if any, andestimated hedging costs that are included in the originalissueprice of the notes.Asa result, the price,
if any, at which JPMS will be willing to buy the notesfrom you in secondarymarket transactions, if at all, is likelyto be lower than
the originalissue price. Any sale by you prior to the Maturity Date could 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 during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom theselling commissions, structuring fee, if any,projected hedging profits, if any,
estimated hedging costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers
maypublish a price for the notes, which may also be reflected oncustomer account statements. This price maybe different
(higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market.
See"Risk Factors-Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes- Secondary market prices
of thenotes will be impacted by manyeconomic and market factors" in the accompanying product supplement.
PS-7| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess Return Index
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 Underlying Futures Contract dependsnot
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, thefuturesmarketsare subject to temporary distortionsor other disruptionsdue to
variousfactors, including the lackof liquidity in the markets, the participation of speculators and government regulationand
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 "daily price fluctuation limits" and the maximum or minimum price of a contract on any given day as a result
of those limits is referred to as a "limit price."Once the limit price has been reached in a particular contract, no tradesmay 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 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 yieldsor an increase inmargin requirements mayadversely affect the
performance of the Index. In addition, theimplicit financing cost will negatively affect the performance of the Index, with agreater
negative effect when market interest rates are higher. During periodsof high market 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 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 expiringin 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 creating a 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, itispossible for the level of the Index todecrease significantly
over time, even when the levels of the underlying index 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
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess Return Index
The Index
TheIndex measurestheperformance of the nearest maturing quarterly UnderlyingFutures Contractstrading on the ChicagoMercantile
Exchange (the "Exchange"). The UnderlyingFutures Contracts are U.S. dollar-denominated futurescontracts 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 pricingsupplement.
Historical Information
The following graph setsforththe historical performance of theIndexbased on the weeklyhistorical closing levels of the Index from
January 4, 2019 through October 25, 2024. The closing level of the Index on October 28, 2024 was 496.69. We obtained the closing
levelsabove and below from the Bloomberg Professional® service ("Bloomberg"), without independent verification.
The historical closing levels of the Index should not be takenas an indication of future performance, andno assurancecan be given as
to the closing level of the Indexonthe Pricing Date or the Observation Date.There can be no assurance that the performance of the
Index will result in the return of anyof 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 withthat 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, asmorefully 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 gain or loss on your notes should be treated aslong-
termcapitalgain or loss if youhold your notes for more than a year, whether or not you arean initial purchaser of notes at the issue
price. However, the IRS or acourt may not respect this treatment, in which casethetiming andcharacter of any income or losson the
notes could be materiallyandadversely affected. Inaddition, in 2007Treasury and the IRS releaseda notice requesting comments on
the U.S. federal income taxtreatment of "prepaid forwardcontracts" and similar instruments.Thenotice focuses in particular on
whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as
the natureof the underlying property to which the instruments arelinked; the degree, if any, to which income (including any mandated
accruals) realizedbynon-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the"constructiveownership" regime, which very generallycanoperate to recharacterize certain long-termcapital gain as ordinary
income and impose a notional interest charge. While the notice requestscomments onappropriate transition rulesand effectivedates,
any Treasury regulations or other guidancepromulgated after consideration of theseissues couldmateriallyandadversely affect the
taxconsequences of an investment in the notes, possibly with retroactive effect. Youshould consult your taxadviser regardingthe
U.S. federal incometax consequences of an investment in the notes, including possiblealternative treatments and the issuespresented
by thisnotice.
PS-9| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess Return Index
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 deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable
Treasury regulations.Additionally, a recent IRS notice excludes fromthescopeof Section 871(m) instruments issued prior to January
1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income taxpurposes (each an "Underlying Security"). Based on certain determinations made by us, 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
thisdetermination. Section871(m) is complex and its application may depend on your particular circumstances, including whether you
enter intoother transactions with respect to an Underlying Security. If necessary, further information regarding the potential application
of Section 871(m) will be provided in the pricing supplement for the notes. You shouldconsult your tax adviser regarding the potential
application of Section 871(m) to thenotes.
The Estimated Value of the Notes
Theestimated value of the notes set forth on the cover of this pricing supplementisequal to thesum of the values of the following
hypothetical components: (1) a fixed-income debt component withthesame maturityasthe notes, valued usingthe internal funding
ratedescribed below, and (2) the derivative or derivatives underlyingtheeconomic 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 secondarymarket (if anyexists) at
any time.The internal funding rate used in the determination ofthe estimated valueof thenotes may differ from the market-implied
funding rate for vanilla fixed income instrumentsof asimilar maturityissued by JPMorganChase & Co. or its affiliates. Any difference
maybebased 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 the notesin comparisonto 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 beincorrect, and is intended to approximatetheprevailing market replacement funding rate for the notes. The use of an internal
funding rate and anypotential changes to that ratemay have an adverse effect on the terms of the notes and anysecondary 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 anInternalFunding Rate"in this
pricingsupplement.
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 inputssuch as the traded market prices of comparable derivative instruments and on
variousother inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments.Accordingly, theestimated value of thenotes is
determined when the termsof the notes are set based on market conditions and other relevant factors and assumptions existingat that
time.
Theestimated valueof the notesdoesnot represent future values of thenotes and may differ from others' estimates. Different pricing
modelsand assumptionscould 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 futuremay 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 secondarymarket transactions.
Theestimated value of the noteswill be lower than the original issue priceof the notes because costs associatedwith selling,
structuring and hedging the notes are included in the originalissue price of the notes.These costs include the selling commissions
paidto JPMS and other affiliated or unaffiliated dealers, thestructuring fee, if any, paidtoother affiliated or unaffiliated dealers, the
projected profits, if any, that our affiliates expect to realizefor assuming risksinherent in hedging our obligations under the notes and
the estimated cost of hedgingour obligations under the notes.Because hedgingour obligations entails risk and maybeinfluenced by
market forces beyond our control, thishedging may result ina profit that is more or lessthan expected, or it may result ina loss. A
portion of the profits, if any, realizedin hedging our obligations under the notes maybe allowed toother 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 Valueand SecondaryMarket Prices of theNotes-The Estimated Value of the Notes Will Be Lower Than the Original
Issue Price (Price to Public) of the Notes"in this pricing supplement.
PS-10| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess 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 beimpacted bymany
economic and market factors"in the accompanying product supplement.In addition, we generally expect that some of the costs
included in the original issue price of the notes 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 costs can includeselling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondarymarket funding rates
for structureddebt issuances.This initial predeterminedtime period is intended to be the shorter of sixmonths and one-half of the
stated term of thenotes.Thelengthof any such initial period reflects thestructure of the notes, whether our affiliatesexpect toearn a
profit inconnection with our hedging activities, the estimatedcosts 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 Limited Time Period" in this pricing supplement.
Supplemental Use of Proceeds
The notes areoffered to meet investor demand for products that reflect the risk-return profile andmarket exposure provided by the
notes.See "Hypothetical Payout Profile"and "How the Notes Work" in this pricing supplement for anillustration of the risk-return profile
of thenotes and"The Index" in this pricing supplement for adescription of the market exposure provided by the notes.
The originalissue price of thenotes is equal to the estimated value of the notesplus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus the structuring fee, if any, paid to other affiliated or unaffiliated dealers, plus(minus) the projected
profits (losses) that our affiliates expect to realize for assuming risksinherent inhedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
JPMS, acting asagent for JPMorgan Financial, will pay allof the selling commissionsit receives from us to other affiliated or unaffiliated
dealers. In no event will these selling commissionsexceed $32.50per $1,000 principal amount note. See "Planof Distribution
(Conflicts of Interest)" in the accompanying product supplement.
JPMS may pay astructuring fee of $9.00 per $1,000 principal amount note with respect to some or all of the notes to other affiliated or
unaffiliated dealers.
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 the applicable
agent.We reserve the right to change the terms of, or reject anyoffer to purchase, the notes prior to their issuance.In the event of any
changes to the terms of the notes, we will notifyyou and you will be asked toaccept 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 bytheaccompanying
prospectussupplement relating to our Series A medium-term notes of which these notes are a part,the accompanyingprospectus
addendumand 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 written materialsincluding preliminary or indicative pricing terms,
correspondence, trade ideas,structures for implementation, samplestructures, fact sheets, brochures or other educational materialsof
ours. Youshould carefullyconsider, 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.
You may access these documents on the SEC websiteat www.sec.gov as follows (or if such address has changed, by
reviewing our filings for the relevant date on the SEC website):
•Product supplement no. 4-I dated April 13, 2023:
•Underlying supplement no. 1-Idated April 13, 2023:
•Prospectus supplement and prospectus, each dated April 13, 2023:
PS-11| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess Return Index
•Prospectus addendum dated June 3, 2024:
Our CentralIndex Key, or CIK, on theSEC 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
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess 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. 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, the SPX 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 on the S&P 500® Index. For additional informationabout the S&P 500®
Index, see "Equity Index Descriptions -The S&P U.S. Indices" in the 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 orpremiumobtainedby "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 approaches maturity, it is replaced by the next maturing UnderlyingFutures 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, which may 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 immediately preceding trading day to the
daily contract price of the next maturing Underlying Futures Contract on that roll day.
The daily contract price of an Underlying Futures Contract will be the settlement price reported by the Exchange. If 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 unforeseenevents, such as
computer or electric power failures, weather conditions or other events, S&P Dow Jones calculates 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 the methodologydocument).
PS-13| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess 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 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 itsindexmethodology, 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 its affiliate has entered into an agreement with S&P Dow Jonesthat provides it and certain of its affiliates or
subsidiaries, including JPMorgan Financial, with a non-exclusive licenseand, for a fee, with the right to usethe SPX Futures Index,
which isowned and published by S&P Dow Jones, in connection 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 toJPMorgan Financialor 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 toJPMorgan
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 Financialor JPMorgan Chase & Co. or theowners 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 notesor 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 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®" aretrademarks of S&P Global, Inc. or its affiliates and have beenlicensed for use byJPMorgan 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 facilitiesand markets. An exchange-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 month in 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").
PS-14| Structured Investments
Uncapped Dual DirectionalAcceleratedBarrier NotesLinked to the
S&P 500® Futures Excess Return Index
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
houses, but it maybelower than 5% of the notional valueof the contract.This margin deposit providescollateral for the obligations of
the parties to thefuturescontract.
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 mayrealize from an investment in
futures contracts.
In the United States, futurescontractsare traded on designated contract markets.At any time prior to the expiration of a futures
contract, a trader may elect toclose out its position by taking an oppositeposition 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 as a "futures
commissionmerchant," which is a member of the clearing house.
Unlike commonequitysecurities, futures contracts, by their terms, have stated expirations.At a specificpoint 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 the nearest
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 inDecember. 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 TradingCommission
(the "CFTC"). Exchanges may adopt rules and take other actions that affect trading, including imposing speculative positionlimits,
maximum price fluctuationsand tradinghalts andsuspensions and requiring liquidation of contractsincertain 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 $50multiplied by 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. Tradingof 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 on lead month-second monthspread contracts) onthe
Exchange during a specified settlement period. The finalsettlement price of E-mini®S&P 500® futures contracts is basedon the
opening prices of the component stocksin the S&P 500®Index, determined on the third Fridayof the contract month.