JPMorgan Chase Financial Company LLC
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October 2019
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Pricing
Supplement
Registration
Statement Nos. 333-222672 and 333-222672-01
Dated
October 11, 2019
Filed
pursuant to Rule 424(b)(2)
Structured
Investments
Opportunities
in International Equities
Jump Securities Based
on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
Fully and Unconditionally
Guaranteed by JPMorgan Chase & Co.
The Jump Securities do not pay interest
and do not guarantee the return of any of the principal at maturity. At maturity, you will receive for each security that you
hold an amount in cash that will vary depending on the performance of the underlying stock, as determined on the valuation date.
If the final stock price is greater than or equal to the initial stock price, you will receive for each security that you hold
at maturity an upside payment of $4.70 in addition to the stated principal amount. If the final stock price is less than the initial
stock price, the payment due at maturity will be less than the stated principal amount of the securities by an amount that is
proportionate to the percentage decrease in the final stock price from the initial stock price and could be zero. Accordingly,
investors may lose their entire initial investment in the securities. Investors will not participate in any appreciation of
the underlying stock above 47.00%. The Jump Securities are for investors who are willing to risk their principal and forgo current
income in exchange for the upside payment feature that applies to a limited range of the performance of the underlying stock.
The securities are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co., issued as part of JPMorgan
Financial’s Medium-Term Notes, Series A, program. Any payment on the securities is subject to the credit risk of JPMorgan
Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co., as guarantor of the securities.
FINAL
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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Underlying
stock:
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American depositary shares of Baidu, Inc. (“Baidu
ADSs”). Ten Baidu ADSs represent one Class A ordinary share, par value $0.00005 per share, of Baidu, Inc. The
Class A ordinary shares of Baidu, Inc. are referred to as the “Baidu underlying securities.”
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Aggregate principal amount:
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$2,000,000
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Payment
at maturity:
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■ If
the final stock price is greater than or equal to the initial stock price, you will receive at maturity a cash payment
per $10 stated principal amount security equal to:
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$10 + upside payment
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■ If the final stock price is less than the initial stock price, you will receive at
maturity a cash payment per $10 stated principal amount security equal to:
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$10 × stock performance
factor
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This amount will be less than
the stated principal amount of $10, and will represent a loss of some or all of your principal amount.
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Upside
payment:
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$4.70 per $10 stated principal amount security (47.00%
of the stated principal amount)
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Stock
performance factor:
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final stock price / initial stock price
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Initial
stock price:
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The closing price of one share of the underlying stock
on the pricing date, which was $104.66
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Final
stock price:
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The closing price of one share of the underlying stock
on the valuation date
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Stock
adjustment factor:
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The stock adjustment factor is referenced in determining
the closing price of one share of the underlying stock and is set initially at 1.0 on the pricing date. The stock
adjustment factor is subject to adjustment in the event of certain corporate events affecting the underlying stock.
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Stated
principal amount:
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$10 per security
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Issue
price:
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$10 per security (see “Commissions and issue price”
below)
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Pricing
date:
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October
11, 2019
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Original
issue date (settlement date):
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October 17, 2019
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Valuation
date:
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October 11, 2021, subject to postponement in the event
of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination
Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)”
in the accompanying product supplement
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Maturity
date:
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October 14, 2021, subject to postponement in the event
of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment
Date” in the accompanying product supplement
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CUSIP / ISIN:
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48132G385 / US48132G3855
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Listing:
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The securities will not be listed on any securities
exchange.
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Agent:
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J.P. Morgan Securities LLC (“JPMS”)
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Commissions
and issue price:
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Price
to public(1)
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Fees
and commissions
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Proceeds
to issuer
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Per security
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$10.00
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$0.10(2)
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$9.85
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$0.05(3)
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Total
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$2,000,000
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$30,000
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$1,970,000
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(1)
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See
“Additional Information about the Securities — Supplemental use of proceeds
and hedging” in this document for information about the components of the price
to public of the securities.
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(2)
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JPMS,
acting as agent for JPMorgan Financial., will pay all of the selling commissions of $0.10
per $10 stated principal amount security it receives from us to Morgan Stanley Smith
Barney LLC (“Morgan Stanley Wealth Management”). See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement.
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(3)
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Reflects
a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates
of $0.05 for each $10 stated principal amount security
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The estimated value of the securities
on the pricing date was $9.791 per $10 stated principal amount security. See “Additional Information about the Securities
— The estimated value of the securities” in this document for additional information.
Investing in the securities involves
a number of risks. See “Risk Factors” beginning on page PS-10 of the accompanying product supplement and “Risk
Factors” beginning on page 5 of this document.
Neither the Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities or passed
upon the accuracy or the adequacy of this document or the accompanying product supplement, prospectus supplement and prospectus.
Any representation to the contrary is a criminal offense.
The securities 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.
You should read
this document together with the related product supplement, prospectus supplement and prospectus, each of which can be accessed
via the hyperlinks below. Please also see “Additional Information about the Securities” at the end of this document.
Product supplement
no. MS-1-I dated April 5, 2018: http://www.sec.gov/Archives/edgar/data/19617/000095010318004523/dp87526_424b2-ms1i.pdf
Prospectus
supplement and prospectus, each dated April 5, 2018: http://www.sec.gov/Archives/edgar/data/19617/000095010318004508/dp87767_424b2-ps.pdf
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
Investment Summary
The Jump
Securities
The Jump Securities Based on the Performance of the American
Depositary Shares of Baidu, Inc. due October 14, 2021 (the “securities”) can be used:
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As an alternative to direct exposure to the underlying
stock that provides a fixed, positive return of 47.00% (as reflected in the upside payment of $4.70 per $10 stated principal amount
security) if the final stock price is greater than or equal to the initial stock price.
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To enhance returns and potentially outperform the
underlying stock in a moderately bullish scenario.
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If the final stock price is less than the
initial stock price, the securities are exposed on a 1-to-1 basis to any percentage decline of the final stock price from the initial
stock price. Accordingly, investors may lose their entire initial investment in the securities.
Maturity:
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Approximately 2 years
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Upside
payment:
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$4.70 per $10 stated principal amount
security (47.00% of the stated principal amount)
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Minimum
payment at maturity:
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None. Investors may lose
their entire initial investment in the securities
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Interest:
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None
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Supplemental
Terms of the Securities
For purposes of the accompanying
product supplement, the underlying stock is a “Reference Stock.”
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
Key Investment
Rationale
This investment offers a fixed, positive return at maturity
if the final stock price is greater than or equal to the initial stock price. However, if the final stock price is less than the
initial stock price, the payment at maturity will be less than the stated principal amount and could be zero.
Upside Scenario
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If the final stock price is greater than or equal to the initial stock price, the payment at maturity for each security will be equal to $10.00 plus the upside payment of $4.70 per $10 stated principal amount security.
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Downside Scenario
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If the final stock price is less than the initial stock price, you will lose 1% for every 1% decline of the closing price of one share of the underlying stock from the initial stock price to the final stock price (e.g., a 50% depreciation of the underlying stock will result in the payment at maturity that is less than the stated principal amount by 50%, or $5 per $10 stated principal amount security).
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JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
How the Jump
Securities Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the securities based on the following terms:
Stated principal amount:
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$10 per stated principal amount security
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Upside payment:
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$4.70 (47.00% of the stated principal amount) per $10 stated principal amount security
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Jump
Securities Payoff Diagram
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How it
works
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Upside Scenario:
If the final stock price is greater than or equal to the initial stock price, the payment at maturity in all cases is equal
to and will not exceed the $10 stated principal amount plus the upside payment. Under the terms of the securities, in the
payoff diagram, an investor would receive the payment at maturity of $14.70 per security if the final stock price is greater than
or equal to the initial stock price.
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Downside Scenario: If the final stock price is less than the initial stock
price, investors will receive an amount that is less than the stated principal amount by an amount proportionate to the percentage
decrease of the final stock price from the initial stock price.
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○
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For example, if the final stock price declines by 50% from the initial stock price, investors will lose 50% of their principal
and the payment at maturity will be $5 per $10 stated principal amount security (50% of the stated principal amount).
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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.
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
Risk Factors
The
following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion
of these and other risks, you should read the section entitled “Risk Factors” of the accompanying product supplement.
We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.
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The
securities do not pay interest or guarantee the return of any principal and your investment in the securities may result in a
loss. The terms of the securities
differ from those of ordinary debt securities in that the securities
do not pay interest or guarantee the payment of any stated principal amount at maturity. If the final stock price is less
than the initial stock price, you will receive for each security that you hold a payment at maturity that is less than the $10
stated principal amount of each security by
an amount proportionate to the decline in the closing price of the underlying stock on the valuation date from the initial stock
price. There is no minimum payment at maturity on the securities and, accordingly, you could lose your entire principal amount.
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Appreciation potential is fixed and limited. When
the final stock price is greater than or equal to the initial stock price, the appreciation potential of the securities is limited
to the fixed upside payment of $4.70 per security (47.00% of the stated principal amount), even if the final stock price is significantly
greater than the initial stock price. See “How the Jump Securities Work” on page 4 above.
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Your ability to receive the upside payment may terminate on the
valuation date. If the final stock price is less than the initial stock price, you will not
be entitled to receive the upside payment at maturity. Under these circumstances, you will lose some or all of your principal amount
at maturity.
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The securities are subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit ratings or
credit spreads may adversely affect the market value of the securities. Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan
Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined by the
market for taking that credit risk is likely to adversely affect the market value of the securities. If we and JPMorgan Chase &
Co. were to default on our 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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As a finance subsidiary, JPMorgan Financial has no independent operations
and has 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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Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the securities and
other affiliates of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent
and as an agent of the offering of the securities, 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, 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.
The calculation agent has determined the initial stock price, will determine the final stock price and will calculate the amount
of payment you will receive at maturity, if any. Determinations made by the calculation agent, including with respect to the occurrence
or non-occurrence of market disruption events and any anti-dilution adjustments, may affect the payment to you at maturity.
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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 —
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
Risks Relating to Conflicts of Interest” in the accompanying product supplement
for additional information about these risks.
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The estimated value of the securities is 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 exceeds 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 structuring fee, 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. See “Additional Information about the Securities — The estimated
value of the securities” in this document.
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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. This estimated value of the securities
is based on market conditions and other relevant factors existing at the time of pricing 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 “Additional Information about
the Securities — The estimated value of the securities” in this document.
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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 “Additional Information about the Securities — The estimated value
of the securities” in this document.
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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, the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our
internal secondary market funding rates for structured debt issuances. See “Additional Information about the Securities —
Secondary market prices of the securities” in this document 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, the structuring fee, 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 “— Secondary trading may be limited” below.
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
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Secondary market prices of the securities will be impacted by many
economic and market factors. 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, structuring fee, projected hedging profits, if any, estimated hedging costs and the closing price of one share
of the underlying stock, 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 prices of the underlying stock;
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the time to maturity of the securities;
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the dividend rate on the underlying stock;
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interest and yield rates in the market generally;
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the occurrence of certain events affecting the issuer of the underlying stock that may or may not require an adjustment to
the stock adjustment factor, including a merger or acquisition; 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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There are risks associated with investments in securities linked to the value of equity securities issued by a non-U.S.
company. The underlying stock is issued by a non-U.S. company. Investments in securities linked to the value of
any equity securities issued by a non-U.S. company involve risks associated with the home country of that company. The prices of
securities issued by non-U.S. companies may be affected by political, economic, financial and social factors in those countries,
or global regions, including changes in government, economic and fiscal policies and currency exchange laws. Moreover, the
economy of that country may differ favorably or unfavorably from the economy of the United States in such respects as growth of
gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. That country may be subjected
to different and, in some cases, more adverse economic environments.
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The securities entail emerging markets risk. The underlying stock
is issued by a non-U.S. company conducting its business in an emerging markets country (China). Countries with emerging markets
may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership
and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries.
The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in
local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities
markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially
making prompt liquidation of holdings difficult or impossible at times.
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There are important differences between the rights of holders of the Baidu ADSs and the rights of holders of the Baidu underlying
securities. The underlying stock is not the Baidu underlying securities represented by the Baidu ADSs, and there exist
important differences between the rights of holders of Baidu ADSs and the rights of holders of the Baidu underlying securities.
Each BAIDU ADS is a security evidenced by American depositary receipts that represents a certain number of Baidu underlying securities.
Generally, American Depositary Shares (“ADSs”) are issued under a deposit agreement which sets forth the rights and
responsibilities of the depositary, the non-U.S. issuer and holders of the ADSs, which may be different from the rights of holders
of the underlying securities. For example, the non-U.S. issuer may make distributions in respect of the Baidu underlying
securities that are not passed on to the holders of Baidu ADSs. Any such differences between the rights of holders of Baidu
ADSs and holders of the Baidu underlying securities may be significant and may materially and adversely affect the value of the
securities.
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JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
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Investing in the securities is not equivalent to investing in the
underlying stock. Investors in the securities will not have voting rights or rights
to receive dividends or other distributions or any other rights with respect to the underlying stock.
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No affiliation with Baidu, Inc.
Baidu, Inc. is not an affiliate of ours, is not involved with this offering in any way, and has no obligation to consider your
interests in taking any corporate actions that might affect the value of the securities. We have not made any due diligence
inquiry with respect to Baidu, Inc. in connection with this offering.
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We may engage in business with or involving Baidu, Inc. without
regard to your interests. We or our affiliates may presently or from time to time engage
in business with Baidu, Inc. without regard to your interests and thus may acquire non-public information about Baidu, Inc.
Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates
from time to time have published and in the future may publish research reports with respect to Baidu, Inc., which may or may not
recommend that investors buy or hold the underlying stock.
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The anti-dilution protection for the underlying stock is limited
and may be discretionary. The calculation agent will make adjustments to the stock adjustment
factor and other adjustments for certain corporate events affecting the underlying stock. However, the calculation agent will not
make an adjustment in response to all events that could affect the underlying stock. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the securities may be materially and adversely affected. You should also
be aware that the calculation agent may make adjustments in response to events that are not described in the accompanying product
supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to
consider your interests as a holder of the securities in making these determinations.
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Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the securities.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the securities
on or prior to the pricing date and prior to maturity could have adversely affected, and may continue to adversely affect, the
value of the underlying stock and, as a result, could decrease the amount an investor may receive on the securities at maturity,
if any. Any of these hedging or trading activities on or prior to the pricing date could have affected the initial stock price
and therefore, could potentially increase the level that the final stock price must reach before you receive a payment at maturity
that exceeds the issue price of the securities or so that you do not suffer a loss on your initial investment in the securities.
Additionally, these hedging or trading activities during the term of the securities, including on the valuation date, could adversely
affect the final stock price and, accordingly, the payment to you at maturity, if any. It is possible that these hedging or trading
activities could result in substantial returns for us or our affiliates while the value of the securities declines.
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Secondary trading may be limited. The
securities will not be listed on a securities
exchange. There may be little or no secondary market for the securities.
Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities
easily. JPMS may act as a market maker for
the securities, but is not required to do so.
Because we do not expect that other market makers will participate significantly in the 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. If at any
time JPMS or another agent does not act as
a market maker, it is likely that there would be little or no secondary market for the securities.
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The tax consequences of an investment in the securities are uncertain. There is no direct legal authority as to the
proper U.S. federal income tax characterization of the securities, and we do not intend to request a ruling from the IRS. The IRS
might not accept, and a court might not uphold, the treatment of the securities described in “Additional Information about
the Securities ― Additional Provisions ― Tax considerations” in this document and in “Material U.S. Federal
Income Tax Consequences” in the accompanying product supplement. If the IRS were successful in asserting an alternative treatment
for the securities, the timing and character of any income or loss on the securities could differ materially and adversely from
our description herein. 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, which
|
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
|
|
very
generally can operate to recharacterize certain long-term capital gain as ordinary income
and impose a notional interest charge. 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 review
carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the
accompanying product supplement and consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the securities, including possible alternative
treatments and the issues presented by this notice.
|
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
Baidu, Inc.
Overview
Baidu, Inc. is a Cayman Islands company that conducts its
operations primarily in China. Baidu, Inc.’s business consists of two segments, Baidu Core and iQIYI. Baidu Core primarily
comprises (1) search plus feed, such as Baidu App, its search business and supporting content, including Baidu Post Bar, Baidu
Knows and Baidu Encyclopedia, as well as its online marketing services and (2) new artificial intelligence businesses, such as
DuerOS (voice assistant and related smart device business), Apollo (autonomous driving platform) and Baidu Cloud. iQIYI is an online
entertainment service provider in China. iQIYI’s platform features original content, as well as a selection of professionally
produced, partner-generated content and user-generated content. The underlying stock is registered under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”) and is listed on the The NASDAQ Stock Market. Information provided to
or filed with the SEC by Baidu, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 000-51469
through the SEC’s website at www.sec.gov.
Information as of market close on October 11, 2019:
Bloomberg
Ticker Symbol:
|
BIDU
|
|
|
Current
Closing Price:
|
$104.66
|
|
|
52
Weeks Ago (on 10/11/2018):
|
$198.00
|
|
|
52
Week High (on 10/12/2018):
|
$204.36
|
|
|
52
Week Low (on 8/15/2019):
|
$94.35
|
The following table sets forth the published high and low
closing prices of, as well as dividends on, the underlying stock for each quarter in the period from January 1, 2014 through October
11, 2019. The closing price of the underlying stock on October 11, 2019 was $104.66. The associated graph following the table shows
the closing prices of the underlying stock for each day in the same period. We obtained the closing price information above and
the information in the table and graph below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits,
public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the closing price of the underlying stock
has experienced significant fluctuations. The historical performance of the underlying stock should not be taken as an indication
of its future performance, and no assurance can be given as to the price of the underlying stock on the valuation date.
American
Depositary Shares of Baidu, Inc.
|
High
|
Low
|
Dividends
(Declared)
|
2014
|
|
|
|
First
Quarter
|
$184.64
|
$150.52
|
—
|
Second
Quarter
|
$186.81
|
$143.51
|
—
|
Third
Quarter
|
$228.45
|
$182.30
|
—
|
Fourth
Quarter
|
$250.34
|
$199.07
|
—
|
2015
|
|
|
|
First
Quarter
|
$233.33
|
$203.27
|
—
|
Second
Quarter
|
$220.46
|
$189.18
|
—
|
Third
Quarter
|
$207.63
|
$132.37
|
—
|
Fourth
Quarter
|
$217.97
|
$137.53
|
—
|
2016
|
|
|
|
First
Quarter
|
$190.88
|
$140.68
|
—
|
Second
Quarter
|
$195.72
|
$156.92
|
—
|
Third
Quarter
|
$196.03
|
$159.60
|
—
|
Fourth
Quarter
|
$184.11
|
$161.67
|
—
|
2017
|
|
|
|
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
American
Depositary Shares of Baidu, Inc.
|
High
|
Low
|
Dividends
(Declared)
|
First
Quarter
|
$186.01
|
$168.26
|
—
|
Second
Quarter
|
$191.95
|
$172.44
|
—
|
Third
Quarter
|
$247.69
|
$179.97
|
—
|
Fourth
Quarter
|
$272.82
|
$229.66
|
—
|
2018
|
|
|
|
First
Quarter
|
$265.67
|
$212.07
|
—
|
Second
Quarter
|
$284.07
|
$219.82
|
—
|
Third
Quarter
|
$271.45
|
$213.47
|
—
|
Fourth
Quarter
|
$227.40
|
$157.12
|
—
|
2019
|
|
|
|
First
Quarter
|
$176.23
|
$154.71
|
—
|
Second
Quarter
|
$184.77
|
$107.78
|
—
|
Third
Quarter
|
$119.35
|
$94.35
|
—
|
Fourth
Quarter (through October 11, 2019)
|
$104.66
|
$99.53
|
|
We make no representation as to the amount of dividends, if
any, that Baidu, Inc. may pay in the future. In any event, as an investor in the securities, you will not be entitled to receive
dividends, if any, that may be payable on the underlying stock.
The
American Depositary Shares of Baidu, Inc. Historical Performance – Daily Closing Prices
January
2, 2014 to October 11, 2019
|
|
This document relates only to the securities offered hereby
and does not relate to the underlying stock or other securities of Baidu, Inc. We have derived all disclosures contained in this
document regarding the underlying stock from the publicly available documents described in the first paragraph under this “Baidu,
Inc. Overview” section without independent verification. In connection with the offering of the securities, neither we nor
the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Baidu, Inc. Neither
we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding
Baidu, Inc. is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof
(including events that would affect the accuracy or completeness of the publicly available documents described in the first paragraph
under this “Baidu, Inc. Overview” section) that
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
would affect the trading price of the underlying stock (and therefore
the price of the underlying stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of
any such events or the disclosure of or failure to disclose material future events concerning Baidu, Inc. could affect the value
received at maturity, if any, with respect to the securities and therefore the trading prices of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the underlying stock.
Additional Information
about the Securities
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional
Provisions:
|
Postponement
of maturity date:
|
If
the scheduled maturity date is not a business day, then the maturity date will be the following business day. If
the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation
date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the securities
will be postponed to the third business day following the valuation date as postponed.
|
Minimum
ticketing size:
|
$1,000
/ 100 securities
|
Trustee:
|
Deutsche
Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation
agent:
|
JPMS
|
The
estimated value of the securities:
|
The
estimated value of the securities set forth on the cover of this document 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 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. For additional information, see “Risk
Factors — The estimated value of the securities is derived by reference to an internal
funding rate” in this document. 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
on the pricing date is based on market conditions and other relevant factors and assumptions
existing at that time. See “Risk Factors — The estimated value of the securities
does not represent future values of the securities and may differ from others’ estimates”
in this document.
The
estimated value of the securities is 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 JPMS and other affiliated or unaffiliated dealers, the structuring fee, 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. A portion of the profits, if any, realized in hedging our obligations under
the securities may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will
retain any remaining hedging profits. See “Risk Factors — The estimated
|
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
|
value
of the securities is lower than the original issue price (price to public) of the securities” in this document.
|
Secondary
market prices of the securities:
|
For
information about factors that will impact any secondary market prices of the securities, see “Risk Factors —
Secondary market prices of the securities will be impacted by many economic and market factors” in this document. 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 the shorter of two years and one-half of the stated term of the securities. The
length of any such initial period reflects 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 “Risk Factors — 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.”
|
Tax
considerations:
|
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement no. MS-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 the securities.
Based
on current market conditions, in the opinion of our special tax counsel, your securities should be treated 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, 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. However, the IRS or a court
may not respect this treatment of the securities, in which case the timing and character of any income or loss on the
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, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose
a notional interest charge. 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 possible
alternative treatments and the issues presented by this notice.
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 the securities, 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.
|
Supplemental
use of proceeds and hedging:
|
The
securities are offered to meet investor demand for products that reflect the risk-return
profile and market exposure provided by the securities. See “How the Jump Securities
Work” in this document for an illustration of the risk-return profile of the securities
and “Baidu, Inc. Overview” in this document for a description of the market exposure
provided by the securities.
The
original issue price of the securities is equal to the estimated value of the securities plus the selling commissions
paid to JPMS and other affiliated or unaffiliated dealers and the structuring fee, plus (minus) the projected profits
(losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities,
plus the estimated cost of hedging our obligations under the securities.
|
Benefit
plan investor considerations:
|
See
“Benefit Plan Investor Considerations” in the accompanying product supplement.
|
Supplemental
plan of distribution:
|
Subject
to regulatory constraints, JPMS intends to use its reasonable efforts to offer to purchase
the securities in the secondary market, but is not required to do so. JPMS, acting
|
JPMorgan Chase Financial Company LLC
Jump Securities Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Principal at Risk Securities
|
as agent
for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In
addition, Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each
security.
We
or our affiliate 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
and hedging” above 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 document, which will be the third business day following the pricing 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.
|
Validity
of the securities and the guarantee:
|
In
the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co.,
when the securities offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated
by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such securities will be valid
and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of
JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such
counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s
obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws
of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company
Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the securities and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated March 8, 2018, which was filed
as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on March 8, 2018.
|
Where
you can find more information:
|
You
should read this document 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.
This
document, 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, stand-alone fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the
“Risk Factors” section of the accompanying product supplement, as the securities 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 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):
●
Product supplement no. MS-1-I dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004523/dp87526_424b2-ms1i.pdf
●
Prospectus supplement and prospectus, each dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004508/dp87767_424b2-ps.pdf
Our
Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617.
As
used in this document, “we,” “us,” and “our” refer to JPMorgan Financial.
|
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