●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondary market pricesof the notes willlikely be lower than the original issue price of the notes because, among other
things, secondary market prices take intoaccount our internal secondary market funding rates for structureddebt issuances and,
also, becausesecondarymarket prices may exclude sellingcommissions, projected hedging profits, if any, and estimatedhedging
costs that are included inthe original issue price of the notes. As a result, the price, if any, at which JPMS will be willingtobuy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale byyou prior to
the Maturity Date could result in a substantial loss toyou.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes during their term will be impacted by a number of economic and market factors, which
mayeither offset or magnify each other, aside from theselling commissions, projected hedgingprofits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publish aprice for
the notes, which may also be reflected oncustomer account statements. This price may be different (higher or lower) than the price
of the notes, if any, at whichJPMS may be willing to purchase your notes in the secondary market. See "Risk Factors -Risks
Relating to the Estimated Value and SecondaryMarket Prices of the Notes- Secondarymarket pricesof the notes will be
impacted by many economic and market factors" in theaccompanying 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 assurancecan be given that theinvestment strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed with respect to the Futures Contracts.
●THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurancecan be given that theIndex will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. TheIndex's target volatilityis a level of implied volatility and therefore the actual realized volatility of the Index maybe
greater or less than the target volatility.On each weekly Index rebalance day, the Index'sexposure to the Futures Contracts is set
equal to (a) the 35% implied volatility target divided by (b) the one-weekimplied volatilityof 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 theimplied 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, particularlyduring periods of market volatility. In addition, the volatility of the
Futures Contracts on any daymaychange quicklyand unexpectedly and realized volatility may differ significantly fromimplied
volatility. Ingeneral, over time, the realized volatilities of the SPY Fundand the Futures Contracts have tended to be lower than
their respective impliedvolatilities; however, at any time those realized volatilities mayexceed their respective implied volatilities,
particularly during periodsof market volatility. Accordingly, the actual annualized realizedvolatilityof the Index may be greater
than or lessthan the target volatility, which mayadversely 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 weeklyIndex rebalance day, the Index will employ leverage to increase the exposure of the Index to the Futures Contracts if
the impliedvolatility of the SPY Fund isbelow 35%, subject to amaximum exposure of 500%. Under normal market conditionsin
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 periodsof elevatedvolatility. When leverage is employed, any movementsin the prices of the
Futures Contracts will result in greater changesin the level of the Index than if leverage were not used. In particular, theuseof
leverage willmagnify any negative performance of theFutures Contracts, which, in turn, would negatively affect theperformance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where asignificant increase in volatility is
accompanied by a significant declinein thevalue of the Futures Contracts, thelevel of the Index may decline significantlybefore
the following Index rebalance day when the Index'sexposure to the Futures Contracts would be reduced.
●THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalance day, the Index's exposureto the Futures Contracts will be less than 100% when the implied volatility
of the SPY Fund is above 35%. If the Index'sexposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvestedportion 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 appreciationof the Futures Contracts on anysuch day. The 6.0% per annumdeduction
is deducted daily, even when the Indexisnot 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 replacedby Futures Contractsthat expire three months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the FuturesContract
that expiresthree months from that time. This process is referred toas "rolling."Excluding other considerations, if the market for
the Futures Contracts is in "contango," where the prices arehigher inthe distant deliverymonths than in the nearer delivery
months, thepurchase of the later Futures Contract wouldtake place at a price that is higher than the price of the expiringFutures
Contract, thereby creating a negative "roll yield."In addition, excludingother considerations, if themarket for the FuturesContracts
is in "backwardation," where the prices arelower in the distant deliverymonths 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 "rollyield." The presence of contango in the market for the Futures Contracts could adversely affect the levelof the
Index and, accordingly, any payment on the notes.