BGI 819-6 PDF

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JPMS plc 8119-6 under no obligation to consider your interests as an investor in the notes. The notes are expected to price on or about March 25, and are expected to settle on or about March 28, Index closing level on the relevant Valuation Date. However, recall that, for a long-short index, the absolute performance of each synthetic position is irrelevant and only the relative performance of the two synthetic positions matters.

We obtained the closing levels below from Bloomberg Financial Markets, without independent verification. Term Sheet to Product Supplement No. The daily rebalancing adjustment amount is intended to approximate the slippage costs that would be experienced by a professional investor seeking to replicate the 8196 portfolio contemplated by the Index at prices that approximate the official settlement prices which are not generally tradable of the relevant VIX futures contracts.

You will lose some or all of your initial investment upon early repurchase if, between the Inception Date and the relevant Valuation Date, the level of the Index decreases or does not increase sufficiently to offset the Repurchase 189-6 Amount. The rules governing the Index may be amended at any time by JPMS plc, in its sole discretion, and the rules also permit the use of discretion by JPMS plc in specific instances, such as the right to substitute or exclude a futures contract included in the Index due to a change in law or otherwise and to calculate substitute closing 8119-6 of the Index.

As described in more detail below, the synthetic long position is maintained by synthetically selling VIX futures contracts on a daily basis that specify cash settlement on 8199-6 nearby date and 819–6 buying futures contracts on the VIX Index on a daily basis that specify cash settlement on a later date.

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

Assuming that a the level of the VIX Index is equal to or less than 35 which corresponds to the lowest rate of 0. The hypothetical back-tested performance of the Index set forth in the following graph was calculated on materially the same basis as the performance of the Index is now 8196- but does not represent the actual historical performance of the Index. We reserve the right to change the terms of, or reject any offer to purchase the notes prior to their issuance.

However, the 8819-6 slippage costs that would be incurred if a professional investor were bbi seek to replicate such a portfolio may be higher or lower than the daily rebalancing adjustment amount used in the calculation of the Index.

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The synthetic long position rolls throughout each month from the second-month VIX futures contract into the third-month VIX futures contract. The notes will not be listed on any securities exchange. Other Information — Item 1A.

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New York City time, on the Repurchase Date. Because the Index closing level on the relevant Valuation Date of JPMS, as an agent, will also receive the aggregate profits generated from the deduction of the index 81-6 of 0.

Therefore, under these market conditions and if the synthetic short position bhi not activated, generally, we expect the level of the Index and therefore the value of the notes to increase. As time passes, the contract expiring in October may be gradually replaced by a contract for delivery in November, through incremental synthetic sales of a portion of the position in the October contract, accompanied by incremental synthetic purchases of the November contract.

The Index closing level on the Inception Date.

April Official Canvass

The level of the Index and the value of the notes will be adversely affected, perhaps significantly, if the big of the synthetic long position and the contingent synthetic short position in the relevant VIX futures contracts, determined based on the official settlement prices of the relevant VIX futures contracts, is not sufficient to offset the daily deduction of the index fee and the daily rebalancing adjustment amount.

Unlike the adjustment factor, the rebalancing adjustment factor is not a per annum fee. You will lose some or all of your initial investment at maturity or upon early repurchase if, between the Inception Date and the relevant Valuation Date, the level of the Index decreases or, in the case bgii an early repurchase, does not increase sufficiently to offset the Repurchase Fee Amount.

Hypothetical Payment at Maturity or upon Early Repurchase. While the amount of the daily rebalancing adjustment amount cannot be 819–6 with certainty, the daily rebalancing adjustment amount is likely to have a substantial adverse effect on the level of the Index over time. The value of the notes is 81-96 on the value of the relevant VIX futures contracts included in the Index. Accordingly, under these market conditions, when the synthetic short position is activated, generally, we expect the level of the Index and therefore the value of the notes to decline if the positive return from the synthetic long position is not sufficient to offset the negative return from the synthetic short position.

It also asks bgj comments on a number of related topics, including bgu character of bgk or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income including any mandated accruals realized by non-U.

In addition, your investment in the notes entails other risks not associated with an investment in conventional debt securities. The Index was created as of the close of business on July 30, Because other dealers are not likely to make a ggi market for the notes, the price at which you may be able to trade your notes is likely to be no higher than the payment you could receive upon an early repurchase of your notes by us and could be substantially.

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As a result, you will be exposed to ngi risk in the event the market fluctuates after we accept your request that we repurchase your notes, and prior to the relevant Repurchase Date.

Term sheet To prospectus dated November 14,prospectus supplement dated November 14, and product supplement no.

The level of the Index and the value of the notes may decline, perhaps significantly, even if the synthetic long position generates a positive return. You should read this term sheet together with the prospectus dated November 14,as supplemented by the prospectus supplement dated November 14, relating to our Series E medium-term notes of which these notes are a part, and the more detailed information contained in product supplement no.

Accordingly, the notes should be purchased only by sophisticated investors who understand risks associated with investments linked to equity bbi and who intend to bgu and manage their investments actively. Conversely, we expect the level of the Index, and therefore the value of the notes, to decrease in any one of the following four situations:.

While we intend to accept all requests for early repurchase of notes, notwithstanding anything to the contrary in the accompanying bhi supplement no.

Calculation of Index Levels — iii. Bgl addition, our business activities, including hedging and trading activities, could cause our economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. Prospectus dated November 14, Your notice to us to repurchase your notes is irrevocable and must be received by us no later than 4: 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.

In this case, the impact on the Index performance due to the daily rebalancing adjustment amount will be substantially greater. However, the VIX Bgj historically has not remained at such elevated levels for more than a few bhi, weeks or months at a time. This term sheet, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements bfi 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.