●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.
Risks Relating to the Index
●JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® 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 S&P 500® Index.
●THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN
RESPECT OF THE FUTURES CONTRACTS —
No assurance can be given that the investment strategy on which the Index is based will be successful or that the Index will
outperform any alternative strategy that might be employed with respect to the Futures Contracts.
●THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY —
No assurance can be given that the Index will maintain an annualized realized volatility that approximates its target volatility of 35%.
The Index’s target volatility is a level of implied volatility and therefore the actual realized volatility of the Index may be greater or
less than the target volatility. On each weekly Index rebalance day, the Index’s exposure to the Futures Contracts is set equal to (a)
the 35% implied volatility target divided by (b) the one-week implied volatility of the SPY Fund, subject to a maximum exposure of
500%. The Index uses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts. However, there is
no guarantee that the methodology used by the Index to determine the implied volatility of the SPY Fund will be representative of
the implied or realized volatility of the Futures Contracts. The performance of the SPY Fund may not correlate with the performance
of the Futures Contracts, particularly during periods of market volatility. In addition, the volatility of the Futures Contracts on any day
may change quickly and unexpectedly and realized volatility may differ significantly from implied volatility. In general, over time, the
realized volatilities of the SPY Fund and the Futures Contracts have tended to be lower than their respective implied volatilities;
however, at any time those realized volatilities may exceed their respective implied volatilities, particularly during periods of market
volatility. Accordingly, the actual annualized realized volatility of the Index may be greater than or less than the target volatility, which
may adversely affect the level of the Index and the value of the notes.
●THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE —
On a weekly Index rebalance day, the Index will employ leverage to increase the exposure of the Index to the Futures Contracts if
the implied volatility of the SPY Fund is below 35%, subject to a maximum exposure of 500%. Under normal market conditions in
the past, the SPY Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leverage in the past, except during periods of elevated volatility. When leverage is employed, any movements in the prices of the
Futures Contracts will result in greater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage will magnify any negative performance of the Futures Contracts, which, in turn, would negatively affect the performance of
the Index. Because the Index’s leverage is adjusted only on a weekly basis, in situations where a significant increase in volatility is
accompanied by a significant decline in the value of the Futures Contracts, the level of the Index may decline significantly before the
following Index rebalance day when the Index’s exposure to the Futures Contracts would be reduced.
●THE INDEX MAY BE SIGNIFICANTLY UNINVESTED —
On a weekly Index rebalance day, the Index’s exposure to the Futures Contracts will be less than 100% when the implied volatility of
the SPY Fund is above 35%. If the Index’s exposure to the Futures Contracts is less than 100%, the Index will not be fully invested,
and any uninvested portion will earn no return. The Index may be significantly uninvested on any given day, and will realize only a
portion of any gains due to appreciation of the Futures Contracts on any such day. The 6.0% per annum deduction is deducted daily,
even when the Index is not fully invested.
●THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN EXPIRING
FUTURES CONTRACT INCLUDED IN THE INDEX —
As the Futures Contracts included in the Index come to expiration, they are replaced by Futures Contracts that expire three months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the Futures Contract
that expires three months from that time. This process is referred to as “rolling.” Excluding other considerations, if the market for the
Futures Contracts is in “contango,” where the prices are higher in the distant delivery months than in the nearer delivery months, the
purchase of the later Futures Contract would take place at a price that is higher than the price of the expiring Futures Contract,
thereby creating a negative “roll yield.” In addition, excluding other considerations, if the market for the Futures Contracts is in
“backwardation,” where the prices are lower in the distant delivery months than in the nearer delivery months, the purchase of the
later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, thereby creating a
positive “roll yield.” The presence of contango in the market for the Futures Contracts could adversely affect the level of the Index
and, accordingly, any payment on the notes.