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 August 16, 2024*
August , 2024 |
Registration Statement Nos.
333-270004 and 333-270004-01; Rule 424(b)(2)
|
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg)
JPMorgan
Chase Financial Company LLC
Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index due August 20, 2026
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
| ● | The notes are designed for investors who seek an uncapped return of at least 1.57 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 90.00%
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 August 19, 2024 (the “Pricing Date”) and are expected to settle on or about
August 22, 2024. The Strike Value has been determined by reference to the closing level of the Index on August 15, 2024 and not by
reference to the closing level of the Index on the Pricing Date. |
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 $4.00 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 $990.00 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 $980.00 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.
*This preliminary pricing supplement amends and restates
and supersedes the original preliminary pricing supplement related hereto dated August 15, 2024 to product supplement no. 4-I in its entirety
(the original preliminary pricing supplement is available on the SEC http://www.sec.gov/Archives/edgar/data/1665650/000121390024070105/ea179378_424b2.htm).
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
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 1.57 (to be provided in the pricing supplement)
Buffer Amount:
10.00%
Strike
Date: August 15, 2024
Pricing Date: On
or about August 19, 2024
Original Issue Date (Settlement Date): On
or about August 22, 2024
Observation Date*: August
17, 2026
Maturity Date*: August
20, 2026
* 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 Strike 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 Strike Value or is less than the Strike 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 Strike 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 Strike Value by more than the Buffer Amount, you will lose some or most of your principal amount at maturity.
Index Return:
(Final
Value – Strike Value)
Strike Value
Strike Value: The
closing level of the Index on the Strike Date, which was 476.91. The
Strike Value is not the closing level of the Index on the Pricing Date.
Final Value: The
closing level of the Index on the Observation Date
|
PS-1
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
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-2
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
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:
| ● | a Strike Value of 100.00; |
| ● | an Upside Leverage Factor of 1.57; and |
| ● | a Buffer Amount of 10.00%. |
The hypothetical Strike Value of 100.00 has been chosen
for illustrative purposes only and does not represent the actual Strike Value. The actual Strike Value is the closing level of the Index
on the Strike Date and is specified under “Key Terms – Strike Value” in this 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% |
125.60% |
$2,256.00 |
170.00 |
70.00% |
109.90% |
$2,099.00 |
160.00 |
60.00% |
94.20% |
$1,942.00 |
150.00 |
50.00% |
78.50% |
$1,785.00 |
140.00 |
40.00% |
62.80% |
$1,628.00 |
130.00 |
30.00% |
47.10% |
$1,471.00 |
120.00 |
20.00% |
31.40% |
$1,314.00 |
110.00 |
10.00% |
15.70% |
$1,157.00 |
105.00 |
5.00% |
7.85% |
$1,078.50 |
101.00 |
1.00% |
1.57% |
$1,015.70 |
100.00 |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
0.00% |
$1,000.00 |
90.00 |
-10.00% |
0.00% |
$1,000.00 |
85.00 |
-15.00% |
-5.00% |
$950.00 |
80.00 |
-20.00% |
-10.00% |
$900.00 |
70.00 |
-30.00% |
-20.00% |
$800.00 |
60.00 |
-40.00% |
-30.00% |
$700.00 |
50.00 |
-50.00% |
-40.00% |
$600.00 |
40.00 |
-60.00% |
-50.00% |
$500.00 |
30.00 |
-70.00% |
-60.00% |
$400.00 |
20.00 |
-80.00% |
-70.00% |
$300.00 |
10.00 |
-90.00% |
-80.00% |
$200.00 |
0.00 |
-100.00% |
-90.00% |
$100.00 |
PS-3
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
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 $100.00
per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_002.jpg)
How the
Notes Work
Upside Scenario:
If the Final Value is greater than the Strike 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 1.57.
| ● | Assuming a hypothetical Upside Leverage Factor of 1.57, if the closing level of the Index increases 10.00%, investors will receive
at maturity a return of 15.70%, or $1,157.00 per $1,000 principal amount note. |
Par Scenario:
If the Final Value is equal to the Strike Value or is
less than the Strike Value by up to the Buffer Amount of 10.00%, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Strike Value by more
than the Buffer Amount of 10.00%, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value is less
than the Strike Value by more than the Buffer Amount.
| ● | For example, if the closing level of the Index declines 50.00%, investors will lose 40.00%
of their principal amount and receive only $600.00
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-4
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
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 Strike Value by more than 10.00%, you will lose
1% of the principal amount of your notes for every 1% that the Final Value is less than the Strike Value by more than 10.00%. Accordingly,
under these circumstances, you will lose up to 90.00% 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. |
| ● | 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. |
PS-5
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
| ● | 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 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. |
| ● | 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. |
PS-6
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
| ● | 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. |
| o | THE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO WHICH ANY PERSON IS ENTITLED OR IN
WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST. |
The Index
The Index 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.
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 4, 2019 through August 9, 2024. The closing level
of the Index on August 15, 2024 was 476.91. 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 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 $100.00 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
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_003.jpg)
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. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.
federal income tax consequences of owning and disposing of notes.
PS-7
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
Based on current market conditions, in the opinion of
our special tax counsel 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.
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.
PS-8
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
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.
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. This preliminary pricing supplement amends and restates and supersedes the original preliminary pricing
supplement related hereto dated August 15, 2024 in its entirety. You should not rely on the original preliminary pricing supplement related
hereto dated August 15, 2024 in making your decision to invest in the notes. 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.
PS-9
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
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):
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-10
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
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-11
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
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-12
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
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.
PS-13
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the
S&P 500® Futures Excess Return Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070655/image_001.jpg) |
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