Market-making supplement To product supplement no. 6-I dated April 8, 2020 and the prospectus supplement and prospectus, each dated April 8, 2020	Registration Statement No. 333-236659 Dated April 8, 2020 Rule 424(b)(2)

Investment Considerations

Investing in the notes involves a number of risks.  See “Risk Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-16 of the accompanying product supplement and “Selected Risk Considerations” beginning on page MMS-8 of this market-making supplement.

^†Reflects the retirement of 10,000,000 notes, with an aggregate principal amount of $190,366,100, prior to the date of this market making supplement

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this market-making supplement or the accompanying product supplement, prospectus supplement and prospectus.  Any representation to the contrary is a criminal offense.

J.P. Morgan Securities LLC, which we refer to as JPMS, acting as our agent, did not receive an agent’s commission.  JPMS will be entitled to receive the Accrued Tracking Fee and any Adjusted Tracking Fee to cover payments related to the distribution of notes, projected profits for managing our hedge and a structuring fee for developing the economic terms of the notes.  A portion of these fees will be used to pay GKD Index Partners, LLC (the “Index Sponsor”), an affiliate of Alerian, a license fee in connection with our use of the Index.  See “Supplemental Plan of Distribution” in this market-making supplement and “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement for more information.

The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, and are not obligations of, or guaranteed by, a bank.

April 8, 2020

Additional Terms Specific to the Notes

You should read this market-making supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series E medium-term notes of which these notes are a part, and the more detailed information contained in accompanying product supplement.  This market-making supplement, 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.  You should carefully consider, among other things, the matters set forth in “Risk Factors” in the accompanying product supplement, as the notes involve risks not associated with conventional debt securities.  We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

Our Central Index Key, or CIK, on the SEC website is 19617.  As used in this market-making supplement, “we,” “us” and “our” refer to JPMorgan Chase & Co.

What Is the Alerian MLP Index?

The Alerian MLP Index (the “Index”) measures the composite performance of energy-oriented Master Limited Partnerships, or MLPs, and is calculated and maintained by S&P Dow Jones Indices LLC (“S&P”), in consultation with the Index Sponsor, using a float-adjusted, market capitalization methodology whose constituents earn the majority of their cash flow from midstream activities involving energy commodities.

Although S&P, as calculation agent for the Index, will calculate and disseminate the intraday level of the Index to data vendors under the ticker symbol “AMZ” on each Business Day, your payment on the notes will be determined by reference to the VWAP Levels, which will be calculated by the VWAP Calculation Agent.  See “Selected Risk Considerations — The Payment on the Notes Is Linked to the VWAP Levels, Not to the Closing Levels of the Index and Not to the Published Intraday Intrinsic Note Value” in this market-making supplement for more information.

How Are Payments on the Notes Determined, and What Fees Are Incurred by Investors in the Notes?

The notes may pay a variable quarterly coupon linked to certain cash distributions on the Index Components (i.e., the energy-oriented Master Limited Partnerships, or MLPs, tracked by the Index) over a relevant quarterly period, which we refer to as the Reference Distribution Amount, less the Accrued Tracking Fee.  In addition, at maturity or upon early repurchase, the notes provide for a cash payment that is linked to the VWAP Level of the Index, which reflects the volume-weighted average price of one share of each Index Component, minus the Accrued Tracking Fee (and, in the case of an early repurchase, the Repurchase Fee Amount).

The Accrued Tracking Fee is incurred by all investors in the notes and is deducted in connection with each Coupon Payment and any payment at maturity or upon early repurchase.  The Repurchase Fee Amount is borne by investors in the notes who submit notes for repurchase prior to maturity.

Coupon Payments and the Accrued Tracking Fee

For each note you hold, you will receive on each Coupon Payment Date an amount in cash, which we refer to as the Coupon Amount, equal to the difference between:

The Accrued Tracking Fee accrues on a daily basis at a rate of 0.85% per annum, applied to the Daily Note Value as of the Index Business Day immediately preceding the corresponding Coupon Valuation Date.  The Daily Note Value reflects the cumulative performance of the VWAP Level of the Index since April 1, 2009, which we refer to as the Inception Date.  If the Daily Note Value increases, the Accrued Tracking Fee will increase, and if the Daily Note Value decreases, the Accrued Tracking Fee will decrease.  The Daily Note Value is published on Bloomberg under the ticker symbol “AMJIVWAP” and on Bloomberg.com under the ticker symbol “AMJIVWAP:IND.”

On any Index Business Day, the VWAP Level reflects the weighted VWAPs of the Index Components, and the VWAP of each Index Component is the volume-weighted average price of one share of that Index Component as determined by the VWAP Calculation Agent based on the Primary Exchange for that Index Component.  For information about precise mechanics used to determine the Coupon Amount and Accrued Tracking Fee, see “Key Coupon Payment Terms” on page MMS-18.

To the extent the Reference Distribution Amount on any Coupon Valuation Date is less than the Accrued Tracking Fee on the corresponding Coupon Valuation Date, there will be no coupon payment made on the corresponding Coupon Payment Date, and an amount equal to the difference between the Accrued Tracking Fee and the Reference Distribution Amount, which we refer to as the Tracking Fee Shortfall, will be included in the Accrued Tracking Fee for the next Coupon Valuation Date.  This will be in addition to the accrual at a rate of 0.85% per annum over the quarter

that has elapsed since the previous date of determination.  This process will be repeated to the extent necessary until the Reference Distribution Amount for a Coupon Valuation Date is greater than the Accrued Tracking Fee for the corresponding Coupon Valuation Date (which includes the accumulated Tracking Fee Shortfall from all prior quarters).  This process may also restart as necessary on a subsequent Coupon Valuation Date.  Coupon payments on the notes will be payable quarterly in arrears on the fifteenth Index Business Day following each Coupon Valuation Date, provided that the final Coupon Payment Date will be the Maturity Date.

You will receive no coupon payment on a Coupon Payment Date if the Reference Distribution Amount on the relevant Coupon Valuation Date is less than the Accrued Tracking Fee on the relevant Coupon Valuation Date.

On each Index Business Day, the Calculation Agent will calculate the value of the Coupon Amount as of the immediately preceding Index Business Day (treating that immediately preceding Index Business Day as if it were a Coupon Valuation Date), which we refer to as the interim accrued Coupon Amount, and will publish the interim accrued Coupon Amount on Bloomberg under the ticker symbol “AMJEU” and on Bloomberg.com under the ticker symbol “AMJEU:IND.”  While the interim accrued Coupon Amount is calculated and published in connection with each such Index Business Day, the actual Coupon Amount will be calculated and paid only once each quarter.

Payment at Maturity

For each note, unless earlier repurchased, you will receive at maturity a cash payment equal to the Cash Settlement Amount.  If the Cash Settlement Amount is $0 or less, the payment at maturity will be $0.

The Cash Settlement Amount is calculated by adjusting the Principal Amount to reflect:

The Final Measurement Period is a five-Index Business Day period near the Maturity Date of the notes during which the Final VWAP Level will be determined.  For information about precise mechanics used to determine the Cash Settlement Amount, see “Key Terms” on page MMS-4 below.

For purposes of determining the Cash Settlement Amount, the Final VWAP Level will be the arithmetic mean of the VWAP Levels measured on each Index Business Day in the Final Measurement Period, as calculated by the VWAP Calculation Agent.  The Initial VWAP Level is the arithmetic mean of the VWAP Levels measured on each Index Business Day over a three-Index Business Day period ending on the Inception Date, as calculated by the VWAP Calculation Agent.

You may lose some or all of your investment at maturity.  Because the Accrued Tracking Fee reduces your final payment, you will likely lose some or all of your principal amount at maturity if the Final VWAP Level is less than the Initial VWAP Level or if the Final VWAP Level is not greater than the Initial VWAP Level by an amount that is sufficient to offset the negative effect of the Accrued Tracking Fee.

Payment upon Early Repurchase and the Repurchase Fee

Subject to your compliance with the procedures and the potential postponements and adjustments as described in the accompanying product supplement, you may submit a request once a week (generally on or before 11:00 a.m., New York City time, on Thursday), during the term of the notes to have us repurchase your notes, provided that you request that we repurchase a minimum of 50,000 notes.  If you request that we repurchase your notes, subject to the notification requirements and the other terms and conditions set forth in the accompanying product supplement and this market-making supplement, for each note you will receive a cash payment on the relevant Repurchase Date equal to the Repurchase Amount.  If the Repurchase Amount is $0 or less, the payment upon early repurchase will be $0.  Because the Repurchase Amount is based on the value of the Index at the end of a five-day measurement period that begins after a repurchase request is received, you will not know the Repurchase Amount you will receive at the time you elect to request that we repurchase your notes.

The Repurchase Amount is calculated by adjusting the Principal Amount to reflect:

For purposes of determining the Cash Settlement Amount, the Final VWAP Level will be the arithmetic mean of the VWAP Levels measured on each Index Business Day in the Repurchase Measurement Period, as calculated by the VWAP Calculation Agent.

The Repurchase Fee Amount is equal to 0.125% of the Principal Amount, adjusted to reflect:

Accordingly, the Repurchase Fee Amount will vary based on the performance of the Index, the Accrued Tracking Fee and certain cash distributions on the Index Components with ex-dividend dates during the Repurchase Measurement Period.

For additional information about how much you will receive if you exercise your right to have us repurchase your notes and for a description of the early repurchase mechanics, please see “Key Weekly Repurchase Terms” on page MMS-19 of this market-making supplement.  

You may lose some or all of your investment upon early repurchase.  Because the Accrued Tracking Fee reduces your final payment, you will likely lose some or all of your principal amount upon early repurchase if the Final VWAP Level is less than the Initial VWAP Level or if the Final VWAP Level is not greater than the Initial VWAP Level by an amount that is sufficient to offset the negative effect of the Accrued Tracking Fee and the Repurchase Fee.

Understanding the Value of Notes

The initial offering price was determined on the Inception Date.  The initial offering price, Intraday Intrinsic Note Value and Daily Note Value are not the same as the trading price, which is the price at which you may be able to sell your notes in the secondary market, or the Repurchase Amount, which is the amount that you will receive from us in the event that you choose to have your notes repurchased by us.  An explanation of each valuation is set forth below:

VWAP Level to the Final VWAP Level and the deduction of the Accrued Tracking Fee and the Repurchase Fee Amount, as well as other adjustments representing accrued but unpaid coupons.  Because of these adjustments, the Repurchase Amount may vary significantly from the Daily Note Value, Intraday Intrinsic Note Value or trading price of the notes.  Because the Repurchase Amount is based on the value of the Index at the end of a five-day measurement period that begins after a repurchase request is received, you will not know the Repurchase Amount you will receive at the time you elect to request that we repurchase your notes.

Bloomberg Ticker Symbols

The table below includes the Bloomberg ticker symbols and Bloomberg websites under which information relating to the notes can be located.  The information on the Bloomberg websites listed below is not incorporated by reference into this market-making supplement and should not be considered part of this market-making supplement.

What Is the Maximum Amount of Notes Authorized for Issuance?

In June 2012, the maximum number of the notes authorized for issuance was set at 129,000,000 notes, resulting in a maximum aggregate principal amount of $2,455,722,690.  All of the notes authorized for issuance were issued as of June 2012.  As of the date of this market-making supplement, 10,000,000 notes, with an aggregate principal amount of $190,366,100, have been retired.  Accordingly, since the retirement of these notes, the maximum number of notes authorized for issuance is 119,000,000 notes, with an aggregate principal amount of $2,265,356,590, all of which have been issued.  We do not intend to increase the number of notes authorized for issuance.

This size limitation does not affect the weekly repurchase rights at the option of noteholders described in this market-making supplement and the accompanying product supplement.  Other exchange-traded notes, structured notes and debt securities issued by JPMorgan Chase & Co. are not affected by this maximum issuance authorization.

As disclosed under the heading “Selected Risk Considerations — Many Economic and Market Factors Will Impact the Value of the Notes” in this market-making supplement, the market value of the notes may be influenced by, among other things, supply and demand for the notes, including inventory positions with any market maker.  

It is possible that the maximum issuance authorization, as described above, may influence the market value of the notes.  Due to market supply and demand, the notes may trade at a premium above the Daily Note Value or any Intraday Intrinsic Note Value.   Any premium may be reduced or eliminated at any time, resulting in a financial loss, which may be significant, to sellers who paid this premium.  Investors in the notes should consult their financial advisors before purchasing or selling the notes, especially notes trading at a premium to the Daily Note Value or any Intraday Intrinsic Note Value.

Selected Purchase Considerations

The following chart illustrates the timeline of an early repurchase of the notes for a hypothetical repurchase request received by June 11, 2020, the last day for that week that an early repurchase request may be received.

For information about how much you will receive if you exercise your right to have us repurchase your notes and for a description of the early repurchase mechanics, please see “Key Weekly Repurchase Terms” on page MMS-19 of this market-making supplement.

“You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 10-II [filed with the SEC on June 14, 2012 under Registration Statement no. 333-177923].  Based on current market conditions, in the opinion of our special tax counsel, Davis Polk & Wardwell LLP, it is more likely than not that the notes will be treated as “open transactions” that are not debt instruments for U.S. federal income tax purposes.  Assuming this treatment is respected, subject to the discussion of the “constructive ownership” rules below, our special tax counsel is of the opinion that gain or loss on your notes should be treated as long-term capital gain or loss if you have held your notes for more than one year.  However, as discussed in the accompanying product supplement, the Internal Revenue Service (the “IRS”) or a court may not respect the treatment described above, in which case the timing and character of income on your notes could be materially and adversely affected.  Even if the notes are treated as open transactions that are not debt instruments,

the notes could be treated as “constructive ownership transactions” within the meaning of Code Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”).  Due to the lack of governing authority, our special tax counsel is unable to opine as to whether the constructive ownership rules apply to the notes.  If applicable, the constructive ownership rules could recharacterize any gain recognized in respect of the notes that would otherwise be long-term capital gain and that is in excess of the “net underlying long-term capital gain” (as defined in Code Section 1260) as ordinary income, and impose an interest charge as if that income had accrued for tax purposes at a constant yield over the notes’ term.  Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules.

The United States federal income tax treatment of the Coupon Amounts is uncertain.  Insofar as we have reporting responsibilities, we will treat Coupon Amounts as ordinary income (in the absence of an administrative determination or judicial ruling to the contrary), and by purchasing the notes you will agree to do the same.  We expect that Coupon Amounts paid to Non-U.S. Holders will be withheld upon at a rate of 30%, subject to the possible reduction or elimination of that rate under an applicable income tax treaty, unless that income is effectively connected with the conduct of a trade or business in the United States.

In 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments, which may include the notes.  The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.  It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments are linked; and whether these instruments are or should be subject to the “constructive ownership” regime described above.  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.

The discussion in the preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 10-II dated June 14, 2012, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.  Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by the notice described above.”

Rather than reviewing the material under product supplement no. 10-II referenced above, please review the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 6-I for substantially the same discussion, including new and relevant information regarding tax consequences to Non-U.S. Holders relating to regulations and other guidance under Section 871(m) and relating to the legislation commonly referred to as “FATCA,” and regulations promulgated thereunder.

Selected Risk Considerations

Your investment in the notes will involve significant risks.  The notes do not guarantee any return of principal at, or prior to, the Maturity Date.  Investing in the notes is not equivalent to investing directly in the Index or any of the Index Components.  In addition to your investment in the notes entails other risks not associated with an investment in conventional debt securities.  These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement.  You should carefully consider the following discussion of risks before you decide that an investment in the notes is suitable for you.

receive if such payment is determined by reference to the official closing level of the Index.  Because the VWAP Level will not necessarily correlate with the performance of the Index, the payment at maturity or upon early repurchase, as applicable, will not be the same as investing in a debt security with a payment at maturity or upon early repurchase linked to the performance of the Index.  In particular, the actual Index closing level may vary significantly, on a cumulative basis over the term of the notes, from the VWAP Level.  For information that reflects the historical performance of the Index and the VWAP Level, please see “Historical Information” in this market-making supplement.

In addition, the Intraday Intrinsic Note Value calculated and published by Bloomberg will be based on the intraday levels of the Index instead of the VWAP Levels of the Index.  Because the Intraday Intrinsic Note Value may vary significantly from the VWAP Levels and the Final VWAP Level, the payment at maturity or upon early repurchase of your notes may be much different than the payment you would receive if such payment is determined by reference to the Intraday Intrinsic Note Value.

The trading price of the notes at any time, on the other hand, is the price at which you may be able to sell your notes in the secondary market at that time, if one exists.  The trading price of the notes at any time may vary significantly from the Intraday Intrinsic Note Value and the Daily Note Value at that time.  For example, if you pay a premium for the notes above the Intraday Intrinsic Note Value or the Daily Note Value, you could incur significant losses if you sell your notes at a time when the premium is no longer present in the market.

In addition, any decrease in the supply of the notes due to the maximum issuance authorization may cause the notes to appear on NYSE Arca’s “threshold securities list,” indicating repeated delivery failure (which may be a sign of supply shortage) and requiring an actual borrowing of or a bona fide arrangement to borrow the notes in connection with a short sale.  If arbitrageurs are unable to locate notes to sell short, the notes may trade at a premium, which may be significant, in relation to the Daily Note Value or any Intraday Intrinsic Note Value.  Therefore, any purchase of the notes in the secondary market may be at a purchase price significantly different from the Daily Note Value or any Intraday Intrinsic Note Value.

Any premium may be reduced or eliminated at any time, resulting in a financial loss, which may be significant, to sellers who paid this premium.  Investors in the notes should consult their financial advisors before purchasing or selling the notes, especially notes trading at a premium to the Daily Note Value or any Intraday Intrinsic Note Value.

less than the Accrued Tracking Fee, calculated as of the corresponding Coupon Valuation Date.  The resulting Tracking Fee Shortfall, which is the difference between the Accrued Tracking Fee and the Reference Distribution Amount, will be included in the Accrued Tracking Fee for the next Coupon Valuation Date.  This process will be repeated to the extent necessary until the Reference Distribution Amount for a Coupon Valuation Date is greater than the Accrued Tracking Fee for the corresponding Coupon Valuation Date (which includes the accumulated Tracking Fee Shortfall for all prior quarters), and this process may restart as necessary on a subsequent Coupon Valuation Date.  The Tracking Fee Shortfall as of the final Coupon Valuation Date, if any, will be included in the calculation of the Accrued Tracking Fee as of the last Index Business Day in the Final Measurement Period.  Similarly, you will not receive a coupon payment on a Repurchase Date if the Adjusted Reference Distribution Amount, calculated as of the Repurchase Valuation Date, is less than the Adjusted Tracking Fee, calculated as of the Repurchase Valuation Date.  The resulting Adjusted Tracking Fee Shortfall, which is the difference between the Adjusted Tracking Fee and the Adjusted Reference Distribution Amount, will be included in the calculation of the Accrued Tracking Fee as of the last Index Business Day in the Repurchase Measurement Period.

These or other factors or the absence of such factors could cause a downturn in the energy industry generally or regionally and could cause the value of some or all of the Index Components to decline during the term of the notes. For example, the Index Components suffered significant negative performance in 2014 and 2015 while the broader U.S. equities markets achieved positive returns for the same period.

Index Business Day in the Final Measurement Period or the relevant Repurchase Measurement Period, as applicable.  This difference could be particularly large if there is a significant increase in the VWAP Level after the Final Measurement Period or the relevant Repurchase Measurement Period, as applicable, if there is a significant decrease in the VWAP Level around the Final Measurement Period or the relevant Repurchase Measurement Period, as applicable, or if there is significant volatility in the VWAP Levels during the term of the notes.

The weekly repurchase feature is intended to induce arbitrageurs to counteract any trading of the notes at a premium or discount to their intrinsic value.  There can be no assurance that arbitrageurs will employ the repurchase feature in this manner.

Because of the timing requirements of the Repurchase Notice and the Repurchase Confirmation, settlement of the repurchase will be prolonged when compared to a sale and settlement in the secondary market.  As your request that we repurchase your notes is irrevocable, this will subject you to market risk in the event the market fluctuates after we receive your request.  Furthermore, our obligation to repurchase the notes prior to maturity may be postponed upon the occurrence of a Market Disruption Event.

Affiliates of JPMS may engage in limited purchase and resale transactions in the notes, although they are not required to do so.  Also, the number of notes outstanding or held by persons other than our affiliates could be further reduced at any time due to early repurchase of the notes or due to our or our affiliates’ purchases of notes in the secondary market.

Accordingly, the liquidity of the market for the notes could vary materially over the term of the notes.  There may not be sufficient liquidity to enable you to sell your notes readily, and you may suffer substantial losses and/or sell your notes at prices substantially less than the Intraday Intrinsic Note Value or Daily Note Value, including being unable to sell them at all or only for a price of zero in the secondary market.  In addition, any election by holders to request that we repurchase the notes will be subject to the restrictive conditions and procedures described in the accompanying product supplement, including the condition that you may request repurchase of at least 50,000 notes at any one time and that you may only exercise your right to require us to repurchase the notes once per week.  

Hypothetical Coupon Amount Calculation

The following table illustrates the hypothetical Coupon Amount payable on each quarterly Coupon Payment Date over a hypothetical period of five quarters.  The hypothetical Coupon Amount set forth below are for illustrative purposes only and may not be the actual Coupon Amount payable to a purchaser of the notes on any Coupon Payment Date.  The actual Coupon Amount payable on any Coupon Payment Date will be determined by reference to the Reference Distribution Amount calculated as of the corresponding Coupon Valuation Date and the Accrued Tracking Fee (including any Tracking Fee Shortfall) calculated as of the corresponding Coupon Valuation Date and may be substantially different from any amounts set forth below.  The numbers appearing in the following table and examples have been rounded for ease of analysis.

* Assuming that the total number of calendar days in each quarter is 90.

For additional information and key terms related to the Coupon Amount, please see “Key Coupon Payment Terms” on page MMS-18 of this market-making supplement.

Hypothetical Payment at Maturity or upon Early Repurchase

The following examples illustrate how the notes would perform at maturity or upon early repurchase in hypothetical circumstances.  We have included examples in which the VWAP Level increases at a constant rate of 1% per quarter through maturity (Example 1), as well as examples in which the VWAP Level decreases at a constant rate of 1% per quarter through maturity (Example 2). In addition, Example 3 shows the VWAP Level increasing by 1% per quarter for the first 8 quarters and then decreasing by 1% per quarter for the next 7 quarters, whereas Example 4 shows the reverse scenario of the VWAP Level decreasing by 1% per quarter for the first 8 quarters, and then increasing by 1% per quarter for the next 7 quarters.  For ease of analysis and presentation, the following examples assume that the term of the notes is 15 quarters, no Coupon Amount was paid during the term of the notes, the Reference Distribution Amount for each applicable period is zero, no Stub Reference Distribution Amount will be paid at maturity or upon early repurchase and no Adjusted Coupon Amount will be paid upon early repurchase.  These

examples highlight the impact of the Accrued Tracking Fee on the payment at maturity or upon early repurchase under different circumstances.  Because the Accrued Tracking Fee takes into account the VWAP Level performance, the absolute level of the Accrued Tracking Fee is dependent on the path taken by the VWAP Level to arrive at its ending level.  The figures in these examples have been rounded for convenience.  The Cash Settlement Amount figures for quarter 15 are as of the hypothetical Calculation Date, and given the indicated assumptions, a holder will receive payment at maturity or upon early repurchase in the indicated amount, according to the indicated formula.

* Assuming that the total number of calendar days in each quarter is 90.

** Because the Reference Distribution Amount for each quarter is zero, for each quarter the Tracking Fee Shortfall is increased by the Quarterly Tracking Fee for that quarter, and the Accrued Tracking Fee for each quarter is the sum of the Quarterly Tracking Fee for that quarter plus the Tracking Fee Shortfall as of the previous quarter (i.e., the sum of the Quarterly Tracking Fees for all previous quarters).

You may receive Coupon Amounts during the term of the notes, a Stub Reference Distribution Amount at maturity or upon early repurchase, or an Adjusted Coupon Amount upon early repurchase.  The hypothetical returns displayed above do not reflect any Coupon Amounts you may be entitled to receive during the term of the notes, any Stub Reference Distribution Amount you may be entitled to receive at maturity or upon early repurchase, or any Adjusted Coupon Amount you may be entitled to receive upon early repurchase.  If any Coupon Amounts were paid during the term of the notes, any Stub Reference Distribution Amount was paid upon maturity or upon early repurchase, or any Adjusted Coupon Amount were payable upon early repurchase, the hypothetical Cash Settlement Amounts or Repurchase Amounts displayed above would have been higher (as a portion of the Accrued Tracking Fee would have been deducted in calculating the Coupon Amounts or Adjusted Coupon Amount and/or the Cash Settlement Amounts or Repurchase Amounts would have been increased by the Stub Reference Distribution Amount).

* Assuming that the total number of calendar days in each quarter is 90.

** Because the Reference Distribution Amount for each quarter is zero, for each quarter the Tracking Fee Shortfall is increased by the Quarterly Tracking Fee for that quarter, and the Accrued Tracking Fee for each quarter is the sum of the Quarterly Tracking Fee for that quarter plus the Tracking Fee Shortfall as of the previous quarter (i.e., the sum of the Quarterly Tracking Fees for all previous quarters).

You may receive Coupon Amounts during the term of the notes, a Stub Reference Distribution Amount at maturity or upon early repurchase, or an Adjusted Coupon Amount upon early repurchase.  The hypothetical returns displayed above do not reflect any Coupon Amounts you may be entitled to receive during the term of the notes, any Stub Reference Distribution Amount you may be entitled to receive at maturity or upon early repurchase, or any Adjusted Coupon Amount you may be entitled to receive upon early repurchase.  If any Coupon Amounts were paid during the term of the notes, any Stub Reference Distribution Amount was paid upon maturity or upon early repurchase, or any Adjusted Coupon Amount were payable upon early repurchase, the hypothetical Cash Settlement Amounts or Repurchase Amounts displayed above would have been higher (as a portion of the Accrued Tracking Fee would have been deducted in calculating the Coupon Amounts or Adjusted Coupon Amount and/or the Cash Settlement Amounts or Repurchase Amounts would have been increased by the Stub Reference Distribution Amount).

* Assuming that the total number of calendar days in each quarter is 90.

** Because the Reference Distribution Amount for each quarter is zero, for each quarter the Tracking Fee Shortfall is increased by the Quarterly Tracking Fee for that quarter, and the Accrued Tracking Fee for each quarter is the sum of the Quarterly Tracking Fee for that quarter plus the Tracking Fee Shortfall as of the previous quarter (i.e., the sum of the Quarterly Tracking Fees for all previous quarters).

You may receive Coupon Amounts during the term of the notes, a Stub Reference Distribution Amount at maturity or upon early repurchase, or an Adjusted Coupon Amount upon early repurchase.  The hypothetical returns displayed above do not reflect any Coupon Amounts you may be entitled to receive during the term of the notes, any Stub Reference Distribution Amount you may be entitled to receive at maturity or upon early repurchase, or any Adjusted Coupon Amount you may be entitled to receive upon early repurchase.  If any Coupon Amounts were paid during the term of the notes, any Stub Reference Distribution Amount was paid upon maturity or upon early repurchase, or any Adjusted Coupon Amount were payable upon early repurchase, the hypothetical Cash Settlement Amounts or Repurchase Amounts displayed above would have been higher (as a portion of the Accrued Tracking Fee would have been deducted in calculating the Coupon Amounts or Adjusted Coupon Amount and/or the Cash Settlement Amounts or Repurchase Amounts would have been increased by the Stub Reference Distribution Amount).

* Assuming that the total number of calendar days in each quarter is 90.

** Because the Reference Distribution Amount for each quarter is zero, for each quarter the Tracking Fee Shortfall is increased by the Quarterly Tracking Fee for that quarter, and the Accrued Tracking Fee for each quarter is the sum of the Quarterly Tracking Fee for that quarter plus the Tracking Fee Shortfall as of the previous quarter (i.e., the sum of the Quarterly Tracking Fees for all previous quarters).

You may receive Coupon Amounts during the term of the notes, a Stub Reference Distribution Amount at maturity or upon early repurchase, or an Adjusted Coupon Amount upon early repurchase.  The hypothetical returns displayed above do not reflect any Coupon Amounts you may be entitled to receive during the term of the notes, any Stub Reference Distribution Amount you may be entitled to receive at maturity or upon early repurchase, or any Adjusted Coupon Amount you may be entitled to receive upon early repurchase.  If any Coupon Amounts were paid during the term of the notes, any Stub Reference Distribution Amount was paid upon maturity or upon early repurchase, or any Adjusted Coupon Amount were payable upon early repurchase, the hypothetical Cash Settlement Amounts or Repurchase Amounts displayed above would have been higher (as a portion of the Accrued Tracking Fee would have been deducted in calculating the Coupon Amounts or Adjusted Coupon Amount and/or the Cash Settlement Amounts or Repurchase Amounts would have been increased by the Stub Reference Distribution Amount).

The hypothetical examples above are provided for purposes of information only. The hypothetical examples are not indicative of the future performance of the VWAP Level on any Index Business Day, the Final VWAP Level, or what the value of your notes may be. Fluctuations in the hypothetical examples may be greater or less than fluctuations

experienced by the holders of the notes. The performance data shown above is for illustrative purposes only and does not represent the actual future performance of the notes.

Key Weekly Repurchase Terms

^†† Subject to postponement in the event of a Market Disruption Event as described under “General Terms of Notes — Market Disruption Events” in the accompanying product supplement

Historical Information

The following graph sets forth the historical performance of the notes based on the daily closing prices of the notes from January 2, 2015 through April 6, 2020. The closing price of the notes on April 6, 2020 was $9.32. We obtained the closing prices above and below from Bloomberg, without independent verification. The historical prices of the notes should not be taken as an indication of future performance, and no assurance can be given as to the price, if any, at which you will be able to sell your notes.

The graph below sets forth the historical performance of the VWAP Level based on the daily VWAP Levels from January 2, 2015 through April 6, 2020 obtained from Bloomberg, without independent verification. The VWAP Level on April 6, 2020 was 95.78. We obtained the historical VWAP Levels above and below from Bloomberg, without independent verification. The historical VWAP Levels should not be taken as an indication of future performance, and no assurance can be given as to the VWAP Level on any Index Business Day. We cannot give you assurance that the performance of the VWAP Level will result in the return of any of your initial investment. Payments on the notes are determined by reference to the VWAP Level, and not to the closing level of the Index.