BGI 819-6 PDF

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Assuming that a the level of the VIX Index is equal to or less than 35 which corresponds to the lowest rate of 0. Term Sheet to Product Supplement No.

Investing in the notes is not equivalent to investing directly in the Index or any of its component futures contracts. We obtained the Index closing levels below from Bloomberg Financial Markets, without independent verification.

JPMS and its affiliates may have published research or other opinions that call into question the investment view implicit in an investment in the notes. The hypothetical returns and hypothetical payments on the notes shown above do not reflect fees or expenses that would be associated with any sale in the secondary market.

Term sheet To prospectus dated November 14,prospectus supplement dated November 14, and product supplement no. Accordingly, the Index Return will be negative if the performance of the VIX futures contracts included in the Index, based on their official settlement prices, is not sufficient to offset the deduction of the index fee and the daily rebalancing adjustment amount.

In some cases, the market for VIX futures contracts may not be in backwardation or contango, and the price of one VIX futures contract underlying a synthetic position may increase while the other VIX futures contracts underlying the same synthetic position may decrease.

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Accordingly, the liquidity of the market for the notes outside of an early repurchase request could vary materially over the term of the notes. Furthermore, the inclusion of the futures contracts in the Index is not an investment recommendation by us or JPMS plc of any of the futures contracts underlying the Index.

The liquidity of trading in VIX futures contracts could decline in the future, which could affect adversely the value of the notes. As a result, the Index may incur negative roll yields for an activated or partially activated synthetic short position or may fail to capture positive roll yields from a deactivated or partially deactivated synthetic short position.

Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity Futures Trading Commission. However, the actual slippage costs that would be incurred if a professional investor were to seek to replicate such a portfolio may be higher or lower than the daily rebalancing adjustment amount used in the calculation of the Index.


Prospectus supplement dated November 14, Thus, for example, a VIX futures contract purchased and held in August may specify an October expiration. Accordingly, at a minimum, eight Index Business Days will elapse from the change in the futures market before the synthetic short position can be fully activated or deactivated, by which time market conditions may have changed.

The following graph sets forth the hypothetical back-tested performance of the Index based on 819- hypothetical back-tested daily Index 89-6 levels from January 2, through July 29,and the historical performance of the Index based on the daily Index closing levels from July 30, through February 26, Prospectus dated November 14, Conversely, under these market conditions, when the synthetic short position is activated, although the price return of each VIX futures contract that composes the synthetic short position generally will also be negative, because this is a synthetic short position, the negative price return of the relevant VIX futures contracts will generate a positive return for the synthetic short position.

Unlike the adjustment factor, the rebalancing adjustment factor is not a per annum fee. We reserve the right to vgi the terms of, or reject any offer to purchase the notes prior to their issuance.

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Calculation of Index Levels — iii. The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates, which includes the profit our affiliates expect to realize in consideration for assuming the risks inherent in providing and managing such hedge and for maintaining the Index during the term of the notes through, among other things, the daily rebalancing adjustment amount.

Slippage costs are costs that arise from deviations between the actual official settlement price of a VIX futures contract and the prices at which a hypothetical investor would expect to be able to execute trades in the market when seeking to match the expected official settlement price of a VIX futures contract.

Because the Index closing level reflects the daily deduction of the index fee and the daily rebalancing adjustment amount, the level of the Index will decrease if the performance of the synthetic positions in VIX futures contracts included in the Index, based on their official settlement prices, is not sufficient to offset the deduction of the index fee and the daily rebalancing adjustment amount.

Therefore, generally under these market conditions, the synthetic short position, when activated, will generate a positive return. Therefore, generally under these market conditions, the synthetic short position, when activated, will generate a negative return. The hypothetical back-tested and historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the Index closing level on the Inception Date or any Valuation Date.


There can be no assurance that the relevant synthetic exposures will not be subject to substantial negative returns. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.

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These back-tested results are achieved by means of a retroactive application of a back-tested model designed with the benefit of hindsight. This term sheet, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours.

See the immediately following risk factor for additional information. Historical information with respect to the VIX Index is provided for reference purposes only. You will lose some or all of your initial investment at maturity if the level of the Index decreases between the Inception Date and the Final Valuation Date.

Investors should make their own independent investigation of the merits of investing in the notes, the Index and the VIX futures contracts underlying the Index. Due to this time lag, the exposure to the synthetic short position may not be adjusted quickly enough for the investment strategy on which the Index is based to be successful. JPMS plc is under no obligation to consider your interests as an investor in the notes.

Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily.

If we do bggi receive such notice or we or our affiliates do not acknowledge receipt of such notice which means we have declined to accept your repurchase requestyour repurchase request will not be effective and we will big repurchase your notes on the corresponding Repurchase Date.

When the market for VIX futures contracts is in contango, the price of VIX futures contracts will decrease as the contracts move nearer to maturity.