• 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, THE
REFERENCE INDEX UNDERLYING THE FUTURES CONTRACTS INCLUDED IN ONE OF THE EQUITY CONSTITUENTS,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the securities included in the reference index underlying the futures contracts included in that Equity Constituent.
• OUR AFFILIATE, JPMS, IS THE INDEX SPONSOR AND INDEX CALCULATION AGENT AND MAY ADJUST THE INDEX IN A
WAY THAT AFFECTS ITS LEVEL —
JPMS, one of our affiliates, currently acts as the Index Sponsor and the Index Calculation Agent and is responsible for calculating
and maintaining the Index and developing the guidelines and policies governing their composition and calculation. In performing
these duties, JPMS may have interests adverse to the interests of the holders of the notes, which may affect your return on the
notes, particularly where JPMS, as the Index Sponsor and the Index Calculation Agent, is entitled to exercise discretion. The rules
governing the Index may be amended at any time by the Index Sponsor, in its sole discretion. The rules also permit the use of
discretion by the Index Sponsor and the Index Calculation Agent in relation to the Index in specific instances, including, but not
limited to, the determination of whether to replace a Constituent with a substitute or successor upon the occurrence of certain
events affecting that Constituent, the selection of any substitute or successor and the determination of the levels to be used in the
event of market disruptions that affect the ability of the Index Calculation Agent to calculate and publish the levels of the Index and
the interpretation of the rules governing the Index. Although JPMS, acting as the Index Sponsor and the Index Calculation Agent,
will make all determinations and take all action in relation to the Index acting in good faith, it should be noted that JPMS may have
interests adverse to the interests of the holders of the notes and the policies and judgments for which JPMS is responsible could
have an impact, positive or negative, on the level of the Index and the value of your notes.
Although judgments, policies and determinations concerning the Index are made by JPMS, JPMorgan Chase & Co., as the ultimate
parent company of JPMS, ultimately controls JPMS. JPMS has no obligation to consider your interests in taking any actions that
might affect the value of your notes. Furthermore, the inclusion of any Constituent in the Index is not an investment
recommendation by us or JPMS of that Constituent or any of the futures contracts underlying that Constituent.
• AN INVESTMENT IN THE NOTES CARRIES THE RISKS ASSOCIATED WITH THE INDEX’S MOMENTUM INVESTMENT
STRATEGY —
The Index construction reflects a momentum investment strategy. Momentum investing generally seeks to capitalize on positive
trends in the returns of financial instruments. As such, the weights of the Constituents in the Index are based in part on the recent
performance of the Constituents. However, there is no guarantee that recent performance trends will continue in the future. In
addition, the caps and floors on the Constituent weights applied at the individual and asset class levels will result in lower weights
for the Constituents with the best recent performance than would be the case if those caps and floors were not applied. Moreover,
the aggregate assigned weights of the J.P. Morgan US Large Cap Equities Futures Index, the J.P. Morgan US Small Cap Equities
Futures Index, the J.P. Morgan German Equities Futures Index and the J.P. Morgan Japanese Equities Futures Index (the “Equity
Constituents”) and the aggregate assigned weights of the J.P. Morgan 5Y U.S. Treasury Futures Index, the J.P. Morgan 10Y U.S.
Treasury Futures Index, the J.P. Morgan German Government Bond Futures Index and the J.P. Morgan Japanese Government