Investor
Suitability
The Notes may be suitable
for you if, among other considerations:
t
You fully understand the risks inherent in an investment in the Notes, including the
risk of loss of your entire initial investment.
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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 an investment in the Lesser Performing Underlying.
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You are willing to accept the individual market risk of each Underlying and understand
that any decline in the level of one Underlying will not be offset or mitigated by a lesser decline or any potential increase
in the level of the other Underlying.
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You accept that you may not receive a Contingent Coupon on some or all of the Coupon
Payment Dates.
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You believe each Underlying will close at or above its Coupon Barrier on the Observation
Dates and its Downside Threshold on the Final Valuation Date.
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You believe each Underlying will close at or above its Initial Value on one of the
specified Observation Dates (after an initial one-year non-call period).
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You understand and accept that you will not participate in any appreciation of either
Underlying and that your potential return is limited to the Contingent Coupons.
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You can tolerate fluctuations in the price of the Notes prior to maturity that may
be similar to or exceed the downside fluctuations in the levels of the Underlyings.
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You would be willing to invest in the Notes if the Contingent Coupon Rate were set
equal to the bottom of the range indicated on the cover hereof (the actual Contingent Coupon Rate will be finalized on
the Trade Date and provided in the pricing supplement and will not be less than the bottom of the range listed on the
cover).
t
You do not seek guaranteed current income from this investment and are willing to
forgo dividends paid on the stocks included in the Underlyings.
t
You are able and willing to invest in Notes that may be called early (after an initial
one-year non-call period) and you are otherwise able and willing to hold the Notes to maturity.
t
You accept that there may be little or no secondary market for the Notes 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 Notes.
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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 Notes, 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 Notes may not be suitable
for you if, among other considerations:
t
You do not fully understand the risks inherent in an investment in the Notes, including
the risk of loss of your entire initial investment.
t
You cannot tolerate a loss of all or a substantial portion of your investment or are
unwilling to make an investment that may have the same downside market risk as an investment in the Lesser Performing
Underlying.
t
You are unwilling to accept the individual market risk of each Underlying or do not
understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser decline or any
potential increase in the level of the other Underlying.
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You require an investment designed to provide a full return of principal at maturity.
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You do not accept that you may not receive a Contingent Coupon on some or all of the
Coupon Payment Dates.
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You believe that either Underlying will decline during the term of the Notes and is
likely to close below its Coupon Barrier on the Observation Dates and its Downside Threshold on the Final Valuation Date.
t
You seek an investment that participates in the full appreciation of either or both
of the Underlyings or that has unlimited return potential.
t
You cannot tolerate fluctuations in the price of the Notes prior to maturity that
may be similar to or exceed the downside fluctuations in the levels of the Underlyings.
t
You would not be willing to invest in the Notes if the Contingent Coupon Rate were
set equal to the bottom of the range indicated on the cover hereof (the actual Contingent Coupon Rate will be finalized
on the Trade Date and provided in the pricing supplement and will not be less than the bottom of the range listed on the
cover).
t
You prefer the lower risk, and therefore accept the potentially lower returns, of
fixed income investments with comparable maturities and credit ratings.
t
You seek guaranteed current income from this investment or prefer to receive the dividends
paid on the stocks included in the Underlyings.
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You are unable or unwilling to invest in Notes that may be called early (after an
initial one-year non-call period), or you are otherwise unable or unwilling to hold the Notes to maturity or you 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 Notes, including any repayment of principal.
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The suitability considerations identified
above are not exhaustive. Whether or not the Notes 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 Notes 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 Notes.
For more information on the Underlyings, please see the sections titled “The MSCI Emerging Markets Index” and “The
EURO STOXX 50® Index” below.
Indicative
Terms
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Issuer:
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JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan
Chase & Co.
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Issue
Price
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$10
per Note
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Underlyings
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MSCI
Emerging Markets Index
EURO
STOXX 50® Index
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Principal
Amount
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$10
per Note (subject to a minimum purchase of 100 Notes or $1,000)
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Term1
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10
years, unless called earlier
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Automatic
Call Feature
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The
Notes will be called automatically if the closing level of each Underlying on any Observation Date (after an initial one-year
non-call period) is equal to or greater than its Initial Value. If the Notes are called, JPMorgan Financial will
pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount plus the Contingent
Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes.
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Contingent
Coupon
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If
the closing level of each Underlying is equal to or greater than its Coupon Barrier on
any Observation Date, we will pay you the Contingent Coupon for that Observation Date
on the relevant Coupon Payment Date.
If
the closing level of either Underlying is less than its Coupon Barrier on any Observation Date, the Contingent Coupon
for that Observation Date will not accrue or be payable, and we will not make any payment to you on the relevant Coupon
Payment Date.
Each
Contingent Coupon will be a fixed amount based on equal quarterly installments at the Contingent Coupon Rate, which is
a per annum rate.
You
should be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the bottom of the range set forth
in “Contingent Coupon Rate” below.
Contingent
Coupon payments on the Notes are not guaranteed. We will not pay you the Contingent Coupon for any Observation Date on
which the closing level of either Underlying is less than its Coupon Barrier.
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Contingent
Coupon Rate
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Expected
to be between 7.00% and 8.00% per annum. The actual Contingent Coupon Rate will be finalized on the Trade Date
and provided in the pricing supplement and will not be less than 7.00% per annum.
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Contingent
Coupon payments
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Between
$0.175 and $0.20 per $10 principal amount Note. The actual Contingent Coupon payments will be based on the Contingent
Coupon Rate and finalized on the Trade Date and provided in the pricing supplement.
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Coupon
Payment Dates2
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As
specified under the “Coupon Payment Dates” column of the table under “Observation Dates and Coupon Payment
Dates” below
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Call
Settlement Dates2
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First
Coupon Payment Date following the applicable Observation Date
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Payment
at Maturity
(per $10 Note)
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If
the Notes are not automatically called and the Final Value of each Underlying is equal
to or greater than both its Downside Threshold
and its Coupon Barrier, we will pay you a cash payment at maturity per $10 principal
amount Note equal to $10 plus the Contingent Coupon otherwise due on the Maturity
Date.
If
the Notes are not automatically called and the Final Value of each Underlying is greater than or equal to its Downside
Threshold but the Final Value of either Underlying is less than its Coupon Barrier, we will pay you a cash payment
at maturity per $10 principal amount Note equal to $10, but no Contingent Coupon will be paid.
If
the Notes are not automatically called and the Final Value of either Underlying is less than its Downside Threshold, we
will pay you a cash payment at maturity that is less than $10 per $10 principal amount Note resulting in a loss on your
principal amount proportionate to the negative Underlying Return of the Lesser Performing Underlying, equal to:
$10
× (1 + Lesser Performing Underlying Return)
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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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Lesser
Performing Underlying:
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The
Underlying with the lower Underlying Return
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Lesser
Performing Underlying Return:
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The
lower of the Underlying Returns of the Underlyings
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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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Downside
Threshold
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With
respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing
supplement
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Coupon
Barrier
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With
respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing
supplement
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1
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See
footnote 1 under “Key Dates” on the front cover
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2
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See
footnote 2 under “Key Dates” on the front cover
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Investment
Timeline
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Trade Date
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The closing level
of each Underlying (Initial Value) is observed, and the Downside Threshold and the Coupon Barrier of each Underlying and the
Contingent Coupon Rate are determined.
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Quarterly (callable
after an initial
one-year non-call
period)
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If
the closing level of each Underlying is equal to or greater than its Coupon Barrier on any
Observation Date, JPMorgan Financial will pay you a Contingent Coupon on the Coupon Payment
Date.
The
Notes will also be called if the closing level of each Underlying on any Observation Date (after an initial one-year non-call
period) is equal to or greater than its Initial Value. If the Notes are called, JPMorgan Financial will pay you a cash
payment per Note equal to the principal amount plus the Contingent Coupon otherwise due for the applicable Observation
Date, and no further payments will be made on the Notes.
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Maturity Date
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The
Final Value of each Underlying is determined as of the Final Valuation Date.
If
the Notes have not been called and the Final Value of each Underlying is equal to or greater than
both its Downside Threshold and its Coupon Barrier,
at maturity JPMorgan Financial will repay the principal amount equal to $10.00 per Note plus the Contingent Coupon
otherwise due on the Maturity Date.
If
the Notes have not been called and the Final Value of each Underlying is greater than or equal to its Downside Threshold
but the Final Value of either Underlying is less than its Coupon Barrier, JPMorgan Financial will repay the principal
amount equal to $10.00 per Note, but no Contingent Coupon will be paid.
If
the Notes have not been called and the Final Value of either Underlying is less than its Downside Threshold, JPMorgan
Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount
proportionate to the decline of the Lesser Performing Underlying, equal to a return of:
$10
× (1 + Lesser Performing Underlying Return) per Note
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INVESTING
IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. YOU WILL BE EXPOSED
TO THE MARKET RISK OF EACH UNDERLYING AND ANY DECLINE IN THE LEVEL OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND
WILL NOT BE OFFSET OR MITIGATED BY A LESSER DECLINE OR ANY POTENTIAL INCREASE IN THE LEVEL OF THE OTHER UNDERLYING. ANY
PAYMENT ON THE NOTES, 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 NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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Observation
Dates and Coupon Payment Dates
Observation
Dates†
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Coupon
Payment Dates†
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February
18, 2020
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February
20, 2020
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May
15, 2020
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May
19, 2020
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August
17, 2020
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August
19, 2020
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November
16, 2020
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November
18, 2020
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February
16, 2021
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February
18, 2021
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May
17, 2021
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May
19, 2021
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August
16, 2021
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August
18, 2021
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November
15, 2021
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November
17, 2021
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February
15, 2022
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February
17, 2022
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May
16, 2022
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May
18, 2022
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August
15, 2022
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August
17, 2022
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November
15, 2022
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November
17, 2022
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February
15, 2023
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February
17, 2023
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May
15, 2023
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May
17, 2023
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August
15, 2023
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August
17, 2023
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November
15, 2023
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November
17, 2023
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February
15, 2024
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February
20, 2024
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May
15, 2024
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May
17, 2024
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August
15, 2024
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August
19, 2024
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November
15, 2024
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November
19, 2024
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February
18, 2025
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February
20, 2025
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May
15, 2025
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May
19, 2025
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August
15, 2025
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August
19, 2025
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November
17, 2025
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November
19, 2025
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February
17, 2026
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February
19, 2026
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May
15, 2026
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May
19, 2026
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August
17, 2026
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August
19, 2026
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November
16, 2026
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November
18, 2026
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February
16, 2027
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February
18, 2027
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May
17, 2027
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May
19, 2027
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August
16, 2027
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August
18, 2027
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November
15, 2027
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November
17, 2027
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February
15, 2028
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February
17, 2028
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May
15, 2028
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May
17, 2028
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August
15, 2028
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August
17, 2028
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November
15, 2028
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November
17, 2028
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February
15, 2029
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February
20, 2029
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May
15, 2029
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May
17, 2029
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August
15, 2029
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August
17, 2029
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November
15, 2029 (the Final Valuation Date)
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November
20, 2029 (the Maturity Date)
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†The Notes
are not callable until the fourth Observation Date, November 16, 2020.
Each of the Observation Dates, and
therefore the Coupon Payment Dates, is subject to postponement in the event of a market disruption event and as described under
“General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement.
What
Are the Tax Consequences of the Notes?
You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I.
In determining our reporting responsibilities we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid
forward contracts with associated contingent coupons and (ii) any Contingent Coupons as ordinary income, as described in the section
entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as
Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement. Based on the advice
of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are
other reasonable treatments that the IRS or a court may adopt.
Sale, Exchange or Redemption
of a Note. Assuming the treatment described above is respected, upon a sale or exchange of the Notes (including redemption
upon an automatic call or at maturity), you should recognize capital gain or loss equal to the difference between the amount realized
on the sale or exchange and your tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming
Contingent Coupons are properly treated as ordinary income, consistent with the position referred to above). This gain or loss
should be short-term capital gain or loss unless you hold the Notes for more than one year, in which case the gain or loss should
be long-term capital gain or loss, whether or not you are an initial purchaser of the Notes at the issue price. The deductibility
of capital losses is subject to limitations. If you sell your Notes between the time your right to a Contingent Coupon is fixed
and the time it is paid, it is likely that you will be treated as receiving ordinary income equal to the Contingent Coupon. Although
uncertain, it is possible that proceeds received from the sale or exchange of your Notes prior to an Observation Date but that
can be attributed to an expected Contingent Coupon payment could be treated as ordinary income. You should consult your tax adviser
regarding this issue.
As described above, there
are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss
on the Notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in
particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks
for comments on a number of related topics, including the character of income or loss with respect to these instruments and the
relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially affect the tax consequences of an investment in the Notes, possibly with retroactive effect.
The discussions above and in the accompanying product supplement do not address the consequences to taxpayers subject to special
tax accounting rules under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax
consequences of an investment in the Notes, including possible alternative treatments and the issues presented by the notice described
above.
Non-U.S.
Holders — Tax Considerations. The U.S. federal income tax treatment of Contingent Coupons is uncertain, and although
we believe it is reasonable to take a position that Contingent Coupons 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 Notes is effectively
connected with your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable
to a permanent establishment in the United States). If you are not a United States person, you are urged to consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the Notes in light of your particular circumstances.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions
to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in
the applicable Treasury regulations (such an index, a “Qualified Index”). Additionally, a recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 2021 that do not have a delta of one with respect to underlying
securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the Notes 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 Notes. You should consult your tax adviser regarding the potential application of Section 871(m)
to the Notes.
FATCA.
Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the Notes
that are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for
U.S. federal income tax purposes (such as interest, if the Notes are recharacterized, in whole or in part, as debt instruments,
or Contingent Coupons if they are otherwise treated as FDAP Income). If the Notes are recharacterized, in whole or in part, as
debt instruments, withholding could also apply to payments of gross proceeds of a taxable disposition, including an early redemption
or redemption at maturity, although under recently proposed regulations (the preamble to which specifies that taxpayers are permitted
to rely on them pending finalization), no withholding will apply to payments of gross proceeds (other than any amount treated
as FDAP Income). You should consult your tax adviser regarding the potential application of FATCA to the Notes.
In the
event of any withholding on the Notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
Key
Risks
An investment in the Notes involves
significant risks. Investing in the Notes is not equivalent to investing directly in either or both 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 Notes.
Risks Relating to the Notes
Generally
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Your
Investment in the Notes May Result in a Loss — The Notes differ from ordinary
debt securities in that JPMorgan Financial will not necessarily repay the full principal
amount of the Notes. If the Notes are not called and the closing level of either Underlying
has declined below its Downside Threshold on the Final Valuation Date, you will be fully
exposed to any depreciation of the Lesser Performing Underlying from its Initial Value
to its Final Value. In this case, JPMorgan Financial will repay less than the full principal
amount at maturity, resulting in a loss of principal that is proportionate to the negative
Underlying Return of the Lesser Performing Underlying. Under these circumstances, you
will lose 1% of your principal for every 1% that the Final Value of the Lesser Performing
Underlying is less than its Initial Value and could lose your entire principal amount.
As a result, your investment in the Notes may not perform as well as an investment in
a security that does not have the potential for full downside exposure to either Underlying.
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Credit
Risks of JPMorgan Financial and JPMorgan Chase & Co. — The Notes 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 Notes 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 Notes and related guarantees are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Notes, 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
Notes 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 Notes 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 Notes. If these affiliates do not make payments to us and we fail
to make payments on the Notes, 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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You
Are Not Guaranteed Any Contingent Coupons — We will not necessarily make periodic
coupon payments on the Notes. If the closing level of either Underlying on an Observation
Date is less than its Coupon Barrier, we will not pay you the Contingent Coupon for that
Observation Date even if the closing level of the other Underlying is greater than or
equal to its Coupon Barrier on that Observation Date, and the Contingent Coupon that
would otherwise be payable will not be accrued and will be lost. If the closing level
of either Underlying is less than its Coupon Barrier on each of the Observation Dates,
we will not pay you any Contingent Coupon during the term of, and you will not receive
a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon
coincides with a period of greater risk of principal loss on your Notes.
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Return
on the Notes Limited to the Sum of Any Contingent Coupons and You Will Not Participate
in Any Appreciation of Either Underlying — The return potential of the Notes
is limited to the specified Contingent Coupon Rate, regardless of the appreciation of
either Underlying, which may be significant. In addition, the total return on the Notes
will vary based on the number of Observation Dates on which the requirements for a Contingent
Coupon have been met prior to maturity or an automatic call. Further, if the Notes are
called, you will not receive any Contingent Coupons or any other payments in respect
of any Observation Dates after the Call Settlement Date. Because the Notes could be called
as early as the fourth Observation Date, the total return on the Notes could be minimal.
If the Notes are not called, you may be subject to the risk of decline in the level of
each Underlying, even though you are not able to participate in any potential appreciation
of either Underlying. Generally, the longer the Notes remain outstanding, the less likely
it is that they will be automatically called, due to the decline in the level of one
or both of the Underlyings and the shorter time remaining for the level of either Underlying
to recover to or above its Initial Value on a subsequent Observation Date. As a
result, the return on an investment in the Notes could be less than the return on a hypothetical
direct investment in either Underlying. In addition, if the Notes are not called and
the Final Value of either Underlying is below its Downside Threshold, you will have a
loss on your principal amount and the overall return on the Notes may be less than the
amount that would be paid on a conventional debt security of JPMorgan Financial of comparable
maturity.
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Because
the Notes Are Linked to the Lesser Performing Underlying, You Are Exposed to Greater
Risks of No Contingent Coupons and Sustaining a Significant Loss on Your Investment at
Maturity Than If the Notes Were Linked to a Single Underlying — The risk that
you will not receive any Contingent Coupons and lose some or all of your initial investment
in the Notes at maturity is greater if you invest in the Notes as opposed to substantially
similar securities that are linked to the performance of a single Underlying. With two
Underlyings, it is more likely that the closing level of either Underlying will be less
than its Coupon Barrier on the Observation Dates or less than its Downside Threshold
on the Final Valuation Date. Therefore it is more likely that you will not receive any
Contingent Coupons and that you will suffer a significant loss on your investment at
maturity. In addition, the performance of the Underlyings may not be correlated or may
be negatively correlated.
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The lower the correlation between two Underlyings, the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside Threshold on an Observation Date or the Final Valuation Date, respectively. Although the correlation of the
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Underlyings’
performance may change over the term of the Notes, the Contingent Coupon Rate is determined,
in part, based on the correlation of the Underlyings’ performance, as calculated
using internal models of our affiliates at the time when the terms of the Notes are finalized.
A higher Contingent Coupon Rate is generally associated with lower correlation of the
Underlyings, which reflects a greater potential for missed Contingent Coupons and for
a loss of principal at maturity. The correlation referenced in setting the terms of the
Notes is calculated using internal models of our affiliates and is not derived from the
returns of the Underlyings over the period set forth under “Correlation of the
Underlyings” below. In addition, other factors and inputs other than correlation
may impact how the terms of the Notes are set and the performance of the Notes. Furthermore,
because the closing level of each Underlying must be greater than or equal to its Initial
Value on a quarterly Observation Date (after an initial one-year non-call period) in
order for the notes to be automatically called prior to maturity, the Notes are less
likely to be automatically called on any Observation Date than if the Notes were linked
to a single Underlying.
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You
Are Exposed to the Risk of Decline in the Level of Each Underlying — Your return
on the Notes and your payment at maturity, if any, is not linked to a basket consisting
of the Underlyings. If the Notes have not been automatically called, your payment at
maturity is contingent upon the performance of each individual Underlying such that you
will be equally exposed to the risks related to either of the Underlyings. In addition,
the performance of the Underlyings may not be correlated. Poor performance by either
of the Underlyings over the term of the Notes may negatively affect whether you will
receive a Contingent Coupon on any Coupon Payment Date and your payment at maturity and
will not be offset or mitigated by positive performance by the other Underlying. Accordingly,
your investment is subject to the risk of decline in the value of each Underlying.
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Your
Payment at Maturity Will Be Determined By the Lesser Performing Underlying —
Because the payment at maturity will be determined based on the performance of the Lesser
Performing Underlying, you will not benefit from the performance of the other Underlying.
Accordingly, if the Notes have not been automatically called and the Final Value of either
Underlying is less than its Downside Threshold, you will lose some or all of your principal
amount at maturity, even if the Final Value of the other Underlying is greater than or
equal to its Initial Value.
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Contingent
Repayment of Principal Applies Only If You Hold the Notes to Maturity — If
you are able to sell your Notes 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
levels of both Underlyings are above their respective Downside Thresholds. If by maturity
the Notes have not been called, either JPMorgan Financial will repay you the full principal
amount per Note, with or without the Contingent Coupon, or, if either Underlying closes
below its Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay
less than the principal amount, if anything, at maturity, resulting in a loss on your
principal amount that is proportionate to the decline in the closing level of the Lesser
Performing Underlying from its Initial Value to its Final Value. This contingent repayment
of principal applies only if you hold your Notes to maturity.
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A
Higher Contingent Coupon Rate and/or a Lower Coupon Barrier and/or Downside Threshold
May Reflect Greater Expected Volatility of the Underlyings, Which Is Generally Associated
With a Greater Risk of Loss — Volatility is a measure of the degree of variation
in the levels of the Underlyings over a period of time. The greater the expected
volatilities of the Underlyings at the time the terms of the Notes are set, the greater
the expectation is at that time that the level of an Underlying could close below its
Coupon Barrier on any Observation Date, resulting in the loss of one or more, or all,
Contingent Coupon payments, or below its Downside Threshold on the Final Valuation Date,
resulting in the loss of a significant portion or all of your principal at maturity.
In addition, the economic terms of the Notes, including the Contingent Coupon Rate, the
Coupon Barrier and the Downside Threshold, are based, in part, on the expected volatilities
of the Underlyings at the time the terms of the Notes are set, where higher expected
volatilities will generally be reflected in a higher Contingent Coupon Rate than the
fixed rate we would pay on conventional debt securities of the same maturity and/or on
otherwise comparable securities and/or a lower Coupon Barrier and/or a lower Downside
Threshold as compared to otherwise comparable securities. Accordingly, a higher
Contingent Coupon Rate will generally be indicative of a greater risk of loss while a
lower Coupon Barrier or Downside Threshold does not necessarily indicate that the Notes
have a greater likelihood of paying Contingent Coupon payments or returning your principal
at maturity. You should be willing to accept the downside market risk of each Underlying
and the potential loss of some or all of your principal at maturity.
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Reinvestment
Risk — If your Notes are called early, the holding period over which you would
have the opportunity to receive any Contingent Coupons could be as short as approximately
one year. There is no guarantee that you would be able to reinvest the proceeds from
an investment in the Notes at a comparable return and/or with a comparable interest rate
for a similar level of risk in the event the Notes are called prior to the Maturity Date.
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Potential Conflicts —
We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent
and hedging our obligations under the Notes and making the assumptions used to determine the pricing of the Notes and the estimated
value of the Notes when the terms of the Notes are set, which we refer to as the estimated value of the Notes. 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 Notes. In addition, our and JPMorgan Chase
& Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s
economic interests to be adverse to yours and could adversely affect any payment on the Notes and the value of the Notes. It is
possible that hedging or trading activities of ours or our affiliates in connection with the Notes could result in substantial
returns for us or our affiliates while the value of the Notes 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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Each Contingent Coupon Is Based Solely on the Closing Levels of the Underlyings on the Applicable Observation Date — Whether a Contingent Coupon will be payable with respect to an Observation Date will be based solely on the closing levels of the Underlyings on that Observation Date. As a result, you will not know whether you will receive a Contingent Coupon until the related Observation Date. Moreover, because each Contingent Coupon is based solely on the closing levels of the Underlyings on the applicable Observation Date, if the closing level of either Underlying is less than its Coupon Barrier, you will not receive any Contingent
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Coupon
with respect to that Observation Date, even if the closing level of the other Underlying
is equal to or greater than its Coupon Barrier and even if the closing level of that
Underlying was higher on other days during the period before that Observation Date.
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The
Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public)
of the Notes — The estimated value of the Notes is only an estimate determined
by reference to several factors. The original issue price of the Notes will exceed the
estimated value of the Notes because costs associated with structuring and hedging the
Notes are included in the original issue price of the Notes. These costs include the
projected profits, if any, that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the Notes and the estimated cost of hedging our obligations
under the Notes. See “The Estimated Value of the Notes” in this pricing supplement.
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The
Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ
from Others’ Estimates — The estimated value of the Notes is determined
by reference to internal pricing models of our affiliates when the terms of the Notes
are set. This estimated value of the Notes 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 Notes that are greater than or less
than the estimated value of the Notes. 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 Notes 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 Notes from you in secondary market transactions.
See “The Estimated Value of the Notes” in this pricing supplement.
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The
Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate
— The internal funding rate used in the determination of the estimated value of
the Notes 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 Notes as well as the higher issuance, operational and ongoing
liability management costs of the Notes 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 Notes and any secondary market prices of the Notes. See “The
Estimated Value of the Notes” in this pricing supplement.
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The
Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account
Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period — We generally expect that some of the costs included in the original
issue price of the Notes will be partially paid back to you in connection with any repurchases
of your Notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include 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 Notes” in this pricing
supplement for additional information relating to this initial period. Accordingly, the
estimated value of your Notes during this initial period may be lower than the value
of the Notes as published by JPMS (and which may be shown on your customer account statements).
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Secondary
Market Prices of the Notes Will Likely Be Lower Than the Original Issue Price of the
Notes — Any secondary market prices of the Notes will likely be lower than
the original issue price of the Notes 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 projected hedging profits, if
any, and estimated hedging costs that are included in the original issue price of the
Notes. As a result, the price, if any, at which JPMS will be willing to buy Notes 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 Notes.
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The
Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to
maturity. See “— Lack of Liquidity” below.
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Many
Economic and Market Factors Will Impact the Value of the Notes — As described
under “The Estimated Value of the Notes” in this pricing supplement, the
Notes 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 Notes at issuance
and their value in the secondary market. Accordingly, the secondary market price of the
Notes 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 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 Notes;
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the
likelihood of an automatic call being triggered;
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whether
the closing level of either Underlying has been, or is expected to be, less than its
Coupon Barrier on any Observation Date and whether the Final Value of either Underlying
is expected to be less than its Downside Threshold;
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the
dividend rates on the equity securities underlying the Underlyings;
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the
actual and expected positive or negative correlation between 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 Notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the Notes, if any, at which JPMS
may be willing to purchase your Notes in the secondary market.
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Investing
in the Notes Is Not Equivalent to Investing in the Stocks Composing the Underlyings
— Investing in the Notes is not equivalent to investing in the stocks included
in the Underlyings. As an investor in the Notes, 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.
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We
Cannot Control Actions by the Sponsor of Either Underlying and That Sponsor Has No Obligation
to Consider Your Interests — We and our affiliates are not affiliated with
the sponsor of either 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 Note offering in any way and has no obligation to consider your
interest as an owner of the Notes in taking any actions that might affect the market
value of your Notes.
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Your
Return on the Notes Will Not Reflect Dividends on the Stocks Composing the Underlyings
— Your return on the Notes will not reflect the return you would realize if
you actually owned the stock included in the Underlyings and received the dividends on
the stock included in the Underlyings. This is because the calculation agent will determine
whether the Notes will be called and whether a Contingent Coupon is payable and, if the
Notes are not called, will calculate the amount payable to you at maturity of the Notes
by reference to the closing level of each Underlying on the relevant Observation Date,
without taking into consideration the value of dividends on the stock included in that
Underlying.
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No
Assurances That the Investment View Implicit in the Notes Will Be Successful —
While the Notes are structured to provide for Contingent Coupons if each Underlying does
not close below its Coupon Barrier on the Observation Dates, we cannot assure you of
the economic environment during the term or at maturity of your Notes.
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Lack
of Liquidity — The Notes will not be listed on any securities exchange. JPMS
intends to offer to purchase the Notes 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 Notes easily. Because other dealers are not likely to make a
secondary market for the Notes, the price at which you may be able to trade your Notes
is likely to depend on the price, if any, at which JPMS is willing to buy the Notes.
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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 Notes, and that
may be revised at any time. Any such research, opinions or recommendations may or may
not recommend that investors buy or hold the Underlyings and could affect the level of
an Underlying, and therefore the market value of the Notes.
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Tax
Treatment — Significant aspects of the tax treatment of the Notes are uncertain.
You should consult your tax adviser about your tax situation.
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Potential
JPMorgan Financial Impact on the Level of an Underlying — Trading or transactions
by JPMorgan Financial or its affiliates in an Underlying and/or over-the-counter options,
futures or other instruments with returns linked to the performance of an Underlying
may adversely affect the level of that Underlying and, therefore, the market value of
the Notes.
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The
Final Terms and Valuation of the Notes Will Be Finalized on the Trade Date and Provided
in the Pricing Supplement — The final terms of the Notes will be based on relevant
market conditions when the terms of the Notes 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 Notes and the Contingent Coupon Rate 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 Notes based on the minimums for the
estimated value of the Notes and the Contingent Coupon Rate.
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Risks Relating to the
Underlyings
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Non-U.S.
Securities Risk — The equity securities included in the Underlyings 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 about U.S. companies that are subject
to the reporting requirements of the SEC.
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Emerging
Markets Risk with Respect to the MSCI Emerging Markets Index — The equity securities
included in the MSCI Emerging Markets Index have been issued by non-U.S. companies located
in emerging markets countries. Countries with emerging markets may have relatively unstable
governments, may present the risks of nationalization of businesses, restrictions on
foreign ownership and prohibitions on the repatriation of assets, and may have less protection
of property rights than more developed countries. The economies of countries with emerging
markets may be based on only a few industries, may be highly vulnerable to changes in
local or global trade conditions, and may suffer from extreme and volatile debt burdens
or inflation rates. Local securities markets may trade a small number of securities and
may be unable to respond effectively to increases in trading volume, potentially making
prompt liquidation of holdings difficult or impossible at times.
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The
Notes Are Subject to Currency Exchange Risk with
Respect to the MSCI Emerging Markets Index — Because the prices of the
equity securities included in the MSCI
Emerging Markets Index are converted into U.S. dollars for purposes of calculating
the level of the MSCI Emerging Markets Index,
holders of the Notes will be exposed to currency exchange rate risk with respect to each
of the currencies in which the equity securities
included in the MSCI Emerging Markets Index
trade. Your net exposure will depend on the extent to which those currencies strengthen
or weaken against the U.S. dollar and the relative weight of equity securities
included in the MSCI Emerging Markets Index
denominated in each of those currencies. If, taking into account the relevant
weighting, the U.S. dollar strengthens against those currencies, the level of the MSCI
Emerging Markets Index will be adversely affected and any payment on the Notes
may be reduced. Of particular importance to potential currency exchange risk are:
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existing
and expected rates of inflation;
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existing
and expected interest rate levels;
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the
balance of payments in the countries issuing those currencies and the United States and
between each country and its major trading partners;
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political,
civil or military unrest in the countries issuing those currencies and the United States;
and
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the
extent of government surpluses or deficits in the countries issuing those currencies
and the United States.
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All
of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries
issuing those currencies and the United States and other countries important to international trade and finance.
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No
Direct Exposure to Fluctuations in Foreign Exchange Rates with Respect to the EURO STOXX
50® Index — The value of the Notes will not be adjusted for
exchange rate fluctuations between the U.S. dollar and the currencies upon which the
equity securities included in the EURO STOXX 50® Index are based, although
any currency fluctuations could affect the performance of the EURO STOXX 50®
Index. Therefore, if the applicable currencies appreciate or depreciate relative
to the U.S. dollar over the term of the Notes, you will not receive any additional payment
or incur any reduction in any payment on the Notes.
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Hypothetical
Examples
Hypothetical
terms only. Actual terms may vary. See the cover page for actual offering terms.
The examples below illustrate
the hypothetical payments on a Coupon Payment Date, upon an automatic call or at maturity under different hypothetical scenarios
for a $10.00 Note on an offering of the Notes, with the assumptions set forth below.* We cannot predict the closing level of either
Underlying on any day during the term of the Notes, including on any Observation Date. You should not take these examples as an
indication or assurance of the expected performance of the Notes. Numbers in the examples below have been rounded for ease of
analysis. In these examples, we refer to the MSCI Emerging Markets Index and the EURO STOXX 50® Index as the “MXEF
Index” and the “SX5E Index,” respectively.
Principal Amount:
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$10.00
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Term:
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10 years (unless earlier called)
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Hypothetical Initial Value:
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100.00 for the MXEF Index and 100.00 for the SX5E Index
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Hypothetical Contingent Coupon Rate:
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7.00% per annum (or 1.75% per quarter), based on the bottom of the range of 7.00% to 8.00%
per annum
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Observation Dates:
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Quarterly (callable after one year)
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Hypothetical Downside Threshold:
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50.00 for the MXEF Index and 50.00 for the SX5E Index (which, with respect to each Underlying,
is 50% of the hypothetical Initial Value of that Underlying)
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Hypothetical Coupon Barrier:
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70.00 for the MXEF Index and 70.00 for the SX5E Index (which, with respect to each Underlying,
is 70% of the hypothetical Initial Value of that Underlying)
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*
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Terms used for purposes of these hypothetical examples
may not represent the actual Contingent Coupon Rate, Initial Values, Coupon Barriers or Downside Thresholds. The
actual Contingent Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement. The hypothetical
Initial Values of 100.00 for the MXEF Index and 100.00 for the SX5E Index have been chosen for illustrative purposes only
and may not represent a likely actual Initial Value for either Underlying. The actual Initial Value and resulting
Downside Threshold and Coupon Barrier of each Underlying will be based on the closing level of that Underlying on the Trade
Date. For historical data regarding the actual closing levels of the Underlyings, please see the historical information
set forth under the sections titled “The MSCI Emerging Markets Index” and “The EURO STOXX 50®
Index” below.
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The examples below are purely
hypothetical. These examples are intended to illustrate (a) under what circumstances the Notes will be subject to an automatic
call, (b) how the payment of a Contingent Coupon with respect to any Observation Date will depend on whether the closing level
of either Underlying on that Observation Date is less than its Coupon Barrier, (c) how the value of the payment at maturity on
the Notes will depend on whether the Final Value of either Underlying is less than its Downside Threshold and/or its Coupon Barrier
and (d) how the total return on the Notes may be less than the total return on a direct investment in either or both Underlyings
in certain scenarios. The “total return” as used in this pricing supplement is the number, expressed as a percentage
that results from comparing the total payments per $10.00 principal amount Note over the term of the Notes to the $10.00 initial
issue price.
Example 1 — Notes
Are Automatically Called on the Fourth Observation Date
Date
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Closing
Level
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Payment
(per Note)
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First Observation
Date
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MXEF
Index:
105.00
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Closing
level of each Underlying above its Initial Value; Notes NOT automatically callable because Observation Date is prior to the
fourth Observation Date. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon
of $0.175 on first Coupon Payment Date.
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SX5E
Index:
110.00
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Second Observation Date
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MXEF
Index:
80.00
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Closing level of
each Underlying below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the fourth
Observation Date. Closing level of SX5E Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on
second Coupon Payment Date.
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SX5E
Index:
60.00
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Third Observation Date
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MXEF
Index:
60.00
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Closing level of
each Underlying below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the fourth
Observation Date. Closing level of MXEF Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on
third Coupon Payment Date.
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SX5E
Index:
80.00
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Fourth Observation Date
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MXEF
Index:
110.00
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Closing level of
each Underlying at or above its Initial Value; Notes are automatically called; Issuer repays principal plus pays Contingent
Coupon of $0.175 on Call Settlement Date.
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SX5E
Index:
115.00
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Total
Payments (per $10.00 Note):
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Payment on Call Settlement Date:
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$10.175 ($10.00 + $0.175)
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Prior Contingent Coupons:
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$0.175 ($0.175 × 1)
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Total:
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$10.35
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Total Return:
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3.50%
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Because the closing level of
each Underlying is greater than or equal to its Initial Value on the fourth Observation Date (which is approximately one year
after the Trade Date and is the first Observation Date on which the Notes are callable), the Notes are automatically called on
that Observation Date. JPMorgan Financial will pay you on the Call Settlement Date $10.175 per $10.00 principal amount Note, which
is equal to your principal amount plus the Contingent Coupon due on the Coupon Payment Date that is also the Call Settlement
Date. No further amounts will be owed to you under the Notes.
In addition, because the closing
level of each Underlying was greater than or equal to its Coupon Barrier on the first Observation Date, JPMorgan Financial will
pay the Contingent Coupon of $0.175 on the first Coupon Payment Date. However, because the closing level of at least one Underlying
was less than its Coupon Barrier on the second and third Observation Dates, JPMorgan Financial will not pay any
Contingent Coupon
on the Coupon Payment Dates following those Observation Dates. Accordingly, JPMorgan Financial will have paid a total of $10.35
per $10.00 principal amount Note for a 3.50% total return over the shortened one (1) year term of the Notes as a result of the
automatic call.
Example 2 — Notes Are
NOT Automatically Called and the Final Value of Each Underlying Is Above Its Downside Threshold and Coupon Barrier
Date
|
|
Closing
Level
|
|
Payment
(per Note)
|
First Observation
Date
|
|
MXEF
Index:
115.00
|
|
Closing
level of each Underlying above its Initial Value; Notes NOT automatically callable because Observation Date is prior to the
fourth Observation Date. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.175
on first Coupon Payment Date.
|
SX5E
Index:
110.00
|
Second Observation Date
|
|
MXEF
Index:
80.00
|
|
Closing level of
each Underlying below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the fourth
Observation Date. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.175 on second
Coupon Payment Date.
|
SX5E
Index:
75.00
|
Third Observation Date
|
|
MXEF
Index:
85.00
|
|
Closing level of
each Underlying below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the fourth
Observation Date. Closing level of SX5E Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon
Payment Date.
|
SX5E
Index:
60.00
|
Fourth to Thirty-Ninth
Observation Dates
|
|
Various
(below
Coupon Barrier)
|
|
Closing level of each Underlying
below its Initial Value; Notes NOT automatically called. Closing level of each Underlying below its Coupon Barrier;
Issuer DOES NOT pay Contingent Coupon on any of the fourth to thirty-ninth Coupon Payment Dates.
|
Fortieth Observation Date
(the
Final Valuation Date)
|
|
MXEF
Index:
110.00
|
|
Closing level of
SX5E Index below its Initial Value; Notes NOT automatically called. Final Value of each Underlying above its Downside
Threshold and Coupon Barrier; Issuer repays principal plus pays Contingent Coupon of $0.175 on Maturity Date.
|
SX5E
Index:
80.00
|
Total
Payments (per $10.00 Note):
|
|
Payment at Maturity:
|
$10.175 ($10.00
+ $0.175)
|
|
|
|
|
Prior Contingent
Coupons:
|
$0.35 ($0.175 ×
2)
|
|
|
Total:
|
$10.525
|
|
|
Total Return:
|
5.25%
|
Because the closing level of at
least one Underlying was less than its Initial Value on each Observation Date on and after the fourth Observation Date (which
is approximately one year after the Trade Date and is the first Observation Date on which the Notes are callable), the Notes are
not automatically called. Because the Final Value of each Underlying is greater than or equal to its Downside Threshold and Coupon
Barrier, JPMorgan Financial will pay you on the Maturity Date $10.175 per $10.00 principal amount Note, which is equal to your
principal amount plus the Contingent Coupon due on the Coupon Payment Date that is also the Maturity Date.
In addition, because the closing level
of each Underlying was greater than or equal to its Coupon Barrier on the first and second Observation Dates, JPMorgan Financial
will pay the Contingent Coupon of $0.175 on the first and second Coupon Payment Dates. However, because the closing level of at
least one Underlying was less than its Coupon Barrier on the third through thirty-ninth Observation Dates, JPMorgan Financial
will not pay any Contingent Coupon on the Coupon Payment Dates following those Observation Dates. Accordingly, JPMorgan Financial
will have paid a total of $10.525 per $10.00 principal amount Note for a 5.25% total return over the ten (10) year term of the
Notes.
Example 3 — Notes Are NOT
Automatically Called and the Final Value of Each Underlying Is Above Its Downside Threshold but the Final Value of Either Underlying
Is Below Its Coupon Barrier
Date
|
|
Closing Level
|
|
Payment
(per Note)
|
First Observation
Date
|
|
MXEF
Index:
115.00
|
|
Closing
level of each Underlying above its Initial Value; Notes NOT automatically callable because Observation Date is prior to the
fourth Observation Date. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.175
on first Coupon Payment Date.
|
SX5E
Index:
110.00
|
Second Observation Date
|
|
MXEF
Index:
80.00
|
|
Closing level of
each Underlying below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the fourth
Observation Date. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.175
on second Coupon Payment Date.
|
SX5E
Index:
75.00
|
Third Observation Date
|
|
MXEF
Index:
105.00
|
|
Closing level of
SX5E Index below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the fourth Observation
Date. Closing level of SX5E Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon
Payment Date.
|
SX5E
Index:
60.00
|
Fourth to Thirty-Ninth
Observation Dates
|
|
Various
(below
Coupon Barrier)
|
|
Closing level of each Underlying
below its Initial Value; Notes NOT automatically called. Closing level of each Underlying below its Coupon Barrier;
Issuer DOES NOT pay Contingent Coupon on any of the fourth to thirty-ninth Coupon Payment Dates.
|
Fortieth Observation Date
(the
Final Valuation Date)
|
|
MXEF
Index:
110.00
|
|
Closing level of
SX5E Index below its Initial Value; Notes NOT automatically called. Final Value of each Underlying above its Downside Threshold;
Final Value of SX5E Index below its Coupon Barrier; Issuer repays principal on Maturity Date.
|
SX5E
Index:
60.00
|
Total
Payments (per $10.00 Note):
|
|
Payment at Maturity:
|
$10.00
|
|
|
Prior Contingent
Coupons:
|
$0.35 ($0.175 ×
2)
|
|
|
Total:
|
$10.35
|
|
|
Total Return:
|
3.50%
|
Because the closing level of at
least one Underlying was less than its Initial Value on each Observation Date on and after the fourth Observation Date (which
is approximately one year after the Trade Date and is the first Observation Date on which the Notes are callable), the Notes are
not automatically called. Because the Final Value of each Underlying is greater than or equal to its Downside Threshold and the
Final Value of at least one Underlying is less than its Coupon Barrier, JPMorgan Financial will pay you on the Maturity Date $10.00
per $10.00 principal amount Note, which is equal to your principal amount.
In addition, because the closing level
of each Underlying was greater than or equal to its Coupon Barrier on the first and second Observation Dates, JPMorgan Financial
will pay the Contingent Coupon of $0.175 on the first and second Coupon Payment Dates. However, because the closing level of at
least one Underlying was less than its Coupon Barrier on the third through thirty-ninth Observation Dates, JPMorgan Financial
will not pay any Contingent Coupon on the Coupon Payment Dates following those Observation Dates. Accordingly, JPMorgan Financial
will have paid a total of $10.35 per $10.00 principal amount Note for a 3.50% total return over the ten (10) year term of the
Notes.
Example 4 — Notes Are NOT
Automatically Called and the Final Value of Either Underlying Is Below Its Downside Threshold
Date
|
|
Closing
Level
|
|
Payment
(per Note)
|
First Observation
Date
|
|
MXEF
Index:
55.00
|
|
Closing
level of each Underlying below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the
fourth Observation Date. Closing level of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent
Coupon on first Coupon Payment Date.
|
SX5E
Index:
60.00
|
Second Observation Date
|
|
MXEF
Index:
105.00
|
|
Closing level of
the SX5E Index below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the fourth Observation
Date. Closing level of SX5E Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on second Coupon
Payment Date.
|
SX5E
Index:
60.00
|
Third Observation Date
|
|
MXEF
Index:
90.00
|
|
Closing level of
each Underlying below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the fourth
Observation Date. Closing level of SX5E Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on
third Coupon Payment Date.
|
SX5E
Index:
60.00
|
Fourth to Thirty-Ninth
Observation Dates
|
|
Various
(below
Coupon Barrier)
|
|
Closing level of each Underlying
below its Initial Value; Notes NOT automatically called. Closing level of each Underlying below its Coupon Barrier;
Issuer DOES NOT pay Contingent Coupon on any of the fourth to thirty-ninth Coupon Payment Dates.
|
Fortieth Observation Date
(the
Final Valuation Date)
|
|
MXEF
Index:
45.00
|
|
Closing level of
MXEF Index below its Initial Value; Notes NOT automatically called. Closing level of MXEF Index below its Coupon Barrier and
Downside Threshold; Issuer DOES NOT pay Contingent Coupon on Maturity Date, and Issuer will repay less than the principal
amount resulting in a loss proportionate to the decline of the Lesser Performing Underlying.
|
SX5E
Index:
110.00
|
Total
Payments (per $10.00 Note):
|
|
Payment at Maturity:
|
$4.50
|
|
|
Prior Contingent Coupons:
|
$0.00
|
|
|
Total:
|
$4.50
|
|
|
Total Return:
|
-55.00%
|
Because the closing level of
at least one Underlying is less than its Initial Value on each Observation Date on and after the fourth Observation Date (which
is approximately one year after the Trade Date and is the first Observation Date on which the Notes are callable), the Notes are
not automatically called. Because the Final Value of at least one Underlying is less than its Downside Threshold on the Final
Valuation Date, at maturity, JPMorgan Financial will pay you a total of $4.50 per $10.00 principal amount Note, for a -55.00%
total return on the Notes, calculated as follows:
$10.00 ×
(1 + Lesser Performing Underlying Return)
Step 1: Determine the Underlying
Return of each Underlying:
Underlying Return of
the MXEF Index:
(Final
Value – Initial Value)
|
=
|
45.00
– 100.00
|
=
-55.00%
|
Initial Value
|
100.00
|
Underlying Return of
the SX5E Index:
(Final
Value – Initial Value)
|
=
|
110.00
– 100.00
|
=
10.00%
|
Initial Value
|
100.00
|
Step 2: Determine the Lesser
Performing Underlying. The MXEF Index is the Underlying with the lower Underlying Return.
Step 3: Calculate the Payment
at Maturity:
$10.00 ×
(1 + Lesser Performing Underlying Return) = $10.00 × (1 + -55.00%) = $4.50
In addition, because the closing
level of at least one Underlying is less than its Coupon Barrier on each Observation Date, JPMorgan Financial will not pay any
Contingent Coupons over the term of the Notes. Accordingly, JPMorgan Financial will have paid a total of $4.50 per $10.00 principal
amount Note for a -55.00% total return over the ten (10) year term of the Notes.
The hypothetical returns and
hypothetical payments on the Notes shown above apply only if you hold the Notes for their entire term or until automatically
called. 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.
The
Underlyings
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 levels of either Underlying as an indication of future performance.
The
MSCI Emerging Markets Index
The MSCI Emerging Markets
Index is a free-float adjusted market capitalization index that is designed to measure the equity market performance of global
emerging markets. For additional information about the MSCI Emerging Markets Index, see the information set forth under “Equity
Index Descriptions — The MSCI Indices” in the accompanying underlying supplement.