Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities
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You may revoke your offer to purchase the Securities at any
time prior to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or reject
any offer to purchase, the Securities prior to their issuance. In the event of any changes to the terms of the Securities, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these
Securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the Securities
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 the “Risk
Factors” sections of the accompanying product supplement and the accompanying underlying supplement, as the Securities involve
risks not associated with conventional debt securities.
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 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Securities
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For purposes of the accompanying product supplement, the Consumer
Staples Select Sector SPDR
®
Fund is a “Fund.”
Investor
Suitability
The Securities may be suitable for you if, among
other considerations:
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You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal
amount.
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You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that has
the same downside market risk as a hypothetical investment in the Underlying.
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You believe the price of the Underlying will increase over the term of the Securities and that the appreciation is unlikely
to exceed an amount equal to the Maximum Gain indicated on the cover hereof (the actual Maximum Gain will be finalized on the Trade
Date and provided in the pricing supplement and will not be less than the bottom of the range indicated on the cover hereof).
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You understand and accept that your potential return is limited by the Maximum Gain and you would be willing to invest in
the Securities if the Maximum Gain were set equal to the bottom of the range indicated on the cover hereof.
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You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside
price fluctuations of the Underlying.
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You do not seek current income from your investment and are willing to forgo dividends paid on the Underlying.
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You are willing and able to hold the Securities to maturity.
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You accept that there may be little or no secondary market for the Securities and that any secondary market will depend
in large part on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Securities.
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You understand and accept the risks associated with the Underlying.
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You are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the
Securities, and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive
any amounts due to you including any repayment of principal.
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The Securities may not be suitable for you if, among
other considerations:
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You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire
principal amount.
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You require an investment designed to provide a full return of principal at maturity.
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You cannot tolerate a loss of all or a substantial portion of your investment, or you are not willing to make an investment
that has the same downside market risk as a hypothetical investment in the Underlying.
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You believe the price of the Underlying will decline over the term of the Securities, or you believe the Underlying will
appreciate over the term of the Securities by more than the Maximum Gain indicated on the cover hereof (the actual Maximum Gain
will be finalized on the Trade Date and provided in the pricing supplement and will not be less than the bottom of the range indicated
on the cover hereof).
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You seek an investment that has unlimited return potential without a cap on appreciation.
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You would be unwilling to invest in the Securities if the Maximum Gain were set equal to the bottom of the range indicated
on the cover hereof.
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You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside
price fluctuations of the Underlying.
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You seek current income from your investment or prefer not to forgo dividends paid on the Underlying.
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You are unwilling or unable to hold the Securities to maturity or seek an investment for which there will be an active secondary
market.
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You do not understand or accept the risks associated with the Underlying.
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You are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under
the Securities, including any repayment of principal.
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The suitability considerations identified above are not
exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and
you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully
considered the suitability of an investment in the Securities in light of your particular circumstances. You should also review
carefully the “Key Risks” section of this pricing supplement and the “Risk Factors” sections of the accompanying
product supplement and the accompanying underlying supplement for risks related to an investment in the Securities. For more information
on the Underlying, please see the section titled “The Underlying” below.
Indicative
Terms
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Issuer:
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JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan
Chase & Co.
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Issue
Price:
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$10.00
per Security (subject to a minimum purchase of 100 Securities or $1,000)
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Principal
Amount:
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$10.00
per Security. The payment at maturity will be based on the principal amount.
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Underlying:
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Consumer
Staples Select Sector SPDR
®
Fund
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Term
1
:
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14
months
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Payment
at Maturity (per $10 principal amount Security):
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I
f the Underlying Return
is positive,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00
+ ($10.00 × Underlying Return × Upside Gearing)
provided, however,
that in no event will JPMorgan Financial pay you at maturity an amount greater than:
$10.00
+ ($10.00 × Maximum Gain)
If the Underlying Return
is zero,
JPMorgan Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying Return
is negative,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00
+ ($10.00 × Underlying Return)
In this scenario,
you will be exposed to the decline of the Underlying and you will lose some or all of your principal amount in an amount
proportionate to the negative Underlying Return.
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Underlying
Return:
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(Final
Value – Initial Value)
Initial
Value
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Upside
Gearing:
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3.00
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Maximum
Gain:
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Between
13.50% and 14.50%. The actual Maximum Gain will be finalized on the Trade Date and provided in the pricing supplement and
will not be less than 13.50%. In no event will the return on the Principal Amount be greater than the Maximum Gain.
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Initial
Value:
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The
closing price of one share of the Underlying on the Trade Date
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Final
Value:
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The
closing price
2
of one share of the Underlying on the Final Valuation Date
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Share
Adjustment
Factor
2
:
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The
Share Adjustment Factor is referenced in determining the closing price of one share of the Underlying. The Share
Adjustment Factor is set initially at 1.0 on the Trade Date.
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1
See footnote 1 under
“Key Dates” on the front cover
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2
The closing price and the Share Adjustment Factor of the Underlying are subject to adjustments in the case of certain
events described in the accompanying product supplement under “The Underlyings — Funds — Anti-Dilution
Adjustments.”
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Investment
Timeline
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Trade
Date
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The
Initial Value is observed. The Maximum Gain is determined.
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Maturity
Date
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The Final Value and the
Underlying Return are determined.
If the Underlying Return
is positive,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00
+ ($10.00 × Underlying Return ×
Upside Gearing)
provided, however,
that in no event will you receive at maturity an amount greater than:
$10.00
+ ($10.00 × Maximum Gain)
If the Underlying Return
is zero,
JPMorgan Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying Return
is negative,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00
+ ($10.00 × Underlying Return)
Under these circumstances,
you will be exposed to the decline of the Underlying and you will lose some or all of your principal amount.
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INVESTING IN THE SECURITIES INVOLVES
SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT
OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL
AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER
THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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What
Are the Tax Consequences of the Securities?
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You should review carefully the
section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I.
The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel,
Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of Securities.
Based on current market conditions,
in the opinion of our special tax counsel it is reasonable to treat the Securities as “open transactions” that are
not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments”
in the accompanying product supplement. Assuming this treatment is respected, subject to the possible application of the “constructive
ownership” rules, the gain or loss on your Securities should be treated as long-term capital gain or loss if you hold your
Securities for more than a year, whether or not you are an initial purchaser of Securities at the issue price. The Securities
could be treated as “constructive ownership transactions” within the meaning of Section 1260 of the Code, in which
case any gain recognized in respect of the Securities that would otherwise be long-term capital gain and that was in excess of
the “net underlying long-term capital gain” (as defined in Section 1260) would be treated as ordinary income, and
a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over your holding period
for the Securities. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership rules
apply to the Securities. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the
constructive ownership rules.
The
IRS or a court may not respect the treatment of the Securities described above, in which case the timing and character of any
income or loss on your Securities could be materially and adversely affected. In addition, 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.
The notice focuses in particular on whether to require investors in 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 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.S. investors should be subject to withholding
tax; 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 Securities,
possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an
investment in the Securities, including the potential application of the constructive ownership rules, possible alternative treatments
and the issues presented by this notice.
Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax
treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding
regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury
regulations (such an index, a “Qualified Index”). Additionally, a recent IRS notice excludes from the scope of Section
871(m) instruments issued prior to January 1, 2021 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain
determinations made by us, we expect that Section 871(m) will not apply to the Securities with regard to Non-U.S. Holders. Our
determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying
Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing
supplement for the Securities. You should consult your tax adviser regarding the potential application of Section 871(m) to the
Securities.
Withholding under legislation
commonly referred to as “FATCA” may (if the Securities are recharacterized as debt instruments) apply to amounts treated
as interest paid with respect to the Securities, as well as to payments of gross proceeds of a taxable disposition, including
redemption at maturity, of a Security, although under recently proposed regulations (the preamble to which specifies that taxpayers
are permitted to rely on them pending finalization), no withholding will apply to payments of gross proceeds (other than any amount
treated as interest). You should consult your tax adviser regarding the potential application of FATCA to the Securities.
An investment in the Securities
involves significant risks. Investing in the Securities is not equivalent to investing directly in the Underlying. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying product supplement and the accompanying
underlying supplement. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest
in the Securities.
Risks Relating to the Securities
Generally
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Your
Investment in the Securities May Result in a Loss
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The Securities differ from ordinary debt securities in that we will not necessarily repay
the full principal amount of the Securities. We will pay you the principal amount of
your Securities in cash only if the Final Value has not declined below the Initial Value.
If the Underlying Return is negative, you will lose some or all of your principal amount
in an amount proportionate to the negative Underlying Return. Accordingly, you could
lose up to your entire principal amount.
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Credit
Risks of JPMorgan Financial and JPMorgan Chase & Co
.
— The Securities are unsecured and unsubordinated
debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on
which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Securities
will rank
pari passu
with all of our other unsecured and unsubordinated obligations,
and the related guarantee JPMorgan Chase & Co. will rank
pari passu
with all
of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The
Securities and related guarantees are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Securities, including any repayment
of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co.
to satisfy their obligations as they come due. As a result, the actual and perceived
creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. may affect the market
value of the Securities and, in the event JPMorgan Financial and JPMorgan Chase &
Co. were to default on their obligations, you may not receive any amounts owed to you
under the terms of the Securities and you could lose your entire investment.
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As
a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Limited Assets
—
As
a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond
the issuance and administration of our securities. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of our affiliates to make payments under loans made by us or other intercompany agreements.
As a result, we are dependent upon payments from our affiliates to meet our obligations
under the Securities. If these affiliates do not make payments to us and we fail to make
payments on the Securities, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all
other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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The
Appreciation Potential of the Securities Is Limited by the Maximum Gain
—
The appreciation potential of the Securities is limited by the Maximum Gain. The Maximum
Gain will be finalized on the Trade Date and provided in the pricing supplement and will
not be less than the bottom of the range indicated on the front cover of this pricing
supplement. Accordingly, the appreciation potential of the Securities will be limited
by the Maximum Gain even if the Underlying Return times the Upside Gearing is greater
than the Maximum Gain.
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The
Upside Gearing Applies Only If You Hold the Securities to Maturity
—
You should be willing to hold your Securities to maturity. If you are able to sell your
Securities prior to maturity in the secondary market, if any, the price you receive likely
will not reflect the full economic value of the Upside Gearing or the Securities themselves,
and the return you realize may be less than the product of the performance of the Underlying
and the Upside Gearing and may be less than the Underlying return, even if that return
is positive and does not exceed the Maximum Gain. You can receive the full benefit of
the Upside Gearing, subject to the Maximum Gain, only if you hold your Securities to
maturity.
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No
Interest Payments
— JPMorgan Financial will
not make any interest payments to you with respect to the Securities.
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Potential
Conflicts
— We and our affiliates play a
variety of roles in connection with the issuance of the Securities, including acting
as calculation agent and hedging our obligations under the Securities and making the
assumptions used to determine the pricing of the Securities and the estimated value of
the Securities when the terms of the Securities are set, which we refer to as the estimated
value of the Securities. In performing these duties, our and JPMorgan Chase & Co.’s
economic interests and the economic interests of the calculation agent and other affiliates
of ours are potentially adverse to your interests as an investor in the Securities. In
addition, our and JPMorgan Chase & Co.’s business activities, including hedging
and trading activities, could cause our and JPMorgan Chase & Co.’s economic
interests to be adverse to yours and could adversely affect any payment on the Securities
and the value of the Securities. It is possible that hedging or trading activities of
ours or our affiliates in connection with the Securities could result in substantial
returns for us or our affiliates while the value of the Securities declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the
accompanying product supplement for additional information about these risks.
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The
Probability That the Final Value Will Fall Below the Initial Value on the Final Valuation
Date Will Depend on the Volatility of the Underlying
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“Volatility"
refers to the frequency and magnitude of changes in the price of the Underlying. Greater
expected volatility with respect to the Underlying reflects a higher expectation as of
the Trade Date that the Underlying could close below the Initial Value on the Final Valuation
Date of the Securities, resulting in the loss of some or all of your investment. However,
the Underlying’s volatility can change significantly over the term of the Securities.
The price of the Underlying could fall sharply, which could result in a significant loss
of principal.
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The
Estimated Value of the Securities Will Be Lower Than the Original Issue Price (Price
to Public) of the Securities
— The estimated
value of the Securities is only an estimate determined by reference to several factors.
The original issue price of the Securities will exceed the estimated value of the Securities
because costs associated with selling, structuring and hedging the Securities are included
in the original issue price of the Securities. These costs include the selling commissions,
the projected profits, if any, that our
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affiliates
expect to realize for assuming risks inherent in hedging our obligations under the Securities
and the estimated cost of hedging our obligations under the Securities. See “The
Estimated Value of the Securities” in this pricing supplement.
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The
Estimated Value of the Securities Does Not Represent Future Values of the Securities
and May Differ from Others’ Estimates
—
The estimated value of the Securities is determined by reference to internal pricing
models of our affiliates when the terms of the Securities are set. This estimated value
of the Securities is based on market conditions and other relevant factors existing at
that time and assumptions about market parameters, which can include volatility, dividend
rates, interest rates and other factors. Different pricing models and assumptions could
provide valuations for the Securities that are greater than or less than the estimated
value of the Securities. In addition, market conditions and other relevant factors in
the future may change, and any assumptions may prove to be incorrect. On future dates,
the value of the Securities could change significantly based on, among other things,
changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any,
at which JPMS would be willing to buy Securities from you in secondary market transactions.
See “The Estimated Value of the Securities” in this pricing supplement.
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The
Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate
— The internal funding rate used in the
determination of the estimated value of the Securities may differ from the market-implied
funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan
Chase & Co. or its affiliates. Any difference may be based on, among other things,
our and our affiliates’ view of the funding value of the Securities as well as
the higher issuance, operational and ongoing liability management costs of the Securities
in comparison to those costs for the conventional fixed income instruments of JPMorgan
Chase & Co. This internal funding rate is based on certain market inputs and assumptions,
which may prove to be incorrect, and is intended to approximate the prevailing market
replacement funding rate for the Securities. The use of an internal funding rate and
any potential changes to that rate may have an adverse effect on the terms of the Securities
and any secondary market prices of the Securities. See “The Estimated Value of
the Securities” in this pricing supplement.
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The
Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer
Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities
for a Limited Time Period
— We generally
expect that some of the costs included in the original issue price of the Securities
will be partially paid back to you in connection with any repurchases of your Securities
by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and,
in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. See “Secondary Market Prices of the Securities”
in this pricing supplement for additional information relating to this initial period.
Accordingly, the estimated value of your Securities during this initial period may be
lower than the value of the Securities as published by JPMS (and which may be shown on
your customer account statements).
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Secondary
Market Prices of the Securities Will Likely Be Lower Than the Original Issue Price of
the Securities
— Any secondary market prices
of the Securities will likely be lower than the original issue price of the Securities
because, among other things, secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also, because secondary market
prices may exclude selling commissions, projected hedging profits, if any, and estimated
hedging costs that are included in the original issue price of the Securities. As a result,
the price, if any, at which JPMS will be willing to buy Securities from you in secondary
market transactions, if at all, is likely to be lower than the original issue price.
Any sale by you prior to the Maturity Date could result in a substantial loss to you.
See the immediately following risk factor for information about additional factors that
will impact any secondary market prices of the Securities.
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The
Securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Securities
to maturity. See “— Lack of Liquidity” below.
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Many
Economic and Market Factors Will Impact the Value of the Securities
—
As
described under “The Estimated Value of the Securities” in this pricing supplement,
the Securities can be thought of as securities that combine a fixed-income debt component
with one or more derivatives. As a result, the factors that influence the values of fixed-income
debt and derivative instruments will also influence the terms of the Securities at issuance
and their value in the secondary market. Accordingly, the secondary market price of the
Securities during their term will be impacted by a number of economic and market factors,
which may either offset or magnify each other, aside from the selling commissions, projected
hedging profits, if any, estimated hedging costs and the price of one share of the Underlying,
including:
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any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads;
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customary
bid-ask spreads for similarly sized trades;
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our
internal secondary market funding rates for structured debt issuances;
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the
actual and expected volatility in the price of one share of the Underlying;
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the
time to maturity of the Securities;
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the
dividend rates on the Underlying and the equity securities held by the Underlying;
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the
occurrence of certain events affecting the Underlying that may or may not require an
adjustment to the closing price and the Share Adjustment Factor of the Underlying;
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interest
and yield rates in the market generally; and
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a
variety of other economic, financial, political, regulatory and judicial events.
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Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the Securities, which may also be reflected
on customer account statements. This price may be different (higher or lower) than the price of the Securities, if any, at which
JPMS may be willing to purchase your Securities in the secondary market.
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Investing
in the Securities Is Not Equivalent to Investing in the Underlying or the Equity Securities
Held by the Underlying
— Investing in the
Securities is not equivalent to investing in the Underlying or the equity securities
held by the Underlying. As an investor in the Securities, you will not have any ownership
interest or rights in the Underlying or the equity securities held by the Underlying,
such as voting rights, dividend payments or other distributions.
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Your
Return on the Securities Will Not Reflect Dividends on the Underlying or the Equity Securities
Held by the Underlying
— Your return on
the Securities will not reflect the return you would realize if you actually owned the
Underlying or the equity securities held by the Underlying and received the dividends
on the Underlying or those equity securities. This is because the calculation agent will
calculate the amount payable to you at maturity of the Securities by reference to the
Final Value, which reflects the closing price of one share of the Underlying on the Final
Valuation Date without taking into consideration the value of dividends on the Underlying
or the equity securities held by the Underlying.
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No
Affiliation with the Underlying or the Issuers of the Equity Securities Held by the Underlying
—
We are not affiliated with the Underlying
or, to our knowledge, the issuers of the equity securities held by the Underlying. We
have not independently verified the information about the Underlying or the issuers of
the equity securities held by the Underlying contained in this pricing supplement. You
should make your own investigation into the Underlying and the issuers of the equity
securities held by the Underlying. We are not responsible for the public disclosure of
information by the Underlying or the issuers of the equity securities held by the Underlying,
whether contained in SEC filings or otherwise.
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Lack
of Liquidity
— The Securities will not be
listed on any securities exchange. JPMS intends to offer to purchase the Securities in
the secondary market, but is not required to do so. Even if there is a secondary market,
it may not provide enough liquidity to allow you to trade or sell the Securities easily.
Because other dealers are not likely to make a secondary market for the Securities, the
price at which you may be able to trade your Securities is likely to depend on the price,
if any, at which JPMS is willing to buy the Securities.
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Potentially
Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates
— JPMS, UBS or their affiliates may publish research,
express opinions or provide recommendations that are inconsistent with investing in or
holding the Securities, and that may be revised at any time. Any such research, opinions
or recommendations may or may not recommend that investors buy or hold investments linked
to the Underlying and could affect the value of the Underlying, and therefore the market
value of the Securities.
|
|
t
|
Tax
Treatment
— Significant aspects of the tax
treatment of the Securities are uncertain. You should consult your tax adviser about
your tax situation.
|
|
t
|
Potential
JPMorgan Financial Impact on the Market Price of the Underlying
—
Trading or transactions by JPMorgan Financial or its affiliates in the Underlying or
in futures, options or other derivative products on the Underlying may adversely affect
the market value of the Underlying and, therefore, the market value of the Securities.
|
|
t
|
The
Final Terms and Valuation of the Securities Will Be Finalized on the Trade Date and Provided
in the Pricing Supplement
—
The final terms of the Securities will be based on relevant market conditions when the
terms of the Securities are set and will be finalized on the Trade Date and provided
in the pricing supplement. In particular, each of the estimated value of the Securities
and the Maximum Gain will be finalized on the Trade Date and provided in the pricing
supplement, and each may be as low as the applicable minimum set forth on the cover of
this pricing supplement. Accordingly, you should consider your potential investment in
the Securities based on the minimums for the estimated value of the Securities and the
Maximum Gain.
|
Risks Relating
to the Underlying
|
t
|
There
Are Risks Associated with the Underlying
—
Although shares of the Underlying are listed for trading on a securities exchange and
a number of similar products have been trading on a securities exchange for varying periods
of time, there is no assurance that an active trading market will continue for the shares
of the Underlying or that there will be liquidity in the trading market. The Underlying
is subject to management risk, which is the risk that the investment strategies of the
Underlying’s investment adviser, the implementation of which is subject to a number
of constraints, may not produce the intended results.
These
constraints could adversely affect the market price
of the shares of the Underlying, and consequently, the value of the Securities.
|
|
t
|
The
Performance and Market Value of the Underlying, Particularly During Periods of Market
Volatility, May Not Correlate with the Performance of the Underlying’s Underlying
Index as well as the Net Asset Value per Share
—
The Underlying does not fully replicate its Underlying
Index (as defined under “The Underlying” below) and may hold securities different
from those included in its Underlying Index. In addition, the performance of the Underlying
will reflect additional transaction costs and fees that are not included in the calculation
of its Underlying Index. All of these factors may lead to a lack of correlation between
the performance of the Underlying and its Underlying Index. In addition, corporate actions
with respect to the equity securities underlying the Underlying (such as mergers and
spin-offs) may impact the variance between the performances of the Underlying and its
Underlying Index. Finally, because the shares of the Underlying are traded on a securities
exchange and are subject to market supply and investor demand, the market value of one
share of the Underlying may differ from the net asset value per share of the Underlying.
|
During
periods of market volatility, securities underlying the Underlying may be unavailable in the secondary market, market participants
may be unable to calculate accurately the net asset value per share of the Underlying and the liquidity of the Underlying may
be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem
shares of the Underlying. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants
are
willing
to buy and sell shares of the Underlying. As a result, under these circumstances, the market value of shares of the Underlying
may vary substantially from the net asset value per share of the Underlying. For all of the foregoing reasons, the performance
of the Underlying may not correlate with the performance of its Underlying Index as well as the net asset value per share of the
Underlying, which could materially and adversely affect the value of the Securities in the secondary market and/or reduce any
payment on the Securities.
|
t
|
Risks
Associated with the Consumer Staples Sector
— All or substantially all of the equity
securities held by the Underlying are issued by companies whose primary line of business
is directly associated with the consumer staples sector. As a result, the value
of the Securities may be subject to greater volatility and be more adversely affected
by a single economic, political or regulatory occurrence affecting this sector than a
different investment linked to securities of a more broadly diversified group of issuers.
Consumer staples companies are subject to government regulation affecting their products,
which may negatively impact these companies’ performance. For instance, government
regulations may affect the permissibility of using various food additives and production
methods of companies that make food products, which could affect company profitability.
Tobacco companies may be adversely affected by the adoption of proposed legislation and/or
by litigation. Also, the success of food, beverage, household and personal product
companies may be strongly affected by consumer interest, marketing campaigns and other
factors affecting supply and demand, including performance of the overall domestic and
global economy, interest rates, competition and consumer confidence and spending.
These factors could affect the consumer staples sector and could affect the value of
the equity securities held by the Underlying and the price of the Underlying during the
term of the Securities, which may adversely affect the value of your Securities.
|
|
t
|
Anti-Dilution
Protection Is Limited
— Although the calculation
agent will adjust the closing price of one share of the Underlying for certain events
affecting the Underlying, the calculation agent is not required to make an adjustment
for every event that can affect the Underlying. If an event occurs that does not require
the calculation agent to adjust the closing price of one share of the Underlying, the
market value of your Securities and any payment on the Securities may be materially and
adversely affected.
|
Hypothetical
Examples and Return Table
|
Hypothetical
terms only. Actual terms may vary. See the cover page for actual offering terms.
The following table and hypothetical
examples below illustrate the payment at maturity per $10.00 principal amount Security for a hypothetical range of Underlying
Returns from -100.00% to +100.00% on an offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical
Initial Value of $100, a hypothetical Upside Gearing of 1.50 and a hypothetical Maximum Gain of 12.00%. The hypothetical Initial
Value of $100 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial
Value will be based on the closing price of one share of the Underlying on the Trade Date and will be provided in the pricing
supplement. For historical data regarding the actual closing prices of one share of the Underlying, please see the historical
information set forth under “The Underlying” in this pricing supplement. The actual Upside Gearing is specified on
the cover of this pricing supplement. The actual Maximum Gain will be finalized on the Trade Date and provided in the pricing
supplement. The hypothetical payment at maturity examples set forth below are for illustrative purposes only and may not be the
actual returns applicable to a purchaser of the Securities. The actual payment at maturity may be more or less than the amounts
displayed below and will be determined based on the actual terms of the Securities, including the Upside Gearing, the Initial
Value and the Maximum Gain to be finalized on the Trade Date and provided in the pricing supplement and the Final Value on the
Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment goals. The numbers
appearing in the table below have been rounded for ease of analysis.
Final
Value
|
Underlying
Return (%)
|
Payment
at Maturity ($)
|
Return
at Maturity per
$10.00 issue price (%)
|
$200.00
|
100.00%
|
$11.20
|
12.00%
|
$190.00
|
90.00%
|
$11.20
|
12.00%
|
$180.00
|
80.00%
|
$11.20
|
12.00%
|
$170.00
|
70.00%
|
$11.20
|
12.00%
|
$160.00
|
60.00%
|
$11.20
|
12.00%
|
$150.00
|
50.00%
|
$11.20
|
12.00%
|
$140.00
|
40.00%
|
$11.20
|
12.00%
|
$130.00
|
30.00%
|
$11.20
|
12.00%
|
$120.00
|
20.00%
|
$11.20
|
12.00%
|
$110.00
|
10.00%
|
$11.20
|
12.00%
|
$108.00
|
8.00%
|
$11.20
|
12.00%
|
$106.00
|
6.00%
|
$10.90
|
9.00%
|
$104.00
|
4.00%
|
$10.60
|
6.00%
|
$102.00
|
2.00%
|
$10.30
|
3.00%
|
$100.00
|
0.00%
|
$10.00
|
0.00%
|
$95.00
|
-5.00%
|
$9.50
|
-5.00%
|
$90.00
|
-10.00%
|
$9.00
|
-10.00%
|
$80.00
|
-20.00%
|
$8.00
|
-20.00%
|
$70.00
|
-30.00%
|
$7.00
|
-30.00%
|
$60.00
|
-40.00%
|
$6.00
|
-40.00%
|
$50.00
|
-50.00%
|
$5.00
|
-50.00%
|
$40.00
|
-60.00%
|
$4.00
|
-60.00%
|
$30.00
|
-70.00%
|
$3.00
|
-70.00%
|
$20.00
|
-80.00%
|
$2.00
|
-80.00%
|
$10.00
|
-90.00%
|
$1.00
|
-90.00%
|
$0.00
|
-100.00%
|
$0.00
|
-100.00%
|
Example 1 — The price
of the Underlying increases by 2% from the Initial Value of $100 to the Final Value of $102.
Because the Upside Gearing of
1.50 times the Underlying Return of 2% is less than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal
amount
plus
a return equal to the Underlying Return
times
the Upside Gearing, resulting in a payment at maturity
of $10.30 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00
× Underlying Return × Upside Gearing)
$10.00 + ($10.00 × 2% × 1.50) = $10.30
Example 2 — The price
of the Underlying increases by 10% from the Initial Value of $100 to the Final Value of $110.
Because the Upside Gearing of
1.50 times the Underlying Return of 10% is greater than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal
amount
plus
a return equal to the Maximum Gain of 12.00%, resulting in a payment at maturity of $11.20 per $10 principal
amount Security, calculated as follows:
$10.00 + ($10.00
× Maximum Gain)
$10.00 + ($10.00 × 12.00%) = $11.20
Example 3 — The price
of the Underlying increases by 40% from the Initial Value of $100 to the Final Value of $140.
Because the Upside Gearing of
1.50 times the Underlying Return of 40% is significantly greater than the Maximum Gain of 12.00%, JPMorgan Financial will pay
you your principal amount
plus
a return equal to only the Maximum Gain of 12.00%, resulting in a payment at maturity of
$11.20 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00
× Maximum Gain)
$10.00 + ($10.00 × 12.00%) = $11.20
Example 4 — The price
of the Underlying decreases by 40% from the Initial Value of $100 to the Final Value of $60.
Because the Underlying Return
is -40%, JPMorgan Financial will pay you a payment at maturity of $6.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00
× Underlying Return)
$10.00 + ($10.00 × -40.00%) = $6.00
If the Underlying Return
is negative, investors will be exposed to the negative Underlying Return at maturity, resulting in a loss of principal that is
proportionate to the Underlying’s decline from the Initial Value to the Final Value. Investors could lose some or all of
their principal amount.
The hypothetical returns and hypothetical
payments on the Securities shown above apply
only if you hold the Securities for their entire term.
These hypotheticals
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were
included, the hypothetical returns and hypothetical payments shown above would likely be lower.
The Consumer Staples Select Sector SPDR
®
Fund is an exchange-traded fund of the Select Sector SPDR
®
Trust, a registered investment company, that seeks
to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded
equity securities of companies in the Consumer Staples Select Sector Index, which we refer to as the Underlying Index with respect
to the Consumer Staples Select Sector SPDR
®
Fund. The Consumer Staples Select Sector Index is a modified
market capitalization-based index that measures the performance of the GICS
®
consumer staples sector of the S&P
500
®
Index, which currently includes companies in the following industries: food & staples retailing; beverages;
food products; tobacco; household products; and personal products. For additional information about the Consumer Staples
Select Sector SPDR
®
Fund, see “Fund Descriptions — The Select Sector SPDR
®
Funds"
in the accompanying underlying supplement.
Historical Information
The following table sets forth the
quarterly high and low closing prices of one share of the Underlying, based on daily closing prices of one share of the Underlying
as reported by the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The information given below is for the four calendar quarters in each of 2014, 2015, 2016, 2017 and 2018 and the first calendar
quarter of 2019. Partial data is provided for the second calendar quarter of 2019. The closing price of one share of the Underlying
on May 21, 2019 was $57.49. The actual Initial Value of the Underlying will be the closing price of one share of the Underlying
on the Trade Date. We obtained the closing prices of one share of the Underlying above and below from Bloomberg, without independent
verification. The closing prices above and below may have been adjusted by Bloomberg for certain actions, such as stock splits.
You should not take the historical prices of one share of the Underlying as an indication of future performance.
Quarter
Begin
|
Quarter
End
|
Quarterly
Closing High
|
Quarterly
Closing Low
|
Close
|
1/1/2014
|
3/31/2014
|
$43.06
|
$39.88
|
$43.06
|
4/1/2014
|
6/30/2014
|
$45.67
|
$42.75
|
$44.62
|
7/1/2014
|
9/30/2014
|
$45.61
|
$43.11
|
$45.11
|
10/1/2014
|
12/31/2014
|
$49.46
|
$44.09
|
$48.49
|
1/1/2015
|
3/31/2015
|
$50.21
|
$47.95
|
$48.74
|
4/1/2015
|
6/30/2015
|
$49.75
|
$47.57
|
$47.60
|
7/1/2015
|
9/30/2015
|
$50.82
|
$45.70
|
$47.19
|
10/1/2015
|
12/31/2015
|
$51.26
|
$47.19
|
$50.49
|
1/1/2016
|
3/31/2016
|
$53.26
|
$48.27
|
$53.05
|
4/1/2016
|
6/30/2016
|
$55.15
|
$51.77
|
$55.15
|
7/1/2016
|
9/30/2016
|
$55.75
|
$52.68
|
$53.21
|
10/1/2016
|
12/31/16
|
$52.87
|
$50.25
|
$51.71
|
1/1/2017
|
3/31/2017
|
$55.42
|
$51.44
|
$54.58
|
4/1/2017
|
6/30/2017
|
$57.33
|
$54.49
|
$54.94
|
7/1/2017
|
9/30/2017
|
$55.86
|
$53.92
|
$53.98
|
10/1/2017
|
12/31/2017
|
$57.00
|
$52.57
|
$56.89
|
1/1/2018
|
3/31/2018
|
$58.71
|
$50.86
|
$52.63
|
4/1/2018
|
6/30/2018
|
$53.28
|
$48.98
|
$51.53
|
7/1/2018
|
9/30/2018
|
$55.32
|
$51.23
|
$53.93
|
10/1/2018
|
12/31/2018
|
$56.82
|
$48.73
|
$50.78
|
1/1/2019
|
3/31/2019
|
$56.11
|
$50.19
|
$56.11
|
4/1/2019
|
5/21/2019*
|
$57.94
|
$55.19
|
$57.49
|
*As of the date of this pricing supplement,
available information for the second calendar quarter of 2019 includes data for the period from April 1, 2019 through May 21,
2019. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data
indicated are for this shortened period only and do not reflect complete data for the second calendar quarter of 2019.
The graph below illustrates the daily
performance of the Underlying from January 2, 2009 through May 21, 2019, based on information from Bloomberg, without independent
verification.
Past performance of the Underlying
is not indicative of the future performance of the Underlying
.
The historical performance
of the Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing
price of one share of the Underlying on the Trade Date or the Final Valuation Date. We cannot give you assurance that the performance
of the Underlying will result in the return of any of your principal amount.
Supplemental
Plan of Distribution
|
We and JPMorgan Chase & Co.
have agreed to indemnify UBS and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments
that UBS may be required to make relating to these liabilities as described in the prospectus supplement and the prospectus. We
will agree that UBS may sell all or a part of the Securities that it purchases from us to the public or its affiliates at the
price to public indicated on the cover hereof.
Subject to regulatory constraints,
JPMS intends to offer to purchase the Securities in the secondary market, but it is not required to do so.
We or our affiliates may enter
into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection
with the sale of the Securities, and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the
swap or related hedge transactions. See “Supplemental Use of Proceeds” in this pricing supplement and “Use of
Proceeds and Hedging” in the accompanying product supplement.
We expect that delivery of
the Securities will be made against payment for the Securities on or about the Original Issue Date set forth on the front cover
of this pricing supplement, which will be the third business day following the Trade Date of the Securities (this settlement cycle
being referred to as “T+3”). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary
market generally are required to settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly,
purchasers who wish to trade Securities on any date prior to two business days before delivery will be required to specify an
alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.
The
Estimated Value of the Securities
|
The estimated value of the Securities
set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components:
(1) a fixed-income debt component with the same maturity as the Securities, valued using the internal funding rate described below,
and (2) the derivative or derivatives underlying the economic terms of the Securities. The estimated value of the Securities does
not represent a minimum price at which JPMS would be willing to buy your Securities in any secondary market (if any exists) at
any time. The internal funding rate used in the determination of the estimated value of the Securities may differ from the market-implied
funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates.
Any difference may be based on, among other things, our and our affiliates’ view of the funding values of the Securities
as well as the higher issuance, operational and ongoing liability management costs of the Securities in comparison to those costs
for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market
inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the Securities. The use of an internal funding rate and any potential changes to that rate may have an adverse effect
on the terms of the Securities and any secondary market prices of the Securities. For additional information, see “Key Risks
— Risks Relating to the Securities Generally — The Estimated Value of the Securities Is Derived by Reference to an
Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic terms
of the Securities is derived from internal pricing models of our affiliates. These models are dependent on
inputs such as the traded market
prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the Securities is determined when the terms of the Securities are set based on market conditions
and other relevant factors and assumptions existing at that time. See “Key Risks — Risks Relating to the Securities
Generally — The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ from
Others’ Estimates” in this pricing supplement.
The estimated value of the
Securities will be lower than the original issue price of the Securities because costs associated with selling, structuring and
hedging the Securities are included in the original issue price of the Securities. These costs include the selling commissions
paid to UBS, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the Securities and the estimated cost of hedging our obligations under the Securities. Because hedging our obligations entails
risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than
expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations
under the Securities. See “Key Risks — Risks Relating to the Securities Generally — The Estimated Value of the
Securities Will Be Lower Than the Original Issue Price (Price to Public) of the Securities” in this pricing supplement.
Secondary
Market Prices of the Securities
|
For information about factors
that will impact any secondary market prices of the Securities, see “Key Risks — Risks Relating to the Securities
Generally — Secondary Market Prices of the Securities Will Be Impacted by Many Economic and Market Factors” in this
pricing supplement. In addition, we generally expect that some of the costs included in the original issue price of the Securities
will be partially paid back to you in connection with any repurchases of your Securities by JPMS in an amount that will decline
to zero over an initial predetermined period that is intended to be up to seven months. The length of any such initial period
reflects secondary market volumes for the Securities, the structure of the Securities, whether our affiliates expect to earn a
profit in connection with our hedging activities, the estimated costs of hedging the Securities and when these costs are incurred,
as determined by our affiliates. See “Key Risks — Risks Relating to the Securities Generally — The Value of
the Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Securities for a Limited Time Period” in this pricing supplement.