●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 byJPMorgan Chase & Co. or its affiliates. Any difference may
be based on, among other things, our and our affiliates' view of the funding valueof the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for theconventional fixed income
instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended toapproximate the prevailing market replacement funding rate for the notes.The use of an
internal funding rate and anypotential changes to that ratemay have an adverse effect on the termsof 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 generallyexpect that some of the costs included in the original issue price of the notes will be partiallypaid back to you in
connection with any repurchases of your notesby JPMS in an amount that will decline to zero over an initial predetermined period.
See "SecondaryMarket Prices of the Notes" in this pricingsupplementfor additional information relating to this initial period.
Accordingly, the estimatedvalue of your notesduring thisinitial period may be lower than the value of the notes aspublished 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 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, theprice, 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 to you.
●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, asidefrom the selling 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 reflectedon customer 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 Secondary Market Prices of the Notes-Secondary market prices of the notes will be
impacted by many economic and market factors" in theaccompanying product supplement.
Risks Relating to the Index
●THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS
NO OBLIGATION TO CONSIDER YOUR INTERESTS -
The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute the componentsof
the Index or make other methodologicalchanges that could affect the level of the Index. The Index Sponsor has no obligation to
consider your interests incalculating or revising the Index.
●THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE UNDERLYING ASSET -
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 Underlying Asset.
●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%. The Index's target volatilityis a level of implied volatility and therefore the actual realizedvolatility of the Index maybe
greater or less than the target volatility.On each weekly Index rebalance day, the Index'sexposure to the Underlying Asset is set
equal to (a) the 35% implied volatility target divided by (b) the one-weekimplied volatilityof the QQQ Fund, subject to amaximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, there isno guarantee that the methodology used by the Index to determine theimplied volatility of the QQQ Fund
will be representative of the realized volatility of the QQQ Fund. The volatilityof the Underlying Asset on any daymay change
quickly and unexpectedly andrealizedvolatility maydiffer significantlyfrom implied volatility. In general, over time, the realized
volatilityof the QQQ Fundhas tended to belower than its implied volatility; however, at any time that realized volatility may exceed
its implied volatility, particularly duringperiodsof market volatility. Accordingly, the actual annualized realized volatility of the Index
maybe greater than or less than 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 UnderlyingAsset if
the impliedvolatility of the QQQ Fund is below 35%, subjectto a maximum exposure of 500%. Under normal market conditionsin
the past, the QQQ Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leverage in the past, except during periods of elevatedvolatility. When leverage is employed, any movementsin the prices of the
Underlying Asset will result in greater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage willmagnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance 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 theprice of the Underlying Asset, the level of the Index may decline significantly beforethe
following Index rebalance day when the Index'sexposure to the Underlying Asset would be reduced. In addition, the notional
financing cost deducted daily will be magnified by any leverage provided by the Index.