PS-6 | Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to the S&P 500® Futures Excess
Return Index
●SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE UNDERLYING FUTURES CONTRACTS MAY
ADVERSELY AFFECT THE VALUE OF YOUR NOTES —
Futures markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity,
the participation of speculators, and government regulation and intervention. In addition, futures exchanges generally have
regulations that limit the amount of the Underlying Futures Contract price fluctuations that may occur in a single day. These
limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given
day as a result of those limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract, no
trades may be made at a price beyond the limit, or trading may be limited for a set period of time. Limit prices have the effect of
precluding trading in a particular contract or forcing the liquidation of contracts at potentially disadvantageous times or prices.
These circumstances could delay the calculation of the level of the Index and could adversely affect the level of the Index and
any payments on, and the value of, your notes.
●THE PERFORMANCE OF THE INDEX WILL DIFFER FROM THE PERFORMANCE OF THE INDEX UNDERLYING THE
UNDERLYING FUTURES CONTRACTS —
A variety of factors can lead to a disparity between the performance of a futures contract on an equity index and the
performance of that equity index, including the expected dividend yields of the equity securities included in that equity index,
an implicit financing cost associated with futures contracts and policies of the exchange on which the futures contracts are
traded, such as margin requirements. Thus, a decline in expected dividends yields or an increase in margin requirements may
adversely affect the performance of the Index. In addition, the implicit financing cost will negatively affect the performance of
the Index, with a greater negative effect when market interest rates are higher. During periods of high market interest rates, the
Index is likely to underperform the equity index underlying the Underlying Futures Contracts, perhaps significantly.
●NEGATIVE ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY
AFFECT THE LEVEL OF THE INDEX AND THE VALUE OF THE NOTES —
The Index tracks the excess return of the Underlying Futures Contracts. Unlike common equity securities, futures contracts,
by their terms, have stated expirations. As the exchange-traded Underlying Futures Contracts approach expiration, they are
replaced by contracts of the same series that have a later expiration. For example, an Underlying Futures Contract notionally
purchased and held in June may specify a September expiration date. As time passes, the contract expiring in September
is replaced by a contract for delivery in December. This is accomplished by notionally selling the September contract and
notionally purchasing the December contract. This process is referred to as “rolling.” Excluding other considerations, if prices
are higher in the distant delivery months than in the nearer delivery months, the notional purchase of the December contract
would take place at a price that is higher than the price of the September contract, thereby creating a negative “roll return.”
Negative roll returns adversely affect the returns of the Underlying Futures Contracts and, therefore, the level of the Index and
any payments on, and the value of, the notes. Because of the potential effects of negative roll returns, it is possible for the level
of the Index to decrease significantly over time, even when the levels of the underlying index referenced by the Underlying
Futures Contracts are stable or increasing.
●LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes
is likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The
notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to
maturity.
●THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
You should consider your potential investment in the notes based on the minimums for the estimated value of the notes and
the Upside Leverage Factor.
●THE TAX DISCLOSURE IS SUBJECT TO CONFIRMATION —
The information set forth under “Tax Treatment” in this pricing supplement remains subject to confirmation by our special tax
counsel following the pricing of the notes. If that information cannot be confirmed by our tax counsel, you may be asked to
accept revisions to that information in connection with your purchase. Under these circumstances, if you decline to accept
revisions to that information, your purchase of the notes will be canceled.
●THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES —
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the
notes will exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes
are included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, the estimated cost
of hedging our obligations under the notes and the fees, if any, paid for third-party data analytics and/or electronic platform
services. See “The Estimated Value of the Notes” in this pricing supplement.
