Issuer:
|
JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
|
Guarantor:
|
JPMorgan
Chase & Co.
|
Underlying
indices:
|
Nikkei
225 Index (the “NKY Index”), S&P 500® Index (the “SPX Index”) and EURO STOXX 50®
Index (the “SX5E Index”) (each an “underlying index”)
|
Aggregate
principal amount:
|
$
|
Early
redemption:
|
If, on any of the
determination dates (other than the final determination date) the closing level of each underlying index is greater than
or equal to its initial index value, the securities will be automatically redeemed for an early redemption payment on
the first contingent payment date immediately following the related determination date. No further payments will be made
on the securities once they have been redeemed.
The securities will not
be redeemed early on any contingent payment date if the closing level of any underlying index is below its initial index
value on the related determination date.
|
Early
redemption payment:
|
The
early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) the contingent quarterly
payment with respect to the related determination date.
|
Contingent
quarterly payment:
|
●
If, on any determination date, the closing level of each underlying index is greater than or equal to its downside
threshold level, we will pay a contingent quarterly payment of at least $25.25 (at least 2.525% of the stated principal
amount) per security on the related contingent payment date. The actual contingent quarterly payment will be provided
in the pricing supplement.
●
If, on any determination date, the closing level of any underlying index is less than its downside threshold
level, no contingent quarterly payment will be payable with respect to that determination date. It is possible that one
or more of the underlying indices will be below their respective downside threshold levels on most or all of the determination
dates so that you will receive few or no contingent quarterly payments.
|
Payment
at maturity:
|
●
If the final index value of each underlying index is greater than or equal to its downside threshold
level:
|
(i)
the stated principal amount plus, (ii) the contingent quarterly payment with respect to the final determination date.
|
|
●
If the final index value of any underlying index is less than its downside threshold level:
|
(i)
the stated principal amount times (ii) the index performance factor of the worst performing underlying index. This
cash payment will be less than 80% of the stated principal amount of the securities and could be zero.
|
Downside
threshold level:
|
With respect
to the NKY Index: , which is equal to 80% of its initial index
value
With respect to the SPX Index: , which is equal to 80% of its initial
index value
With respect to the SX5E Index: , which is equal to 80% of its
initial index value
|
Stated
principal amount:
|
$1,000 per security
|
Issue
price:
|
$1,000 per security
(see “Commissions and issue price” below)
|
Pricing
date:
|
October ,
2019 (expected to price on or about October 31, 2019)
|
Original
issue date (settlement date):
|
November ,
2019 (3 business days after the pricing date)
|
Maturity
date:
|
November 4, 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
|
Agent:
|
J.P. Morgan Securities
LLC (“JPMS”)
|
|
Terms
continued on the following page
|
Commissions
and issue price:
|
|
Price
to public(1)
|
Fees
and commissions
|
Proceeds
to issuer
|
|
Per
security
|
|
$1,000.00
|
$15.00(2)
|
$980.00
|
|
|
|
|
$5.00(3)
|
|
|
Total
|
|
$
|
$
|
$
|
(1)
|
See
“Additional Information about the Securities — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the securities.
|
(2)
|
JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Smith
Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed
$15.00 per $1,000 stated principal amount security. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
|
(3)
|
Reflects
a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each $1,000 stated
principal amount security.
|
If the securities priced
today and assuming a contingent quarterly payment equal to the minimum listed above, the estimated value of the securities would
be approximately $971.70 per $1,000 stated principal amount security. The estimated value of the securities on the pricing date
will be provided in the pricing supplement and will not be less than $960.00 per $1,000 stated principal amount security. See
“Additional Information about the Securities — The estimated value of the securities” in this document for additional
information.
Investing in the securities
involves a number of risks. See “Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk
Factors” beginning on page US-1 of the accompanying underlying supplement and “Risk Factors” beginning on page
9 of this document.
Neither the Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities or passed
upon the accuracy or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement
and prospectus. Any representation to the contrary is a criminal offense.
The securities are not bank
deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations
of, or guaranteed by, a bank.
You should read this document
together with the related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be
accessed via the hyperlinks below. Please also see “Additional Information about the Securities” at the end of this
document.
Product
supplement no. MS-1-I dated April 5, 2018: http://www.sec.gov/Archives/edgar/data/19617/000095010318004523/dp87526_424b2-ms1i.pdf
Underlying
supplement no. 1-I dated April 5, 2018: http://www.sec.gov/Archives/edgar/data/19617/000095010318004514/crt_dp87766-424b2.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
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
Terms continued from previous
page:
Initial
index value:
|
With respect to the NKY Index: ,
which is its closing level on the pricing date
With respect to the SPX Index: , which is its closing level on
the pricing date
With respect to the SX5E Index: , which is its closing level on
the pricing date
|
Final
index value:
|
With respect to each underlying index,
the closing level on the final determination date
|
Worst
performing underlying index:
|
The underlying index with the worst index
performance factor
|
Index
performance factor:
|
With respect to each underlying index,
the final index value divided by the initial index value
|
Determination
dates:
|
January 31, 2020, April 30, 2020, July
31, 2020, November 2, 2020, February 1, 2021, April 30, 2021, August 2, 2021 and November 1, 2021, subject to postponement
for non-trading days and certain market disruption events
|
Contingent
payment dates:
|
February 5, 2020, May 5, 2020, August 5,
2020, November 5, 2020, February 4, 2021, May 5, 2021, August 5, 2021 and the maturity date, subject to postponement in the
event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment
Date” in the accompanying product supplement
|
CUSIP/ISIN:
|
48132FZE9 / US48132FZE95
|
Listing:
|
The securities will not be listed on any
securities exchange.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
Investment Summary
The Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50®
Index, which we refer to as the securities, do not provide for the regular payment of interest. Instead, the securities provide
an opportunity for investors to earn a contingent quarterly payment, which is an amount equal to at least $25.25 (at least 2.525%
of the stated principal amount) per security, with respect to each quarterly determination date on which the closing level of each
underlying index is greater than or equal to 80% of its initial index value, which we refer to as a downside threshold level. The
actual contingent quarterly payment will be provided in the pricing supplement. The contingent quarterly payment, if any, will
be payable quarterly on the contingent payment date immediately following the related determination date. However, if the closing
level of any underlying index is less than its downside threshold level on any determination date, investors will receive no contingent
quarterly payment for the related quarterly period. It is possible that the closing level of one or more underlying indices could
be below their respective downside threshold levels on most or all of the determination dates so that you will receive few or no
contingent quarterly payments during the term of the securities. We refer to these payments as contingent, because there is no
guarantee that you will receive a payment on any contingent payment date. Even if all of the underlying indices were to be at or
above their respective downside threshold levels on some quarterly determination dates, one or more underlying indices may fluctuate
below their respective downside threshold level(s) on others.
If the closing level of each underlying index is greater than or
equal to its initial closing value on any determination date (other than the final determination date), the securities will be
automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent quarterly
payment with respect to the related determination date. If the securities have not previously been redeemed and the final index
value of each underlying index is greater than or equal to its downside threshold level, the payment at maturity will be the sum
of the stated principal amount and the contingent quarterly payment with respect to the final determination date. However, if the
securities have not previously been redeemed and the final index value of any underlying index is less than its downside threshold
level, investors will be exposed to the decline in the worst performing underlying index, as compared to its initial index value,
on a 1-to-1 basis. Under these circumstances, the payment at maturity will be (i) the stated principal amount times (ii)
the index performance factor of the worst performing underlying index, which will be less than 80% of the stated principal amount
of the securities and could be zero. Investors in the securities must be willing to accept the risk of losing their entire principal
and also the risk of receiving few or no contingent quarterly payments over the term of the securities. In addition, investors
will not participate in any appreciation of the underlying indices.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, each underlying
index is an “Index.”
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
Key Investment Rationale
The securities do not provide for
the regular payment of interest. Instead, the securities offer investors an opportunity to earn a contingent quarterly payment
equal to at least 2.525% of the stated principal amount with respect to each determination date on which the closing level of
each underlying index is greater than or equal to 80% of its initial index value, which we refer to as a downside threshold
level. The actual contingent quarterly payment will be provided in the pricing supplement. The securities may be redeemed prior
to maturity for the stated principal amount per security plus the applicable contingent quarterly payment, and the payment
at maturity will vary depending on the final index value of each underlying index, as follows:
Scenario
1
|
This
scenario assumes that, prior to early redemption, each underlying index closes at or
above its downside threshold level on some determination dates but one or more of the
underlying indices closes below their respective downside threshold levels on the others.
On the 6th determination date, the closing level of each underlying index is greater
than or equal to its initial index value.
Investors receive the contingent
quarterly payment for the quarterly periods in which the closing level of each underlying index is at or above its downside
threshold level on the related determination date.
On the contingent payment
date immediately following the 6th determination date, the securities will be automatically redeemed for the stated principal
amount plus the contingent quarterly payment with respect to the related determination date.
|
|
|
Scenario
2
|
This
scenario assumes that each underlying index closes at or above its downside threshold
level on some determination dates but one or more of the underlying indices closes below
their respective downside threshold levels on the others, and each underlying index closes
below its initial index value on all the determination dates prior to the final determination
date. On the final determination date, each underlying index closes at or above its downside
threshold level.
Consequently, the securities
are not automatically redeemed, and investors receive a contingent quarterly payment for the quarterly periods in which
the closing level of each underlying index is at or above its downside threshold level on the related determination date.
At maturity, investors will receive the stated principal amount and the contingent quarterly payment with respect to the
final determination date.
|
|
|
Scenario
3
|
This
scenario assumes that each underlying index closes at or above its downside threshold
level on some determination dates but one or more of the underlying indices closes below
their respective downside threshold levels on the others, and each underlying index closes
below its initial index value on all the determination dates prior to the final determination
date. On the final determination date, one or more of the underlying indices close below
their downside threshold levels.
Consequently, the securities
are not automatically redeemed, and investors receive a contingent quarterly payment for the quarterly periods in which
the closing level of each underlying index is at or above its downside threshold level on the related determination date.
At maturity, investors will receive the stated principal amount times the index performance factor of the worst performing
underlying index, which will be less than 80% of the stated principal amount and could be zero.
Investors will lose some
and may lose all of their principal in this scenario.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
How the Securities
Work
The following diagrams illustrate
the potential outcomes for the securities depending on (1) the closing levels of the underlying indices and (2) the final index
values of the underlying indices.
Diagram #1:
Determination Dates (Other Than the Final Determination Date)
Diagram #2:
Payment at Maturity if No Automatic Early Redemption Occurs
For more information about the
payment upon an early redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting
on page 6.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
Hypothetical Examples
The following hypothetical examples
illustrate how to determine whether a contingent quarterly payment is payable with respect to a determination date, whether the
securities will be automatically redeemed on any determination date prior to the final determination date and how to calculate
the payment at maturity if the securities have not been redeemed early. The following examples are for illustrative purposes only.
Whether you receive a contingent quarterly payment or whether the securities will be automatically redeemed will be determined
by reference to the closing level of each underlying index on each quarterly determination date and the amount you will receive
at maturity, if any, will be determined by reference to the final index value of each underlying index. The hypothetical initial
index value of each underlying index of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual
initial index value of any underlying index. The actual initial index value of each underlying index will be the closing level
of that underlying index on the pricing date and will be provided in the pricing supplement. For historical data regarding the
actual closing levels of each underlying index, please see the historical information set forth under "Nikkei 225 Index Overview,"
"S&P 500® Index Overview," and "EURO STOXX 50® Index Overview," as applicable,
in this pricing supplement. The actual downside threshold level of each underlying index will be provided in the pricing supplement.
Any payment on the securities is subject to our and JPMorgan Chase & Co.’s credit risks. The numbers in the hypothetical
examples below may have been rounded for the ease of analysis.
The examples below are based on the
following assumed terms:
Hypothetical
contingent quarterly payment:
|
A contingent
quarterly payment of $25.25 per quarter per security will be paid on the securities on each contingent payment date but
only if the closing level of each underlying index is at or above its downside threshold level on the related determination
date.
|
Early redemption:
|
If the closing level
of each underlying index is greater than or equal to its initial index value on any quarterly determination date (other than
the final determination date), the securities will be automatically redeemed for an early redemption payment equal to the
stated principal amount plus the contingent quarterly payment with respect to the related determination date.
|
Payment at maturity
(if the securities have not been automatically redeemed early):
|
If
the final index value of each underlying index is greater than or equal to its
downside threshold level: the stated principal amount and the contingent quarterly payment
with respect to the final determination date.
If the final index value
of any underlying index is less than its downside threshold level: (i) the stated principal amount times (ii) the
index performance factor of the worst performing underlying index
|
Stated principal amount:
|
$1,000 per
security
|
Hypothetical initial
index value:
|
With respect to the
NKY Index: 100.00
With respect to the SPX Index: 100.00
With respect to the SX5E Index: 100.00
|
Hypothetical downside
threshold level:
|
With respect to the
NKY Index: 80.00, which is 80% of the hypothetical initial index value for such index
With respect to the SPX Index: 80.00, which is 80% of the hypothetical initial index value for such index
With respect to the SX5E Index: 80.00, which is 80% of the hypothetical initial index value for such index
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
How to determine whether
a contingent quarterly payment is payable with respect to a determination date:
|
Closing
level
|
Contingent
quarterly
payment
|
|
NKY
Index
|
SPX
Index
|
SX5E
Index
|
|
|
|
|
|
|
Hypothetical
Determination Date 1
|
85
(at
or above downside threshold level)
|
90
(at
or above downside threshold level)
|
95
(at
or above downside threshold level)
|
$25.25
|
|
|
|
|
|
Hypothetical
Determination Date 2
|
55
(below
downside threshold level)
|
90
(at
or above downside threshold level)
|
60
(below
downside threshold level)
|
$0
|
|
|
|
|
|
Hypothetical
Determination Date 3
|
85
(at
or above downside threshold level)
|
55
(below
downside threshold level)
|
50
(below
downside threshold level)
|
$0
|
|
|
|
|
|
Hypothetical
Determination Date 4
|
50
(below
downside threshold level)
|
45
(below
downside threshold level)
|
40
(below
downside threshold level)
|
$0
|
On hypothetical determination date
1, each underlying index closes at or above its downside threshold level. Therefore, a contingent quarterly payment of $25.25
is payable on the relevant contingent payment date.
On each of the hypothetical determination
dates 2 and 3, one underlying index closes at or above its downside threshold level but the other underlying indices close below
their respective downside threshold levels. Therefore, no contingent quarterly payment is payable on the relevant contingent payment
date.
On hypothetical determination date
4, each underlying index closes below its downside threshold level and, accordingly, no contingent quarterly payment is payable
on the relevant contingent payment date.
You will not receive a contingent
quarterly payment on any contingent payment date if the closing level of any underlying index is below its downside threshold
level on the related determination date.
How to determine whether
the securities will be automatically redeemed on any determination date prior to the final determination date:
|
Closing
level
|
Early
redemption
payment
|
|
NKY
Index
|
SPX
Index
|
SX5E
Index
|
|
|
|
|
|
|
Hypothetical
Determination Date 1
|
110
(at
or above initial index value)
|
90
(below
initial index value)
|
80
(below
initial index value)
|
n/a
(securities are not redeemed early)
|
|
|
|
|
|
Hypothetical
Determination Date 2
|
90
(below
initial index value)
|
80
(below
initial index value)
|
70
(below
initial index value)
|
n/a
(securities are not redeemed early)
|
|
|
|
|
|
Hypothetical
Determination Date 3
|
110
(at
or above initial index value)
|
120
(at
or above initial index value)
|
105
(at
or above initial index value)
|
$1,025.25
(the stated principal amount plus the contingent quarterly payment with respect to the related determination date)
|
On hypothetical determination date
1, one underlying index closes at or above its initial index value but the other underlying indices close below their respective
initial index values. Therefore, the securities remain outstanding and are not redeemed early.
On hypothetical determination date
2, each underlying index closes below its initial index value. Therefore, the securities remain outstanding and are not redeemed
early.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
On hypothetical determination date
3, each underlying index closes at or above its initial index value. Therefore, the securities are automatically redeemed and
you receive an early redemption payment equal to the stated principal amount plus the contingent quarterly payment with
respect to the related determination date. No further payments will be made on the securities once they have been redeemed.
How to calculate the
payment at maturity (if the securities have not been automatically redeemed early):
|
Final
index value
|
Payment
at
maturity
|
|
NKY
Index
|
SPX
Index
|
SX5E
Index
|
|
|
|
|
|
|
Example
1:
|
100
(at
or above downside threshold level)
|
90
(at
or above downside threshold level)
|
90
(at
or above downside threshold level)
|
$1,025.25
(the stated principal amount plus the contingent quarterly payment with respect to the final determination date)
|
Example
2:
|
110
(at
or above downside threshold level)
|
50
(below
downside threshold level)
|
55
(below
downside threshold level)
|
$1,000
× index performance factor of the worst performing underlying index = $1,000 × (50 /100) = $500.00
|
Example
3:
|
40
(below
downside threshold level)
|
55
(below
downside threshold level)
|
45
(below
downside threshold level)
|
$1,000
× ( 40 / 100) = $400.00
|
|
|
|
|
|
Example
4:
|
30
(below
downside threshold level)
|
40
(below
downside threshold level)
|
30
(below
downside threshold level)
|
$1,000
× (30 / 100) = $300.00
|
In example 1, the final index value
of each underlying index is at or above its downside threshold level. Therefore, you receive at maturity the stated principal
amount of the securities and the contingent quarterly payment with respect to the final determination date.
In example 2, the final index value
of one underlying index is at or above its downside threshold level but the final index values of the other underlying indices
are below their respective downside threshold levels. Therefore, you are exposed to the downside performance of the worst performing
underlying index at maturity and receive a cash payment at maturity equal to the stated principal amount times the index performance
factor of the worst performing underlying index.
Similarly, in examples 3 and 4, the
final index value of each underlying index is below its downside threshold level, and you receive a cash payment at maturity equal
to the stated principal amount times the index performance factor of the worst performing underlying index.
If the final index value of ANY
underlying index is below its downside threshold level, you will be exposed to the downside performance of the worst performing
underlying index at maturity, and your payment at maturity will be less than 80% of the stated principal amount per security and
could be zero.
The hypothetical returns and hypothetical
payments on the securities shown above apply only if you hold the securities for their entire term or until early redemption.
These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these
fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
Risk Factors
The following is a non-exhaustive
list of certain key risk factors for investors in the securities. For further discussion of these and other risks, you should
read the sections entitled “Risk Factors” of the accompanying product supplement and the accompanying underlying supplement.
We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.
|
■
|
The
securities do not guarantee the return of any principal and your investment in the securities
may result in a loss. The terms of the securities differ from those of ordinary debt
securities in that the securities do not guarantee the return of any of the principal
amount at maturity. Instead, if the securities have not been automatically redeemed prior
to maturity and if the final index value of any of the underlying indices is less
than its downside threshold level, you will be exposed to the decline in the closing
level of the worst performing underlying index, as compared to its initial index value,
on a 1-to-1 basis. Under these circumstances, you will receive for each security that
you hold at maturity a cash payment equal to the stated principal amount times
the index performance factor of the worst performing underlying index. In this case,
your payment at maturity will be less than 80% of the stated principal amount and could
be zero.
|
|
■
|
You
will not receive any contingent quarterly payment for any quarterly period if the closing
level of any underlying index on the relevant determination date is less than its downside
threshold level. The terms of the securities differ from those of ordinary debt securities
in that the securities do not guarantee the payment of regular interest. Instead, a contingent
quarterly payment will be made with respect to a quarterly period only if the closing
level of each underlying index on the relevant determination date is greater than or
equal to its downside threshold level. If the closing level of any underlying index is
below its downside threshold level on any determination date, you will not receive a
contingent quarterly payment for the relevant quarterly period.
It is possible that the closing level of one or more underlying indices could be below
their respective downside threshold levels on most or all of the determination dates
so that you will receive few or no contingent quarterly payments. If you do not earn
sufficient contingent quarterly payments over the term of the securities, the overall
return on the securities may be less than the amount that would be paid on one of our
conventional debt securities of comparable maturity.
|
|
■
|
The
contingent quarterly payment is based solely on the closing levels of the underlying
indices on the specified determination dates. Whether the contingent quarterly payment
will be made with respect to a determination date will be based on the closing level
of each underlying index on that determination date. As a result, you will not know whether
you will receive the contingent quarterly payment until the related determination date.
Moreover, because the contingent quarterly payment is based solely on the closing level
of each underlying index on a specific determination date, if the closing level of any
of the underlying indices on that determination date is below its downside threshold
level, you will not receive any contingent quarterly payment with respect to that determination
date, even if the closing level of that underlying index was higher on other days during
the related quarterly period.
|
|
■
|
You
are exposed to the price risk of all three underlying indices, with respect to all the
contingent quarterly payments, if any, and the payment at maturity, if any. Your
return on the securities is not linked to a basket consisting of the underlying indices.
Rather, it will be contingent upon the independent performance of each underlying index.
Unlike an instrument with a return linked to a basket of underlying assets in which risk
is mitigated and diversified among all the components of the basket, you will be exposed
to the risks related to each underlying index. The performance of the underlying indices
may not be correlated. Poor performance by any underlying index over the term
of the securities may negatively affect your return and will not be offset or mitigated
by any positive performance by the other underlying indices. Accordingly, your investment
is subject to the risk of decline in the closing level of each underlying index.
To receive any contingent quarterly payments, each underlying index must
close at or above its downside threshold level on the applicable determination date.
In addition, if any underlying index has declined to below its downside threshold
level as of the final determination date, you will be fully exposed to the decline
in the worst performing underlying index, as compared to its initial index value, on
a 1-to-1 basis, even if the other underlying indices have appreciated. Under this scenario,
the value of any such payment will be less than 80% of the stated principal amount and
could be zero.
|
|
■
|
Because
the securities are linked to the performance of the worst performing underlying index,
you are exposed to greater risks of no contingent quarterly payments and sustaining a
significant loss on your investment than if the securities were linked to just one underlying
index. The risk that you will not receive any contingent quarterly payments, or that
you will suffer a significant loss on your investment is greater if you invest in the
securities than if you invest in substantially similar securities that are linked to
the performance of just one underlying index. With three underlying indices, it
is more likely that any one underlying index will close below its downside threshold
level on any determination date than if the securities were linked to only one underlying
index. In addition, you will not benefit from the performance of any underlying index
other than the worst performing underlying index. Therefore it is more likely that you
will not receive any contingent quarterly payments and that you will suffer a significant
loss on your investment.
|
|
■
|
The
securities are subject to the credit risks of JPMorgan Financial and JPMorgan Chase &
Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s
credit ratings or credit spreads may adversely affect the market value of the securities.
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay
all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan
Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s
credit spreads determined by the market for taking that credit risk is likely to adversely
affect the
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
|
|
market
value of the securities. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the securities and you
could lose your entire investment.
|
|
■
|
As
a finance subsidiary, JPMorgan Financial has no independent operations and has limited
assets. As a finance subsidiary of JPMorgan Chase & Co., we have no independent
operations beyond the issuance and administration of our securities. Aside from the initial
capital contribution from JPMorgan Chase & Co., substantially all of our assets relate
to obligations of our affiliates to make payments under loans made by us or other intercompany
agreements. As a result, we are dependent upon payments from our affiliates to meet our
obligations under the securities. If these affiliates do not make payments to us and
we fail to make payments on the securities, you may have to seek payment under the related
guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all
other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
|
■
|
Investors
will not participate in any appreciation of any underlying index. Investors will
not participate in any appreciation of any underlying index from its initial index value,
and the return on the securities will be limited to the contingent quarterly payment
that is paid with respect to each determination date on which the closing level of each
underlying index is greater than or equal to its downside threshold level, if any.
|
|
■
|
The
securities are subject to risks associated with securities issued by non-U.S. companies,
with respect to the NKY Index and the SX5E Index. The equity securities included
in the NKY Index and the SX5E Index 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, and generally non-U.S. companies are subject to accounting, auditing and financial
reporting standards and requirements and securities trading rules different from those
applicable to U.S. reporting companies.
|
|
■
|
The
securities are not directly exposed to fluctuations in foreign exchange rates with respect
to the NKY Index and the SX5E Index. 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 NKY Index and the SX5E Index are based, although
any currency fluctuations could affect the performance of these underlying indices. 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.
|
|
■
|
Early
redemption risk. The term of your investment in the securities may be limited to
as short as approximately three months by the automatic early redemption feature of the
securities. If the securities are redeemed prior to maturity, you will receive no more
contingent quarterly payments and may be forced to reinvest in a lower interest rate
environment and you may not be able to reinvest the proceeds from an investment in the
securities at a comparable return for a similar level of risk.
|
|
■
|
Economic
interests of the issuer, the guarantor, the calculation agent, the agent of the offering
of the securities and other affiliates of the issuer may be different from those of investors.
We and our affiliates play a variety of roles in connection with the issuance of
the securities, including acting as calculation agent and as an agent of the offering
of the securities, hedging our obligations under the securities and making the assumptions
used to determine the pricing of the securities and the estimated value of the securities,
which we refer to as the estimated value of the securities. In performing these duties,
our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your
interests as an investor in the securities. The calculation agent will determine the
initial index values, the downside threshold levels and the final index values and whether
the closing level of each underlying index on any determination date is greater than
or equal to its initial index value or is below its downside threshold level. Determinations
made by the calculation agent, including with respect to the occurrence or non-occurrence
of market disruption events, may affect the payment to you at maturity or whether the
securities are redeemed early.
|
In addition, JPMorgan Chase
& Co. is currently one of the companies that make up the SPX Index. JPMorgan Chase & Co. will not have any obligation
to consider your interests as a holder of the securities in taking any corporate action that might affect the value of the SPX
Index or the securities.
Moreover, our and JPMorgan
Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase &
Co.’s economic interests to be adverse to yours and could adversely affect any payment on the securities and the value of
the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the securities
could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information
about these risks.
|
■
|
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 structuring fee, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
|
|
obligations under the securities
and the estimated cost of hedging our obligations under the securities. See “Additional
Information about the Securities — The estimated value of the securities”
in this document.
|
|
■
|
The
estimated value of the securities does not represent future values of the securities
and may differ from others’ estimates. The estimated value of the securities is
determined by reference to internal pricing models of our affiliates. This estimated
value of the securities is based on market conditions and other relevant factors existing
at the time of pricing and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions
could provide valuations for the securities that are greater than or less than the estimated
value of the securities. In addition, market conditions and other relevant factors in
the future may change, and any assumptions may prove to be incorrect. On future dates,
the value of the securities could change significantly based on, among other things,
changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any,
at which JPMS would be willing to buy securities from you in secondary market transactions.
See “Additional Information about the Securities — The estimated value of
the securities” in this document.
|
|
■
|
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 notes. The use
of an internal funding rate and any potential changes to that rate may have an adverse
effect on the terms of the securities and any secondary market prices of the securities.
See “Additional Information about the Securities — The estimated value of
the securities” in this document.
|
|
■
|
The
value of the securities as published by JPMS (and which may be reflected on customer
account statements) may be higher than the then-current estimated value of the securities
for a limited time period. We generally expect that some of the costs included in
the original issue price of the securities will be partially paid back to you in connection
with any repurchases of your securities by JPMS in an amount that will decline to zero
over an initial predetermined period. These costs can include selling commissions, the
structuring fee, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances.
See “Additional Information about the Securities — Secondary market prices
of the securities” in this document for additional information relating to this
initial period. Accordingly, the estimated value of your securities during this initial
period may be lower than the value of the securities as published by JPMS (and which
may be shown on your customer account statements).
|
|
■
|
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 (a) exclude the structuring
fee and (b) 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.
|
The securities are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity. See “—
Secondary trading may be limited” below.
|
■
|
Secondary
market prices of the securities will be impacted by many economic and market factors.
The secondary market price of the securities during their term will be impacted by a
number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, structuring fee, projected hedging profits, if any,
estimated hedging costs and the closing level of each underlying index, including:
|
|
o
|
any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
o
|
customary
bid-ask spreads for similarly sized trades;
|
|
o
|
our
internal secondary market funding rates for structured debt issuances;
|
|
o
|
the
actual and expected volatility in the prices of the underlying index;
|
|
o
|
the
time to maturity of the securities;
|
|
o
|
whether
the closing level of any underlying index has been, or is expected to be, less than its downside threshold level on any determination
date;
|
|
o
|
the
likelihood of an early redemption being triggered;
|
|
o
|
the
dividend rates on the equity securities included in the underlying indices;
|
|
o
|
the
actual and expected positive or negative correlation between the underlying indices, or the actual or expected absence of
any such correlation;
|
|
o
|
interest
and yield rates in the market generally;
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
|
o
|
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 NKY Index or the SX5E Index trade and the correlation among those rates and the levels of the NKY
Index and the SX5E Index; and
|
|
o
|
a
variety of other economic, financial, political, regulatory and judicial events.
|
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.
|
■
|
Investing
in the securities is not equivalent to investing in any underlying index. Investing
in the securities is not equivalent to investing in any underlying index or its component
stocks. Investors in the securities will not have voting rights or rights to receive
dividends or other distributions or any other rights with respect to stocks that constitute
any underlying index.
|
|
■
|
Adjustments
to any underlying index could adversely affect the value of the securities.
The underlying index publisher of any underlying index may discontinue or suspend calculation
or publication of that underlying index at any time. In these circumstances, the
calculation agent will have the sole discretion to substitute a successor index that
is comparable to the discontinued underlying index and is not precluded from considering
indices that are calculated and published by the calculation agent or any of its affiliates.
|
|
■
|
Hedging
and trading activities by the issuer and its affiliates could potentially affect the
value of the securities. The hedging or trading activities of the issuer’s
affiliates and of any other hedging counterparty with respect to the securities on or
prior to the pricing date and prior to maturity could adversely affect the closing levels
of the underlying indices. Any of these hedging or trading activities on or prior to
the pricing date could potentially affect the initial index values and, as a result,
the downside threshold levels, which are the respective levels at or above which the
underlying indices must close on each determination date in order for you to earn a contingent
quarterly payment or, if the securities are not redeemed prior to maturity, in order
for you to avoid being exposed to the negative price performance of the worst performing
underlying index at maturity. Additionally, these hedging or trading activities during
the term of the securities could potentially affect the values of the underlying indices
on the determination dates and, accordingly, whether investors will receive one or more
contingent quarterly payments, whether the securities are automatically redeemed prior
to maturity and, if the securities are not redeemed prior to maturity, the payment to
you at maturity. It is possible that these hedging or trading activities could result
in substantial returns for us or our affiliates while the value of the securities declines.
|
|
■
|
Secondary
trading may be limited. The securities will not be listed on a securities exchange.
There may be little or no secondary market for the securities. Even if there is a secondary
market, it may not provide enough liquidity to allow you to trade or sell the securities
easily. JPMS may act as a market maker for the securities, but is not required to do
so. Because we do not expect that other market makers will participate significantly
in the secondary market for the securities, the price at which you may be able to trade
your securities is likely to depend on the price, if any, at which JPMS is willing to
buy the securities. If at any time JPMS or another agent does not act as a market maker,
it is likely that there would be little or no secondary market for the securities.
|
|
■
|
The
final terms and valuation of the securities will be provided in the pricing supplement.
The final terms of the securities will be provided in the pricing supplement. In
particular, each of the estimated value of the securities and the contingent quarterly
payment will be provided in the pricing supplement and each may be as low as the applicable
minimum set forth on the cover of this document. Accordingly, you should consider your
potential investment in the securities based on the minimums for the estimated value
of the securities and the contingent quarterly payment.
|
|
■
|
The
U.S. federal income tax consequences of an investment in the securities are uncertain.
There is no direct legal authority as to the proper U.S. federal income tax treatment
of the securities, and we do not intend to request a ruling from the IRS. The IRS might
not accept, and a court might not uphold, the treatment of the securities as prepaid
forward contracts with associated contingent coupons, as described in “Additional
Information about the Securities — Additional Provisions — Tax considerations”
in this document and in “Material U.S. Federal Income Tax Consequences” in
the accompanying product supplement. If the IRS were successful in asserting an alternative
treatment for the securities, the timing and character of any income or loss on the securities
could be materially affected. Although the U.S. federal income tax treatment of contingent
quarterly payments (including any contingent quarterly payments paid in connection with
an early redemption or at maturity) is uncertain, in determining our reporting responsibilities
we intend (in the absence of an administrative determination or judicial ruling to the
contrary) to treat any contingent quarterly payments as ordinary income. In addition,
in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal
income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the
instruments are linked. While the notice requests comments on appropriate transition
rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially affect the tax consequences of an investment
in the securities, possibly with retroactive effect. You should review carefully the
section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying
product supplement and consult your tax adviser regarding the U.S. federal income tax
consequences of an investment in the securities, including possible alternative treatments
and the issues presented by this notice.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
Non-U.S. Holders —
Tax Consideration. The U.S. federal income tax treatment of contingent quarterly payments is uncertain, and although we believe
it is reasonable to take a position that contingent quarterly payments are not subject to U.S. withholding tax (at least if an
applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%,
subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your securities is effectively
connected with your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable
to a permanent establishment in the United States). In the event of any withholding, we will not be required to pay any additional
amounts with respect to amounts so withheld. If you are not a United States person, you are urged to consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the securities in light of your particular circumstances.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
Nikkei
225 Index Overview
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 the information set forth under “Equity Index Descriptions ― The Nikkei
225 Index” in the accompanying underlying supplement.
Information
as of market close on October 17, 2019:
|
Bloomberg
Ticker Symbol:
|
NKY
|
52
Week High (on October 17, 2018):
|
22,841.12
|
|
|
Current
Closing Level:
|
22,451.86
|
52
Week Low (on December 25, 2018):
|
19,155.74
|
|
|
52
Weeks Ago (on October 17, 2018):
|
22,841.12
|
|
|
|
The
following table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the Nikkei
225 Index for each quarter in the period from January 6, 2014 through October 17, 2019. The graph following the table sets forth
the daily closing levels of the Nikkei 225 Index during the same period. The closing level of the Nikkei 225 Index on October
17, 2019 was 22,451.86. We obtained the closing level information above and in the table and graph below from the Bloomberg Professional®
service ("Bloomberg"), without independent verification. The historical levels of the Nikkei 225 Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Nikkei 225 Index
at any time, including on the determination dates. The payment of dividends on the stocks that constitute the Nikkei 225 Index
are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
Nikkei
225 Index
|
High
|
Low
|
Period
End
|
2014
|
|
|
|
First
Quarter
|
16,121.45
|
14,008.47
|
14,827.83
|
Second
Quarter
|
15,376.24
|
13,910.16
|
15,162.10
|
Third
Quarter
|
16,374.14
|
14,778.37
|
16,173.52
|
Fourth
Quarter
|
17,935.64
|
14,532.51
|
17,450.77
|
2015
|
|
|
|
First
Quarter
|
19,754.36
|
16,795.96
|
19,206.99
|
Second
Quarter
|
20,868.03
|
19,034.84
|
20,235.73
|
Third
Quarter
|
20,841.97
|
16,930.84
|
17,388.15
|
Fourth
Quarter
|
20,012.40
|
17,722.42
|
19,033.71
|
2016
|
|
|
|
First
Quarter
|
18,450.98
|
14,952.61
|
16,758.67
|
Second
Quarter
|
17,572.49
|
14,952.02
|
15,575.92
|
Third
Quarter
|
17,081.98
|
15,106.98
|
16,449.84
|
Fourth
Quarter
|
19,494.53
|
16,251.54
|
19,114.37
|
2017
|
|
|
|
First
Quarter
|
19,633.75
|
18,787.99
|
18,909.26
|
Second
Quarter
|
20,230.41
|
18,335.63
|
20,033.43
|
Third
Quarter
|
20,397.58
|
19,274.82
|
20,356.28
|
Fourth
Quarter
|
22,939.18
|
20,400.78
|
22,764.94
|
2018
|
|
|
|
First
Quarter
|
24,124.15
|
20,617.86
|
21,454.30
|
Second
Quarter
|
23,002.37
|
21,292.29
|
22,304.51
|
Third
Quarter
|
24,120.04
|
21,546.99
|
24,120.04
|
Fourth
Quarter
|
24,270.62
|
19,155.74
|
20,014.77
|
2019
|
|
|
|
First
Quarter
|
21,822.04
|
19,561.96
|
21,205.81
|
Second
Quarter
|
22,307.58
|
20,408.54
|
21,275.92
|
Third
Quarter
|
22,098.84
|
20,261.04
|
21,755.84
|
Fourth
Quarter (through October 17, 2019)
|
22,472.92
|
21,341.74
|
22,451.86
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
Nikkei
225 Index Historical Performance - Daily Closing Levels*
January
6, 2014 to October 17, 2019
|
Source:
Bloomberg
|
*The
line in the graph indicates the hypothetical downside threshold level, equal to 80% of the closing level on October 17, 2019.
The actual downside threshold level will be based on the closing level on the pricing date.
|
License
Agreement. JPMorgan Chase & Co. or its affiliate expects to enter into an agreement with Nikkei Inc. that would provide
it and certain of its affiliates or subsidiaries, including JPMorgan Financial, with a non-exclusive license and, for a fee, with
the right to use the Nikkei 225 Index, which is owned and published by Nikkei Inc., in connection with certain securities, including
the securities. For more information, see “Equity Index Descriptions — The Nikkei 225 Index — License Agreement”
in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
S&P
500® Index Overview
The
S&P 500® Index, which is calculated, maintained and published by S&P Dow Jones Indices LLC, consists of
stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about
the S&P 500® Index, see the information set forth under “Equity Index Descriptions — The S&P
U.S. Indices” in the accompanying underlying supplement.
Information
as of market close on October 17, 2019:
|
Bloomberg
Ticker Symbol:
|
SPX
|
52
Week High (on July 26, 2019):
|
3,025.86
|
|
|
Current
Closing Level:
|
2,997.95
|
52
Week Low (on December 24, 2018):
|
2,351.10
|
|
|
52
Weeks Ago (on October 17, 2018):
|
2,809.21
|
|
|
|
The
following table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the S&P
500® Index for each quarter in the period from January 2, 2014 through October 17, 2019. The graph following the
table sets forth the daily closing levels of the S&P 500® Index during the same period. The closing level of
the S&P 500® Index on October 17, 2019 was 2,997.95. We obtained the closing level information above and in
the table and graph below from Bloomberg, without independent verification. The historical levels of the S&P 500®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level
of the S&P 500® Index at any time, including on the determination dates. The payment of dividends on the stocks
that constitute the S&P 500® Index are not reflected in its closing level and, therefore, have no effect on
the calculation of the payment at maturity.
S&P
500® Index
|
High
|
Low
|
Period
End
|
2014
|
|
|
|
First
Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second
Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third
Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth
Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First
Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second
Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third
Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth
Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First
Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second
Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third
Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth
Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First
Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
Second
Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third
Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
Fourth
Quarter
|
2,690.16
|
2,529.12
|
2,673.61
|
2018
|
|
|
|
First
Quarter
|
2,872.87
|
2,581.00
|
2,640.87
|
Second
Quarter
|
2,786.85
|
2,581.88
|
2,718.37
|
Third
Quarter
|
2,930.75
|
2,713.22
|
2,913.98
|
Fourth
Quarter
|
2,925.51
|
2,351.10
|
2,506.85
|
2019
|
|
|
|
First
Quarter
|
2,854.88
|
2,447.89
|
2,834.40
|
Second
Quarter
|
2,954.18
|
2,744.45
|
2,941.76
|
Third
Quarter
|
3,025.86
|
2,840.60
|
2,976.74
|
Fourth
Quarter (through October 17, 2019)
|
2,997.95
|
2,887.61
|
2,997.95
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
S&P
500® Index Historical Performance - Daily Closing Levels*
January
2, 2014 to October 17, 2019
|
Source:
Bloomberg
|
*The
line in the graph indicates the hypothetical downside threshold level, equal to 80% of the closing level on October 17, 2019.
The actual downside threshold level will be based on the closing level on the pricing date.
|
License
Agreement. “Standard & Poor’s®,” “S&P®,” “S&P
500®” and “Standard & Poor’s 500” are trademarks of Standard & Poor’s Financial
Services LLC and have been licensed for use by JPMorgan Chase & Co. and its affiliates. See “Equity Index Descriptions
— The S&P U.S. Indices — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
EURO
STOXX 50® Index Overview
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 notes 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 “Equity Index Descriptions — The EURO STOXX 50® Index” in the accompanying
underlying supplement.
Information
as of market close on October 17, 2019:
|
Bloomberg
Ticker Symbol:
|
SX5E
|
52
Week High (on October 16, 2019):
|
3,599.25
|
|
|
Current
Closing Level:
|
3,588.62
|
52
Week Low (on December 27, 2018):
|
2,937.36
|
|
|
52
Weeks Ago (on October 17, 2018):
|
3,243.08
|
|
|
|
The
following table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the EURO STOXX
50® Index for each quarter in the period from January 2, 2014 through October 17, 2019. The graph following the
table sets forth the daily closing levels of the EURO STOXX 50® Index during the same period. The closing level
of the EURO STOXX 50® Index on October 17, 2019 was 3,588.62. We obtained the closing level information above and
in the table and graph below from Bloomberg, without independent verification. The historical levels of the EURO STOXX 50®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level
of the EURO STOXX 50® Index at any time, including on the determination dates. The payment of dividends on the
stocks that constitute the EURO STOXX 50® Index are not reflected in its closing level and, therefore, have no
effect on the calculation of the payment at maturity.
EURO
STOXX 50® Index
|
High
|
Low
|
Period
End
|
2014
|
|
|
|
First
Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
Second
Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
Third
Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
Fourth
Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
2015
|
|
|
|
First
Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second
Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third
Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Fourth
Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
2016
|
|
|
|
First
Quarter
|
3,178.01
|
2,680.35
|
3,004.93
|
Second
Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
Third
Quarter
|
3,091.66
|
2,761.37
|
3,002.24
|
Fourth
Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
2017
|
|
|
|
First
Quarter
|
3,500.93
|
3,230.68
|
3,500.93
|
Second
Quarter
|
3,658.79
|
3,409.78
|
3,441.88
|
Third
Quarter
|
3,594.85
|
3,388.22
|
3,594.85
|
Fourth
Quarter
|
3,697.40
|
3,503.96
|
3,503.96
|
2018
|
|
|
|
First
Quarter
|
3,672.29
|
3,278.72
|
3,361.50
|
Second
Quarter
|
3,592.18
|
3,340.35
|
3,395.60
|
Third
Quarter
|
3,527.18
|
3,293.36
|
3,399.20
|
Fourth
Quarter
|
3,414.16
|
2,937.36
|
3,001.42
|
2019
|
|
|
|
First
Quarter
|
3,409.00
|
2,954.66
|
3,351.71
|
Second
Quarter
|
3,514.62
|
3,280.43
|
3,473.69
|
Third
Quarter
|
3,571.39
|
3,282.78
|
3,569.45
|
Fourth
Quarter (through October 17, 2019)
|
3,599.25
|
3,413.31
|
3,588.62
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
EURO
STOXX 50® Index Historical Performance - Daily Closing Levels*
January
2, 2014 to October 17, 2019
|
Source:
Bloomberg
|
*The
line in the graph indicates the hypothetical downside threshold level, equal to 80% of the closing level on October 17, 2019.
The actual downside threshold level will be based on the closing level on the pricing date.
|
License
Agreement. 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. See “Equity
Index Descriptions — The EURO STOXX 50® Index — License Agreement” in the accompanying underlying
supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|