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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 U.S. Equities
Contingent Income Auto-Callable
Securities due October 15, 2020
All Payments on the Securities Based on the Worst
Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common
Stock of Targa Resources Corp.
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
Contingent Income Auto-Callable Securities do not guarantee the payment
of interest or the repayment of principal. Instead, the securities offer the opportunity for investors to earn a contingent
quarterly payment equal to 5.50% of the stated principal amount with respect to each determination date on which the closing price
of each of the Class P common stock of Kinder Morgan, Inc., the common stock of The Williams Companies, Inc. and the common
stock of Targa Resources Corp. is greater than or equal to its 70.00% of its initial stock price, which we refer to as a
downside threshold level. However, if, on any determination date, the closing price of any underlying stock is less
than its downside threshold level, you will not receive any contingent quarterly payment for the related quarterly period.
In addition, if the closing price of each underlying stock is greater than or equal to its initial stock price on any determination
date (other than the final determination date), the securities will be automatically redeemed for an amount per security equal
to the stated principal amount plus the contingent quarterly payment with respect to that determination date. If the
securities have not been automatically redeemed prior to maturity and the final stock price of each underlying stock is
greater than or equal to its downside threshold level, the payment at maturity due on the securities will be the stated principal
amount and the contingent quarterly payment with respect to the final determination date. If, however, the securities have
not been automatically redeemed prior to maturity and the final stock price of any underlying stock is less than its downside
threshold level, you will be exposed to the decline in the worst performing of the underlying stocks, as compared to its initial
stock price, on a 1-to-1 basis and will receive a cash payment at maturity that is less than 70% of the stated principal amount
of the securities and could be zero. The securities are for investors who are willing to risk their principal and seek an opportunity
to earn interest at a potentially above-market rate in exchange for the risk of receiving few or no contingent quarterly payments
and also the risk of receiving a cash payment at maturity that is significantly less than the stated principal amount of the securities
and could be zero. Accordingly, investors could lose their entire initial investment in the securities. Because all
payments on the securities are based on the worst performing of the underlying stocks, a decline of any underlying stock below
its downside threshold level will result in few or no contingent quarterly payments and/or significant loss of your initial investment,
even if the other underlying stocks appreciate or have not declined as much. Investors will not participate in any appreciation
of any 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.
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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
stocks:
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Class P common stock of Kinder Morgan, Inc., common stock of The Williams Companies, Inc. and common stock of Targa Resources Corp. (each an “underlying stock”)
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Aggregate
principal amount:
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$4,100,000
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Early
redemption:
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If, on any of the determination dates (other than the final
determination date), the closing price of each underlying stock is greater than or equal to its initial stock price, the
securities will be automatically redeemed for an early redemption payment on the first contingent payment date immediately following
the related determination date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any contingent
payment date if the closing price of any underlying stock is below its initial stock price on the related determination date.
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Early
redemption payment:
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The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) the contingent quarterly payment with respect to the related determination date.
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Contingent
quarterly payment:
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·
If, on any determination date, the closing price of each underlying stock is greater than
or equal to its downside threshold level, we will pay a contingent quarterly payment of $0.55 (5.50% of the stated principal amount)
per security on the related contingent payment date.
·
If, on any determination date, the closing price of any underlying stock is less than
its downside threshold level, no contingent quarterly payment will be payable with respect to that determination date. It is possible
that one or more of the underlying stocks will remain below their respective downside threshold levels on most or all of the determination
dates so that you will receive few or no contingent quarterly payments.
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Payment
at maturity:
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· If the final stock price of each underlying stock is greater than or equal to its downside threshold level:
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(i) the stated principal amount, plus (ii) the contingent quarterly payment with respect to the final determination date
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· If the final stock price of any underlying stock is less than its downside threshold level:
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(i) the stated principal amount times (ii) the stock performance factor of the worst performing underlying stock. This cash payment will be less than 70% of the stated principal amount of the securities and could be zero.
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Downside
threshold level:
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With respect to the Class P common stock of Kinder Morgan,
Inc.: $14.161, which is equal to 70.00% of its initial stock price
With respect to the common stock of The Williams Companies,
Inc.: $16.163, which is equal to 70.00% of its initial stock price
With respect to the common stock of Targa Resources Corp.:
$27.622, which is equal to 70.00% of its initial stock price
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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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Maturity
date:
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October 15, 2020, 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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Terms continued on the following page
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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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$0.125(2)
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$9.825
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$0.05(3)
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Total
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$4,100,000.00
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$71,750.00
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$4,028,250.00
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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 $0.125 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 $9.47
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
9 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
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Contingent Income Auto-Callable Securities due October 15, 2020
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Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
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Principal at Risk Securities
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Terms continued from previous page:
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Initial stock price:
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With respect to the Class P common stock of Kinder Morgan, Inc.: $20.23, which is its closing price on the pricing date
With respect to the common stock of The Williams Companies, Inc.: $23.09, which is its closing price on the pricing date
With respect to the common stock of Targa Resources Corp.: $39.46, which is its closing price on the pricing date
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Final stock price:
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With respect to each underlying stock, the closing price of that underlying stock on the final determination date
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Worst performing underlying stock:
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The underlying stock with the worst stock performance factor
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Stock performance factor:
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With respect to each underlying stock, the final stock price divided by the initial stock price
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Stock adjustment factor:
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The stock adjustment factor of each underlying stock is referenced in determining the closing price of one share of that underlying stock and is set initially at 1.0 on the pricing date. The stock adjustment factor of each stock is subject to adjustment in the event of certain corporate events affecting that underlying stock.
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Determination dates:
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January 13, 2020, April 13, 2020, July 13, 2020 and October 12, 2020, subject to postponement for non-trading days and certain market disruption events
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Contingent payment dates:
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January 16, 2020, April 16, 2020, July 16, 2020 and the maturity date, 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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48132G369 / US48132G3699
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Listing:
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The securities will not be listed on any securities exchange.
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JPMorgan Chase Financial Company LLC
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Contingent Income Auto-Callable Securities due October 15, 2020
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Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
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Principal at Risk Securities
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Investment Summary
The Contingent Income Auto-Callable Securities
due October 15, 2020 Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The
Williams Companies, Inc. and the Common Stock of Targa Resources Corp., which we refer to as the securities, do not provide for
the regular payment of interest. Instead, the securities provide an opportunity for investors to earn a contingent quarterly payment,
which is an amount equal to $0.55 (5.50% of the stated principal amount) per security, with respect to each quarterly determination
date on which the closing price of each underlying stock is greater than or equal to 70% of its initial stock price, which we refer
to as a downside threshold level. The contingent quarterly payment, if any, will be payable quarterly on the contingent payment
date immediately following the related determination date. However, if the closing price of any underlying stock is less than its
downside threshold level on any determination date, investors will receive no contingent quarterly payment for the related quarterly
period. It is possible that the closing price of one share of one or more underlying stocks could be below their respective downside
threshold levels on most or all of the determination dates so that you will receive few or no contingent quarterly payments during
the term of the securities. We refer to these payments as contingent, because there is no guarantee that you will receive a payment
on any contingent payment date. Even if all of the underlying stocks were to be at or above their respective downside threshold
levels on some quarterly determination dates, one or more underlying stocks may fluctuate below their respective downside threshold
level(s) on others.
If the closing price of each underlying
stock is greater than or equal to its initial closing value on any determination date (other than the final determination date),
the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus
the contingent quarterly payment with respect to the related determination date. If the securities have not previously been redeemed
and the final stock price of each underlying stock is greater than or equal to its downside threshold level, the payment at maturity
will be the sum of the stated principal amount and the contingent quarterly payment with respect to the final determination date.
However, if the securities have not previously been redeemed and the final stock price of any underlying stock is less than its
downside threshold level, investors will be exposed to the decline in the worst performing underlying stock, as compared to its
initial stock price, on a 1-to-1 basis. Under these circumstances, the payment at maturity will be (i) the stated principal amount
times (ii) the stock performance factor of the worst performing underlying stock, which will be less than 70% of the stated
principal amount of the securities and could be zero. Investors in the securities must be willing to accept the risk of losing
their entire principal and also the risk of receiving few or no contingent quarterly payments over the term of the securities.
In addition, investors will not participate in any appreciation of the underlying stocks.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, each
underlying stock is a “Reference Stock.”
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
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Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
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Principal at Risk Securities
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Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead, the securities offer investors an opportunity to earn a contingent quarterly payment equal to 5.50% of the stated principal
amount with respect to each determination date on which the closing price of each underlying stock is greater than or equal
to 70% of its initial stock price, which we refer to as a downside threshold level. The securities may be redeemed prior to
maturity for the stated principal amount per security plus the applicable contingent quarterly payment, and the payment
at maturity will vary depending on the final stock price of each underlying stock, as follows:
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Scenario 1
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This scenario assumes that, prior to early
redemption, each underlying stock closes at or above its downside threshold level on some determination dates but one or more of
the underlying stocks closes below their respective downside threshold levels on the others. On the 3rd determination
date, the closing price of each underlying stock is greater than or equal to its initial stock price.
Investors receive the contingent
quarterly payment for the quarterly periods in which the closing price of each underlying stock is at or above its downside threshold
level on the related determination date.
On the contingent payment
date immediately following the 3rd determination date, the securities will be automatically redeemed for the stated
principal amount plus the contingent quarterly payment with respect to the related determination date.
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Scenario 2
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This scenario assumes that each underlying
stock closes at or above its downside threshold level on some determination dates but one or more of the underlying stocks closes
below their respective downside threshold levels on the others, and each underlying stock closes below its initial stock price
on all the determination dates prior to the final determination date. On the final determination date, each underlying stock closes
at or above its downside threshold level.
Consequently, the securities
are not automatically redeemed, and investors receive a contingent quarterly payment for the quarterly periods in which the closing
price of each underlying stock is at or above its downside threshold level on the related determination date. At maturity, investors
will receive the stated principal amount and the contingent quarterly payment with respect to the final determination date.
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Scenario 3
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This scenario assumes that each underlying
stock closes at or above its downside threshold level on some determination dates but one or more of the underlying stocks closes
below their respective downside threshold levels on the others, and each underlying stock closes below its initial stock price
on all the determination dates prior to the final determination date. On the final determination date, one or more of the underlying
stocks close below their downside threshold levels.
Consequently, the securities are not automatically
redeemed, and investors receive a contingent quarterly payment for the quarterly periods in which the closing price of each underlying
stock is at or above its downside threshold level on the related determination date. At maturity, investors will receive the stated
principal amount times the stock performance factor of the worst performing underlying stock, which will be less than 70%
of the stated principal amount and could be zero.
Investors will lose some and may lose
all of their principal in this scenario.
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JPMorgan Chase Financial Company LLC
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Contingent Income Auto-Callable Securities due October 15, 2020
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|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
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Principal at Risk Securities
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How the Securities Work
The following diagrams illustrate the potential outcomes for the
securities depending on (1) the closing prices of the underlying stocks and (2) the final stock prices of the underlying stocks.
Diagram #1: Determination Dates (Other Than
the Final Determination Date)
Diagram #2: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 6.
JPMorgan Chase Financial Company LLC
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Contingent Income Auto-Callable Securities due October 15, 2020
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|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
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Principal at Risk Securities
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Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent quarterly payment is payable with respect to a determination date, whether the securities will be automatically
redeemed on any determination date prior to the final determination date and how to calculate the payment at maturity if the securities
have not been redeemed early. The following examples are for illustrative purposes only. Whether you receive a contingent quarterly
payment or whether the securities will be automatically redeemed will be determined by reference to the closing price of each underlying
stock on each quarterly determination date and the amount you will receive at maturity, if any, will be determined by reference
to the final stock price of each underlying stock. The hypothetical initial stock price of each underlying stock of $100.00 has
been chosen for illustrative purposes only and does not represent the actual initial stock price of any underlying stock. The actual
initial stock price of each underlying stock is the closing price of that underlying stock on the pricing date and is specified
on the cover of this pricing supplement. For historical data regarding the actual closing prices of each underlying stock, please
see the historical information set forth under “Kinder Morgan, Inc. Overview,” “The Williams Companies, Inc.
Overview” and “Targa Resources Corp. Overview,” as applicable, in this pricing supplement. The actual downside
threshold level of each underlying stock is specified on the cover of this pricing supplement. Any payment on the securities is
subject to our and JPMorgan Chase & Co.’s credit risks. The numbers in the hypothetical examples below may have been
rounded for the ease of analysis. The examples below are based on the following assumed terms:
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Contingent
quarterly payment:
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A contingent
quarterly payment of $0.55 per quarter per security will be paid on the securities on each contingent payment date but
only if the closing price of each underlying stock is at or above its downside threshold level on the related determination
date.
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Early
redemption:
|
If the closing price
of each underlying stock is greater than or equal to its initial stock price on any quarterly determination date (other
than the final determination date), the securities will be automatically redeemed for an early redemption payment equal to
the stated principal amount plus the contingent quarterly payment with respect to the related determination date.
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Payment at maturity
(if the securities have not been automatically redeemed early):
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If the final stock price
of each underlying stock is greater than or equal to its downside threshold level: the stated principal amount
and the contingent quarterly payment with respect to the final determination date
If the final stock price
of any underlying stock is less than its downside threshold level: (i) the stated principal amount times (ii) the
stock performance factor of the worst performing underlying stock
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Stated
principal amount:
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$10 per security
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Hypothetical
initial stock price:
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With respect to the Class
P common stock of Kinder Morgan, Inc.: $100.00
With respect to the common
Stock of The Williams Companies, Inc.: $100.00
With respect to the common
stock of Targa Resources Corp.: $100.00
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Hypothetical
downside threshold level:
|
With respect to the Class
P common stock of Kinder Morgan, Inc.: $70.00, which is 70.00% of its hypothetical initial stock price
With respect to the common
Stock of The Williams Companies, Inc.: $70.00, which is 70.00% of its hypothetical initial stock price
With respect to the common
stock of Targa Resources Corp.: $70.00, which is 70.00% of its hypothetical initial stock price
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JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
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Principal at Risk Securities
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How to determine whether a contingent quarterly
payment is payable with respect to a determination date:
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Closing
price
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Contingent
quarterly payment
|
|
|
|
|
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|
Class
P common
stock of Kinder
Morgan, Inc.
|
Common
stock of
The Williams
Companies, Inc.
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Common
stock of
Targa Resources
Corp.
|
|
|
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Hypothetical
Determination
Date 1
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$80
(at or above
downside threshold
level)
|
$85
(at or above
downside threshold
level)
|
$90
(at or above
downside threshold
level)
|
$0.55
|
|
|
|
|
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Hypothetical
Determination
Date 2
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$55
(below
downside threshold
level)
|
$75
(at or above
downside threshold
level)
|
$60
(below
downside threshold
level)
|
$0
|
|
|
|
|
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|
Hypothetical
Determination
Date 3
|
$80
(at or above
downside threshold
level)
|
$50
(below
downside threshold
level)
|
$40
(below
downside threshold
level)
|
$0
|
|
|
|
|
|
|
Hypothetical
Determination
Date 4
|
$50
(below
downside threshold
level)
|
$45
(below
downside threshold
level)
|
$30
(below
downside threshold
level)
|
$0
|
On hypothetical determination date 1, each underlying stock
closes at or above its downside threshold level. Therefore, a contingent quarterly payment of $0.55 is payable on the relevant
contingent payment date.
On each of the hypothetical determination dates 2 and 3, one
underlying stock closes at or above its downside threshold level but the other underlying stocks close below their respective downside
threshold levels. Therefore, no contingent quarterly payment is payable on the relevant contingent payment date.
On hypothetical determination date 4, each underlying stock
closes below its downside threshold level and, accordingly, no contingent quarterly payment is payable on the relevant contingent
payment date.
You will not receive a contingent quarterly payment on any
contingent payment date if the closing price of any underlying stock is below its downside threshold level on the related determination
date.
How to determine whether the securities will
be automatically redeemed on any determination date prior to the final determination date:
|
|
Closing
price
|
Early
redemption payment
|
|
|
|
|
|
|
Class
P common
stock of Kinder
Morgan, Inc.
|
Common
stock of
The Williams
Companies, Inc.
|
Common
stock of
Targa Resources
Corp.
|
|
|
|
|
|
|
|
Hypothetical
Determination
Date 1
|
$110
(at or above
initial stock price)
|
$90
(below initial
stock price)
|
$95
(below initial
stock price)
|
n/a
(securities are not
redeemed early)
|
|
|
|
|
|
|
Hypothetical
Determination
Date 2
|
$90
(below initial
stock price)
|
$80
(below initial
stock price)
|
$75
(below initial
stock price)
|
n/a
(securities are not
redeemed early)
|
|
|
|
|
|
|
Hypothetical
Determination
Date 3
|
$110
(at or above
initial stock price)
|
$120
(at or above
initial stock price)
|
$100
(at or above
initial stock price)
|
$10.55
(the stated principal
amount plus the contingent
quarterly payment with
respect to the related
determination date)
|
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
On hypothetical determination date 1, one underlying stock
closes at or above its initial stock price but the other underlying stocks close below their respective initial stock prices. Therefore,
the securities remain outstanding and are not redeemed early.
On hypothetical determination date 2, each underlying stock
closes below its initial stock price. Therefore, the securities remain outstanding and are not redeemed early.
On hypothetical determination date 3, each underlying stock
closes at or above its initial stock price. Therefore, the securities are automatically redeemed and you receive an early redemption
payment equal to the stated principal amount plus the contingent quarterly payment with respect to the related determination
date. No further payments will be made on the securities once they have been redeemed.
How to calculate the payment at maturity (if
the securities have not been automatically redeemed early):
|
|
Final
stock price
|
Payment
at maturity
|
|
|
Class
P common
stock of Kinder
Morgan, Inc.
|
Common
stock of
The Williams
Companies, Inc.
|
Common
stock of
Targa Resources
Corp.
|
|
|
Example
1:
|
$100
(at or above
downside threshold
level)
|
$90
(at or above
downside threshold
level)
|
$80
(at or above
downside threshold
level)
|
$10.55
(the stated principal
amount plus the contingent
quarterly payment with
respect to the final
determination date)
|
|
Example
2:
|
$110
(at or above
downside threshold
level)
|
$50
(below
downside threshold
level)
|
$60
(below
downside threshold
level)
|
$10
× stock performance
factor of the worst performing
underlying stock =
$10
× ($50 / $100) = $5.00
|
|
Example
3:
|
$40
(below
downside threshold
level)
|
$55
(below
downside threshold
level)
|
$50
(below
downside threshold
level)
|
$10
× ($40 / $100) = $4.00
|
|
|
|
|
|
|
|
Example
4:
|
$30
(below
downside threshold
level)
|
$40
(below
downside threshold
level)
|
$55
(below
downside threshold
level)
|
$10
× ($30 / $100) = $3.00
|
In example 1, the final stock price of each underlying stock
is at or above its downside threshold level. Therefore, you receive at maturity the stated principal amount of the securities and
the contingent quarterly payment with respect to the final determination date.
In example 2, the final stock price of one underlying stock
is at or above its downside threshold level but the final stock prices of the other underlying stocks are below their respective
downside threshold levels. Therefore, you are exposed to the downside performance of the worst performing underlying stock at maturity
and receive a cash payment at maturity equal to the stated principal amount times the stock performance factor of the worst
performing underlying stock.
Similarly, in examples 3 and 4, the final stock price of each
underlying stock is below its downside threshold level, and you receive a cash payment at maturity equal to the stated principal
amount times the stock performance factor of the worst performing underlying stock.
If the final stock price of any underlying stock is below
its downside threshold level, you will be exposed to the downside performance of the worst performing underlying stock at maturity,
and your payment at maturity will be less than 70% of the stated principal amount per security and could be zero.
The hypothetical returns and hypothetical payments on the
securities shown above apply only if you hold the securities for their entire term or until early redemption. 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
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
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 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 guarantee the return of
any of the principal amount at maturity. Instead, if the securities have not been automatically redeemed prior to maturity and
if the final stock price of any of the underlying stocks is less than its downside threshold level, you will be exposed
to the decline in the closing price of the worst performing underlying stock, as compared to its initial stock price, on a 1-to-1
basis. Under these circumstances, you will receive for each security that you hold at maturity a cash payment equal to the stated
principal amount times the stock performance factor of the worst performing underlying stock. In this case, your payment
at maturity will be less than 70% of the stated principal amount and could be zero.
|
|
|
■
|
You will not receive any contingent quarterly payment for any quarterly period if the closing price of any underlying stock
on the relevant determination date is less than its downside threshold level. The terms of the securities differ from those
of ordinary debt securities in that the securities do not guarantee the payment of regular interest. Instead, a contingent quarterly
payment will be made with respect to a quarterly period only if the closing price of each underlying stock on the relevant determination
date is greater than or equal to its downside threshold level. If the closing price
of any underlying stock is below its downside threshold level on any determination
date, you will not receive a contingent quarterly payment for the relevant quarterly period. It
is possible that the closing price of one or more underlying stocks could
be below their respective downside threshold levels on most or all of the determination dates so that you will receive few
or no contingent quarterly payments. If you do not earn sufficient contingent quarterly payments over the term of the securities,
the overall return on the securities may be less than the amount that would be paid on one of our conventional debt securities
of comparable maturity.
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|
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■
|
The contingent quarterly payment is based solely on the closing prices of the underlying stocks on the specified determination
dates. Whether the contingent quarterly payment will be made
with respect to a determination date will be based on the closing price of each underlying stock on that determination date. As
a result, you will not know whether you will receive the contingent quarterly payment until the related determination date. Moreover,
because the contingent quarterly payment is based solely on the closing price of each underlying stock on a specific determination
date, if the closing price of any of the underlying stocks on that determination date is below its downside
threshold level, you will not receive any contingent quarterly payment with respect to that determination date, even if
the closing price of that underlying stock was higher on other days during the related quarterly period.
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■
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You are exposed to the price risk of all three underlying stocks, with respect to all the contingent quarterly payments,
if any, and the payment at maturity, if any. Your return on the securities is not linked to a basket consisting of the underlying
stocks. Rather, it will be contingent upon the independent performance of each underlying stock. Unlike an instrument with a return
linked to a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket, you
will be exposed to the risks related to each underlying stock. The performance of the underlying stocks may not be correlated.
Poor performance by any underlying stock over the term of the securities may negatively affect your return and will not
be offset or mitigated by any positive performance by the other underlying stocks. Accordingly, your investment is subject to the
risk of decline in the closing price of each underlying stock.
|
To receive any contingent quarterly
payments, each underlying stock must close at or above its downside threshold level
on the applicable determination date. In addition, if any underlying stock has declined to below its downside threshold
level as of the final determination date, you will be fully exposed to the decline in the worst performing underlying stock,
as compared to its initial stock price, on a 1-to-1 basis, even if the other underlying stocks have appreciated. Under this scenario,
the value of any such payment will be less than 70% of the stated principal amount and could be zero.
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|
■
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Because the securities are linked to the performance of the worst performing underlying
stock, you are exposed to greater risks of no contingent quarterly payments and sustaining a significant loss on your investment
than if the securities were linked to just one underlying stock. The risk that you will not receive any contingent quarterly
payments, or that you will suffer a significant loss on your investment is greater if you invest in the securities than if you
invest in substantially similar securities that are linked to the performance of just
|
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
|
|
|
one underlying stock. With three underlying
stocks, it is more likely that any one underlying stock will close below its downside threshold level on any determination date
than if the securities were linked to only one underlying stock. In addition, you will not benefit from the performance of any
underlying stock other than the worst performing underlying stock. Therefore it is more likely that you will not receive any contingent
quarterly payments and that you will suffer a significant loss on your investment.
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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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Investors will not participate in any appreciation of any underlying
stock. Investors will not participate in any appreciation of any underlying stock from its
initial stock price, and the return on the securities will be limited to the contingent quarterly payment that is paid with respect
to each determination date on which the closing price of each underlying stock is greater than or equal to its downside
threshold level, if any.
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Early redemption risk. The
term of your investment in the securities may be limited to as short as approximately three months by the automatic early redemption
feature of the securities. If the securities are redeemed prior to maturity, you will receive no more contingent quarterly payments
and may be forced to reinvest in a lower interest rate environment and you may not be able to reinvest the proceeds from an investment
in the securities at a comparable return for a similar level of risk.
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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 prices and the downside threshold levels
and will determine the final stock prices and whether the closing price of each underlying stock on any determination date is greater
than or equal to its initial stock price or is below its downside threshold level. Determinations made by the calculation agent,
including with respect to the occurrence or non-occurrence of market disruption events, may affect the payment to you at maturity
or whether the securities are redeemed early.
|
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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■
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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
|
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
|
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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 and 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.
|
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.
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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 each underlying
stock, including:
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○
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any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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○
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customary bid-ask spreads for similarly sized trades;
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○
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our internal secondary market funding rates for structured debt issuances;
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JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
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○
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the actual and expected volatility in the closing price of each underlying stock;
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○
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the time to maturity of the securities;
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○
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whether the closing price of one share of any underlying stock has been, or is expected to be, less than its downside threshold
level on any determination date;
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○
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the likelihood of an early redemption being triggered;
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○
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the dividend rates on the underlying stocks;
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the actual and expected positive or negative correlation between the underlying stocks, or the actual or expected absence of
any such correlation;
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○
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interest and yield rates in the market generally;
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○
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the occurrence of certain events affecting the issuer of an underlying stock that may or may not require an adjustment to its
stock adjustment factor, including a merger or acquisition; and
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○
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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 any
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 any underlying stock.
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No affiliation with Kinder Morgan, Inc., The Williams Companies,
Inc. or Targa Resources Corp. Kinder Morgan, Inc., The Williams Companies, Inc. and Targa
Resources Corp. are not affiliates of ours, are not involved with this offering in any way, and have 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 Kinder Morgan, Inc., The Williams Companies, Inc. and Targa Resources Corp. in connection with this offering.
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We may engage in business with or involving Kinder Morgan, Inc.,
The Williams Companies, Inc. or Targa Resources Corp. without regard to your interests. We
or our affiliates may presently or from time to time engage in business with Kinder Morgan, Inc., The Williams Companies, Inc.
or Targa Resources Corp. without regard to your interests and thus may acquire non-public information about Kinder Morgan, Inc.,
The Williams Companies, Inc. or Targa Resources Corp. 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 Kinder Morgan, Inc., The Williams Companies, Inc. or Targa Resources Corp., which may or may not recommend that investors
buy or hold an underlying stock.
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The anti-dilution protection for the underlying stocks is limited
and may be discretionary. The calculation agent will make adjustments to the stock adjustment
factor of an underlying stock and other adjustments for certain corporate events affecting that underlying stock. However, the
calculation agent will not make an adjustment in response to all events that could affect any 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 closing prices of the underlying stocks. Any
of these hedging or trading activities on or prior to the pricing date could have affected the initial stock prices and,
as a result, the downside threshold levels, which are the respective levels at or above which the underlying stocks must close
on each determination date in order for you to earn a contingent quarterly payment or, if the securities are not called prior to
maturity, in order for you to avoid being exposed to the negative price performance of the worst performing underlying stock at
maturity. Additionally, these hedging or trading activities during the term of the securities could potentially affect the values
of the underlying stocks on the determination dates and, accordingly, whether
|
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
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investors will receive one or more contingent quarterly
payments, whether the securities are automatically redeemed prior to maturity and, if the securities are not redeemed prior to
maturity, the payment to you at maturity. 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 U.S. federal income 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 treatment 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 as prepaid forward contracts with
associated contingent coupons, as 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 be materially affected. Although the U.S. federal income tax treatment of contingent
quarterly payments (including any contingent quarterly payments paid in connection with an early redemption or at maturity) is
uncertain, in determining our reporting responsibilities we intend (in the absence of an administrative determination or judicial
ruling to the contrary) to treat any contingent quarterly payments as ordinary income. 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 and the relevance of factors such as the nature of the underlying property to which the instruments are linked.
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 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.
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Non-U.S. Holders — Tax Consideration.
The U.S. federal income tax treatment of contingent quarterly payments is uncertain, and although we believe it is reasonable
to take a position that contingent quarterly payments are not subject to U.S. withholding tax (at least if an applicable Form W-8
is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your securities is effectively connected with
your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent
establishment in the United States). In the event of any withholding, we will not be required to pay any additional amounts with
respect to amounts so withheld. If you are not a United States person, you are urged to consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the securities in light of your particular circumstances.
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
Kinder
Morgan, Inc. Overview
Kinder Morgan, Inc. is an energy infrastructure company that
owns an interest in or operates pipelines and terminals. Kinder Morgan, Inc.’s pipelines transport natural gas, refined petroleum
products, crude oil, condensate, carbon dioxide and other products and its terminals transload and store liquid commodities, including
petroleum products, ethanol and chemicals, and bulk products, including petroleum coke, steel and ores. The Class P common stock
of Kinder Morgan, Inc. is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) and
is listed on the New York Stock Exchange. Information provided to or filed with the SEC by Kinder Morgan, Inc. pursuant to the
Exchange Act can be located by reference to the SEC file number 001-35081 through the SEC’s website at www.sec.gov.
Information as of market close on October 11, 2019:
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Bloomberg
Ticker Symbol:
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KMI
|
52
Week High (on 6/21/2019):
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$21.38
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Current
Closing Price:
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$20.23
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52
Week Low (on 12/24/2018):
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$14.71
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52
Weeks Ago (on 10/11/2018):
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$17.42
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The following table sets forth the published high and low closing
prices of, as well as dividends on, the Class P common stock of Kinder Morgan, Inc. for each quarter in the period from January
1, 2014 through October 11, 2019. The closing price of the Class P common stock of Kinder Morgan, Inc. on October 11, 2019 was
$20.23. The associated graph shows the closing prices of the Class P common stock of Kinder Morgan, Inc. 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 Class P common
stock of Kinder Morgan, Inc. has experienced significant fluctuations. The historical performance of the Class P common stock of
Kinder Morgan, Inc. should not be taken as an indication of its future performance, and no assurance can be given as to the closing
price of the Class P common stock of Kinder Morgan, Inc. at any time, including on the determination dates.
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Class
P Common Stock of Kinder Morgan, Inc.
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High
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Low
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Dividends
(Declared)
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2014
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First
Quarter
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$36.39
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$30.96
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$0.420
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Second
Quarter
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$36.26
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$32.15
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$0.430
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Third
Quarter
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$41.60
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$35.37
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$0.100
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Fourth
Quarter
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$43.01
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$34.50
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$0.450
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2015
|
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First
Quarter
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$42.81
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$39.77
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$0.480
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Second
Quarter
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$44.57
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$38.36
|
$0.490
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Third
Quarter
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$38.19
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$26.16
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$0.510
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Fourth
Quarter
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$32.68
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$14.54
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$0.125
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2016
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First
Quarter
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$18.90
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$12.01
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$0.125
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Second
Quarter
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$19.16
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$16.85
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$0.125
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Third
Quarter
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$23.13
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$18.29
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$0.125
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Fourth
Quarter
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$23.01
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$19.71
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$0.125
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JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
|
Class P Common Stock of Kinder Morgan, Inc.
|
High
|
Low
|
Dividends
(Declared)
|
|
2017
|
|
|
|
|
First Quarter
|
$22.94
|
$20.94
|
$0.125
|
|
Second Quarter
|
$21.75
|
$18.42
|
$0.125
|
|
Third Quarter
|
$20.69
|
$18.40
|
$0.125
|
|
Fourth Quarter
|
$19.10
|
$16.76
|
$0.125
|
|
2018
|
|
|
|
|
First Quarter
|
$19.63
|
$14.81
|
$0.125
|
|
Second Quarter
|
$17.67
|
$14.90
|
$0.200
|
|
Third Quarter
|
$18.30
|
$17.43
|
$0.200
|
|
Fourth Quarter
|
$18.57
|
$14.71
|
$0.200
|
|
2019
|
|
|
|
|
First Quarter
|
$20.42
|
$15.71
|
$0.200
|
|
Second Quarter
|
$21.38
|
$19.36
|
$0.250
|
|
Third Quarter
|
$21.29
|
$19.57
|
$0.250
|
|
Fourth Quarter (through October 11, 2019)
|
$20.52
|
$20.01
|
—
|
We make no representation as to the amount of dividends, if
any, that Kinder Morgan, 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 Class P common stock of Kinder Morgan, Inc.
The
Class P Common Stock of Kinder Morgan, Inc. Historical Performance – Daily Closing Prices
January 2, 2014 to October 11, 2019*
|
|
|
*The
dotted line in the graph indicates the downside threshold level, equal to 70% of the initial stock price.
|
This document relates only to the securities offered hereby
and does not relate to the Class P common stock or other securities of Kinder Morgan, Inc. We have derived all disclosures contained
in this document regarding the Class P common stock of Kinder Morgan, Inc. from the publicly available documents described in the
first paragraph under this “Kinder Morgan, 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 Kinder Morgan, Inc. Neither we nor the agent makes any representation that such publicly available
documents or any other publicly available
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
information regarding Kinder Morgan, 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 “Kinder Morgan, Inc. Overview” section)
that would affect the trading price of the Class P common stock of Kinder Morgan, Inc. (and therefore the price of the Class P
common stock of Kinder Morgan, Inc. 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 Kinder Morgan, Inc. could affect
the value received at maturity 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 Class P common stock of Kinder Morgan, Inc.
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
The Williams
Companies, Inc. Overview
The Williams Companies is an energy infrastructure company
focused on connecting North America’s hydrocarbon resources to markets for natural gas and natural gas liquids. The common
stock of The Williams Companies, Inc. is registered under the Exchange Act and is listed on the New York Stock Exchange. Information
provided to or filed with the SEC by The Williams Companies, Inc. pursuant to the Exchange Act can be located by reference to the
SEC file number 001-04174 through the SEC’s website at www.sec.gov.
Information as of market close on October 11, 2019:
|
Bloomberg
Ticker Symbol:
|
WMB
|
52
Week High (on 4/2/2019):
|
$29.35
|
|
Current
Closing price:
|
$23.09
|
52
Week Low (on 12/24/2018):
|
$20.58
|
|
52
Weeks Ago (on 10/11/2018):
|
$26.59
|
|
|
The following table sets forth the published high and low closing
prices of, as well as dividends on, the common stock of The Williams Companies, Inc. for each quarter in the period from January
1, 2014 through October 11, 2019. The closing price of the common stock of The Williams Companies, Inc. on October 11, 2019 was
$23.09. The associated graph shows the closing prices of the common stock of The Williams Companies, Inc. for each day in the same
period. We obtained the closing price information above and the information in the table and graph below from 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 common stock
of The Williams Companies, Inc. has experienced significant fluctuations. The historical performance of the common stock of The
Williams Companies, Inc. should not be taken as an indication of its future performance, and no assurance can be given as to the
closing price of the common stock of The Williams Companies, Inc. at any time, including on the determination dates.
|
Common
Stock of The Williams Companies, Inc.
|
High
|
Low
|
Dividends
(Declared)
|
|
2014
|
|
|
|
|
First
Quarter
|
$42.69
|
$38.03
|
$0.4025
|
|
Second
Quarter
|
$58.86
|
$39.64
|
$0.4250
|
|
Third
Quarter
|
$59.44
|
$54.37
|
$0.1000
|
|
Fourth
Quarter
|
$55.83
|
$41.84
|
$0.5700
|
|
2015
|
|
|
|
|
First
Quarter
|
$50.64
|
$40.94
|
$0.5800
|
|
Second
Quarter
|
$60.86
|
$46.99
|
$0.5900
|
|
Third
Quarter
|
$58.23
|
$34.93
|
$0.6400
|
|
Fourth
Quarter
|
$43.83
|
$21.54
|
$0.6400
|
|
2016
|
|
|
|
|
First
Quarter
|
$26.33
|
$11.16
|
$0.6400
|
|
Second
Quarter
|
$23.57
|
$14.81
|
$0.6400
|
|
Third
Quarter
|
$31.15
|
$20.09
|
$0.2000
|
|
Fourth
Quarter
|
$31.78
|
$28.11
|
$0.2000
|
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
|
Common
Stock of The Williams Companies, Inc.
|
High
|
Low
|
Dividends
(Declared)
|
|
2017
|
|
|
|
|
First
Quarter
|
$32.42
|
$27.97
|
$0.3000
|
|
Second
Quarter
|
$30.81
|
$27.85
|
$0.3000
|
|
Third
Quarter
|
$31.99
|
$29.01
|
$0.3000
|
|
Fourth
Quarter
|
$30.51
|
$27.02
|
$0.3000
|
|
2018
|
|
|
|
|
First
Quarter
|
$33.21
|
$24.78
|
$0.3400
|
|
Second
Quarter
|
$28.01
|
$24.38
|
$0.3400
|
|
Third
Quarter
|
$31.79
|
$26.70
|
$0.3400
|
|
Fourth
Quarter
|
$27.98
|
$20.58
|
$0.3400
|
|
2019
|
|
|
|
|
First
Quarter
|
$28.93
|
$22.42
|
$0.3800
|
|
Second
Quarter
|
$29.35
|
$26.30
|
$0.3800
|
|
Third
Quarter
|
$28.85
|
$22.88
|
$0.3800
|
|
Fourth
Quarter (through October 11, 2019)
|
$23.82
|
$22.72
|
—
|
We make no representation as to the amount of dividends, if
any, that The Williams Companies, 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 common stock of The Williams Companies, Inc.
The Common Stock of The Williams Companies, Inc. Historical Performance – Daily Closing
Prices January 2, 2014 to October 11, 2019*
|
|
|
*The
dotted line in the graph indicates the downside threshold level, equal to 70% of the initial stock price.
|
This document relates only to the securities offered hereby
and does not relate to the common stock or other securities of The Williams Companies, Inc. We have derived all disclosures contained
in this document regarding the common stock of The Williams Companies, Inc. from the publicly available documents described in
the first paragraph under this “The Williams Companies, 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 The Williams Companies, Inc. Neither we nor the agent makes any representation
that such publicly available
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
documents or any other publicly available information regarding The Williams Companies, 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 “The
Williams Companies, Inc. Overview” section) that would affect the trading price of the common stock of The Williams Companies,
Inc. (and therefore the price of the common stock of The Williams Companies, Inc. 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 The Williams Companies, Inc. could affect the value received at maturity 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 common stock of The Williams Companies, Inc.
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
Targa Resources
Corp. Overview
Targa Resources Corp. is a provider of midstream services and
is an independent midstream energy company that owns, operates, acquires and develops a portfolio of midstream energy assets. The
common stock of Targa Resources Corp. is registered under the Exchange Act and is listed on the New York Stock Exchange. Information
provided to or filed with the SEC by Targa Resources Corp. pursuant to the Exchange Act can be located by reference to the SEC
file number 001-34991 through the SEC’s website at www.sec.gov.
Information as of market close on October 11, 2019:
|
Bloomberg
Ticker Symbol:
|
TRGP
|
52
Week High (on 10/16/2018):
|
$56.65
|
|
Current
Closing price:
|
$39.46
|
52
Week Low (on 8/27/2019):
|
$32.46
|
|
52
Weeks Ago (on 10/11/2018):
|
$55.29
|
|
|
The following table sets forth the published high and low closing
prices of, as well as dividends on, the common stock of Targa Resources Corp. for each quarter in the period from January 1, 2014
through October 11, 2019. The closing price of the common stock of Targa Resources Corp. on October 11, 2019 was $39.46. The associated
graph shows the closing prices of the common stock of Targa Resources Corp. for each day in the same period. We obtained the closing
price information above and the information in the table and graph below from 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 common stock
of Targa Resources Corp. has experienced significant fluctuations. The historical performance of the common stock of Targa Resources
Corp. should not be taken as an indication of its future performance, and no assurance can be given as to the closing price of
the common stock of Targa Resources Corp. at any time, including on the determination dates.
|
Common
Stock of Targa Resources Corp.
|
High
|
Low
|
Dividends
(Declared)
|
|
2014
|
|
|
|
|
First
Quarter
|
$99.26
|
$85.34
|
$0.6475
|
|
Second
Quarter
|
$150.62
|
$101.56
|
$0.6900
|
|
Third
Quarter
|
$142.25
|
$127.50
|
$0.1000
|
|
Fourth
Quarter
|
$139.10
|
$89.35
|
$0.7750
|
|
2015
|
|
|
|
|
First
Quarter
|
$107.06
|
$85.44
|
$0.8300
|
|
Second
Quarter
|
$107.22
|
$88.09
|
$0.8750
|
|
Third
Quarter
|
$91.26
|
$48.92
|
$0.9100
|
|
Fourth
Quarter
|
$65.43
|
$25.74
|
$0.9100
|
|
2016
|
|
|
|
|
First
Quarter
|
$30.24
|
$15.43
|
$0.9100
|
|
Second
Quarter
|
$44.96
|
$27.52
|
$0.9100
|
|
Third
Quarter
|
$49.40
|
$36.88
|
$0.9100
|
|
Fourth
Quarter
|
$58.20
|
$43.90
|
$0.9100
|
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
|
Common
Stock of Targa Resources Corp.
|
High
|
Low
|
Dividends
(Declared)
|
|
2017
|
|
|
|
|
First
Quarter
|
$61.35
|
$54.96
|
$0.9100
|
|
Second
Quarter
|
$59.72
|
$40.68
|
$0.9100
|
|
Third
Quarter
|
$48.35
|
$42.62
|
$0.9100
|
|
Fourth
Quarter
|
$48.42
|
$40.35
|
$0.9100
|
|
2018
|
|
|
|
|
First
Quarter
|
$51.44
|
$43.74
|
$0.9100
|
|
Second
Quarter
|
$50.64
|
$43.42
|
$0.9100
|
|
Third
Quarter
|
$56.39
|
$48.27
|
$0.9100
|
|
Fourth
Quarter
|
$58.51
|
$34.11
|
$0.9100
|
|
2018
|
|
|
|
|
First
Quarter
|
$47.89
|
$36.74
|
$0.9100
|
|
Second
Quarter
|
$42.38
|
$36.59
|
$0.9100
|
|
Third
Quarter
|
$43.27
|
$32.46
|
$0.9100
|
|
Fourth
Quarter (through October 11, 2019)
|
$40.59
|
$37.88
|
—
|
We make no representation as to the amount of dividends, if
any, that Targa Resources Corp. 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 common stock of Targa Resources Corp.
The
Common Stock of Targa Resources Corp. Historical Performance – Daily Closing Prices
January 2, 2014 to October 11, 2019*
|
|
|
*The
dotted line in the graph indicates the downside threshold level, equal to 70% of the initial stock price.
|
This document relates only to the securities offered hereby
and does not relate to the common stock or other securities of Targa Resources Corp. We have derived all disclosures contained
in this document regarding the common stock of Targa Resources Corp. from the publicly available documents described in the first
paragraph under this “Targa Resources Corp. 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 Targa Resources Corp. Neither we nor the agent makes any representation that such publicly available
documents or any other publicly available
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
information regarding Targa Resources Corp. 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 “Targa Resources Corp. Overview”
section) that would affect the trading price of the common stock of Targa Resources Corp. (and therefore the price of the common
stock of Targa Resources Corp. 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 Targa Resources Corp. could affect the
value received at maturity 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 common stock of Targa Resources Corp.
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
Additional
Information about the Securities
Please
read this information in conjunction with the summary terms on the front cover of this document.
|
Additional
Provisions
|
|
|
Record
date:
|
The
record date for each contingent payment date is the date one business day prior to that contingent payment date.
|
|
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
final determination date is not a trading day or if a market disruption event occurs on that day so that the final determination
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 that final determination 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 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
|
JPMorgan Chase Financial Company LLC
|
Contingent Income Auto-Callable Securities due October 15, 2020
|
|
Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
|
|
Principal at Risk Securities
|
|
|
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. In determining
our reporting responsibilities we intend to treat (i) the securities for U.S. federal
income tax purposes as prepaid forward contracts with associated contingent coupons and
(ii) any contingent quarterly payments as ordinary income, as described in the section
entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk
& Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment,
but that there are other reasonable treatments that the IRS or a court may adopt, in
which case the timing and character of any income or loss on the securities could be
materially 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 and the relevance of factors such as the nature of
the underlying property to which the instruments are linked. 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 affect
the tax consequences of an investment in the securities, possibly with retroactive effect.
The discussions above and in the accompanying product supplement do not address the consequences
to taxpayers subject to special tax accounting rules under Section 451(b) of the Code.
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 the notice described above.
Non-U.S.
Holders — Tax Considerations. The U.S. federal income tax treatment of contingent quarterly payments is uncertain,
and although we believe it is reasonable to take a position that contingent quarterly payments are not subject to U.S.
withholding tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these
payments (generally at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty),
unless income from your securities is effectively connected with your conduct of a trade or business in the United States
(and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you are
not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the securities in light of your particular circumstances.
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, our special
tax counsel is of the opinion that Section 871(m) should 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. You should consult your tax adviser regarding the potential application of Section
871(m) to the securities.
FATCA.
Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the
securities that are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP
Income”) for U.S. federal income tax purposes (such as interest, if the securities are recharacterized, in whole
or in part, as debt instruments, or contingent quarterly payments if they are otherwise treated as FDAP Income). If the
securities are recharacterized, in whole or in part, as debt instruments, withholding could also apply to payments of
gross proceeds of a taxable disposition, including an early redemption or redemption at maturity, 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 FDAP Income). You should consult
your tax adviser regarding the potential application of FATCA to the securities.
In
the event of any withholding on the securities, we will not be required to pay any additional amounts with respect to
amounts so withheld.
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Supplemental
use of proceeds and hedging:
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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 Securities
Work” and “Hypothetical
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JPMorgan Chase Financial Company LLC
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Contingent Income Auto-Callable Securities due October 15, 2020
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Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
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Principal at Risk Securities
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Examples”
in this document for an illustration of the risk-return profile of the securities and
“Kinder Morgan, Inc. Overview,” “The Williams Companies, Inc. Overview”
and “Targa Resources Corp. 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.
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Benefit
plan investor considerations:
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See “Benefit
Plan Investor Considerations” in the accompanying product supplement
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Supplemental
plan of distribution:
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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 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.
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Validity
of the securities and the guarantee:
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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.
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JPMorgan Chase Financial Company LLC
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Contingent Income Auto-Callable Securities due October 15, 2020
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Based on the Worst Performing of the Class P Common Stock of Kinder Morgan, Inc., the Common Stock of The Williams Companies, Inc. and the Common Stock of Targa Resources Corp.
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Principal at Risk Securities
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Where you can find more information:
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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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