Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes
of which these Notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the Notes and
supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative
pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational
materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying product supplement and the accompanying underlying supplement, as the Notes involve risks not associated
with conventional debt securities.
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
For purposes of the accompanying product supplement, each
of the MSCI Emerging Markets Index, the Russell 2000® Index and the EURO STOXX 50® Index is an “Index.”
Observation
Dates and Coupon Payment Dates
Observation
Dates†
|
Coupon
Payment Dates†
|
February
6, 2020
|
February
11, 2020
|
May
6, 2020
|
May
11, 2020
|
August
6, 2020
|
August
11, 2020
|
November
6, 2020
|
November
12, 2020
|
February
8, 2021
|
February
11, 2021
|
May
6, 2021
|
May
11, 2021
|
August
6, 2021
|
August
11, 2021
|
November
8, 2021
|
November
12, 2021
|
February
7, 2022
|
February
10, 2022
|
May
6, 2022
|
May
11, 2022
|
August
8, 2022
|
August
11, 2022
|
November
7, 2022
|
November
10, 2022
|
February
6, 2023
|
February
9, 2023
|
May
8, 2023
|
May
11, 2023
|
August
7, 2023
|
August
10, 2023
|
November
6, 2023
|
November
9, 2023
|
February
6, 2024
|
February
9, 2024
|
May
6, 2024
|
May
9, 2024
|
August
6, 2024
|
August
9, 2024
|
November
6, 2024
|
November
12, 2024
|
February
6, 2025
|
February
11, 2025
|
May
6, 2025
|
May
9, 2025
|
August
6, 2025
|
August
11, 2025
|
November
6, 2025
|
November
12, 2025
|
February
6, 2026
|
February
11, 2026
|
May
6, 2026
|
May
11, 2026
|
August
6, 2026
|
August
11, 2026
|
November
6, 2026
|
November
12, 2026
|
February
8, 2027
|
February
11, 2027
|
May
6, 2027
|
May
11, 2027
|
August
6, 2027
|
August
11, 2027
|
November
8, 2027
|
November
12, 2027
|
February
7, 2028
|
February
10, 2028
|
May
8, 2028
|
May
11, 2028
|
August
7, 2028
|
August
10, 2028
|
November
6, 2028
|
November
9, 2028
|
February
6, 2029
|
February
9, 2029
|
May
7, 2029
|
May
10, 2029
|
August
6, 2029
|
August
9, 2029
|
November
6, 2029 (the Final Valuation Date)
|
November
9, 2029 (the Maturity Date)
|
†The Notes are not callable until the fourth
Observation Date, November 6, 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, our special tax counsel is of the opinion that Section 871(m) should 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. 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 any or all of the Underlyings. These risks are explained in more detail
in the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying supplement. We
also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
|
t
|
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 any Underlying has declined below its Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation
of the Least 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 Least Performing Underlying. Under these circumstances, you will lose 1% of your principal for every 1% that the Final Value
of the Least 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 any Underlying.
|
|
t
|
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.
|
|
t
|
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.
|
|
t
|
You Are Not Guaranteed Any Contingent Coupons — We will not necessarily make periodic coupon payments on the Notes.
If the closing level of any 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 levels of the other Underlyings are greater than or equal to their respective
Coupon Barriers 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 any 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.
|
|
t
|
Return on the Notes Limited to the Sum of Any Contingent Coupons and You Will Not Participate in Any Appreciation of Any
Underlying — The return potential of the Notes is limited to the specified Contingent Coupon Rate, regardless of the
appreciation of any 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 any 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 more of the
Underlyings and the shorter time remaining for the level of any 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 any Underlying. In addition, if the Notes are not called and the Final Value of any 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.
|
|
t
|
Because the Notes Are Linked to the Least 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 or to two Underlyings. With three Underlyings, it is more likely that the closing level of an 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.
|
The lower the correlation between any
two of the 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 and with three Underlyings
there is a greater potential that one
pair of Underlyings will have low or negative correlation. In addition, for each additional Underlying to which the Notes are linked,
there is a greater potential for one pair of Underlyings to have low or negative correlation. Therefore, the greater the number
of Underlyings, the greater the potential for missed Contingent Coupons and for a loss of principal at maturity. Although the correlation
of the 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 and/or a greater number of Underlyings, which reflects a greater potential for missed Contingent Coupons and for a
loss of principal at maturity. The correlations referenced in setting the terms of the Notes are calculated using internal models
of our affiliates and are 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.
|
t
|
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 each of the Underlyings. In addition, the performance of the Underlyings may not be correlated. Poor performance
by any 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 any of the other
Underlyings. Accordingly, your investment is subject to the risk of decline in the value of each Underlying.
|
|
t
|
Your Payment at Maturity Will Be Determined By the Least Performing Underlying — Because the payment at maturity
will be determined based on the performance of the Least Performing Underlying, you will not benefit from the performance of any
of the other Underlyings. Accordingly, if the Notes have not been automatically called and the Final Value of any 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 either
or both of the other Underlyings is greater than or equal to its Initial Value.
|
|
t
|
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 all of the 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 any 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 Least Performing Underlying from its Initial Value to its Final Value. This contingent repayment of
principal applies only if you hold your Notes to maturity.
|
|
t
|
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.
|
|
t
|
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.
|
|
t
|
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.
|
|
t
|
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 any Underlying is less than its Coupon Barrier, you will not receive any Contingent Coupon
with respect to that Observation Date, even if the closing levels of the other Underlyings is equal to or greater than their respective
Coupon Barriers and even if the closing level of that Underlying was higher on other days during the period before that Observation
Date.
|
|
t
|
The Estimated Value of the Notes Is 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 exceeds
the estimated value of the Notes because costs associated with selling, structuring and hedging the Notes are included in the original
issue price of the Notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect
to realize for assuming risks inherent in hedging our obligations under the Notes and the estimated cost of hedging our obligations
under the Notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
t
|
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.
|
|
t
|
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.
|
|
t
|
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 selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. See “Secondary Market Prices of the 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).
|
|
t
|
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 selling commissions, 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.
|
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.
|
t
|
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 selling commissions, projected hedging profits, if any, estimated hedging costs and the levels
of the Underlyings, including:
|
|
t
|
any actual or potential change in our or JPMorgan Chase
& Co.’s creditworthiness or credit spreads;
|
|
t
|
customary bid-ask spreads for similarly sized trades;
|
|
t
|
our internal secondary market funding rates for structured debt issuances;
|
|
t
|
the actual and expected volatility in the levels of the Underlyings;
|
|
t
|
the time to maturity of the Notes;
|
|
t
|
the likelihood of an automatic call being triggered;
|
|
t
|
whether the closing level of any Underlying has been, or is expected to be, less than its Coupon Barrier on any Observation
Date and whether the Final Value of any Underlying is expected to be less than its Downside Threshold;
|
|
t
|
the dividend rates on the equity securities underlying the Underlyings;
|
|
t
|
the actual and expected positive or negative correlation between the Underlyings, or the actual or expected absence of any
such correlation;
|
|
t
|
interest and yield rates in the market generally;
|
|
t
|
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 MSCI Emerging Markets Index and the EURO STOXX 50® Index trade and the correlation
among those rates and the levels of the MSCI Emerging Markets Index and the EURO STOXX 50® Index; and
|
|
t
|
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 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.
|
t
|
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.
|
|
t
|
We Cannot Control Actions by the Sponsor of Any Underlying and That Sponsor Has No
Obligation to Consider Your Interests — We and our affiliates are not affiliated with the sponsor of any Underlying and
have no ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods
or policies relating to the calculation of that Underlying. The sponsor of each Underlying is not involved in this 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.
|
|
t
|
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.
|
|
t
|
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.
|
|
t
|
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.
|
|
t
|
Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS, UBS or
their affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding
the 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.
|
|
t
|
Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax
adviser about your tax situation.
|
|
t
|
Potential JPMorgan Financial Impact on the Level of an Underlying — Trading or transactions by JPMorgan Financial
or its affiliates in an Underlying 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.
|
Risks Relating to the Underlyings
|
t
|
Non-U.S. Securities Risk with Respect to the MSCI Emerging Markets Index and the EURO
STOXX 50® Index — The equity securities included in the MSCI Emerging Markets Index and the EURO STOXX
50® 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 about U.S. companies that are subject to the reporting requirements of the SEC.
|
|
t
|
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.
|
|
t
|
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:
|
|
t
|
existing and expected rates of inflation;
|
|
t
|
existing and expected interest rate levels;
|
|
t
|
the balance of payments in the countries issuing those currencies and the United States and between each country and its major
trading partners;
|
|
t
|
political, civil or military unrest in the countries issuing those currencies and the United States; and
|
|
t
|
the extent of government surpluses or deficits in the countries issuing those currencies and the United States.
|
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.
|
t
|
An Investment in the Notes is Subject to Risks Associated with Small Capitalization Stocks with Respect to the Russell
2000® Index — The equity securities included in the Russell
2000® Index are issued by companies with relatively small market capitalization. The stock prices of smaller
companies may be more volatile than stock prices of large capitalization companies. Small capitalization companies may be less
able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. These companies tend
to be less well-established than large market capitalization companies. Small capitalization companies are less likely to pay dividends
on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse
market conditions.
|
|
t
|
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.
|
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 any 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, the Russell 2000® Index and the EURO STOXX 50® Index
as the “MXEF Index”, the “RTY Index” and the “SX5E Index,” respectively.
Principal Amount:
|
$10.00
|
Term:
|
Approximately 10 years (unless earlier called)
|
Hypothetical Initial Value:
|
100.00 for the MXEF Index, 100.000 for the RTY Index and 100.00 for the SX5E Index
|
Contingent Coupon Rate:
|
7.20% per annum (or 1.80% per quarter)
|
Observation Dates:
|
Quarterly (callable after one year)
|
Hypothetical Downside Threshold:
|
70.00 for the MXEF Index, 70.000 for the RTY Index and 70.00 for the SX5E Index (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying)
|
Hypothetical Coupon Barrier:
|
70.00 for the MXEF Index, 70.000 for the RTY Index and 70.00 for the SX5E Index (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying)
|
*
|
Terms used for purposes of these hypothetical examples
do not represent the actual Initial Values, Coupon Barriers or Downside Thresholds. The hypothetical Initial Values of 100.00
for the MXEF Index, 100.000 for the RTY Index and 100.00 for the SX5E Index have been chosen for illustrative purposes only
and do not represent the actual Initial Value for any Underlying. The actual Initial Value and resulting Downside Threshold
and Coupon Barrier of each Underlying are based on the closing level of that Underlying on November 6, 2019 and are specified
on the cover of this pricing supplement. 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”, “The
Russell 2000® Index” and “The EURO STOXX 50® Index” below.
|
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 any 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 any 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 any or all 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
|
|
Closing
Level
|
|
Payment
(per Note)
|
First Observation Date
|
|
MXEF
Index:
105.00
RTY
Index:
110.000
|
|
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 $0.18 on first Coupon Payment Date.
|
|
|
SX5E
Index:
115.00
|
|
|
Second Observation Date
|
|
MXEF
Index:
80.00
RTY
Index:
90.000
SX5E
Index:
60.00
|
|
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 second Coupon Payment Date.
|
Third Observation Date
|
|
MXEF
Index:
60.00
RTY
Index:
80.000
SX5E
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 MXEF Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
Fourth
Observation Date
|
|
MXEF
Index:
110.00
RTY
Index:
115.000
SX5E
Index:
105.00
|
|
Closing
level of each Underlying at or above its Initial Value; Notes are automatically called; Issuer repays principal plus
pays Contingent Coupon of $0.18 on Call Settlement Date.
|
Total
Payments (per $10.00 Note):
|
|
Payment on Call Settlement
Date:
|
$10.18 ($10.00 + $0.18)
|
|
|
Prior Contingent Coupons:
|
$0.18 ($0.18 × 1)
|
|
|
Total:
|
$10.36
|
|
|
Total Return:
|
3.60%
|
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 $10.18 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
$0.18 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 $10.36 per $10.00 principal
amount Note for a 3.60% 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
RTY
Index:
110.000
SX5E
Index:
105.00
|
|
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 $0.18 on first Coupon Payment Date.
|
Second Observation Date
|
|
MXEF
Index:
80.00
RTY
Index:
90.000
SX5E
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 each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.18 on second Coupon Payment Date.
|
Third Observation Date
|
|
MXEF
Index:
85.00
RTY
Index:
60.000
SX5E
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 RTY Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
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
RTY
Index:
80.000
SX5E
Index:
105.00
|
|
Closing level of RTY Index below its Initial Value;
Notes NOT automatically called. Final Value of each Underlying above its Downside Threshold; Issuer repays principal
plus pays Contingent Coupon of $0.18 on Maturity Date.
|
Total
Payments (per $10.00 Note):
|
|
Payment
at Maturity:
|
$10.18
($10.00 + $0.18)
|
|
|
Prior Contingent
Coupons:
|
$0.36 ($0.18 ×
2)
|
|
|
Total:
|
$10.54
|
|
|
Total Return:
|
5.40%
|
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 $10.18 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 $0.18 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 $10.54 per
$10.00 principal amount Note for a 5.40% total return over the approximately 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 Any Underlying Is Below Its Coupon Barrier
Date
|
|
Closing
Level
|
|
Payment
(per Note)
|
First Observation Date
|
|
MXEF
Index:
115.00
RTY
Index:
110.000
SX5E
Index:
105.00
|
|
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 $0.18 on first Coupon Payment Date.
|
Second Observation Date
|
|
MXEF
Index:
80.00
RTY
Index:
90.000
SX5E
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 each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.18 on second Coupon Payment Date.
|
Third Observation Date
|
|
MXEF
Index:
85.00
RTY
Index:
60.000
SX5E
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 RTY Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
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
RTY
Index:
105.000
SX5E
Index:
60.00
|
|
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.
|
Total
Payments (per $10.00 Note):
|
|
Payment
at Maturity:
|
$10.00
|
|
|
Prior Contingent
Coupons:
|
$0.36 ($0.18 ×
2)
|
|
|
Total:
|
$10.36
|
|
|
Total Return:
|
3.60%
|
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 $0.18 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 $10.36 per
$10.00 principal amount Note for a 3.60% total return over the approximately ten (10) year term of the Notes.
Example 4 — Notes Are NOT Automatically Called and the Final Value of Any Underlying Is Below Its Downside Threshold
Date
|
|
Closing
Level
|
|
Payment
(per Note)
|
First Observation Date
|
|
MXEF
Index:
55.00
RTY
Index:
60.000
SX5E
Index:
50.00
|
|
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.
|
Second Observation Date
|
|
MXEF
Index:
105.00
RTY
Index:
60.000
SX5E
Index:
110.00
|
|
Closing level of the RTY Index below its Initial
Value; Notes NOT automatically callable because Observation Date is prior to the fourth Observation Date. Closing
level of RTY Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
|
Third Observation Date
|
|
MXEF
Index:
90.00
RTY
Index:
60.000
SX5E
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 RTY Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
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
RTY
Index:
110.000
SX5E
Index:
80.00
|
|
Closing level of MXEF Index below its Initial
Value; Notes NOT automatically called. Closing level of MXEF Index below its 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 Least Performing Underlying.
|
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 + Least 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 RTY Index:
(Final Value – Initial Value)
|
=
|
110.000
– 100.000
|
= 10.00%
|
Initial Value
|
100.000
|
Underlying Return of the SX5E Index:
(Final Value – Initial Value)
|
=
|
80.00
– 100.00
|
= 20.00%
|
Initial Value
|
100.00
|
Step 2: Determine the Least Performing Underlying. The
MXEF Index is the Underlying with the lowest Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10.00 × (1 + Least 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 approximately 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 any 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.