●THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE -
The internal funding rate used in the determinationof the estimated value of the notes maydiffer from themarket-implied funding
rate for vanilla fixed income instruments of a similar maturityissuedbyJPMorgan Chase & Co. or its affiliates. Anydifferencemay
be based on, among other things, our and our affiliates' view of thefunding value of the notes as well as the higher issuance,
operational and ongoingliability management costs of the notes in comparison to those costs for the conventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is basedon 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 potentialchanges tothat ratemay have an adverse effect on the termsof the notes and any
secondarymarket prices of the notes. See "The Estimated Valueof the Notes" in thispricing 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 generallyexpect that some of the costs included in the original issue price of the noteswill be partiallypaid back toyou in
connection with any repurchases of your notesbyJPMS inan amount that willdecline to zero over an initial predetermined period.
See "Secondary Market Prices of the Notes" in thispricingsupplementfor additional information relating to this initial period.
Accordingly, the estimatedvalue of your notes during thisinitial period may be lower than the valueof the notesaspublished by
JPMS (and which may be shown onyour customer account statements).
●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES -
Any secondarymarket prices of thenotes willlikely be lower than theoriginal issue price of the notes because, among other
things, secondary market prices take into account our internal secondarymarket funding rates for structureddebt issuances and,
also, because secondarymarket prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included intheoriginal issue price of the notes. As a result, the price, if any, at which JPMS will be willing tobuy the
notes from you in secondarymarket transactions, if at all, is likely to be lower than the originalissue price. Anysale by you prior to
the Maturity Datecould result in a substantialloss to you.
●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS -
The secondarymarket price of the notes duringtheir term will be impacted by a number of economic and market factors, which
mayeither offset or magnify eachother, asidefrom 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 a price for
the notes, whichmay also be reflectedoncustomer account statements. This price may be different (higher or lower) than the price
of thenotes, 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 SecondaryMarket Prices of the Notes- Secondarymarket pricesof 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 anycorporate 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 strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed with respect tothe 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 approximatesitstarget volatility of
35%. The Index's target volatilityisa level of implied volatility and therefore the actual realizedvolatility 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% impliedvolatility target divided by (b) the one-weekimplied volatilityof the SPY Fund, subject to a maximum
exposure of 500%. The Indexuses 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 determinetheimpliedvolatility of the SPY Fund will be
representative of the implied or realized volatility of the Futures Contracts. Theperformance of the SPY Fund may not correlate
with the performance of the Futures Contracts, particularlyduring periodsof market volatility. In addition, the volatility of the
Futures Contracts on any daymaychange quicklyandunexpectedly and realizedvolatilitymaydiffer significantly from implied
volatility.In general, 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 realized volatilityof the Index may be greater
than or lessthan the target volatility, which mayadverselyaffect 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 rebalanceday, the Index will employ leverage to increase the exposureof the Index to the Futures Contracts if
the implied volatility of the SPY Fund isbelow 35%, subject to amaximum 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
leveragein 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 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 onlyon a weeklybasis, in situations where a significant increase in volatility is
accompanied by asignificant declinein the value of theFutures Contracts, the level of the Index may decline significantly before
the following Index rebalanceday when the Index'sexposure to the Futures Contracts would be reduced.