Bond JPMorgan Chase 3.375% ( US48128GYX23 ) in USD

JPMorgan Chase

100 % ⇌

United States

US48128GYX23 ( in USD )

3.375% per year ( payment 2 times a year)

20/06/2026

Prospectus brochure of the bond JP Morgan US48128GYX23 en USD 3.375%, maturity 20/06/2026

1 000 USD

25 000 000 USD

48128GYX2

N/A

A2 ( Upper medium grade - Investment-grade )

20/12/2025 ( In 150 days )

JPMorgan Chase & Co. is a leading global financial services firm offering investment banking, asset and wealth management, and consumer and community banking services.

JPMorgan issued a USD 25,000,000 bond (ISIN: US48128GYX23, CUSIP: 48128GYX2) maturing June 20, 2026, with a 3.375% coupon rate, paying semi-annually, currently trading at 100% and rated A2 by Moody's, minimum purchase size 1,000.

https://www.sec.gov/Archives/edgar/data/19617/000089109219006888/...
424B2 1 e5650_424b2.htm PRICING SUPPLEMENT
Pricing supplement
Registration Statement No. 333-222672
To prospectus dated April 5, 2018,
Dated June 18, 2019
prospectus supplement dated April 5, 2018 and
Rule 424(b)(2)
product supplement no. 1-I dated April 5, 2018
$25,000,000
Fixed to Floating Rate Notes due June 20, 2026
General
·
The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of
JPMorgan Chase & Co.
·
The notes are designed for investors who seek (a) periodic interest payments that (i) for the Initial Interest Periods, are fixed at 3.375% per annum, and
(ii) for each Interest Period (other than the Initial Interest Periods) are linked to a benchmark rate, which will initially be 3-Month USD LIBOR, as
determined on each Determination Date plus 0.30%, provided that this rate will not be less than the Minimum Interest Rate of 0.00% per annum or
greater than the Maximum Interest Rate of 4.00% per annum with respect to the remaining Interest Periods (years 4 to 7), and (b) the return of their
principal amount at maturity. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
·
These notes have a relatively long maturity relative to other fixed income products. Longer-dated notes may be riskier than shorter-dated notes. See
"Selected Risk Considerations" in this pricing supplement.
·
The notes may be purchased in minimum denominations of $1,000 and in integral multiples of $1,000 thereafter.
Key Terms
Issuer:
JPMorgan Chase & Co.
Payment at Maturity:
On the Maturity Date, we will pay you the outstanding principal amount of your notes plus any accrued and unpaid
interest.
Interest:
We will pay you interest on each Interest Payment Date based on the applicable Interest Rate and the applicable Day
Count Fraction, subject to the Interest Accrual Convention described below and in the accompanying product
supplement.
Initial Interest Period(s):
The Interest Periods beginning on and including the Original Issue Date of the notes and ending on but excluding
June 20, 2022
Initial Interest Rate:
3.375% per annum
Interest Periods:
The period beginning on and including the Original Issue Date of the notes and ending on but excluding the first
Interest Payment Date, and each successive period beginning on and including an Interest Payment Date and
ending on but excluding the next succeeding Interest Payment Date, subject to the Interest Accrual Convention
described below and in the accompanying product supplement
Interest Payment Dates:
Interest on the notes will be payable in arrears on the 20th day of each March, June, September and December,
commencing on September 20, 2019, to and including the Maturity Date, subject to the Business Day Convention
and Interest Accrual Convention described below and in the accompanying product supplement.
Interest Rate:
With respect to each Initial Interest Period, a rate per annum equal to the Initial Interest Rate, and, notwithstanding
anything to the contrary in the accompanying product supplement, with respect to each Interest Period thereafter, a
rate per annum equal to the Benchmark Rate, which will initially be 3-Month USD LIBOR, as determined on each
applicable Determination Date, plus 0.30%, provided that this rate will not be less than the Minimum Interest Rate
or greater than the Maximum Interest Rate
Minimum Interest Rate:
0.00% per annum
Maximum Interest Rate:
4.00% per annum
Benchmark Rate:
Initially, 3-Month USD LIBOR; provided that if a Benchmark Transition Event and its related Benchmark
Replacement Date (each as defined in "Annex A -- Effect of Benchmark Transition Event" in this pricing
supplement) have occurred with respect to 3-Month USD LIBOR or the then-current Benchmark Rate, then the
applicable Benchmark Replacement as determined by the alternative procedures set forth under "What Is 3-Month
USD LIBOR?" and "Annex A -- Effect of Benchmark Transition Event" in this pricing supplement.
3-Month USD LIBOR:
Notwithstanding anything to the contrary in the accompanying product supplement, the rate determined by the
calculation agent as the London interbank offered rate for deposits in U.S. dollars having a Designated Maturity of
three months in amounts of at least $1,000,000, as that rate appears on the Reuters Screen LIBOR01 Page at
approximately 11:00 a.m., London time, on the relevant Determination Date, provided that, if no such rate appears on
the Reuters Screen LIBOR01 Page on that Determination Date at approximately 11:00 a.m., London time, then as
determined by the alternative procedures set forth under "What Is 3-Month USD LIBOR?" in this pricing supplement.
Determination Date:
For each Interest Period after the Initial Interest Periods, the second London Business Day immediately preceding the
first day of the applicable Interest Period
London Business Day:
Notwithstanding anything to the contrary in the accompanying product supplement, any day other than a day on which
banking institutions in London, England are authorized or required by law, regulation or executive order to close
Pricing Date:
June 18, 2019
Original Issue Date:
June 20, 2019, subject to the Business Day Convention (Settlement Date)
Maturity Date:
June 20, 2026, subject to the Business Day Convention
Business Day Convention:
Following
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Interest Accrual Convention:
Unadjusted
Day Count Fraction:
30/360
CUSIP:
48128GYX2
Investing in the notes involves a number of risks. See "Risk Factors" beginning on page PS-18 of the accompanying product supplement
and "Selected Risk Considerations" beginning on page PS-2 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved of the notes or passed upon
the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$--
$1,000
Total
$25,000,000
$--
$25,000,000
(1) The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will not receive selling commissions for the notes.
See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or
guaranteed by, a bank.
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Additional Term s Specific to the Notes
You should read this pricing supplement together with the accompanying prospectus, as supplemented by the
accompanying prospectus supplement relating to our Series E medium-term notes of which these notes are a
part, and the more detailed information contained in the accompanying product 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" section of the accompanying product supplement, as the notes involve risks
not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed,
by reviewing our filings for the relevant date on the SEC website):
·
Product supplement no. 1-I dated April 5, 2018: http://www.sec.gov/Archives/edgar/data/19617
/000089109218003346/e78092_424b2.htm
·
Prospectus supplement and prospectus, each dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004508/dp87767_424b2-ps.pdf
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this pricing supplement, "we," "us" and
"our" refer to JPMorgan Chase & Co.
Selected Purchase Considerations
·
PRESERVATION OF CAPITAL AT MATURITY -- Regardless of the performance of the Benchmark Rate, we will
pay you at least the principal amount of your notes if you hold the notes to maturity. Because the notes are
our unsecured and unsubordinated obligations, payment of any amount on the notes is subj ect to our
ability to pay our obligations as they become due.
·
PERIODIC INTEREST PAYMENTS -- The notes offer periodic interest payments on each Interest Payment
Date. With respect to the Initial Interest Periods, your notes will pay an annual interest rate equal to the Initial
Interest Rate, and for the applicable Interest Periods thereafter, your notes will pay an interest rate per annum
equal to the Benchmark Rate, which will initially be 3-Month USD LIBOR, plus 0.30%, provided that this rate
will not be less than the Minimum Interest Rate or greater than the Maximum Interest Rate. The yield on the
notes may be less than the overall return you would receive from a conventional debt security that you could
purchase today with the same maturity as the notes.
·
TAX TREATMENT -- You should review the section entitled "Material U.S. Federal Income Tax
Consequences" in this pricing supplement carefully and consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes.
·
INSOLVENCY AND RESOLUTION CONSIDERATIONS -- The notes constitute "loss-absorbing capacity" within
the meaning of the final rules (the "TLAC rules") issued by the Board of Governors of the Federal Reserve
System (the "Federal Reserve") on December 15, 2016 regarding, among other things, the minimum levels of
unsecured external long-term debt and other loss-absorbing capacity that certain U.S. bank holding
companies, including JPMorgan Chase & Co., are required to maintain. Such debt must satisfy certain
eligibility criteria under the TLAC rules. If JPMorgan Chase & Co. were to enter into resolution, either in a
proceeding under Chapter 11 of the U.S. Bankruptcy Code or in a receivership administered by the Federal
Deposit Insurance Corporation (the "FDIC") under Title II of the Dodd-Frank Wall Street Reform and Consumer
Protection Act of 2010 (the "Dodd-Frank Act"), holders of the notes and other debt and equity securities of
JPMorgan Chase & Co. will absorb the losses of JPMorgan Chase & Co. and its affiliates.
Under Title I of the Dodd-Frank Act and applicable rules of the Federal Reserve and the FDIC, JPMorgan
Chase & Co. is required to submit periodically to the Federal Reserve and the FDIC a detailed plan (the
"resolution plan") for the rapid and orderly resolution of JPMorgan Chase & Co. and its material subsidiaries
under the U.S. Bankruptcy Code and other applicable insolvency laws in the event of material financial
distress or failure. JPMorgan Chase & Co.'s preferred resolution strategy under its resolution plan
contemplates that only JPMorgan Chase & Co. would enter bankruptcy proceedings under Chapter 11 of the
U.S. Bankruptcy Code pursuant to a "single point of entry" recapitalization strategy. JPMorgan Chase & Co.'s
subsidiaries would be recapitalized as needed so that they could continue normal operations or subsequently
be wound down in an orderly manner. As a result, JPMorgan Chase & Co.'s losses and any losses incurred by
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its subsidiaries would be imposed first on holders of JPMorgan Chase & Co.'s equity securities and thereafter
on unsecured creditors, including holders of the notes and other securities of JPMorgan Chase & Co. Claims
of holders of the notes and those other debt securities would have a junior position to the claims of creditors
of JPMorgan Chase & Co.'s subsidiaries and to the claims of priority (as determined by statute) and secured
creditors of JPMorgan Chase & Co. Accordingly, in a resolution of JPMorgan Chase & Co. under Chapter 11
of the U.S. Bankruptcy Code, holders of the notes and other debt securities of JPMorgan Chase & Co. would
realize value only to the extent available to JPMorgan Chase & Co. as a shareholder of JPMorgan Chase
Bank, N.A. and its other subsidiaries and only after any claims of priority and secured creditors of JPMorgan
Chase & Co. have been fully repaid. If JPMorgan Chase & Co. were to enter into a resolution, none of
JPMorgan Chase & Co., the Federal Reserve or the FDIC is obligated to follow JPMorgan Chase & Co.'s
preferred resolution strategy under its resolution plan.
The FDIC has similarly indicated that a single point of entry recapitalization model could be a desirable
strategy to resolve a systemically important financial institution, such as JPMorgan Chase & Co., under
JPMorgan Structured Investments --
PS- 1
Fixed to Floating Rate Notes
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Title II of the Dodd-Frank Act ("Title II"). Pursuant to that strategy, the FDIC would use its power to create a
"bridge entity" for JPMorgan Chase & Co.; transfer the systemically important and viable parts of JPMorgan
Chase & Co.'s business, principally the stock of JPMorgan Chase & Co.'s main operating subsidiaries and any
intercompany claims against such subsidiaries, to the bridge entity; recapitalize those subsidiaries using
assets of JPMorgan Chase & Co. that have been transferred to the bridge entity; and exchange external debt
claims against JPMorgan Chase & Co. for equity in the bridge entity. Under this Title II resolution strategy, the
value of the stock of the bridge entity that would be redistributed to holders of the notes and other debt
securities of JPMorgan Chase & Co. may not be sufficient to repay all or part of the principal amount and
interest on the notes and those other securities. To date, the FDIC has not formally adopted a single point of
entry resolution strategy, and it is not obligated to follow such a strategy in a Title II resolution of JPMorgan
Chase & Co.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks are explained in more detail in the "Risk Factors"
section of the accompanying product supplement.
Risks Relating to the Notes Generally
·
THE NOTES ARE NOT ORDINARY DEBT SECURITIES BECAUSE, OTHER THAN DURING THE INITIAL
INTEREST PERIODS, THE INTEREST RATE ON THE NOTES IS A FLOATING RATE AND MAY BE EQUAL TO
THE MINIMUM INTEREST RATE -- With respect to the Initial Interest Periods, your notes will pay a rate equal
to the Initial Interest Rate, and for the applicable Interest Periods thereafter, your notes will pay a rate per
annum equal to the Benchmark Rate, which will initially be 3-Month USD LIBOR, plus 0.30%, provided that
this rate will not be less than the Minimum Interest Rate or greater than the Maximum Interest Rate. If the
Interest Rate for an Interest Period after the Initial Interest Periods is equal to the Minimum Interest Rate,
which will occur if the Benchmark Rate on the applicable Determination Date is less than or equal to -0.30%
per annum, no interest will be payable with respect to that Interest Period. Accordingly, if the Benchmark
Rate on the Determination Dates for some or all of the Interest Periods after the Initial Interest Periods is less
than or equal to -0.30% per annum, you may not receive any interest payments for an extended period over
the term of the notes.
·
AFTER THE INITIAL INTEREST PERIODS, THE INTEREST RATE ON THE NOTES IS BASED ON THE
BENCHMARK RATE -- The amount of interest, if any, payable on the notes will depend on a number of
factors that could affect the levels of the Benchmark Rate, and in turn, could affect the value of the notes.
These factors include (but are not limited to) the expected volatility of the Benchmark Rate, interest and yield
rates in the market generally, the performance of capital markets, monetary policies, fiscal policies, regulatory
or judicial events, inflation, general economic conditions, and public expectations with respect to such
factors. These and other factors may have a negative impact on the Benchmark Rate and on the value of the
notes in the secondary market. The effect that any single factor may have on the Benchmark Rate may be
partially offset by other factors. We cannot predict the factors that may cause the Benchmark Rate, and
consequently the Interest Rate for an Interest Period (other than an Initial Interest Period), to increase or
decrease. A decrease in the Benchmark Rate will result in a reduction of the applicable Interest Rate used to
calculate the Interest for any Interest Period.
·
FLOATING RATE NOTES DIFFER FROM FIXED RATE NOTES -- After the Initial Interest Periods, the rate of
interest on your notes will be variable and determined based on the Benchmark Rate plus 0.30%, provided
that this rate will not be less than the Minimum Interest Rate or greater than the Maximum Interest Rate,
which may be less than returns otherwise payable on notes issued by us with similar maturities. You should
consider, among other things, the overall potential annual percentage rate of interest to maturity of the notes
as compared to other investment alternatives.
·
AFTER THE INITIAL INTEREST PERIODS, THE INTEREST RATE OF THE NOTES IS CAPPED BY THE
APPLICABLE MAXIMUM INTEREST RATE -- After the Initial Interest Periods, the Interest Rate for each
Interest Period is subject to a Maximum Interest Rate, regardless of any appreciation of the Benchmark Rate,
which may be significant. The Maximum Interest Rate is 4.00% per annum with respect to the Interest
Periods after the Initial Interest Periods (years 4 to 7).
·
LONGER-DATED NOTES MAY BE RISKIER THAN SHORTER-DATED NOTES -- By purchasing a note with a
longer tenor, you are more exposed to fluctuations in interest rates than if you purchased a note with a shorter
tenor. The present value of a longer-dated note tends to be more sensitive to rising interest rates than the
present value of a shorter-dated note. If interest rates rise, the present value of a longer-dated note will fall
faster than the present value of a shorter-dated note. You should purchase these notes only if you are
comfortable with owning a note with a longer tenor.
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·
CREDIT RISK OF JPMORGAN CHASE & CO. -- The notes are subject to the credit risk of JPMorgan Chase &
Co., and our credit ratings and credit spreads may adversely affect the market value of the notes. Investors are
dependent on JPMorgan Chase & Co.'s ability to pay all amounts due on the notes. Any actual or potential
change in our creditworthiness or credit spreads, as determined by the market for taking our credit risk, is likely
to adversely affect the value of the notes. If we were to default on our payment obligations, you may not
receive any amounts owed to you under the notes and you could lose your entire investment.
·
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 as an agent of the offering of the notes and hedging our
obligations under the notes. In performing these duties, our 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 business activities, including hedging and trading activities for our own accounts or on
behalf of customers, could cause our 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
JPMorgan Structured Investments --
PS- 2
Fixed to Floating Rate Notes
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Factors -- Risks Relating to Conflicts of Interest" in the accompanying product supplement for additional
information about these risks.
In addition, if the Benchmark Rate is not published or if the calculation agent determines on or prior to a
Determination Date that a Benchmark Transition Event and its related Benchmark Replacement Date (each
as defined in "Annex A -- Effect of Benchmark Transition Event" in this pricing supplement) have occurred
with respect to the Benchmark Rate, then the Benchmark Rate will be determined by the alternative
procedures set forth under "What Is 3-Month USD LIBOR?" and "Annex A -- Effect of Benchmark Transition
Event" in this pricing supplement, which may adversely affect the return on and the market value of the notes.
Furthermore, ICE Benchmark Administration Limited calculates 3-Month USD LIBOR using submissions from
contributing banks, including an affiliate of ours. We and our affiliates will have no obligation to consider
your interests as a holder of the notes in taking any actions in connection with acting as a 3-Month USD
LIBOR contributing bank that might affect 3-Month USD LIBOR or the notes.
·
CERTAIN BUILT-IN COSTS ARE LIKELY TO AFFECT ADVERSELY THE VALUE OF THE NOTES PRIOR TO
MATURITY -- While the payment at maturity described in this pricing supplement is based on the full
principal amount of your notes, the original issue price of the notes includes the and the estimated cost of
hedging our obligations under the notes through one or more of our affiliates. As a result, the price, if any, at
which JPMS will be willing to purchase notes from you in secondary market transactions, if at all, will likely be
lower than the original issue price and any sale prior to the Maturity Date could result in a substantial loss to
you. This secondary market price will also be affected by a number of factors aside from the hedging costs,
including those referred to under "Many Economic and Market Factors Will Impact the Value of the Notes"
below.
The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your notes to maturity.
·
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.
·
MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES -- In addition to the
Benchmark Rate, which will initially be 3-Month USD LIBOR, on any day, the value of the notes will be
affected by a number of economic and market factors that may either offset or magnify each other, including:
·
any actual or potential change in our creditworthiness or credit spreads;
·
the actual and expected volatility of the Benchmark Rate;
·
the actual or potential cessation of 3-Month USD LIBOR;
·
the time to maturity of the notes;
·
interest and yield rates in the market generally, as well as the volatility of those rates; and
·
a variety of economic, financial, political, regulatory or judicial events.
Risks Relating to the Benchmark Rate
·
3-MONTH USD LIBOR WILL BE AFFECTED BY A NUMBER OF FACTORS -- The amount of interest payable
on the notes (after the Initial Interest Periods) will initially depend on 3-Month USD LIBOR. 3-Month USD
LIBOR will depend on a number of factors, including, but not limited to:
·
supply and demand among banks in London for U.S. dollar-denominated deposits with
approximately a three month term;
·
sentiment regarding underlying strength in the U.S. and global economies;
·
expectations regarding the level of price inflation;
·
sentiment regarding credit quality in the U.S. and global credit markets;
·
central bank policy regarding interest rates;
·
inflation and expectations concerning inflation;
·
performance of capital markets; and
·
any statements from public government officials regarding the cessation of LIBOR.
These and other factors may have a negative effect on the performance of 3-Month USD LIBOR, on the
payment of interest on the notes and on the value of the notes in the secondary market.
·
3-MONTH USD LIBOR MAY BE VOLATILE -- 3-Month USD LIBOR is subject to volatility due to a variety of
factors affecting interest rates generally, including, but not limited to:
·
sentiment regarding underlying strength in the U.S. and global economies;
·
expectations regarding the level of price inflation;
·
sentiment regarding credit quality in U.S. and global credit markets;
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·
central bank policy regarding interest rates; and
·
performance of capital markets.
·
3-MONTH USD LIBOR MAY BE REPLACED BY A SUCCESSOR OR SUBSTITUTE INTEREST RATE -- On July
27, 2017, the Chief Executive of the U.K. Financial Conduct Authority (the "FCA"), which regulates the
London Interbank Offered Rate ("LIBOR"), announced that the FCA will no longer persuade or compel banks
to submit rates for the calculation of LIBOR (including the 3-Month USD LIBOR rate) after 2021. Such
announcement indicates that the continuation of LIBOR on the current basis cannot be guaranteed after
2021, and there is a substantial risk that LIBOR will be discontinued or modified by 2021.
If the calculation agent determines that a Benchmark Transition Event and its related Benchmark
Replacement Date have occurred with respect to 3-Month USD LIBOR, then a Benchmark Replacement will
be selected by the calculation agent in accordance with the benchmark transition provisions of the notes
described under "Annex A -- Effect of Benchmark Transition Event" in this pricing supplement. The selection
of a Benchmark Replacement, and any decisions, determinations or elections made by the
JPMorgan Structured Investments --
PS- 3
Fixed to Floating Rate Notes
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calculation agent or by us in connection with implementing a Benchmark Replacement with respect to the
notes in accordance with the benchmark transition provisions, could result in adverse consequences to the
relevant Interest Rate on the notes during the applicable Interest Period (after the Initial Interest Periods),
which could adversely affect the return on, value of and market for the notes. Further, there is no assurance
that the characteristics of any Benchmark Replacement will be similar to 3-Month USD LIBOR, or that any
Benchmark Replacement will produce the economic equivalent of 3-Month USD LIBOR.
JPMS, an affiliate of ours, is currently the calculation agent for the notes. In the future, we may appoint
another firm, ourselves or another affiliate of ours as the calculation agent. If the calculation agent fails to
make any determination, decision or election that it is required to make pursuant to the benchmark transition
provisions described above, then we will make that determination, decision or election.
·
UNCERTAINTY AS TO THE FUTURE REGULATION AND REFORM OF LIBOR AND OTHER BENCHMARKS
MAY ADVERSELY AFFECT 3-MONTH USD LIBOR AND OTHER BENCHMARKS AND THEREFORE THE
RETURN ON AND THE MARKET VALUE OF THE NOTES -- LIBOR and other interest rate, equity, foreign
exchange rate and other types of indices which are deemed to be "benchmarks," including those in
widespread and long-standing use, have been the subject of recent international, national and other
regulatory scrutiny and initiatives and proposals for reform. Some of these reforms are already effective while
others are still to be implemented or are under consideration. These reforms may cause such benchmarks to
perform differently than in the past, or to disappear entirely, or have other consequences which cannot be
predicted. Any such consequence could have a material adverse effect on the return on, value of and market
for the notes.
Any of the benchmark reforms which have been proposed or implemented, or the general increased
regulatory scrutiny of LIBOR and other benchmarks, could increase the costs and risks of administering or
otherwise participating in the setting of such benchmarks and complying with regulations or requirements
relating to benchmarks. Such factors may have the effect of discouraging market participants from continuing
to administer or contribute to certain benchmarks, trigger changes in the rules or methodologies used in
certain benchmarks or lead to the disappearance of certain benchmarks. In particular, changes in the manner
of administration of LIBOR could result in adverse consequences to the applicable Interest Rate on the notes
during the applicable Interest Period (after the Initial Interest Periods), which could adversely affect the return
on, value of and market for the notes.
·
THE OCCURRENCE OF A BENCHMARK TRANSITION EVENT AND THE POTENTIAL RELIANCE ON THE
SECURED OVERNIGHT FINANCING RATE TO DETERMINE THE RATE OF INTEREST (AFTER THE INITIAL
INTEREST PERIODS) MAY ADVERSELY AFFECT THE RETURN ON AND THE MARKET VALUE OF THE
NOTES -- Under the benchmark transition provisions of the notes, if a Benchmark Transition Event and its
related Benchmark Replacement Date occur with respect to 3-Month USD LIBOR, and if the calculation
agent cannot determine 3-Month USD LIBOR by means of interpolating from other tenors of USD LIBOR,
then the rate of interest on the notes during the applicable Interest Period (after the Initial Interest Periods)
will be determined based on the Secured Overnight Financing Rate ("SOFR") (unless a Benchmark Transition
Event and its related Benchmark Replacement Date also occur with respect to the Benchmark Replacements
that are linked to SOFR, in which case the rate of interest will be based on the next-available Benchmark
Replacement). In the following discussion of SOFR, when we refer to SOFR-linked notes, we mean the notes
at any time when the rate of interest on the notes is or will be determined based on SOFR.
Because SOFR is published by Federal Reserve Bank of New York ("FRBNY") based on data received from
other sources, we have no control over its determination, calculation or publication. There can be no
assurance that SOFR will not be discontinued or fundamentally altered in a manner that is materially adverse
to the interests of investors in the SOFR-linked notes. If the manner in which SOFR is calculated is changed,
that change may result in a reduction of the amount of interest payable on the SOFR-linked notes, which
may adversely affect the trading prices of the SOFR-linked notes. If the rate at which interest accrues on the
notes during the applicable Interest Period (after the Initial Interest Periods) on any day or for any Interest
Period (after the Initial Interest Periods) declines to less than or equal to -0.30%, no interest will be payable
on the notes with respect to that day or Interest Period.
FRBNY started publishing SOFR in April 2018. FRBNY has also started publishing historical indicative
Secured Overnight Financing Rates dating back to 2014, although such historical indicative data inherently
involves assumptions, estimates and approximations. Investors should not rely on such historical indicative
data or on any historical changes or trends in SOFR as an indicator of the future performance of SOFR. Since
the initial publication of SOFR, daily changes in the rate have, on occasion, been more volatile than daily
changes in comparable benchmark or market rates, and SOFR over the term of the notes may bear little or no
relation to the historical actual or historical indicative data. In addition, the return on and value of the SOFR-
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https://www.sec.gov/Archives/edgar/data/19617/000089109219006888/...
linked notes may fluctuate more than floating rate debt securities that are linked to less volatile rates. An
established trading market for the SOFR-linked notes may never develop or may not be very liquid. Market
terms for debt securities that are linked to SOFR, such as the spread over the base rate reflected in the
interest rate provisions, may evolve over time, and as a result, trading prices of the SOFR-linked notes may be
lower than those of later-issued debt securities that are linked to SOFR. Similarly, if SOFR does not prove to
be widely used in debt securities that are similar or comparable to the SOFR-linked notes, the trading price of
the SOFR-linked notes may be lower than those of debt securities that are linked to rates that are more widely
used. Investors in the SOFR-linked notes may not be able to sell the SOFR-linked notes at all or may not be
able to sell the SOFR-linked notes at prices that will provide them with a yield comparable to similar
investments that have a developed secondary market, and may consequently suffer from increased pricing
volatility and market risk. For more information, see "Annex B -- Supplemental Information About SOFR" in
this pricing supplement.
·
UNCERTAINTY AS TO SOME OF THE POTENTIAL BENCHMARK REPLACEMENTS AND ANY BENCHMARK
REPLACEMENT CONFORMING CHANGES WE MAKE MAY ADVERSELY AFFECT
JPMorgan Structured Investments --
PS- 4
Fixed to Floating Rate Notes
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