JPMorgan Chase Financial Company LLC Trigger Absolute Return
Step Securities
Linked to an Unequally Weighted Basket of 6 Equity Indices due
on or about October 22, 2024
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities
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You may revoke your offer to purchase the Securities at any time
prior to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or reject
any offer to purchase, the Securities prior to their issuance. In the event of any changes to the terms of the Securities, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these
Securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the Securities
and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying product supplement and the accompanying underlying supplement, as the Securities involve
risks not associated with conventional debt securities.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Securities
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For purposes of the accompanying product supplement, each of
the EURO STOXX 50® Index, the Nikkei 225 Index, the FTSE® 100 Index, the S&P/ASX 200 Index, the
Swiss Market Index and the Hang Seng® Index is an “Index.”
Investor
Suitability
The Securities may be suitable for you if, among
other considerations:
t You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the
same downside market risk as a hypothetical investment in the Basket.
t You
believe the level of the Basket is likely to close at or above the Step Barrier on the Final Valuation Date.
t You
understand and accept that your potential positive downside return from the Contingent Absolute Return is limited by the Downside
Threshold.
t You
would be willing to invest in the Securities if the Step Return were set equal to the minimum Step Return indicated on the cover
hereof (the actual Step Return will be finalized on the Trade Date and provided in the pricing supplement and is expected to be,
but will not be less than, the minimum Step Return indicated on the cover hereof).
t You
can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Basket.
t You
do not seek current income from your investment and are willing to forgo dividends paid on the stocks included in the Underlyings.
t You
are willing and able to hold the Securities to maturity.
t You
accept that there may be little or no secondary market for the Securities and that any secondary market will depend in large part
on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Securities.
t You
understand and accept the risks associated with the Underlyings.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities,
and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts
due to you including any repayment of principal.
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The Securities may not be suitable for you if, among
other considerations:
t You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal
amount.
t You
require an investment designed to provide a full return of principal at maturity.
t You
cannot tolerate a loss of all or a substantial portion of your investment, or you are not willing to make an investment that may
have the same downside market risk as a hypothetical investment in the Basket.
t You
believe the level of the Basket is unlikely to close at or above the Step Barrier on the Final Valuation Date.
t You
believe the level of the Basket will decline over the term of the Securities and is likely to close below the Downside Threshold
on the Final Valuation Date.
t You
would be unwilling to invest in the Securities if the Step Return were set equal to the minimum Step Return indicated on the cover
hereof (the actual Step Return will be finalized on the Trade Date and provided in the pricing supplement and is expected to be,
but will not be less than, the minimum Step Return indicated on the cover hereof).
t You
cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Basket.
t You
seek current income from your investment or prefer not to forgo dividends paid on the stocks included in the Underlyings.
t You
are unwilling or unable to hold the Securities to maturity or seek an investment for which there will be an active secondary market.
t You
do not understand or accept the risks associated with the Underlyings.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities,
including any repayment of principal.
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The suitability considerations identified above are not exhaustive.
Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach
an investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered
the suitability of an investment in the Securities in light of your particular circumstances. You should also review carefully
the “Key Risks” section of this pricing supplement and the “Risk Factors” sections of the accompanying
product supplement and the accompanying underlying supplement for risks related to an investment in the Securities. For more information
on the Underlyings, please see the section titled “The EURO STOXX 50® Index,” “The Nikkei 225
Index,” “The FTSE® 100 Index,” “The S&P/ASX 200 Index,” “The Swiss Market
Index” and “The Hang Seng® Index” below.
Issuer:
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Issue Price:
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$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000)
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Principal Amount:
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$10.00 per Security. The payment at maturity will be based on the principal amount.
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Basket:
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The Securities are linked to an unequally weighted basket (the “Basket”) of the EURO STOXX 50® Index, the Nikkei 225 Index, the FTSE® 100 Index, the S&P/ASX 200 Index, the Swiss Market Index and the Hang Seng® Index (each, an “Underlying” and together, the “Underlyings”). The Underlyings, along with their respective weightings (each a “Basket Weight”), are set forth below.
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Underlying
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Basket Weight
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EURO STOXX 50® Index
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40.00%
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Nikkei 225 Index
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20.00%
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FTSE® 100 Index
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20.00%
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S&P/ASX 200 Index
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7.50%
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Swiss Market Index
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7.50%
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Hang Seng® Index
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5.00%
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Due to the unequal weightings of the Underlyings, the performance of the EURO STOXX 50® Index will have a significantly larger impact on the return on the Securities than the performance of any other Underlying in the Basket.
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Term1:
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5 years
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Payment at Maturity (per $10 principal amount Security):
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If the Final Basket Value is greater than or
equal to the Step Barrier, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security
equal to:
$10 + ($10 × the greater of
(i) the Step Return and (ii) the Basket Return)
If the Final Basket Value is less than the
Step Barrier and greater than or equal to the Downside Threshold, JPMorgan Financial will pay you a cash payment at
maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Contingent
Absolute Return)
If the Final Basket Value is less than the
Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal
to:
$10 + ($10 × Basket Return)
In this scenario, the Contingent Absolute Return
will not apply, you will be exposed to the decline of the Basket and you will lose some or all of your principal amount in an
amount proportionate to the negative Underlying Return.
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Basket Return:
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(Final Basket Value – Initial
Basket Value)
Initial Basket Value
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Step Return:
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At least 50.50%. The actual Step Return will be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, 50.50%.
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Contingent Absolute Return:
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The absolute value of the Basket Return. For example, if the Basket Return is -5%, the Contingent Absolute Return is 5%.
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Initial Basket Value:
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Set equal to 100 on the Trade Date
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Final Basket Value:
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The closing level of the Basket on the Final Valuation Date
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Closing Level of the Basket:
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The closing level of the Basket on any day will be calculated as follows:
100 × [1 + sum of (Underlying Return of each Underlying × Basket Weight of that Underlying)]
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1 See
footnote 1 under “Key Dates” on the front cover
Initial Value:
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With respect to each Underlying, the closing level of that Underlying on the Trade Date
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Final Value:
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With respect to each Underlying, the closing level of that Underlying on the Final Valuation Date
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Underlying Return:
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With respect to each Underlying,
(Final Value – Initial
Value)
Initial Value
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Step Barrier:
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100, which is 100% of the Initial Basket Value
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Downside Threshold:
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75, which is 75% of the Initial Basket Level
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Trade
Date
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The closing level of each Underlying is observed, the Initial Basket Value is set equal to 100 and the Step Return is finalized.
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Maturity
Date
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The Final Value of each Underlying, the Final Basket
Value and the Basket Return are determined.
If the Final Basket Value Final Value is greater
than or equal to the Step Barrier, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount
Security equal to:
$10 + ($10 × the greater of
(i) the Step Return and (ii) the Basket Return)
If the Final Basket Value is less than the Step Barrier
and greater than or equal to the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity per
$10 principal amount Security equal to:
$10.00 + ($10.00 × Contingent
Absolute Return)
If the Final Basket Value is less than the Downside
Threshold, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10 + ($10 × Basket Return)
Under these circumstances, the Contingent Absolute
Return will not apply, you will be exposed to the decline of the Basket and you will lose some or all of your principal amount.
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INVESTING
IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL
AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT
TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN
FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS,
YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR
ENTIRE INVESTMENT.
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What
Are the Tax Consequences of the Securities?
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You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. The following discussion, when
read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP,
regarding the material U.S. federal income tax consequences of owning and disposing of Securities.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the Securities as “open transactions” that are not debt instruments for U.S.
federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your Securities should be treated as long-term capital gain or loss if
you hold your Securities for more than a year, whether or not you are an initial purchaser of Securities at the issue price.
However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the
Securities could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments
on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also
asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the
relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the Securities, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Securities,
including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a “Qualified
Index”). Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January
1, 2021 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, we expect that Section
871(m) will not apply to the Securities with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS
may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances,
including whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding
the potential application of Section 871(m) will be provided in the pricing supplement for the Securities. You should consult your
tax adviser regarding the potential application of Section 871(m) to the Securities.
Withholding under legislation commonly referred to as “FATCA”
may (if the Securities are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the Securities,
as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a Security, although under
recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),
no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax
adviser regarding the potential application of FATCA to the Securities.
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Basket or any or all of the Underlyings. These risks are explained
in more detail in the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying
supplement. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Securities.
Risks Relating to the Securities Generally
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t
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Your Investment in the Securities May Result in a Loss — The Securities differ from ordinary debt securities in
that we will not necessarily repay the full principal amount of the Securities. We will pay you the principal amount of your Securities
in cash only if the Final Basket Value has not declined below the Downside Threshold. If the Final Basket Value is less than the
Downside Threshold, the Contingent Absolute Return will not apply, you will be exposed to the full decline of the Basket and will
lose some or all of your principal amount in an amount proportionate to the negative Basket Return. Accordingly, you could lose
up to your entire principal amount.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. — The Securities are unsecured and unsubordinated
debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed
by JPMorgan Chase & Co. The Securities will rank pari passu with all of our other unsecured and unsubordinated obligations,
and the related guarantee JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase & Co.’s other
unsecured and unsubordinated obligations. The Securities and related guarantees are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Securities, including any repayment of principal, depends on the ability of JPMorgan
Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Securities and, in the event JPMorgan Financial
and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms
of the Securities and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Limited Assets — As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our
affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the Securities. If these affiliates do not make payments to us and we fail to
make payments on the Securities, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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The Step Return Applies Only If You Hold the Securities to Maturity — You
should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary
market, if any, the price you receive likely will not reflect the full economic value of the Step Return or the Securities themselves,
and the return you realize may be less than the Basket’s return, even if that return is positive. You can receive the full
benefit of the Step Return from JPMorgan Financial only if you hold your Securities to maturity.
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The Contingent Absolute Return Applies Only If You Hold the Securities to Maturity —
You should be willing to hold your Securities to maturity. If you are able to sell your Securities in the secondary market, if
any, prior to maturity, you may have to sell them at a loss relative to your initial investment even if the closing level of the
Basket is above the Downside Threshold. If you hold the Securities to maturity and the Final Value is less than the Step Barrier,
JPMorgan Financial will repay your principal amount plus the Contingent Absolute Return, unless the Final Basket Value is
below the Downside Threshold. However, if the Final Basket Value is less than the Downside Threshold, the Contingent Absolute Return
will not apply and JPMorgan Financial will repay less than your principal amount, if anything, resulting in a loss that is proportionate
to the decline in the level of the Basket from the Initial Basket Value to the Final Basket Value. The Contingent Absolute Return
and any contingent repayment of principal based on whether the Final Basket Value is below the Downside Threshold apply only if
you hold your Securities to maturity.
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Your Ability to Receive the Step Return May Terminate on the Final Valuation Date — If the Final Basket Value
is less than the Step Barrier, you will not be entitled to receive the Step Return on the Securities. Under these circumstances,
if the Final Basket Value is also less than the Downside Threshold, you will lose some or all of your principal amount in an amount
proportionate to the negative Basket Return.
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Limited Potential Positive Downside Return on the Securities — Any positive downside return on the Securities
will be limited by the Downside Threshold because, if the Final Basket Value is less than the Step Barrier, JPMorgan Financial
will pay you the principal amount plus the Contingent Absolute Return at maturity only if the Final Basket Value is greater
than or equal to the Downside Threshold. You will not receive a Contingent Absolute Return and will lose some or all of your investment
if the Final Basket Value is below the Downside Threshold
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t
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No Interest Payments — JPMorgan Financial will not make any interest payments to you with respect to the Securities.
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Potential Conflicts — We and our affiliates play a variety of roles in connection with the issuance of the Securities,
including acting as calculation agent and hedging our obligations under the Securities and making the assumptions used to determine
the pricing of the Securities and the estimated value of the Securities when the terms of the Securities are set, which we refer
to as the estimated value of the Securities. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an
investor in the Securities. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading
activities, could cause our and JPMorgan Chase & Co.’s
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economic interests to be adverse
to yours and could adversely affect any payment on the Securities and the value of the Securities. It is possible that hedging
or trading activities of ours or our affiliates in connection with the Securities could result in substantial returns for us or
our affiliates while the value of the Securities declines. Please refer to “Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement for additional information about these risks.
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The Probability That the Final Basket Value Will Fall Below the Downside Threshold on the Final Valuation Date Will Depend
on the Volatility of the Underlyings — “Volatility" refers to the frequency and magnitude of changes in the
level of the Basket. Greater expected volatility with respect to the Basket reflects a higher expectation as of the Trade Date
that the Basket could close below the Downside Threshold on the Final Valuation Date, resulting in the loss of some or all of your
investment. However, the Basket’s volatility can change significantly over the term of the Securities. The level of the Basket
could fall sharply, which could result in a significant loss of principal.
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The Estimated Value of the Securities Will Be Lower Than the Original Issue Price (Price to Public) of the Securities
— The estimated value of the Securities is only an estimate determined by reference to several factors. The original issue
price of the Securities will exceed the estimated value of the Securities because costs associated with selling, structuring and
hedging the Securities are included in the original issue price of the Securities. These costs include the selling commissions,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under
the Securities and the estimated cost of hedging our obligations under the Securities. See “The Estimated Value of the Securities”
in this pricing supplement.
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The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ from Others’
Estimates — The estimated value of the Securities is determined by reference to internal pricing models of our affiliates
when the terms of the Securities are set. This estimated value of the Securities is based on market conditions and other relevant
factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates, interest rates
and other factors. Different pricing models and assumptions could provide valuations for the Securities that are greater than or
less than the estimated value of the Securities. In addition, market conditions and other relevant factors in the future may change,
and any assumptions may prove to be incorrect. On future dates, the value of the Securities could change significantly based on,
among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy Securities from you in secondary
market transactions. See “The Estimated Value of the Securities” in this pricing supplement.
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The Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate — The internal funding
rate used in the determination of the estimated value of the Securities may differ from the market-implied funding rate for vanilla
fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based
on, among other things, our and our affiliates’ view of the funding value of the Securities as well as the higher issuance,
operational and ongoing liability management costs of the Securities in comparison to those costs for the conventional fixed income
instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the Securities. The use
of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the Securities and
any secondary market prices of the Securities. See “The Estimated Value of the Securities” in this pricing supplement.
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The Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher
Than the Then-Current Estimated Value of the Securities for a Limited Time Period — We generally expect that some of
the costs included in the original issue price of the Securities will be partially paid back to you in connection with any repurchases
of your Securities by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include
selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary
market funding rates for structured debt issuances. See “Secondary Market Prices of the Securities” in this pricing
supplement for additional information relating to this initial period. Accordingly, the estimated value of your Securities during
this initial period may be lower than the value of the Securities as published by JPMS (and which may be shown on your customer
account statements).
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Secondary Market Prices of the Securities Will Likely Be Lower Than the Original Issue Price of the Securities —
Any secondary market prices of the Securities will likely be lower than the original issue price of the Securities because, among
other things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances
and, also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the Securities. As a result, the price, if any, at which JPMS will be willing
to buy Securities from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any
sale by you prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk factor for
information about additional factors that will impact any secondary market prices of the Securities.
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The Securities are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity. See “—
Lack of Liquidity” below.
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Many Economic and Market Factors Will Impact the Value of the Securities —
As described under “The Estimated Value of the Securities” in this pricing supplement, the Securities can be
thought of as securities that combine a fixed-income debt component with one or more derivatives. As a result, the factors that
influence the values of fixed-income debt and derivative instruments will also influence the terms of the Securities at issuance
and their value in the secondary market. Accordingly, the secondary market price of the Securities during their term will be impacted
by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
projected hedging profits, if any, estimated hedging costs and the levels of the Underlyings, including:
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any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured debt issuances;
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the actual and expected volatility in the levels of the Underlyings;
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the time to maturity of the Securities;
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the dividend rates on the equity securities underlying the Underlyings;
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the actual or expected positive or negative correlation among the Underlyings, or the actual or expected absence of any such
correlation;
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interest and yield rates in the market generally;
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the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the
equity securities included in the Underlyings trade and the correlation among those rates and the levels of the Underlyings; and
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a variety of other economic, financial, political, regulatory and judicial events.
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Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the Securities, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the Securities, if any, at which JPMS may be willing
to purchase your Securities in the secondary market.
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Correlation (or Lack of Correlation) of the Underlyings — Changes in the levels of the Underlyings may not correlate
with each other. At a time when the level of one or more Underlyings increases, the price of one or more other Underlyings may
not increase as much or may even decline. Therefore, in calculating the closing level of the Basket, an increase in the level of
one or more of the Underlyings may be moderated, or more than offset, by a lesser increase or decline in the level of one or more
other Underlyings. In addition, high correlation of movements in the levels of the Underlyings during periods of negative returns
among the Underlyings could have an adverse effect on any payment on the Securities. Due to the unequal weightings of the Underlyings,
the performance of the EURO STOXX 50® Index will have a significantly larger impact on the return on the Securities
than the performance of any other Underlying in the Basket.
|
|
t
|
Investing in the Securities Is Not Equivalent to Investing in the Stocks Composing the Underlyings — Investing
in the Securities is not equivalent to investing in the stocks included in the Underlyings. As an investor in the Securities, you
will not have any ownership interest or rights in the stocks included in the Underlyings, such as voting rights, dividend payments
or other distributions.
|
|
t
|
We Cannot Control Actions by the Sponsor of Any Underlying and That Sponsor Has No
Obligation to Consider Your Interests — We and our affiliates are not affiliated with the sponsor of any Underlying and
have no ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods
or policies relating to the calculation of that Underlying. The sponsor of each Underlying is not involved in this Security offering
in any way and has no obligation to consider your interest as an owner of the Securities in taking any actions that might affect
the market value of your Securities.
|
|
t
|
Your Return on the Securities Will Not Reflect Dividends on the Stocks Composing the Underlyings — Your return
on the Securities will not reflect the return you would realize if you actually owned the stocks included in the Underlyings and
received the dividends on the stocks included in the Underlyings. This is because the calculation agent will calculate the amount
payable to you at maturity of the Securities by reference to the Final Basket Value, which is based on the closing level of each
Underlying on the Final Valuation Date, without taking into consideration the value of dividends on the stocks included in that
Underlying.
|
|
t
|
Historical Performance of the Basket Should Not Be Taken as an Indication of the Future Performance of the Basket During
the Term of the Securities — The actual performance of the Basket over the term of the Securities may bear little relation
to the historical performance of the Basket. The future performance of the Basket may differ significantly from its historical
performance. It is impossible to predict whether the level of the Basket will rise or fall. We cannot give you assurance that the
performance of the Basket will not adversely affect any payment on the Securities.
|
|
t
|
Lack of Liquidity — The Securities will not be listed on any securities exchange. JPMS intends to offer to purchase
the Securities in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough
liquidity to allow you to trade or sell the Securities easily. Because other dealers are not likely to make a secondary market
for the Securities, the price at which you may be able to trade your Securities is likely to depend on the price, if any, at which
JPMS is willing to buy the Securities.
|
|
t
|
Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS, UBS or
their affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding
the Securities, and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that
investors buy or hold investments linked to the Underlyings and could affect the values of the Underlyings, and therefore the Basket
and the market value of the Securities.
|
|
t
|
Tax Treatment — Significant aspects of the tax treatment of the Securities are uncertain. You should consult your
tax adviser about your tax situation.
|
|
t
|
Potential JPMorgan Financial Impact on the Level of an Underlying — Trading or transactions by JPMorgan Financial
or its affiliates in an Underlying or in futures, options or other derivatives products on an Underlying may adversely affect the
level of that Underlying and, therefore, the market value of the Securities.
|
|
t
|
The Final Terms and Valuation of the Securities Will Be Finalized on the Trade Date and Provided in the Pricing Supplement
— The final terms of the Securities will be based on relevant market conditions
when the terms of the Securities are set and will be finalized on the Trade Date and provided in the pricing supplement. In particular,
each of the estimated value of the Securities and the Step Return will be finalized on the Trade Date and provided in the pricing
supplement, and each may be as low as the applicable minimum set forth on the cover of this pricing supplement. Accordingly, you
should consider your potential investment in the Securities based on the minimums for the estimated value of the Securities and
the Step Return.
|
Risks Relating to the Underlyings
|
t
|
Non-U.S. Securities Risk — The
equity securities included in each Underlying have been issued by non-U.S. companies. Investments in securities linked to the value
of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of
those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and
cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies
in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC.
|
|
t
|
No Direct Exposure to Fluctuations in Foreign
Exchange Rates — The value of your Securities will not be adjusted for exchange rate fluctuations between the U.S. dollar
and the currencies upon which the equity securities included in the Underlyings are based, although any currency fluctuations could
affect the performance of the Underlyings and, therefore, the Basket. Therefore, if the applicable currencies appreciate or depreciate
relative to the U.S. dollar over the term of the Securities, you will not receive any additional payment or incur any reduction
in any payment on the Securities.
|
Hypothetical
Examples and Return Table
|
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate
the payment at maturity per $10.00 principal amount Security for a hypothetical range of Basket Returns from -100.00% to +100.00%
on an offering of the Securities linked to a hypothetical Basket, reflect the Initial Basket Value of 100 and the Step Barrier
of 100 and assume a hypothetical Downside Threshold of 90 and a hypothetical Step Return of 10.00%. For historical data regarding
the actual closing levels of the Underlyings, please see the historical information set forth under “The Underlyings”
in this pricing supplement. The actual Downside Threshold is specified on the cover of this pricing supplement. The actual Step
Return will be finalized on the Trade Date and provided in the pricing supplement. The hypothetical payment at maturity examples
set forth below are for illustrative purposes only and may not be the actual returns applicable to a purchaser of the Securities.
The actual payment at maturity may be more or less than the amounts displayed below and will be determined based on the actual
terms of the Securities, including the Initial Basket Value, the Step Barrier, the Downside Threshold and the Step Return to be
finalized on the Trade Date and provided in the pricing supplement and the Final Basket Value on the Final Valuation Date. You
should consider carefully whether the Securities are suitable to your investment goals. The numbers appearing in the table below
have been rounded for ease of analysis.
Final
Basket Value
|
Basket
Return (%)
|
Payment
at Maturity ($)
|
Return
at Maturity per
$10.00 issue price (%)
|
200.00
|
100.00%
|
$20.000
|
100.00%
|
190.00
|
90.00%
|
$19.000
|
90.00%
|
180.00
|
80.00%
|
$18.000
|
80.00%
|
170.00
|
70.00%
|
$17.000
|
70.00%
|
160.00
|
60.00%
|
$16.000
|
60.00%
|
150.00
|
50.00%
|
$15.000
|
50.00%
|
140.00
|
40.00%
|
$14.000
|
40.00%
|
130.00
|
30.00%
|
$13.000
|
30.00%
|
120.00
|
20.00%
|
$12.000
|
20.00%
|
110.00
|
10.00%
|
$11.000
|
10.00%
|
105.00
|
5.00%
|
$11.000
|
10.00%
|
100.00
|
0.00%
|
$11.000
|
10.00%
|
95.00
|
-5.00%
|
$10.500
|
5.00%
|
90.00
|
-10.00%
|
$11.000
|
10.00%
|
89.99
|
-10.01%
|
$8.999
|
-10.01%
|
80.00
|
-20.00%
|
$8.000
|
-20.00%
|
70.00
|
-30.00%
|
$7.000
|
-30.00%
|
60.00
|
-40.00%
|
$6.000
|
-40.00%
|
50.00
|
-50.00%
|
$5.000
|
-50.00%
|
40.00
|
-60.00%
|
$4.000
|
-60.00%
|
30.00
|
-70.00%
|
$3.000
|
-70.00%
|
20.00
|
-80.00%
|
$2.000
|
-80.00%
|
10.00
|
-90.00%
|
$1.000
|
-90.00%
|
0.00
|
-100.00%
|
$0.000
|
-100.00%
|
Example 1 — The level of the Basket increases by 5%
from the Initial Basket Value of 100 to the Final Basket Value of 105.
Because the Final Basket Value is greater than or equal to the
Step Barrier and the Basket Return of 5% is positive but is less than the Step Return of 10.00%, at maturity, JPMorgan Financial
will pay you your principal amount plus a return equal to the Step Return of 10.00%, resulting in a payment at maturity
of $11.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × the greater of (i)
the Step Return and (ii) the Basket Return)
$10.00 + ($10.00 × 10.00%) = $11.00
Example 2 — The level of the Basket increases
by 50% from the Initial Basket Value of 100 to the Final Basket Value of 150. Because the Final Basket Value is greater than
or equal to the Step Barrier and the Basket Return of 50% is greater than the Step Return of 10.00%, at maturity, JPMorgan Financial
will pay you your principal amount plus a return equal to the Basket Return of 50.00%, resulting in a payment at maturity
of $15.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × the greater of (i)
the Step Return and (ii) the Basket Return)
$10.00 + ($10.00 × 50.00%) = $15.00
Example 3 — The level of the Basket decreases by 5%
from the Initial Basket Value of 100 to the Final Basket Value of 95. Even though the level of the Basket has declined, because
the Final Basket Value is greater than the Downside Threshold and the Contingent Absolute Return is 5%, at maturity, JPMorgan Financial
will pay you your principal amount plus a return equal to the Contingent Absolute Return of 5%, resulting in a payment at
maturity of $10.50 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Contingent Absolute
Return)
$10.00 + ($10.00 × 5%) = $10.50
Example 4 — The level of the Basket decreases by 10%
from the Initial Basket Value of 100 to the Final Basket Value of 90. Even though the level of the Basket has declined, because
the Final Basket Value is equal to the Downside Threshold and the Contingent
Absolute Return is 10%, at maturity, JPMorgan Financial will
pay you your principal amount plus a return equal to the Contingent Absolute Return of 10%, resulting in a payment at maturity
of $11.00 per $10 principal amount Security (the maximum payment at maturity if the Final Value is less than the Step Barrier based
on the hypothetical Downside Threshold of 90), calculated as follows:
$10.00 + ($10.00 × Contingent Absolute
Return)
$10.00 + ($10.00 × 10%) = $11.00
Example 5 — The level of the Basket
decreases by 60% from the Initial Basket Value of 100 to the Final Basket Value of 40. Because the Final Basket Value is less
than the Downside Threshold and the Basket Return is -60%, at maturity, JPMorgan Financial will pay you a payment at maturity of
$4.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Basket Return)
$10.00 + ($10.00 × -60%) = $4.00
If the Final Basket Value is less than the Downside Threshold,
the Contingent Absolute Return will not apply and investors will be exposed to the negative Basket Return at maturity, resulting
in a loss of principal that is proportionate to the Basket’s decline from the Initial Basket Value to the Final Basket Value.
Investors could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments on the Securities
shown above apply only if you hold the Securities for their entire term. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
Hypothetical
Examples of Calculations of the Closing Levels of the Basket
|
The examples below illustrate the hypothetical closing levels
of the Basket on the Final Valuation Date under different hypothetical scenarios with the following assumptions (the actual terms
will be finalized on the Trade Date and provided in the pricing supplement; amounts have been rounded for ease of reference):
Underlyings
|
Index Weight
|
Initial Value
|
EURO STOXX 50® Index
|
40.00%
|
100.00*
|
Nikkei 225 Index
|
20.00%
|
100.00*
|
FTSE® 100 Index
|
20.00%
|
100.00*
|
S&P/ASX 200 Index
|
7.50%
|
100.00*
|
Swiss Market Index
|
7.50%
|
100.00*
|
Hang Seng® Index
|
5.00%
|
100.00*
|
*The actual Initial Value for each
Underlying will be based on the closing level of that Underlying on the Trade Date and will be provided in the pricing supplement. The
hypothetical Initial Value for each Underlying of 100.00 has been chosen for illustrative purposes only and may not represent
a likely actual Initial Value for any Underlying. For historical data regarding the actual closing levels of each
Underlying, please see the historical information set forth under “The EURO STOXX 50® Index,” “The
Nikkei 225 Index,” “The FTSE® 100 Index,” “The S&P/ASX 200 Index,” “The
Swiss Market Index” and “The Hang Seng® Index” in this pricing supplement.
|
Example 1 — On the Final Valuation Date,
each Underlying closes above its Initial Value.
Underlyings
|
Index Weight
|
Initial Value
|
Final Value
|
Underlying Return
|
EURO STOXX 50® Index
|
40.00%
|
100.00
|
106.00
|
6.00%
|
Nikkei 225 Index
|
20.00%
|
100.00
|
105.00
|
5.00%
|
FTSE® 100 Index
|
20.00%
|
100.00
|
103.25
|
3.25%
|
S&P/ASX 200 Index
|
7.50%
|
100.00
|
104.00
|
4.00%
|
Swiss Market Index
|
7.50%
|
100.00
|
104.00
|
4.00%
|
Hang Seng® Index
|
5.00%
|
100.00
|
107.00
|
7.00%
|
Closing Level of the Basket:
|
100 × [1 + (6.00% × 40.00%) + (5.00% × 20.00%) + (3.25% × 20.00%)
+ (4.00% × 7.50%) + (4.00% × 7.50%) + (7.00% × 5.00%)] = 105
|
A closing level of the Basket of 105 represents
a 5% increase in the level of the Basket from the Initial Basket Value.
Example 2 — On the Final Valuation Date,
each Underlying closes below its Initial Value.
Underlyings
|
Index Weight
|
Initial Value
|
Final Value
|
Underlying Return
|
EURO STOXX 50® Index
|
40.00%
|
100.00
|
88.00
|
-12.00%
|
Nikkei 225 Index
|
20.00%
|
100.00
|
80.00
|
-20.00%
|
FTSE® 100 Index
|
20.00%
|
100.00
|
83.00
|
-17.00%
|
S&P/ASX 200 Index
|
7.50%
|
100.00
|
88.00
|
-12.00%
|
Swiss Market Index
|
7.50%
|
100.00
|
84.00
|
-16.00%
|
Hang Seng® Index
|
5.00%
|
100.00
|
86.00
|
-14.00%
|
Closing Level of the Basket:
|
100 × [1 + (-12.00% × 40.00%) + (-20.00% × 20.00%) + (-17.00% × 20.00%)
+ (-12.00% × 7.50%) + (-16.00% × 7.50%) + (-14.00% × 5.00%)] = 85
|
A closing level of the Basket of 85 represents
a 15% decline in the level of the Basket from the Initial Basket Value.
Example 3 — On the Final Valuation Date, the most heavily
weighted Underlying closes below its Initial Value, offsetting the increase of the other Underlyings.
Underlyings
|
Index Weight
|
Initial Value
|
Final Value
|
Underlying Return
|
EURO STOXX 50® Index
|
40.00%
|
100.00
|
40.00
|
-60.00%
|
Nikkei 225 Index
|
20.00%
|
100.00
|
105.00
|
5.00%
|
FTSE® 100 Index
|
20.00%
|
100.00
|
110.00
|
10.00%
|
S&P/ASX 200 Index
|
7.50%
|
100.00
|
130.00
|
30.00%
|
Swiss Market Index
|
7.50%
|
100.00
|
130.00
|
30.00%
|
Hang Seng® Index
|
5.00%
|
100.00
|
110.00
|
10.00%
|
Closing Level of the Basket:
|
100 × [1 + (-60.00% × 40.00%) + (5.00% × 20.00%) + (10.00% × 20.00%)
+ (30.00% × 7.50%) + (30.00% × 7.50%) + (10.00% × 5.00%)] = 84
|
A closing level of the Basket of 84.00 represents a 16.00%
decline in the level of the Basket from the Initial Basket Value.
Because the Basket is unequally weighted, increases in the levels
of the lower weighted Underlyings are offset by the decrease in the level of the most heavily weighted Underlying. In this example,
even though the Underlying Return of each of the Nikkei 225 Index, the FTSE® 100 Index, the S&P/ASX 200 Index,
the Swiss Market Index and the Hang Seng® Index are positive, the significant negative Underlying Return of the
EURO STOXX 50® Index results in a Final Basket Value that is less the Initial Basket Value.
Example 4 — On the Final Valuation Date, the most heavily
weighted Underlying closes above its Initial Value, but this increase is offset by the decline of the other Underlyings.
Underlyings
|
Index Weight
|
Initial Value
|
Final Value
|
Underlying Return
|
EURO STOXX 50® Index
|
40.00%
|
100.00
|
150.00
|
50.00%
|
Nikkei 225 Index
|
20.00%
|
100.00
|
25.00
|
-75.00%
|
FTSE® 100 Index
|
20.00%
|
100.00
|
25.00
|
-75.00%
|
S&P/ASX 200 Index
|
7.50%
|
100.00
|
75.00
|
-25.00%
|
Swiss Market Index
|
7.50%
|
100.00
|
25.00
|
-75.00%
|
Hang Seng® Index
|
5.00%
|
100.00
|
50.00
|
-50.00%
|
Closing Level of the Basket:
|
100 × [1 + (50.00% × 40.00%) + (-75.00% × 20.00%) + (-75.00% × 20.00%)
+ (-25.00% × 7.50%) + (-75.00% × 7.50%) + (-50.00% × 5.00%)] = 80
|
A closing level of the Basket of 80.00 represents a 20.00%
decline in the level of the Basket from the Initial Basket Value.
Although the Basket is unequally weighted, significant decreases
in the levels of the lower weighted Underlyings more than offset the significant increase in the level of the most heavily weighted
Underlying. In this example, even though the Underlying Return of the EURO STOXX 50® Index was positive, the significant
negative Underlying Return of each of the Nikkei 225 Index, the FTSE® 100 Index, the S&P/ASX 200 Index, the
Swiss Market Index and the Hang Seng® Index together results in a Final Basket Value that is less the Initial Basket
Value.
The following graph shows the daily hypothetical performance
of the Basket from January 5, 2009 through October 15, 2019, assuming that the closing level of the Basket on January 5, 2009 was
100 and that the Underlyings on those dates were weighted as specified in the “Indicative Terms” in this pricing supplement.
The dotted lines represent the Step Barrier of 100.00 and Downside Threshold of 75.00, equal to 100% and 75% of the Initial Basket
Value. The hypothetical historical daily Basket performance data in this graph was determined using the closing levels of each
Underlying reported by the Bloomberg Professional® service (“Bloomberg”) for those dates, without independent
verification. The hypothetical historical performance of the Basket displayed below is a reflection of the aggregated historical
performance of the Underlyings as described above.
Past performance of the Basket is not indicative
of the future performance of the Basket. See “Key Risks — Risks Relating to the Securities Generally —
Historical Performance of the Basket Should Not Be Taken as an Indication of the Future Performance of the Basket During the Term
of the Securities.”
Included on the following pages is a brief description
of the Underlyings. This information has been obtained from publicly available sources, without independent verification. Set forth
below is a table that provides the quarterly high and low closing levels of each Underlying. This information given below is for
the four calendar quarters in each of 2014, 2015, 2016, 2017 and 2018 and the first, second and third calendar quarters of 2019.
Partial data is provided for the fourth calendar quarter of 2019. We obtained the closing levels information set forth below from
the Bloomberg Professional® service (“Bloomberg”), without independent verification. You should not
take the historical performance of any Underlying as an indication of future performance.
The EURO STOXX 50® Index consists of
50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX®
are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the
“Licensors”), which are used under license. The Securities based on the EURO STOXX 50® Index are in
no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors
shall have any liability with respect thereto. For additional information about the EURO STOXX 50® Index, see the
information set forth under “Equity Index Descriptions — The EURO STOXX 50® Index” in the accompanying
underlying supplement.
Historical Information Regarding the EURO STOXX
50® Index
The
following table sets forth the quarterly high and low closing levels of the EURO STOXX 50® Index, based on daily
closing levels of the EURO STOXX 50® Index as reported by Bloomberg, without independent verification. The closing
level of the EURO STOXX 50® Index on October 15, 2019 was 3,598.65. The actual Initial Value will be the closing
level of the EURO STOXX 50® Index on the Trade Date.
We obtained the closing levels of the EURO STOXX 50® Index above and below from Bloomberg, without independent verification.
You should not take the historical levels of the EURO STOXX 50® Index as an indication of future performance.
Quarter
Begin
|
Quarter
End
|
Quarterly
Closing High
|
Quarterly
Closing Low
|
Close
|
1/1/2014
|
3/31/2014
|
3,172.43
|
2,962.49
|
3,161.60
|
4/1/2014
|
6/30/2014
|
3,314.80
|
3,091.52
|
3,228.24
|
7/1/2014
|
9/30/2014
|
3,289.75
|
3,006.83
|
3,225.93
|
10/1/2014
|
12/31/2014
|
3,277.38
|
2,874.65
|
3,146.43
|
1/1/2015
|
3/31/2015
|
3,731.35
|
3,007.91
|
3,697.38
|
4/1/2015
|
6/30/2015
|
3,828.78
|
3,424.30
|
3,424.30
|
7/1/2015
|
9/30/2015
|
3,686.58
|
3,019.34
|
3,100.67
|
10/1/2015
|
12/31/2015
|
3,506.45
|
3,069.05
|
3,267.52
|
1/1/2016
|
3/31/2016
|
3,178.01
|
2,680.35
|
3,004.93
|
4/1/2016
|
6/30/2016
|
3,151.69
|
2,697.44
|
2,864.74
|
7/1/2016
|
9/30/2016
|
3,091.66
|
2,761.37
|
3,002.24
|
10/1/2016
|
12/31/2016
|
3,290.52
|
2,954.53
|
3,290.52
|
1/1/2017
|
3/31/2017
|
3,500.93
|
3,230.68
|
3,500.93
|
4/1/2017
|
6/30/2017
|
3,658.79
|
3,409.78
|
3,441.88
|
7/1/2017
|
9/30/2017
|
3,594.85
|
3,388.22
|
3,594.85
|
10/1/2017
|
12/31/2017
|
3,697.40
|
3,503.96
|
3,503.96
|
1/1/2018
|
3/31/2018
|
3,672.29
|
3,278.72
|
3,361.50
|
4/1/2018
|
6/30/2018
|
3,592.18
|
3,340.35
|
3,395.60
|
7/1/2018
|
9/30/2018
|
3,527.18
|
3,293.36
|
3,399.20
|
10/1/2018
|
12/31/2018
|
3,414.16
|
2,937.36
|
3,001.42
|
1/1/2019
|
3/31/2019
|
3,409.00
|
2,954.66
|
3,351.71
|
4/1/2019
|
6/30/2019
|
3,514.62
|
3,280.43
|
3,473.69
|
7/1/2019
|
9/30/2019
|
3,571.39
|
3,282.78
|
3,569.45
|
10/1/2019
|
10/15/2019*
|
3,598.65
|
3,413.31
|
3,598.65
|
|
*
|
As of the date of this pricing
supplement, available information for the fourth calendar quarter of 2019 includes data
for the period from October 1, 2019 through October 15, 2019. Accordingly, the “Quarterly
Closing High,” “Quarterly Closing Low” and “Close” data
indicated are for this shortened period only and do not reflect complete data for the
fourth calendar quarter of 2019.
|
The graph below illustrates the daily performance
of the EURO STOXX 50® Index from January 2, 2009 through October 15, 2019, based on information from Bloomberg,
without independent verification.
Past performance of the EURO STOXX 50®
Index is not indicative of the future performance of the EURO STOXX 50® Index.
The
Nikkei 225 Index is a stock index that measures the composite price performance of selected Japanese stocks. The Nikkei 225 Index
is based on 225 underlying stocks (the “Nikkei underlying stocks”) trading on the Tokyo Stock Exchange (“TSE”),
representing a broad cross-section of Japanese industries. All Nikkei underlying stocks are stocks listed in the First Section
of the TSE. Stocks listed in the First Section of the TSE are among the most actively traded stocks on the TSE. For additional
information about the Nikkei 225 Index, see “Equity Index Descriptions ― The
Nikkei 225 Index” in the accompanying underlying supplement.
Historical
Information Regarding the Nikkei 225 Index
The following table sets forth the quarterly high and
low closing levels of the Nikkei 225 Index, based on daily closing levels of the Nikkei 225 Index as reported by Bloomberg, without
independent verification. The closing level of the Nikkei 225 Index on October 15, 2019 was 22,207.21. The actual Initial Value
will be the closing level of the Nikkei 225 Index on the Trade Date. We obtained the closing levels of the Nikkei 225 Index above
and below from Bloomberg, without independent verification. You should not take the historical levels of the Nikkei 225 Index as
an indication of future performance.
Quarter
Begin
|
Quarter
End
|
Quarterly
Closing High
|
Quarterly
Closing Low
|
Close
|
1/1/2014
|
3/31/2014
|
16,121.45
|
14,008.47
|
14,827.83
|
4/1/2014
|
6/30/2014
|
15,376.24
|
13,910.16
|
15,162.10
|
7/1/2014
|
9/30/2014
|
16,374.14
|
14,778.37
|
16,173.52
|
10/1/2014
|
12/31/2014
|
17,935.64
|
14,532.51
|
17,450.77
|
1/1/2015
|
3/31/2015
|
19,754.36
|
16,795.96
|
19,206.99
|
4/1/2015
|
6/30/2015
|
20,868.03
|
19,034.84
|
20,235.73
|
7/1/2015
|
9/30/2015
|
20,841.97
|
16,930.84
|
17,388.15
|
10/1/2015
|
12/31/2015
|
20,012.40
|
17,722.42
|
19,033.71
|
1/1/2016
|
3/31/2016
|
18,450.98
|
14,952.61
|
16,758.67
|
4/1/2016
|
6/30/2016
|
17,572.49
|
14,952.02
|
15,575.92
|
7/1/2016
|
9/30/2016
|
17,081.98
|
15,106.98
|
16,449.84
|
10/1/2016
|
12/31/2016
|
19,494.53
|
16,251.54
|
19,114.37
|
1/1/2017
|
3/31/2017
|
19,633.75
|
18,787.99
|
18,909.26
|
4/1/2017
|
6/30/2017
|
20,230.41
|
18,335.63
|
20,033.43
|
7/1/2017
|
9/30/2017
|
20,397.58
|
19,274.82
|
20,356.28
|
10/1/2017
|
12/31/2017
|
22,939.18
|
20,400.78
|
22,764.94
|
1/1/2018
|
3/31/2018
|
24,124.15
|
20,617.86
|
21,454.30
|
4/1/2018
|
6/30/2018
|
23,002.37
|
21,292.29
|
22,304.51
|
7/1/2018
|
9/30/2018
|
24,120.04
|
21,546.99
|
24,120.04
|
10/1/2018
|
12/31/2018
|
24,270.62
|
19,155.74
|
20,014.77
|
1/1/2019
|
3/31/2019
|
21,822.04
|
19,561.96
|
21,205.81
|
4/1/2019
|
6/30/2019
|
22,307.58
|
20,408.54
|
21,275.92
|
7/1/2019
|
9/30/2019
|
22,098.84
|
20,261.04
|
21,755.84
|
10/1/2019
|
10/15/2019*
|
22,207.21
|
21,341.74
|
22,207.21
|
|
*
|
As of the date of this pricing
supplement, available information for the fourth calendar quarter of 2019 includes data
for the period from October 1, 2019 through October 15, 2019. Accordingly, the “Quarterly
Closing High,” “Quarterly Closing Low” and “Close” data
indicated are for this shortened period only and do not reflect complete data for the
fourth calendar quarter of 2019.
|
The graph below illustrates the daily performance
of the Nikkei 225 Index from January 5, 2009 through October 15, 2019, based on information from Bloomberg, without independent
verification.
Past performance of the Nikkei 225 Index is
not indicative of the future performance of the Nikkei 225 Index.
The FTSE® 100 Index measures the composite
price performance of stocks of the largest 100 companies (determined on the basis of market capitalization) traded on the London
Stock Exchange. For additional information about the FTSE® 100 Index, see “Equity Index Descriptions —
The FTSE® 100 Index” in the accompanying underlying supplement.
Historical Information Regarding the FTSE®
100 Index
The
following table sets forth the quarterly high and low closing levels of the FTSE® 100 Index, based on daily closing
levels of the FTSE® 100 Index as reported by Bloomberg, without independent verification. The closing level of the
FTSE® 100 Index on October 15, 2019 was 7,211.64. The actual Initial Value will be the closing level of the FTSE®
100 Index on the Trade Date. We obtained the closing levels of the FTSE®
100 Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the FTSE®
100 Index as an indication of future performance.
Quarter
Begin
|
Quarter
End
|
Quarterly
Closing High
|
Quarterly
Closing Low
|
Close
|
1/1/2014
|
3/31/2014
|
6,865.86
|
6,449.27
|
6,598.37
|
4/1/2014
|
6/30/2014
|
6,878.49
|
6,541.61
|
6,743.94
|
7/1/2014
|
9/30/2014
|
6,877.97
|
6,567.36
|
6,622.72
|
10/1/2014
|
12/31/2014
|
6,750.76
|
6,182.72
|
6,566.09
|
1/1/2015
|
3/31/2015
|
7,037.67
|
6,366.51
|
6,773.04
|
4/1/2015
|
6/30/2015
|
7,103.98
|
6,520.98
|
6,520.98
|
7/1/2015
|
9/30/2015
|
6,796.45
|
5,898.87
|
6,061.61
|
10/1/2015
|
12/31/2015
|
6,444.08
|
5,874.06
|
6,242.32
|
1/1/2016
|
3/31/2016
|
6,203.17
|
5,536.97
|
6,174.90
|
4/1/2016
|
6/30/2016
|
6,504.33
|
5,923.53
|
6,504.33
|
7/1/2016
|
9/30/2016
|
6,941.19
|
6,463.59
|
6,899.33
|
10/1/2016
|
12/31/2016
|
7,142.83
|
6,693.26
|
7,142.83
|
1/1/2017
|
3/31/2017
|
7,429.81
|
7,099.15
|
7,322.92
|
4/1/2017
|
6/30/2017
|
7,547.63
|
7,114.36
|
7,312.72
|
7/1/2017
|
9/30/2017
|
7,542.73
|
7,215.47
|
7,372.76
|
10/1/2017
|
12/31/2017
|
7,687.77
|
7,300.49
|
7,687.77
|
1/1/2018
|
3/31/2018
|
7,778.64
|
6,888.69
|
7,056.61
|
4/1/2018
|
6/30/2018
|
7,877.45
|
7,030.46
|
7,636.93
|
7/1/2018
|
9/30/2018
|
7,776.65
|
7,273.54
|
7,510.20
|
10/1/2018
|
12/31/2018
|
7,510.28
|
6,584.68
|
6,728.13
|
1/1/2019
|
3/31/2019
|
7,355.31
|
6,692.66
|
7,279.19
|
4/1/2019
|
6/30/2019
|
7,523.07
|
7,161.71
|
7,425.63
|
7/1/2019
|
9/30/2019
|
7,686.61
|
7,067.01
|
7,408.21
|
10/1/2019
|
10/15/2019*
|
7,360.32
|
7,077.64
|
7,211.64
|
|
*
|
As of the date of this pricing
supplement, available information for the fourth calendar quarter of 2019 includes data
for the period from October 1, 2019 through October 15, 2019. Accordingly, the “Quarterly
Closing High,” “Quarterly Closing Low” and “Close” data
indicated are for this shortened period only and do not reflect complete data for the
fourth calendar quarter of 2019.
|
The graph below illustrates the daily performance
of the FTSE® 100 Index from January 2, 2009 through October 15, 2019, based on information from Bloomberg, without
independent verification.
Past performance of the FTSE®
100 Index is not indicative of the future performance of the FTSE® 100 Index.
The S&P/ASX 200 Index measures the performance
of the 200 largest index-eligible stocks listed on the Australian Securities Exchange by float-adjusted market capitalization,
and is widely considered Australia’s benchmark index. For additional information see “Equity Index Descriptions —
The S&P/ASX 200 Index” in the accompanying underlying supplement.
Historical
Information Regarding the S&P/ASX 200 Index
The following table sets forth the quarterly high
and low closing levels of the S&P/ASX 200 Index, based on daily closing levels of the S&P/ASX 200 Index as reported by
Bloomberg, without independent verification. The closing level of the S&P/ASX 200 Index on October 15, 2019 was 6,652.007.
The actual Initial Value will be the closing level of the S&P/ASX 200 Index on the Trade Date. We obtained the closing levels
of the S&P/ASX 200 Index above and below from Bloomberg, without independent verification. You should not take the historical
levels of the S&P/ASX 200 Index as an indication of future performance.
Quarter
Begin
|
Quarter
End
|
Quarterly
Closing High
|
Quarterly
Closing Low
|
Close
|
1/1/2014
|
3/31/2014
|
5,462.309
|
5,070.311
|
5,394.831
|
4/1/2014
|
6/30/2014
|
5,536.073
|
5,358.948
|
5,395.747
|
7/1/2014
|
9/30/2014
|
5,658.511
|
5,264.217
|
5,292.812
|
10/1/2014
|
12/31/2014
|
5,549.130
|
5,152.343
|
5,411.018
|
1/1/2015
|
3/31/2015
|
5,975.491
|
5,299.237
|
5,891.505
|
4/1/2015
|
6/30/2015
|
5,982.694
|
5,422.487
|
5,459.010
|
7/1/2015
|
9/30/2015
|
5,706.715
|
4,918.429
|
5,021.629
|
10/1/2015
|
12/31/2015
|
5,351.565
|
4,909.555
|
5,295.859
|
1/1/2016
|
3/31/2016
|
5,270.475
|
4,765.346
|
5,082.785
|
4/1/2016
|
6/30/2016
|
5,408.017
|
4,924.385
|
5,233.375
|
7/1/2016
|
9/30/2016
|
5,587.392
|
5,197.547
|
5,435.921
|
10/1/2016
|
12/31/2016
|
5,699.068
|
5,156.556
|
5,665.791
|
1/1/2017
|
3/31/2017
|
5,896.229
|
5,610.972
|
5,864.905
|
4/1/2017
|
6/30/2017
|
5,956.523
|
5,665.721
|
5,721.494
|
7/1/2017
|
9/30/2017
|
5,785.102
|
5,655.420
|
5,681.610
|
10/1/2017
|
12/31/2017
|
6,088.143
|
5,651.766
|
6,065.129
|
1/1/2018
|
3/31/2018
|
6,135.807
|
5,759.365
|
5,759.365
|
4/1/2018
|
6/30/2018
|
6,232.134
|
5,751.924
|
6,194.633
|
7/1/2018
|
9/30/2018
|
6,352.236
|
6,128.717
|
6,207.561
|
10/1/2018
|
12/31/2018
|
6,185.486
|
5,467.639
|
5,646.400
|
1/1/2019
|
3/31/2019
|
6,263.885
|
5,557.755
|
6,180.731
|
4/1/2019
|
6/30/2019
|
6,687.413
|
6,181.259
|
6,618.772
|
7/1/2019
|
9/30/2019
|
6,845.083
|
6,405.528
|
6,688.348
|
10/1/2019
|
10/15/2019*
|
6,742.849
|
6,492.990
|
6,652.007
|
|
*
|
As of the date of this pricing
supplement, available information for the fourth calendar quarter of 2019 includes data
for the period from October 1, 2019 through October 15, 2019. Accordingly, the “Quarterly
Closing High,” “Quarterly Closing Low” and “Close” data
indicated are for this shortened period only and do not reflect complete data for the
fourth calendar quarter of 2019.
|
The graph below illustrates
the daily performance of the S&P/ASX 200 Index from January 2, 2009 through October 15, 2019, based on information from Bloomberg,
without independent verification.
Past performance of the S&P/ASX 200 Index
is not indicative of the future performance of the S&P/ASX 200 Index.
The Swiss Market Index (“SMI®”)
is a free-float adjusted market capitalization-weighted price return index of the Swiss equity market. The SMI®
comprises the 20 most highly capitalized and liquid stocks of the Swiss Performance Index®. For additional information
about the Swiss Market Index, see “Equity Index Descriptions — The Swiss Market Index” in the accompanying underlying
supplement.