JPMorgan Chase Financial Company LLC
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October 2019
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Pricing Supplement
Registration Statement Nos. 333-222672
and 333-222672-01
Dated October 11, 2019
Filed pursuant to Rule 424(b)(2)
Structured
Investments
Opportunities in International
Equities
PLUS Based on the Performance of the American Depositary
Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged
Upside SecuritiesSM
Principal at Risk Securities
Fully and Unconditionally
Guaranteed by JPMorgan Chase & Co.
The PLUS will pay no interest and do not guarantee any return of your
principal at maturity. At maturity, if the underlying stock has increased in price, investors will receive the stated principal
amount of their investment plus leveraged upside performance of the underlying stock, subject to a maximum payment at maturity.
However, if the underlying stock has decreased in price, at maturity investors will lose 1% for every 1% decline. The PLUS are
for investors who seek an equity-based return and who are willing to risk their principal and forgo current income and upside above
the maximum payment at maturity in exchange for the leverage feature that applies to a limited range of positive performance of
the underlying stock. At maturity, an investor will receive an amount in cash that may be greater than, equal to, or less than
the stated principal amount based upon the closing price of the underlying stock on the valuation date. The PLUS 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 PLUS is subject to the credit risk of JPMorgan Financial, as issuer of the PLUS,
and the credit risk of JPMorgan Chase & Co., as guarantor of the PLUS. The investor may lose some or all of the stated principal
amount of the PLUS.
FINAL TERMS
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Issuer:
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Underlying stock:
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American depositary shares of Baidu, Inc. (“Baidu ADSs”). Ten Baidu ADSs represent one Class A ordinary share, par value $0.00005 per share, of Baidu, Inc. The Class A ordinary shares of Baidu, Inc. are referred to as the “Baidu underlying securities.”
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Aggregate principal amount:
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$1,000,000
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Payment at maturity:
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If the final stock price is greater than the initial stock price, for each $10 stated principal amount PLUS,
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$10 + leveraged upside payment
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In no event will the payment at maturity exceed the maximum payment at maturity.
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If the final stock price is less than or equal to the initial stock price, for each $10 stated principal amount PLUS,
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$10 × stock performance factor
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This amount will be less than or equal to the stated principal amount of $10 per PLUS.
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Leveraged upside payment:
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$10 × leverage factor × stock percent increase
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Stock percent increase:
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(final stock price – initial stock price) / initial stock price
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Initial stock price:
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The closing price of one share of the underlying stock on the pricing date, which was $104.66
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Final stock price:
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The closing price of one share of the underlying stock on the valuation date
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Leverage factor:
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200%
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Stock adjustment factor:
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The stock adjustment factor is referenced in determining the closing price of one share of the underlying stock and is set initially at 1.0 on the pricing date. The stock adjustment factor is subject to adjustment in the event of certain corporate events affecting the underlying stock.
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Stock performance factor:
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final stock price / initial stock price
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Maximum payment at maturity:
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$16.30 (163.00% of the stated principal amount) per PLUS
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Stated principal amount:
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$10 per PLUS
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Issue price:
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$10 per PLUS (see “Commissions and issue price” below)
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Pricing date:
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October 11, 2019
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Original issue date (settlement date):
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October 17, 2019
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Valuation date:
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October 11, 2021, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” in the accompanying product supplement
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Maturity date:
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October 14, 2021, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
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CUSIP / ISIN:
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48132G377 / US48132G3772
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Listing:
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The PLUS will not be listed on any securities exchange.
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Agent:
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J.P. Morgan Securities LLC (“JPMS”)
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Commissions and issue price:
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Price to public(1)
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Fees and commissions
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Proceeds to issuer
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Per PLUS
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$10.00
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$0.10(2)
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$9.85
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$0.05(3)
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Total
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$1,000,000.00
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$15,000.00
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$985,000.00
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(1)
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See “Additional Information about the PLUS — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the PLUS.
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(2)
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JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $0.10 per $10 stated principal
amount PLUS 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 PLUS
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The estimated value of the PLUS on the pricing date was $9.794
per $10 stated principal amount PLUS. See “Additional Information about the PLUS — The estimated value of the PLUS”
in this document for additional information.
Investing in the PLUS involves a number of risks. See “Risk
Factors” beginning on page PS-10 of the accompanying product supplement and “Risk Factors” beginning on page
5 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the PLUS 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 PLUS 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 PLUS” 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
PLUS Based
on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Performance Leveraged Upside Securities
Principal at Risk Securities
The PLUS Based on the Performance of the American Depositary
Shares of Baidu, Inc. due October 14, 2021 (the “PLUS”) can be used:
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As an alternative to direct exposure to the underlying stock that enhances returns for a certain range of positive performance
of the underlying stock.
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To potentially achieve similar levels of upside exposure to the underlying stock as a direct investment, subject to the maximum
payment at maturity, while using fewer dollars by taking advantage of the leverage factor.
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The PLUS are exposed on a 1:1 basis to
the negative performance of the underlying stock.
Maturity:
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Approximately 2 years
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Leverage
factor:
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200%
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Maximum
payment at maturity:
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$16.30 (163.00% of the stated principal amount) per PLUS
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Minimum
payment at maturity:
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None. Investors may lose their entire initial investment in the PLUS.
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Supplemental Terms of the PLUS
For purposes of the accompanying
product supplement, the underlying stock is a “Reference Stock.”
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
PLUS offer leveraged exposure to an underlying asset, which
may be equities, commodities and/or currencies, without any protection against negative performance of the underlying asset. If
the underlying asset has decreased in value, investors are fully exposed to the negative performance of the underlying asset. At
maturity, if the underlying asset has appreciated, investors will receive the stated principal amount of their investment plus
leveraged upside performance of the underlying asset, subject to the maximum payment at maturity. At maturity, if the underlying
asset has depreciated, the investor will lose 1% for every 1% decline. Investors may lose some or all of the stated principal
amount of the PLUS.
Leveraged
Performance
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The PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the underlying stock.
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Upside
Scenario
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The underlying stock increases in price and, at maturity, the PLUS pay the stated principal amount of $10 plus a return equal to 200% of the stock percent increase, subject to the maximum payment at maturity of $16.30 (163.00% of the stated principal amount) per PLUS.
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Par
Scenario
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The final stock price is equal to the initial stock price and, at maturity, the PLUS pay the stated principal amount of $10 per PLUS.
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Downside
Scenario
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The underlying stock declines in price and, at maturity, the PLUS pay an amount that is less than the stated principal amount by an amount that is proportionate to the percentage decline of the final stock price from the initial stock price. (Example: if the underlying stock decreases in price by 20%, the PLUS will pay an amount that is less than the stated principal amount by 20%, or $8 per PLUS.)
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JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the PLUS based on the following terms:
Stated
principal amount:
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$10 per PLUS
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Leverage
factor:
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200%
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Maximum
payment at maturity:
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$16.30 (163.00% of the stated principal amount) per PLUS
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PLUS Payoff Diagram
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How it works
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Upside
Scenario. If the final stock price is greater than the initial stock price, for each $10 principal amount PLUS, investors
will receive the $10 stated principal amount plus a return equal to 200% of the appreciation of the underlying stock over
the term of the PLUS, subject to the maximum payment at maturity. Under the terms of the PLUS, an investor will realize the maximum
payment at maturity at a final stock price of 131.50% of the initial stock price.
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§
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Par
Scenario. If the final stock price is equal to the initial stock price, investors will receive the stated principal
amount of $10 per PLUS.
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§
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Downside
Scenario. If the final stock price is less than the initial stock price, investors will receive an amount that is less
than the stated principal amount by an amount proportionate to the percentage decrease of the final stock price from the initial
stock price.
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For example, if the underlying stock depreciates 50%,
investors will lose 50% of their principal and receive only $5 per PLUS at maturity, or 50% of the stated principal amount.
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The hypothetical returns and hypothetical
payments on the PLUS shown above apply only if you hold the PLUS for their entire term. These hypotheticals do not reflect
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the PLUS. 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 PLUS.
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The
PLUS do not pay interest or guarantee the return of any principal and your investment in the PLUS may result in a loss.
The terms of the PLUS differ from those of ordinary debt securities in that the PLUS do not pay interest or guarantee the payment
of any principal amount at maturity. If the final stock price is less than the initial stock price, the payment at maturity will
be an amount in cash that is less than the stated principal amount of each PLUS by an amount proportionate to the decrease in
the value of the underlying stock and may be zero.
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The appreciation potential of the PLUS is limited by the maximum
payment at maturity. The appreciation potential of the PLUS is limited by the maximum payment at maturity of $16.30
(163.00% of the stated principal amount) per PLUS. Because the maximum payment at maturity will be limited to 163.00% of the stated
principal amount for the PLUS, any increase in the final stock price by more than 31.50% will not further increase the return on
the PLUS.
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The PLUS 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 PLUS. Investors are dependent on our
and JPMorgan Chase & Co.’s ability to pay all amounts due on the PLUS. 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 PLUS. If we and JPMorgan Chase & Co.
were to default on our payment obligations, you may not receive any amounts owed to you under the PLUS 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 PLUS. If these affiliates do not make payments to us and we fail to make
payments on the PLUS, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the PLUS 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 PLUS, including acting as calculation agent and
as an agent of the offering of the PLUS, hedging our obligations under the PLUS and making the assumptions used to determine the
pricing of the PLUS and the estimated value of the PLUS, which we refer to as the estimated value of the PLUS. 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 PLUS. The calculation agent has determined the
initial stock price, will determine the final stock price and will calculate the amount of payment you will receive at maturity,
if any. Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption
events and any anti-dilution adjustments, may affect the payment to you at maturity.
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In
addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our
and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the PLUS
and the value of the PLUS. It is possible that hedging or trading activities of ours or our affiliates in connection with the PLUS
could result in substantial returns for us or our affiliates while the value of the PLUS declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information
about these risks.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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The estimated value of the PLUS is lower than the original issue price (price to public) of the PLUS.
The estimated value of the PLUS is only an estimate determined by reference to several factors. The original issue price
of the PLUS exceeds the estimated value of the PLUS because costs associated with selling, structuring and hedging the PLUS are
included in the original issue price of the PLUS. 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 PLUS and
the estimated cost of hedging our obligations under the PLUS. See “Additional Information about the PLUS — The estimated
value of the PLUS” in this document.
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The estimated value of the PLUS does not represent future values of the PLUS and may differ from others’ estimates.
The estimated value of the PLUS is determined by reference to internal pricing models of our affiliates. This estimated
value of the PLUS 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 PLUS that are greater than or less than the estimated value of the PLUS. 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 PLUS 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 PLUS from you in secondary market transactions. See “Additional Information about the
PLUS — The estimated value of the PLUS” in this document.
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The estimated value of the PLUS is derived by reference to an internal
funding rate. The internal funding rate used in the determination of the estimated value
of the PLUS 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 PLUS as well as the higher issuance, operational and ongoing liability management costs of the PLUS
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 PLUS. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the
terms of the PLUS and any secondary market prices of the PLUS. See “Additional Information about the PLUS — The estimated
value of the PLUS” in this document.
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The value of the PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than
the then-current estimated value of the PLUS for a limited time period.
We generally expect that some of the costs included in the original issue price of the PLUS will be partially paid back
to you in connection with any repurchases of your PLUS 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 PLUS — Secondary market prices of the PLUS” in this document for additional information relating to this
initial period. Accordingly, the estimated value of your PLUS during this initial period may be lower than the value of the PLUS
as published by JPMS (and which may be shown on your customer account statements).
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Secondary market prices of the PLUS will likely be lower than the original issue price of the PLUS.
Any secondary market prices of the PLUS will likely be lower than the original issue price of the PLUS 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 PLUS. As a result, the price, if any,
at which JPMS will be willing to buy PLUS 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 PLUS.
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JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
The PLUS are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your PLUS to maturity. See “— Secondary trading
may be limited” below.
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Secondary market prices of the PLUS will be impacted by many economic
and market factors. The secondary market price of the PLUS during their term will be impacted by a number of economic
and market factors, which may either offset or magnify each other, aside from the selling commissions, structuring fee, projected
hedging profits, if any, estimated hedging costs and the closing price of one share of the underlying stock, including:
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o
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any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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o
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured debt issuances;
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o
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the actual and expected volatility in the prices of the underlying stock;
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the time to maturity of the PLUS;
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the dividend rate on the underlying stock;
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interest and yield rates in the market generally;
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the occurrence of certain events affecting the issuer of the underlying stock that may or may not require an adjustment to
the stock adjustment factor, including a merger or acquisition; and
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a variety of other economic, financial, political, regulatory and judicial events.
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Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the PLUS, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the PLUS, if any, at which JPMS may be willing to purchase your
PLUS in the secondary market.
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There are risks associated with investments in securities linked to the value of equity securities issued by a non-U.S.
company. The underlying stock is issued by a non-U.S. company. Investments in securities linked to the value of
any equity securities issued by a non-U.S. company involve risks associated with the home country of that company. The prices of
securities issued by non-U.S. companies may be affected by political, economic, financial and social factors in those countries,
or global regions, including changes in government, economic and fiscal policies and currency exchange laws. Moreover, the
economy of that country may differ favorably or unfavorably from the economy of the United States in such respects as growth of
gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. That country may be subjected
to different and, in some cases, more adverse economic environments.
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The PLUS entail emerging markets risk. The underlying stock is issued
by a non-U.S. company conducting its business in an emerging markets country (China). Countries with emerging markets may
have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership
and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries.
The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in
local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities
markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially
making prompt liquidation of holdings difficult or impossible at times.
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There are important differences between the rights of holders of the Baidu ADSs and the rights of holders of the Baidu underlying
securities. The underlying stock is not the Baidu underlying securities represented by the Baidu ADSs, and there exist
important differences between the rights of holders of Baidu ADSs and the rights of holders of the Baidu underlying securities.
Each Baidu ADS is a security evidenced by American depositary receipts that represents a certain number of Baidu underlying securities.
Generally, American Depositary Shares (“ADSs”) are issued under a deposit agreement which
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JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
sets forth the rights and responsibilities of the depositary,
the non-U.S. issuer and holders of the ADSs, which may be different from the rights of holders of the underlying securities.
For example, the non-U.S. issuer may make distributions in respect of the Baidu underlying securities that are not passed on to
the holders of Baidu ADSs. Any such differences between the rights of holders of Baidu ADSs and holders of the Baidu underlying
securities may be significant and may materially and adversely affect the value of the securities.
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Investing in the PLUS is not equivalent to investing in the underlying
security. Investors in the PLUS will not have voting rights or rights to receive dividends
or other distributions or any other rights with respect to the underlying stock.
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No affiliation with Baidu, Inc.
Baidu, Inc. is not an affiliate of ours, is not involved with this offering in any way, and has no obligation to consider your
interests in taking any corporate actions that might affect the value of the PLUS. We have not made any due diligence inquiry
with respect to Baidu, Inc. in connection with this offering.
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We may engage in business with or involving Baidu, Inc. without
regard to your interests. We or our affiliates may presently or from time to time engage
in business with Baidu, Inc. without regard to your interests and thus may acquire non-public information about Baidu, Inc.
Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates
from time to time have published and in the future may publish research reports with respect to Baidu, Inc., which may or may not
recommend that investors buy or hold the underlying stock.
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The anti-dilution protection for the underlying stock is limited
and may be discretionary. The calculation agent will make adjustments to the stock
adjustment factor and other adjustments for certain corporate events affecting the underlying stock. However, the calculation
agent will not make an adjustment in response to all events that could affect the underlying stock. If an event occurs that
does not require the calculation agent to make an adjustment, the value of the PLUS 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 PLUS 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 PLUS.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the
PLUS on or prior to the pricing date and prior to
maturity could have adversely affected, and may continue to adversely affect, the value of the underlying stock and, as a result,
could decrease the amount an investor may receive on the PLUS at maturity, if any. Any of these hedging or trading activities
on or prior to the pricing date could have affected the initial stock price and, therefore, could potentially increase the level
that the final stock price must reach before you receive a payment at maturity that exceeds the issue price of the PLUS or so that
you do not suffer a loss on your initial investment in the PLUS. Additionally, these hedging or trading activities during the term
of the PLUS, including on the valuation date,
could adversely affect the final stock price and, accordingly, the payment to you at maturity, if any. It is possible that these
hedging or trading activities could result in substantial returns for us or our affiliates while the value of the PLUS declines.
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Secondary trading may be limited. The
PLUS will not be listed on a securities exchange. There may be little or no secondary market for the PLUS. Even if there is a secondary
market, it may not provide enough liquidity to allow you to trade or sell the PLUS easily.
JPMS may act as a market maker for the PLUS, 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 PLUS, the price at which you may be able to trade your PLUS is likely
to depend on the price, if any, at which JPMS
is willing to buy the PLUS. 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 PLUS.
|
|
§
|
The tax consequences of an investment in the PLUS are uncertain. There is no direct legal authority as to the proper
U.S. federal income tax characterization of the PLUS, 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 PLUS described in “Additional Information about the PLUS ―
Additional Provisions ― Tax considerations” in this
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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 PLUS, the timing and character of any income or loss on the PLUS could differ materially and adversely from our description
herein. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors
in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the
underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to
the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain
as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and
adversely affect the tax consequences of an investment in the PLUS, 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 PLUS, including possible alternative
treatments and the issues presented by this notice.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Baidu, Inc. Overview
Baidu, Inc. is a Cayman Islands company that conducts its
operations primarily in China. Baidu, Inc.’s business consists of two segments, Baidu Core and iQIYI. Baidu Core primarily
comprises (1) search plus feed, such as Baidu App, its search business and supporting content, including Baidu Post Bar, Baidu
Knows and Baidu Encyclopedia, as well as its online marketing services and (2) new artificial intelligence businesses, such as
DuerOS (voice assistant and related smart device business), Apollo (autonomous driving platform) and Baidu Cloud. iQIYI is an online
entertainment service provider in China. iQIYI’s platform features original content, as well as a selection of professionally
produced, partner-generated content and user-generated content. The underlying stock is registered under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”) and is listed on the The NASDAQ Stock Market. Information provided to
or filed with the SEC by Baidu, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 000-51469
through the SEC’s website at www.sec.gov.
Information as of market close on October 11, 2019:
Bloomberg Ticker Symbol:
|
BIDU
|
Current Closing Price:
|
$104.66
|
52 Weeks Ago (on 10/11/2018):
|
$198.00
|
52 Week High (on 10/12/2018):
|
$204.36
|
52 Week Low (on 8/15/2019):
|
$94.35
|
The following table sets forth the published high and low
closing prices of, as well as dividends on, the underlying stock for each quarter in the period from January 1, 2014 through October
11, 2019. The associated graph following the table shows the closing prices of the underlying stock for each day in the same period.
The closing price of the underlying stock on October 11, 2019 was $104.66. We obtained the closing price information above and
the information in the table and graph below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits,
public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the closing price of the underlying
stock has experienced significant fluctuations. The historical performance of the underlying stock should not be taken as
an indication of its future performance, and no assurance can be given as to the price of the underlying stock at any time, including
on the valuation date.
American
Depositary Shares of Baidu, Inc.
|
High
|
Low
|
Dividends
(Declared)
|
2014
|
|
|
|
First Quarter
|
$184.64
|
$150.52
|
—
|
Second Quarter
|
$186.81
|
$143.51
|
—
|
Third Quarter
|
$228.45
|
$182.30
|
—
|
Fourth Quarter
|
$250.34
|
$199.07
|
—
|
2015
|
|
|
|
First Quarter
|
$233.33
|
$203.27
|
—
|
Second Quarter
|
$220.46
|
$189.18
|
—
|
Third Quarter
|
$207.63
|
$132.37
|
—
|
Fourth Quarter
|
$217.97
|
$137.53
|
—
|
2016
|
|
|
|
First Quarter
|
$190.88
|
$140.68
|
—
|
Second Quarter
|
$195.72
|
$156.92
|
—
|
Third Quarter
|
$196.03
|
$159.60
|
—
|
Fourth Quarter
|
$184.11
|
$161.67
|
—
|
2017
|
|
|
|
First Quarter
|
$186.01
|
$168.26
|
—
|
Second Quarter
|
$191.95
|
$172.44
|
—
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
American
Depositary Shares of Baidu, Inc.
|
High
|
Low
|
Dividends
(Declared)
|
Third Quarter
|
$247.69
|
$179.97
|
—
|
Fourth Quarter
|
$272.82
|
$229.66
|
—
|
2018
|
|
|
|
First Quarter
|
$265.67
|
$212.07
|
—
|
Second Quarter
|
$284.07
|
$219.82
|
—
|
Third Quarter
|
$271.45
|
$213.47
|
—
|
Fourth Quarter
|
$227.40
|
$157.12
|
—
|
2019
|
|
|
|
First Quarter
|
$176.23
|
$154.71
|
—
|
Second Quarter
|
$184.77
|
$107.78
|
—
|
Third Quarter
|
$119.35
|
$94.35
|
—
|
Fourth Quarter (through October 11, 2019)
|
$104.66
|
$99.90
|
—
|
We make no representation as to the amount of dividends,
if any, that Baidu, Inc. may pay in the future. In any event, as an investor in the PLUS, you will not be entitled to receive dividends,
if any, that may be payable on the underlying stock.
The American Depositary Shares of Baidu, Inc. Historical Performance – Daily Closing Prices January 2, 2014 to October 11, 2019
|
|
|
This document relates only to the PLUS offered hereby and does
not relate to the underlying stock or other securities of Baidu, Inc. We have derived all disclosures contained in this document
regarding the underlying stock from the publicly available documents described in the first paragraph under this “Baidu,
Inc. Overview” section without independent verification. In connection with the offering of the PLUS, neither we nor the
agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Baidu, Inc. Neither
we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding
Baidu, Inc. is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof
(including events that would affect the accuracy or completeness of the publicly available documents described in the first paragraph
under this “Baidu, Inc. Overview” section) that would affect the trading price of the underlying stock (and therefore
the price of the underlying stock at the time we priced the PLUS) have been publicly disclosed. Subsequent disclosure of any such
events or the disclosure of or failure to disclose material future events concerning Baidu, Inc. could affect the value received
at maturity, if any, with respect to the PLUS and therefore the trading prices of the PLUS.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Neither we nor any of our affiliates makes any representation
to you as to the performance of the underlying stock.
Additional Information about the PLUS
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional Provisions:
|
Postponement
of maturity date:
|
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the PLUS will be postponed to the third business day following the valuation date as postponed.
|
Minimum
ticketing size:
|
$1,000 / 100 PLUS
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation
agent:
|
JPMS
|
The
estimated value of the PLUS:
|
The estimated value of the PLUS 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 PLUS, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the PLUS. The estimated value of the PLUS does not represent a minimum price at which JPMS would
be willing to buy your PLUS in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the PLUS 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 PLUS as well as the higher issuance, operational and ongoing liability management
costs of the PLUS 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 PLUS. The use of an internal funding rate and any potential changes to that
rate may have an adverse effect on the terms of the PLUS and any secondary market prices of the PLUS. For additional information,
see “Risk Factors — The estimated value of the PLUS 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 PLUS 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
PLUS 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 PLUS does not represent future values of the PLUS and may differ from others’
estimates” in this document.
The estimated value of the PLUS is lower than the
original issue price of the PLUS because costs associated with selling, structuring and hedging the PLUS are included in the original
issue price of the PLUS. 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 PLUS and the estimated cost of hedging our obligations under the PLUS. 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 PLUS
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 PLUS is lower than the original issue price (price to public)
of the PLUS” in this document.
|
Secondary
market prices of the PLUS:
|
For information about factors that will impact any secondary market prices of the PLUS, see “Risk Factors — Secondary market prices of the PLUS 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 PLUS will be partially paid back to you in connection with any repurchases of your PLUS 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 PLUS. The length of any such initial period reflects the structure of the PLUS, whether our affiliates expect to earn a profit in connection with our
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
hedging activities, the estimated costs of hedging the PLUS and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the PLUS for a limited time period.”
|
Tax
considerations:
|
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-1-I. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell
LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the PLUS.
Based on current market conditions, in the opinion
of our special tax counsel, your PLUS should be treated as “open transactions” that are not debt instruments for U.S.
federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your PLUS should be treated as long-term capital gain or loss if you
hold your PLUS for more than a year, whether or not you are an initial purchaser of PLUS at the issue price. However, the IRS or
a court may not respect this treatment of the PLUS, in which case the timing and character of any income or loss on the PLUS could
be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S.
federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments
on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors
such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or
should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the PLUS, possibly with retroactive effect. You
should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the PLUS, including possible
alternative treatments and the issues presented by this notice.
Withholding under legislation commonly referred
to as “FATCA” may (if the PLUS are recharacterized as debt instruments) apply to amounts treated as interest paid with
respect to the PLUS, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a
PLUS, although under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them
pending finalization), no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You
should consult your tax adviser regarding the potential application of FATCA to the PLUS.
|
Supplemental
use of proceeds and hedging:
|
The PLUS are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the PLUS. See “How the PLUS Work” in this document
for an illustration of the risk-return profile of the PLUS and “Baidu, Inc. Overview” in this document for a description
of the market exposure provided by the PLUS.
The original issue price of the PLUS is equal to
the estimated value of the PLUS 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 PLUS, plus the estimated cost of hedging our obligations under the PLUS.
|
Benefit
plan investor considerations:
|
See “Benefit Plan Investor Considerations” in the accompanying product supplement.
|
Supplemental
plan of distribution:
|
Subject to regulatory constraints, JPMS intends to
use its reasonable efforts to offer to purchase the PLUS 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
PLUS.
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
PLUS 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 PLUS will be made against
payment for the PLUS on or about
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the American Depositary Shares of Baidu, Inc. due October 14, 2021
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
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 PLUS (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 PLUS on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.
|
Validity
of the PLUS and the guarantee:
|
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the PLUS 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 PLUS 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 PLUS and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated March 8, 2018, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on March 8, 2018.
|
Where
you can find more information:
|
You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these
PLUS 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 PLUS 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 PLUS 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 PLUS.
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.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley.
|
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