JPMorgan unveils uncapped buffered notes linked to SPXFP
JPMorgan Chase Financial Company LLC is offering Uncapped Buffered Return Enhanced Notes linked to the S&P 500® Futures Excess Return Index (Bloomberg: SPXFP).
JPMorgan Chase Financial Company LLC is offering Uncapped Buffered Return Enhanced Notes linked to the S&P 500® Futures Excess Return Index (Bloomberg: SPXFP). The notes mature on March 18, 2031, with an Upside Leverage Factor of at least 1.782 and a Buffer Amount of 20.00. If the Index rises, payment at maturity equals $1,000 plus Index Return × Upside Leverage Factor; if the Index falls by up to 20.00, you receive principal; if it falls by more than 20.00, you lose 1 of principal for each 1 below the buffer (up to an 80.00 loss).
The notes are unsecured obligations of JPMorgan Financial, fully and unconditionally guaranteed by JPMorgan Chase & Co. Expected pricing and settlement are on or about March 13, 2026 and March 18, 2026, respectively. Minimum denomination is $1,000. The pricing supplement discloses an estimated value of approximately $978.00 per $1,000 note at pricing and a minimum estimated value of $940.00. Key risks include credit risk of the issuer and guarantor, no interest payments, limited liquidity, negative roll/ futures-related risks, and tax treatment subject to counsel confirmation.
Positive
- None.
Negative
- None.
Insights
Product offers leveraged upside with a 20% downside buffer but significant issuer credit and liquidity risks.
The notes provide at least a 1.782 upside multiplier on positive Index returns and protect up to 20.00 of declines, converting deeper losses into proportional principal losses (up to 80.00). Payment formulas are explicit: participation on gains and linear loss beyond the buffer.
Dependence on futures roll dynamics and negative roll return risk means long-term Index performance can diverge materially from the cash S&P 500 Index. Secondary market pricing will likely be below the original issue price; investors should plan to hold to March 18, 2031.
Credit exposure to JPMorgan Financial and JPMorgan Chase & Co. is a primary value driver and tax treatment is provisional.
The notes are unsecured obligations of JPMorgan Financial with a guarantee from JPMorgan Chase & Co.. Any payment depends on both entities' creditworthiness; default could cause loss of entire principal. The estimated value is lower than the price because issuance and hedging costs are included in the public price.
The tax discussion treats the notes as “open transactions” not debt for U.S. federal income tax purposes, subject to confirmation by special tax counsel; adverse IRS treatment could materially change timing and character of income.
FAQ
AI-generated questions and answers. How Rhea-AI works. Not financial advice.
What are the key terms of the AMJB notes?
The notes mature on March 18, 2031 with an Upside Leverage Factor of at least 1.782. The notes include a 20.00% buffer against index declines and a minimum denomination of $1,000.
How much principal could I lose on AMJB structured notes?
You may lose up to 80.00% of principal at maturity if the Index falls more than 20.00%. Losses equal 1% of principal for each 1% the Final Value is below the Buffer Amount.
Who guarantees payments on the AMJB notes?
Payments are obligations of JPMorgan Chase Financial Company LLC and are fully and unconditionally guaranteed by JPMorgan Chase & Co.. Creditworthiness of both entities affects the value and payment.
What is the estimated value at pricing for AMJB notes?
The estimated value at the example pricing is approximately $978.00 per $1,000 note, and the pricing supplement states it will not be less than $940.00 per $1,000 note when terms are set.
Will AMJB notes pay interest or be easy to sell before maturity?
The notes do not pay interest. They will not be listed on an exchange and secondary market prices are likely to be lower than the original issue price, so holders should be prepared to hold to maturity.
AI-generated analysis. How Rhea-AI works. Not financial advice.
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Pricing supplement to product supplement no. 4-I dated April 13, 2023, underlying supplement no. 1-I dated April 13, 2023, the prospectus and
prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024
The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement
is not an offer to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated March 11, 2026
March , 2026 Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
JPMorgan Chase Financial Company LLC
Structured Investments
Uncapped Buffered Return Enhanced Notes Linked
to the S&P 500® Futures Excess Return Index due
March 18, 2031
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek an uncapped return of at least 1.782 times any appreciation of the S&P
500® Futures Excess Return Index, at maturity.
●Investors should be willing to forgo interest payments and be willing to lose up to 80.00% of their principal amount at
maturity.
●The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer
to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes are expected to price on or about March 13, 2026 and are expected to settle on or about March 18, 2026.
●CUSIP: 46660R5T7
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-5 of this pricing
supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved
of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement,
underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the contrary is a
criminal offense.
Price to Public (1) Fees and Commissions (2) Proceeds to Issuer
Per note $1,000 $ $
Total $ $ $
(1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions
it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $7.50 per $1,000 principal
amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
If the notes priced today, the estimated value of the notes would be approximately $978.00 per $1,000 principal amount
note. The estimated value of the notes, when the terms of the notes are set, will be provided in the pricing supplement
and will not be less than $940.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this
pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency
and are not obligations of, or guaranteed by, a bank.
PS-1 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked 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® Futures Excess Return Index (Bloomberg
ticker: SPXFP)
Upside Leverage Factor: At least 1.782 (to be provided in the
pricing supplement)
Buffer Amount: 20.00%
Pricing Date: On or about March 13, 2026
Original Issue Date (Settlement Date): On or about March 18,
2026
Observation Date*: March 13, 2031
Maturity Date*: March 18, 2031
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes —
Postponement of a Determination Date — Notes Linked to a
Single Underlying — Notes Linked to a Single Underlying (Other
Than a Commodity Index)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product
supplement
Payment at Maturity: If the Final Value is greater than the Initial
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 is equal to the Initial Value or is less than the
Initial Value by up to the Buffer Amount, you will receive the
principal amount of your notes at maturity.
If the Final Value is less than the Initial Value by more than the
Buffer Amount, your payment at maturity per $1,000 principal
amount note will be calculated as follows:
$1,000 + [$1,000 × (Index Return + Buffer Amount)]
If the Final Value is less than the Initial Value by more than the
Buffer Amount, you will lose some or most of your principal
amount at maturity.
Index Return:
(Final Value – Initial Value)
Initial Value
Initial Value: The closing level of the Index on the Pricing Date
Final Value: The closing level of the Index on the Observation
Date
PS-2 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked 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 Exchange Act”). The notes are offered pursuant to an exemption from regulation under the
Commodity Exchange Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or
more payments indexed to the value, level or rate of one or more commodities, as set out in section 2(f) of that statute. Accordingly,
you are not afforded any protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity
Futures Trading Commission.
For purposes of the accompanying product supplement, the Index will be deemed to be an Equity Index, except as provided below,
and any references in the accompanying product supplement to the securities included in an Equity Index (or similar references)
should be read to refer to the securities included in the S&P 500® Index, which is the reference index for the futures contracts
included in the Index. Notwithstanding the foregoing, the Index will be deemed to be a Commodity Index for purposes of the section
entitled “The Underlyings — Indices — Discontinuation of an Index; Alteration of Method of Calculation” in the accompanying
product supplement.
Notwithstanding anything to the contrary in the accompanying product supplement, if a Determination Date (as defined in the
accompanying product supplement) has been postponed to the applicable Final Disrupted Determination Date (as defined in the
accompanying product supplement) and that day is a Disrupted Day (as defined in the accompanying product supplement), the
calculation agent will determine the closing level of the Index for that Determination Date on that Final Disrupted Determination
Date in accordance with the formula for and method of calculating the closing level of the Index last in effect prior to the
commencement of the market disruption event (or prior to the non-trading day), using the official settlement price (or, if trading in
the relevant futures contract has been materially suspended or materially limited, the calculation agent’s good faith estimate of
the applicable settlement price that would have prevailed but for that suspension or limitation) at the close of the principal trading
session on that date of each futures contract most recently composing the Index, as well as any futures contract required to roll any
expiring futures contract in accordance with the method of calculating the Index.
Any values of the Index, and any values derived therefrom, included in this pricing supplement may be corrected, in the
event of manifest error or inconsistency, by amendment of this pricing supplement and the corresponding terms of the notes.
Notwithstanding anything to the contrary in the indenture governing the notes, that amendment will become effective without
consent of the holders of the notes or any other party.
PS-3 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the S&P 500® Futures Excess
Return Index
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total return and payment at maturity on the notes linked to a hypothetical
Index. The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing
the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below
assume the following:
●an Initial Value of 100.00;
●an Upside Leverage Factor of 1.782; and
●a Buffer Amount of 20.00%.
The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual
Initial Value. The actual Initial Value will be the closing level of the Index on the Pricing Date and will be provided in the pricing
supplement. For historical data regarding the actual closing levels of the Index, please see the historical information set forth under
“The Index” in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the
actual total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and
graph have been rounded for ease of analysis.
Final Value Index Return Total Return on the
Notes
Payment at Maturity
180.00 80.00% 142.560% $2,425.60
170.00 70.00% 124.740% $2,247.40
160.00 60.00% 106.920% $2,069.20
150.00 50.00% 89.100% $1,891.00
140.00 40.00% 71.280% $1,712.80
130.00 30.00% 53.460% $1,534.60
120.00 20.00% 35.640% $1,356.40
110.00 10.00% 17.820% $1,178.20
105.00 5.00% 8.910% $1,089.10
101.00 1.00% 1.782% $1,017.82
100.00 0.00% 0.000% $1,000.00
95.00 -5.00% 0.000% $1,000.00
90.00 -10.00% 0.000% $1,000.00
85.00 -15.00% 0.000% $1,000.00
80.00 -20.00% 0.000% $1,000.00
70.00 -30.00% -10.000% $900.00
60.00 -40.00% -20.000% $800.00
50.00 -50.00% -30.000% $700.00
40.00 -60.00% -40.000% $600.00
30.00 -70.00% -50.000% $500.00
20.00 -80.00% -60.000% $400.00
10.00 -90.00% -70.000% $300.00
0.00 -100.00% -80.000% $200.00
PS-4 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the S&P 500® Futures Excess
Return Index
The following graph demonstrates the hypothetical payments at maturity on the notes for a sub-set of Index Returns detailed in
the table above (-50% to 50%). There can be no assurance that the performance of the Index will result in the return of any of your
principal amount in excess of $200.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and
JPMorgan Chase & Co.
How the Notes Work
Upside Scenario:
If the Final Value is greater than the Initial 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 at least 1.782.
● Assuming a hypothetical Upside Leverage Factor of 1.782, if the closing level of the Index increases 10.00%, investors will
receive at maturity a return of 17.820%, or $1,178.20 per $1,000 principal amount note.
Par Scenario:
If the Final Value is equal to the Initial Value or is less than the Initial Value by up to the Buffer Amount of 20.00%, investors will
receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Initial Value by more than the Buffer Amount of 20.00%, investors will lose 1% of the principal
amount of their notes for every 1% that the Final Value is less than the Initial Value by more than the Buffer Amount.
● For example, if the closing level of the Index declines 50.00%, investors will lose 30.00% of their principal amount and receive
only $700.00 per $1,000 principal amount note at maturity.
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire
term. These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If
these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
PS-5 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the S&P 500® Futures Excess
Return Index
Selected Risk Considerations
An investment in the notes involves significant risks. These risks are explained in more detail in the “Risk Factors” sections of the
accompanying prospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.
●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the Final Value is less than the Initial Value by more than 20.00%, you
will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value by more than
20.00%. Accordingly, under these circumstances, you will lose up to 80.00% of your principal amount at maturity.
●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or
potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for
taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default
on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire
investment.
●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED
ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and
administration of our securities and the collection of intercompany obligations. Aside from the initial capital contribution from
JPMorgan Chase & Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under
loans made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon
payments from JPMorgan Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary of
JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient
resources to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co. does not make
payments to us and we are unable to make payments on the notes, you may have to seek payment under the related
guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated
obligations of JPMorgan Chase & Co. For more information, see the accompanying prospectus addendum.
●POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan
Chase & Co.’s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that
hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our
affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the
accompanying product supplement.
●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.
●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 Futures Contracts. The price of an Underlying Futures Contract
depends not only on the level of the underlying index referenced by the Underlying Futures Contract, but also on a range
of other factors, including but not limited to the performance and volatility of the U.S. stock market, corporate earnings
reports, geopolitical events, governmental and regulatory policies and the policies of the Chicago Mercantile Exchange (the
“Exchange”) on which the Underlying Futures Contracts trade. In addition, the futures markets are subject to temporary
distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of
speculators and government regulation and intervention. These factors and others can cause the prices of the Underlying
Futures Contracts to be volatile and could adversely affect the level of the Index and any payments on, and the value of, your
notes.
PS-6 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the S&P 500® Futures Excess
Return Index
●SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE UNDERLYING FUTURES CONTRACTS MAY
ADVERSELY AFFECT THE VALUE OF YOUR NOTES —
Futures markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity,
the participation of speculators, and government regulation and intervention. In addition, futures exchanges generally have
regulations that limit the amount of the Underlying Futures Contract price fluctuations that may occur in a single day. These
limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given
day as a result of those limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract, no
trades may be made at a price beyond the limit, or trading may be limited for a set period of time. Limit prices have the effect of
precluding trading in a particular contract or forcing the liquidation of contracts at potentially disadvantageous times or prices.
These circumstances could delay the calculation of the level of the Index and could adversely affect the level of the Index and
any payments on, and the value of, your notes.
●THE PERFORMANCE OF THE INDEX WILL DIFFER FROM THE PERFORMANCE OF THE INDEX UNDERLYING THE
UNDERLYING FUTURES CONTRACTS —
A variety of factors can lead to a disparity between the performance of a futures contract on an equity index and the
performance of that equity index, including the expected dividend yields of the equity securities included in that equity index,
an implicit financing cost associated with futures contracts and policies of the exchange on which the futures contracts are
traded, such as margin requirements. Thus, a decline in expected dividends yields or an increase in margin requirements may
adversely affect the performance of the Index. In addition, the implicit financing cost will negatively affect the performance of
the Index, with a greater negative effect when market interest rates are higher. During periods of high market interest rates, the
Index is likely to underperform the equity index underlying the Underlying Futures Contracts, perhaps significantly.
●NEGATIVE ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY
AFFECT THE LEVEL OF THE INDEX AND THE VALUE OF THE NOTES —
The Index tracks the excess return of the Underlying Futures Contracts. Unlike common equity securities, futures contracts,
by their terms, have stated expirations. As the exchange-traded Underlying Futures Contracts approach expiration, they are
replaced by contracts of the same series that have a later expiration. For example, an Underlying Futures Contract notionally
purchased and held in June may specify a September expiration date. As time passes, the contract expiring in September
is replaced by a contract for delivery in December. This is accomplished by notionally selling the September contract and
notionally purchasing the December contract. This process is referred to as “rolling.” Excluding other considerations, if prices
are higher in the distant delivery months than in the nearer delivery months, the notional purchase of the December contract
would take place at a price that is higher than the price of the September contract, thereby creating a negative “roll return.”
Negative roll returns adversely affect the returns of the Underlying Futures Contracts and, therefore, the level of the Index and
any payments on, and the value of, the notes. Because of the potential effects of negative roll returns, it is possible for the level
of the Index to decrease significantly over time, even when the levels of the underlying index referenced by the Underlying
Futures Contracts are stable or increasing.
●LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes
is likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The
notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to
maturity.
●THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
You should consider your potential investment in the notes based on the minimums for the estimated value of the notes and
the Upside Leverage Factor.
●THE TAX DISCLOSURE IS SUBJECT TO CONFIRMATION —
The information set forth under “Tax Treatment” in this pricing supplement remains subject to confirmation by our special tax
counsel following the pricing of the notes. If that information cannot be confirmed by our tax counsel, you may be asked to
accept revisions to that information in connection with your purchase. Under these circumstances, if you decline to accept
revisions to that information, your purchase of the notes will be canceled.
●THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES —
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the
notes will exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that
our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of
hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement.
PS-7 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the S&P 500® Futures Excess
Return Index
●THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
See “The Estimated Value of the Notes” in this pricing supplement.
●THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied
funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any
difference may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as
the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the
conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs
and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on
the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing
supplement.
●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED
TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial
period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as
published by JPMS (and which may be shown on your customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other
things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances
and, also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated
hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be
willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price.
Any sale by you prior to the Maturity Date could result in a substantial loss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
—
The secondary market price of the notes during their term will be impacted by a number of economic and market factors,
which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated
hedging costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may
publish a price for the notes, which may also be reflected on customer account statements. This price may be different (higher
or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See
“Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices
of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
●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.
The Index
The Index measures the performance of the nearest maturing quarterly Underlying Futures Contracts trading on the Chicago
Mercantile Exchange (the “Exchange”). The Underlying Futures Contracts are U.S. dollar-denominated futures contracts based
on the S&P 500® Index. The S&P 500® Index consists of stocks of 500 companies selected to provide a 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.
PS-8 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the S&P 500® Futures Excess
Return Index
Historical Information
The following graph sets forth the historical performance of the Index based on the weekly historical closing levels of the Index from
January 8, 2021 through March 6, 2026. The closing level of the Index on March 10, 2026 was 548.81. We obtained the closing
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 Index on the Pricing Date or the Observation Date. There can be no assurance that the
performance of the Index will result in the return of any of your principal amount in excess of $200.00 per $1,000 principal amount
note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Historical Performance of the S&P 500® Futures Excess Return Index
Source: Bloomberg
Tax Treatment
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. We expect to ask our special tax counsel to provide an opinion substantially consistent with the following
discussion at pricing.
Based on current market conditions, it is reasonable to treat the notes as “open transactions” that are not debt instruments for 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 gain or loss on your notes should be treated as long-term capital gain 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 a court
may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and
adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors
in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; 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 by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to
the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary
income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective
dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and
the issues presented by this notice.
PS-9 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked 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 (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with
respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain
exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements
set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m)
instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-
source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made
by us, we expect that Section 871(m) will 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. If necessary,
further information regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the
notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists)
at any time. The internal funding rate used in the determination of the estimated value of the notes may differ from the market-
implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any
difference may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher
issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed
income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which
may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use
of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
secondary market prices of the notes. For additional information, see “Selected Risk Considerations — The Estimated Value of the
Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on
various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other
factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is
determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at
that time.
The estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different
pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of
the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact
the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes will be lower than the original issue price of the notes because costs associated with selling,
structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions
paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes.
Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result
in a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our
obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will
retain any remaining hedging profits. See “Selected Risk Considerations — 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 Buffered Return Enhanced Notes Linked to the S&P 500® Futures Excess
Return Index
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices of the notes, see “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many
economic and market factors” in the accompanying product supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes
by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of
the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to
earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred,
as determined by our affiliates. See “Selected Risk Considerations — The Value of the Notes as Published by JPMS (and Which
May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a
Limited Time Period” in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See “Hypothetical Payout Profile” and “How the Notes Work” in this pricing supplement for an illustration of the risk-return
profile of the notes and “The Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of the notes plus the 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 obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the
applicable agent. We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance. In
the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection
with your purchase. You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying
prospectus supplement relating to our Series A medium-term notes of which these notes are a part, the accompanying prospectus
addendum and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and
supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the
accompanying prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by
reviewing our filings for the relevant date on the SEC website):
●Product supplement no. 4-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
●Underlying supplement no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
●Prospectus supplement and prospectus, each dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
●Prospectus addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing
supplement, “we,” “us” and “our” refer to JPMorgan Financial.
PS-11 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked 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, has been 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 is calculated, maintained and published by S&P Dow
Jones. S&P Dow Jones has no obligation to continue to publish, and may discontinue 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 futures contracts based on the S&P 500® Index. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement. The SPX
Futures Index 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 or premium obtained
by “rolling” hypothetical positions in the Underlying Futures Contracts as they approach delivery. The SPX Futures Index does not
reflect interest earned on hypothetical, fully collateralized contract positions.
Index Rolling
As each Underlying Futures Contract approaches maturity, it is replaced by the next maturing Underlying Futures Contract in a
process referred to as “rolling.” The rolling of the SPX Futures Index occurs quarterly over a one-day rolling period (the “roll day”)
every March, June, September and December, effective after the close of trading five business days preceding the last trading date
of the maturing Underlying Futures Contract.
On any scheduled roll day, the occurrence of either of the following circumstances will result in an adjustment of the roll day
according to the procedure 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 index on that scheduled roll day is a limit price.
If either of the above events occur, the relevant roll day will take place on the next designated commodity index business day
whereby none of the circumstances identified take place.
If a disruption is approaching the last trading day of a contract expiration, the Index Committee (defined below) will convene to
determine the appropriate course 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 be announced with proper advance notice where possible.
Index Calculations
The closing level of 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 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 unforeseen circumstances, such as natural disasters, inclement weather, outages, or other events, the SPX
Futures Index uses the prior daily contract prices. In situations where the Exchange is forced to close early due to unforeseen
events, such as computer or electric power failures, weather conditions or other events, S&P Dow Jones calculates the closing
level of the SPX Futures Index based on (1) the daily contract price published by 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 methodology document).
PS-12 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the S&P 500® Futures Excess
Return Index
Index Governance
An S&P Dow Jones index committee (the “Index Committee”) maintains the SPX Futures Index. All committee members are full-
time professional members of S&P Dow Jones’ staff. The Index Committee may revise index policy covering rules for including
currencies, the timing of rebalancing or other matters. The Index Committee considers 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 to make exceptions when applying the methodology of the SPX Futures Index if the need
arises. In any scenario 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 daily governance of the SPX Futures Index and maintenance of its index methodology, at least once within any
12-month period, the Index Committee reviews the methodology to ensure 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 and certain 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, which is owned and published by S&P Dow Jones, in connection with certain securities, including the notes.
The notes are not 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 advisability of investing in securities generally or 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 to JPMorgan
Financial or JPMorgan Chase & Co. is the licensing of certain trademarks and trade names of S&P Dow Jones and the third-
party licensors and of the SPX Futures Index which is determined, composed and calculated by S&P Dow Jones or its third-
party licensors 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 in determining, composing or calculating the SPX Futures Index. Neither S&P Dow Jones nor its third-party licensors
are responsible for and has not participated in the determination of the prices and amount of the notes or the timing of the issuance
or sale of the notes or in the determination or calculation of the equation by which the notes are to be converted into cash. S&P
Dow Jones has no obligation or liability in connection with the administration, marketing or trading of the notes.
NEITHER S&P DOW JONES, ITS AFFILIATES NOR THEIR THIRD-PARTY LICENSORS GUARANTEE THE ADEQUACY,
ACCURACY, TIMELINESS OR COMPLETENESS OF THE SPX FUTURES INDEX OR ANY DATA INCLUDED THEREIN OR ANY
COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC
COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES, ITS AFFILIATES AND THEIR THIRD-PARTY LICENSORS
SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P
DOW JONES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE SPX
FUTURES INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT
WHATSOEVER SHALL S&P DOW JONES, ITS AFFILIATES OR THEIR THIRD-PARTY LICENSORS BE LIABLE FOR ANY
INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS
OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY
OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.
“S&P®” and “S&P 500®” are trademarks of S&P Global, Inc. or its affiliates and have been licensed for use by JPMorgan Chase &
Co. and its affiliates, including JPMorgan Financial.
Background on Futures Contracts
Overview of Futures Markets
Futures contracts are contracts that legally obligate the holder to buy or sell an asset at a predetermined delivery price during a
specified future time period. Futures contracts are traded on regulated futures exchanges, in the over-the-counter market and
on various types of physical and electronic trading facilities and markets. An exchange-traded futures contract provides for the
purchase and sale of a specified type and quantity of an underlying asset or financial instrument during a stated delivery month
for a fixed price. A futures contract provides for a specified settlement month in which the cash settlement is made or in which
the underlying asset or financial instrument is to be delivered by the seller (whose position is therefore described as “short”) and
acquired by the purchaser (whose position is therefore described as “long”).
PS-13 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the S&P 500® Futures Excess
Return Index
No purchase price is paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents
must be deposited with the broker as “initial margin.” This amount varies based on the requirements imposed by the exchange
clearing houses, but it may be lower than 5% of the notional value of the contract. This margin deposit provides collateral for the
obligations of the parties to the futures contract.
By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market
participant may be able to earn interest on its margin funds, thereby increasing the total return that it may realize from an
investment in futures contracts.
In the United States, futures contracts are traded on designated contract markets. At any time prior to the expiration of a futures
contract, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained
the position, subject to the availability of a liquid secondary market. This operates to terminate the position and fix the trader’s profit
or loss. Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a
“futures commission merchant,” which is a member of the clearing house.
Unlike common equity securities, futures contracts, by their terms, have stated expirations. At a specific point in time prior to
expiration, trading in a futures contract for the current delivery month will cease. As a result, a market participant wishing to
maintain its exposure to a futures contract on a particular asset or financial instrument with the nearest expiration must close out
its position in the expiring contract and establish a new position in the contract for the next delivery month, a process referred to as
“rolling.” For example, a market participant with a long position in a futures contract expiring in November who wishes to maintain
a position in the nearest delivery month will, as the November contract nears expiration, sell the November contract, which serves
to close out the existing long position, and buy a futures contract expiring in December. This will “roll” the November position into
a December position, and, when the November contract expires, the market participant will still have a long position in the nearest
delivery month.
Futures exchanges and clearing houses in the United States are subject to regulation by the Commodity Futures Trading
Commission (the “CFTC”). Exchanges may adopt rules and take other actions that affect trading, including imposing speculative
position limits, maximum price fluctuations and trading halts and suspensions and requiring liquidation of contracts in certain
circumstances. Futures markets outside the United States are generally subject to regulation by foreign regulatory authorities
comparable to the CFTC. The structure and nature of trading on non-U.S. exchanges, however, may differ from the above
description.
Underlying Futures Contracts
E-mini® S&P 500® futures contracts are U.S. dollar-denominated futures contracts, based on the S&P 500® Index, traded on the
Exchange, representing a contract unit of $50 multiplied by the S&P 500® Index, measured in cents per index point.
E-mini® S&P 500® futures contracts listed for the nearest nine quarters, for each March, June, September and December, and the
nearest three Decembers are available 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 contracts are based on trading activity in the relevant contract (and in
the case of a lead month also being the expiry month, together with trading activity on lead month-second month spread contracts)
on the Exchange during a specified settlement period. The final settlement price of E-mini® S&P 500® futures contracts is based on
the opening prices of the component stocks in the S&P 500® Index, determined on the third Friday of the contract month.