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, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
Pricing supplement to product supplement no.
4-I dated April 8, 2020, underlying supplement no. 1-I dated April 8, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan
Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Funds:
The Financial Select Sector SPDR® Fund (Bloomberg ticker: XLF), the Technology Select
Sector SPDR® Fund (Bloomberg ticker: XLK) and the SPDR® S&P® Bank ETF (Bloomberg
ticker: KBE)
Contingent
Interest Payments: If the Notes have not been automatically called and the closing price of one share of each Fund on
any Observation Date is greater than or equal to its Coupon Barrier, you will receive on the applicable Contingent Interest Payment
Date for each $1,000 principal amount Note a Contingent Interest Payment equal to $37.50 (equivalent to a Contingent Interest Rate
of 15.00% per annum, payable at a rate of 3.75% per quarter).
If the closing price of one share of any Fund on any Observation
Date is less than its Coupon Barrier, no Contingent Interest Payment will be made with respect to that Observation Date.
Contingent
Interest Rate: 15.00% per annum, payable at a rate of 3.75% per quarter
Coupon Barrier / Trigger Value:
With respect to each Fund, 65.60% of its Initial Value, which is $17.21344 for the Financial Select Sector SPDR®
Fund, $66.52496 for the Technology Select Sector SPDR® Fund and $24.04896 for the SPDR® S&P®
Bank ETF
Initial
Valuation Date: June 5, 2020
Original
Issue Date (Settlement Date): On or about June 11, 2020
Observation
Dates*: September 8, 2020, December 7, 2020, March 5, 2021, June 7, 2021, September 7, 2021, December 6, 2021, March
7, 2022 and June 6, 2022 (the “Valuation Date”)
Contingent
Interest Payment Dates*: September 11, 2020, December 10, 2020, March 10, 2021, June 10, 2021, September 10, 2021, December
9, 2021, March 10, 2022 and the Maturity Date
Maturity
Date*: June 9, 2022
Call Settlement Date*:
If the Notes are automatically called on any Observation Date (other than the Valuation Date), the first Contingent Interest
Payment Date immediately following that Observation Date
* 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
|
Automatic Call:
If the closing price of one share of each Fund on any Observation
Date (other than the Valuation Date) is greater than or equal to its Initial Value, the Notes will be automatically called for
a cash payment, for each $1,000 principal amount Note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable
to that Observation Date, payable on the applicable Call Settlement Date. No further payments will be made on the Notes.
Payment at Maturity:
If the Notes have not been automatically called and the Final Value
of each Fund is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal
amount Note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the Valuation Date.
If the Notes have not been automatically called and the Final Value
of any Fund is less than its Trigger Value, your payment at maturity per $1,000 principal amount Note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Fund
Return)
If the Notes have not been automatically called and the Final Value
of any Fund is less than its Trigger Value, you will lose more than 34.40% of your principal amount at maturity and could lose
all of your principal amount at maturity.
Least Performing Fund: The
Fund with the Least Performing Fund Return
Least Performing Fund Return: The
lowest of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Fund, the closing price of one share of that Fund on the Initial
Valuation Date, which was $26.24 for the Financial Select Sector SPDR® Fund, $101.41 for the Technology Select Sector
SPDR® Fund and $36.66 for the SPDR® S&P® Bank ETF
Final
Value: With respect to each Fund, the closing price of one share of that Fund on the
Valuation Date
Share
Adjustment Factor: With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing price
of one share of that Fund and is set equal to 1.0 on the Initial Valuation Date. The Share Adjustment Factor of each Fund is subject
to adjustment upon the occurrence of certain events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution
Adjustments” in the accompanying product supplement for further information.
|
PS-1 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
How
the Notes Work
Payments in Connection with Observation Dates
Preceding the Valuation Date
Payment at Maturity If the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount Note over the term of the Notes based on the Contingent Interest Rate
of 15.00% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
8
|
$300.00
|
7
|
$262.50
|
6
|
$225.00
|
5
|
$187.50
|
4
|
$150.00
|
3
|
$112.50
|
2
|
$75.00
|
1
|
$37.50
|
0
|
$0.00
|
PS-2 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the Notes linked to three hypothetical Funds, assuming a range of performances for the hypothetical Least Performing Fund on the
Observation Dates. Each hypothetical payment set forth below assumes that the closing price of one share of each Fund that is
not the Least Performing Fund on each Observation Date is greater than or equal to its Initial Value (and therefore its Coupon
Barrier and Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
|
·
|
an Initial Value for the Least Performing Fund of $100.00;
|
|
·
|
a Coupon Barrier and a Trigger Value for the Least Performing Fund of $65.60 (equal to 65.60% of its hypothetical Initial Value);
and
|
|
·
|
a Contingent Interest Rate of 15.00% per annum (payable at a rate of 3.75% per quarter).
|
The hypothetical Initial Value of the Least
Performing Fund of $100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any
Fund. The actual Initial Value of each Fund is the closing price of one share of that Fund on the Initial Valuation Date and is
specified under “Key Terms — Initial Value” in this pricing supplement. For historical data regarding the actual
closing price of one share of each Fund, please see the historical information set forth under “The Funds” in this
pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the Notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the first Observation Date.
Date
|
Closing Price of One Share of Least Performing Fund
|
Payment (per $1,000 principal amount Note)
|
First Observation Date
|
$105.00
|
$1,037.50
|
|
Total Payment
|
$1,037.50 (3.75% return)
|
Because the closing price of one share of each
Fund on the first Observation Date is greater than or equal to its Initial Value, the Notes will be automatically called for a
cash payment, for each $1,000 principal amount Note, of $1,037.50 (or $1,000 plus the Contingent Interest Payment applicable
to the first Observation Date), payable on the applicable Call Settlement Date. No further payments will be made on the Notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Fund is greater than or equal to its Trigger Value.
Date
|
Closing Price of One Share of Least Performing Fund
|
Payment (per $1,000 principal amount Note)
|
First Observation Date
|
$95.00
|
$37.50
|
Second Observation Date
|
$85.00
|
$37.50
|
Third through Seventh Observation Dates
|
Less than Coupon Barrier
|
$0
|
Valuation Date
|
$90.00
|
$1,037.50
|
|
Total Payment
|
$1,112.50 (11.25% return)
|
Because the Notes have not been automatically
called and the Final Value of the Least Performing Fund is greater than or equal to its Trigger Value, the payment at maturity,
for each $1,000 principal amount Note, will be $1,037.50 (or $1,000 plus the Contingent Interest Payment applicable to the
Valuation Date). When added to the Contingent Interest Payments received with respect to the prior Observation Dates, the total
amount paid, for each $1,000 principal amount Note, is $1,112.50.
PS-3 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
Example 3 — Notes have NOT been automatically
called and the Final Value of the Least Performing Fund is less than its Trigger Value.
Date
|
Closing Price of One Share of Least Performing Fund
|
Payment (per $1,000 principal amount Note)
|
First Observation Date
|
$40.00
|
$0
|
Second Observation Date
|
$45.00
|
$0
|
Third through Seventh Observation Dates
|
Less than Coupon Barrier
|
$0
|
Valuation Date
|
$50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the Notes have not been automatically
called, the Final Value of the Least Performing Fund is less than its Trigger Value and the Least Performing Fund Return is -50.00%,
the payment at maturity will be $500.00 per $1,000 principal amount Note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
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 the 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.
Selected
Risk Considerations
An investment in the Notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement,
product supplement and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The Notes do not guarantee any return
of principal. If the Notes have not been automatically called and the Final Value of any Fund is less than its Trigger Value, you
will lose 1% of the principal amount of your Notes for every 1% that the Final Value of the Least Performing Fund is less than
its Initial Value. Accordingly, under these circumstances, you will lose more than 34.40% of your principal amount at maturity
and could lose all of your principal amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the Notes have not been automatically
called, we will make a Contingent Interest Payment with respect to an Observation Date only if the closing price of one share of
each Fund on that Observation Date is greater than or equal to its Coupon Barrier. If the closing price of one share of any Fund
on that Observation Date is less than its Coupon Barrier, no Contingent Interest Payment will be made with respect to that Observation
Date. Accordingly, if the closing price of one share of any Fund on each Observation Date is less than its Coupon Barrier, you
will not receive any interest payments over the term of the Notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the Notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the Notes. If we and JPMorgan Chase & Co. 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.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments
under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet
our obligations under the 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.
PS-4 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES,
|
regardless of any appreciation of any
Fund, which may be significant. You will not participate in any appreciation of any Fund.
We and our affiliates play a variety
of roles in connection with the Notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in 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.
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE FINANCIAL SELECT
SECTOR SPDR® FUND, THE SPDR® S&P® BANK ETF AND THEIR UNDERLYING INDICES,
|
but JPMorgan
Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect the price
of the Financial Select Sector SPDR® Fund or the SPDR® S&P® Bank ETF or the level
of the relevant Underlying Index (as defined under “The Funds” below).
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF EACH FUND —
|
Payments on the Notes are not linked
to a basket composed of the Funds and are contingent upon the performance of each individual Fund. Poor performance by any of the
Funds over the term of the Notes may result in the Notes not being automatically called on an Observation Date, may negatively
affect whether you will receive a Contingent Interest Payment on any Contingent Interest Payment Date and your payment at maturity
and will not be offset or mitigated by positive performance by the other Funds.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING FUND.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE VALUATION DATE —
|
If the Final Value of any Fund is less
than its Trigger Value and the Notes have not been automatically called, the benefit provided by the Trigger Value will terminate
and you will be fully exposed to any depreciation of the Least Performing Fund.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your Notes are automatically called,
the term of the Notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest
Payments after the applicable Call Settlement Date. 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. Even in cases
where the Notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this
pricing supplement.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON ANY FUND OR THE SECURITIES HELD BY ANY FUND OR HAVE ANY RIGHTS WITH RESPECT TO THAT FUND
OR THOSE SECURITIES.
|
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject to management risk,
which is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation of which
is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market
prices of the shares of the Funds and, consequently, the value of the Notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH
THE PERFORMANCE OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate its
Underlying Index (as defined under “The Funds” below) and may hold securities different from those included in its
Underlying Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are not included
in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance of each
Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as
mergers and spin-offs) may impact the variance between the performances of that Fund and its Underlying Index. Finally, because
the shares of each Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value
of one share of each Fund may differ from the net asset value per share of that Fund.
During periods of market volatility,
securities underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of
PS-5 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
a Fund. Further, market volatility may
adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of a Fund. As
a result, under these circumstances, the market value of shares of a Fund may vary substantially from the net asset value per share
of that Fund. For all of the foregoing reasons, the performance of each Fund may not correlate with the performance of its Underlying
Index as well as the net asset value per share of that Fund, which could materially and adversely affect the value of the Notes
in the secondary market and/or reduce any payment on the Notes.
|
·
|
RISKS ASSOCIATED WITH THE FINANCIAL SECTOR WITH RESPECT TO THE FINANCIAL SELECT SECTOR SPDR® FUND —
|
All or substantially all of the equity
securities held by the Financial Select Sector SPDR® Fund are issued by companies whose primary line of business
is directly associated with the financial sector. As a result, the value of the Notes may be subject to greater volatility
and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different
investment linked to securities of a more broadly diversified group of issuers. Financial services companies are subject
to extensive government regulation, which may limit both the amounts and types of loans and other financial commitments they can
make, the interest rates and fees they can charge, the scope of their activities, the prices they can charge and the amount of
capital they must maintain. Profitability is largely dependent on the availability and cost of capital funds and can fluctuate
significantly when interest rates change or due to increased competition. In addition, deterioration of the credit markets
generally may cause an adverse impact in a broad range of markets, including U.S. and international credit and interbank money
markets generally, thereby affecting a wide range of financial institutions and markets. Certain events in the financial
sector may cause an unusually high degree of volatility in the financial markets, both domestic and foreign, and cause certain
financial services companies to incur large losses. Securities of financial services companies may experience a dramatic
decline in value when these companies experience substantial declines in the valuations of their assets, take action to raise capital
(such as the issuance of debt or equity securities) or cease operations. Credit losses resulting from financial difficulties of
borrowers and financial losses associated with investment activities can negatively impact the financial sector. Insurance
companies may be subject to severe price competition. Adverse economic, business or political developments could adversely
affect financial institutions engaged in mortgage finance or other lending or investing activities directly or indirectly connected
to the value of real estate. These factors could affect the financial sector and could affect the value of the equity securities
held by the Financial Select Sector SPDR® Fund and the price of the Financial Select Sector SPDR®
Fund during the term of the Notes, which may adversely affect the value of your Notes.
|
·
|
THE FINANCIAL SELECT SECTOR SPDR® FUND NO LONGER PROVIDES EXPOSURE TO THE REAL ESTATE SECTOR —
|
The Financial Select Sector SPDR®
Fund seeks to track the Financial Select Sector Index. In September 2016, the Financial Select Sector Index was reconstituted
to eliminate the stocks of real estate management and development companies and real estate investment trusts (“REITs”)
(other than mortgage REITs) (“real estate stocks”) and the Financial Select Sector SPDR® Fund implemented
a corresponding change to its portfolio by divesting real estate stocks representing nearly 20% of its net asset value. As
a result, the Financial Select Sector SPDR® Fund no longer holds real estate stocks. Consequently, the Financial
Select Sector SPDR® Fund is less diversified, and is more concentrated in the financial sector, than it was before
this change to its portfolio. These changes represent a significant change in the nature of the Financial Select Sector SPDR®
Fund and its holdings and could adversely affect the performance of the and, in turn, the value of the Notes.
|
·
|
RISKS ASSOCIATED WITH THE TECHNOLOGY SECTOR WITH RESPECT TO THE TECHNOLOGY SELECT SECTOR SPDR® FUND —
|
All or substantially all of the equity
securities held by the Technology Select Sector SPDR® Fund are issued by companies whose primary line of business
is directly associated with the technology sector. As a result, the value of the Notes may be subject to greater volatility and
be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment
linked to securities of a more broadly diversified group of issuers. The value of stocks of technology companies and companies
that rely heavily on technology is particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence,
government regulation and competition, both domestically and internationally, including competition from foreign competitors with
lower production costs. Stocks of technology companies and companies that rely heavily on technology, especially those of
smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology companies are heavily dependent
on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability. Additionally,
companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services
of qualified personnel. These factors could affect the technology sector and could affect the value of the equity securities held
by the Technology Select Sector SPDR® Fund and the price of the Technology Select Sector SPDR® Fund
during the term of the Notes, which may adversely affect the value of your Notes.
PS-6 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
|
·
|
THE TECHNOLOGY SELECT SECTOR SPDR® FUND NO LONGER PROVIDES EXPOSURE TO THE COMMUNICATION SERVICES SECTOR
—
|
The Technology Select Sector SPDR®
Fund seeks to track the Technology Select Sector Index. In September 2018, the Technology Select Sector Index was reconstituted
to eliminate the telecommunication services industry group, the internet software & services sub-industry, the home entertainment
software sub-industry and companies operating online marketplaces for consumer products and services. We refer to the stocks of
such companies as “communication services stocks.” The Technology Select Sector SPDR® Fund implemented
a corresponding change to its portfolio by divesting communication services stocks representing nearly 25% of its net asset value.
As a result, the Technology Select Sector SPDR® Fund no longer holds any communication services stocks. Consequently,
the Technology Select Sector SPDR® Fund is less diversified, and is more concentrated in the technology sector,
than it was before these changes to its portfolio. These changes represent a significant change in the nature of the Technology
Select Sector SPDR® Fund and its holdings and could adversely affect the performance of the Technology Select Sector
SPDR® Fund and, in turn, the value of the Notes.
|
·
|
RISKS ASSOCIATED WITH THE BANKING INDUSTRY WITH RESPECT TO THE SPDR® S&P® BANK ETF —
|
All or substantially all of the equity
securities held by the SPDR® S&P® Bank ETF are issued by companies whose primary line of business
is directly associated with the banking industry. As a result, the value of the Notes may be subject to greater volatility
and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different
investment linked to securities of a more broadly diversified group of issuers. The performance of bank stocks may be affected
by extensive governmental regulation, which may limit both the amounts and types of loans and other financial commitments they
can make, the interest rates and fees they can charge and the amount of capital they must maintain. Profitability is largely
dependent on the availability and cost of capital funds and can fluctuate significantly when interest rates change. Credit
losses resulting from financial difficulties of borrowers can negatively impact banking companies. Banks may also be subject
to severe price competition. Competition is high among banking companies and failure to maintain or increase market share
may result in lost market share. These factors could affect the banking industry and could affect the value of the equity
securities held by the SPDR® S&P® Bank ETF and the price of the SPDR® S&P®
Bank ETF during the term of the Notes, which may adversely affect the value of your Notes.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the Notes may be materially and adversely affected.
|
·
|
THE RISK OF THE CLOSING PRICE OF A FUND FALLING BELOW ITS COUPON BARRIER OR TRIGGER VALUE IS GREATER IF THE PRICE OF THAT
FUND IS VOLATILE.
|
The Notes will not be listed on any securities
exchange. Accordingly, 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. You may not be able to sell your 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.
|
·
|
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.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
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
PS-7 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
be based on, among other things, our and our affiliates’
view of the funding value of the Notes as well as the higher issuance, operational and ongoing liability management costs of the
Notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the Notes. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the Notes and any secondary market prices of the Notes. See “The Estimated Value of the
Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
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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. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your Notes during this initial period may be lower than the value of the Notes as published by JPMS (and which may be
shown on your customer account statements).
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·
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
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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 the 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.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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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 prices of the Funds. 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. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the Notes will be impacted by many economic and market
factors” in the accompanying product supplement.
PS-8 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
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The
Funds
The Financial Select Sector SPDR®
Fund is an exchange-traded fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to
provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity
securities of companies in the Financial Select Sector Index, which we refer to as the Underlying Index with respect to the Financial
Select Sector SPDR® Fund. The Financial Select Sector Index is a modified market capitalization-based index
that measures the performance of the GICS® financial sector of the S&P 500® Index, which currently
includes companies in the following industries: banks; thrifts and mortgage finance; diversified financial services; consumer finance;
capital markets; mortgage real estate investment trusts (“REITs”); and insurance. For additional information
about the Financial Select Sector SPDR® Fund, see “Fund Descriptions — The Select Sector SPDR®
Funds” in the accompanying underlying supplement.
The Technology Select Sector SPDR®
Fund is an exchange-traded fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to
provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity
securities of companies in the Technology Select Sector Index, which we refer to as the Underlying Index with respect to the Technology
Select Sector SPDR® Fund. The Technology Select Sector Index is a modified market capitalization-based index
that measures the performance of the GICS® information technology sector of the S&P 500® Index,
which currently includes companies in the following industries: IT services; software; communications equipment; technology hardware,
storage & peripherals; electronic equipment, instruments & components; and semiconductors & semiconductor equipment.
Prior to September 2018, the Technology Select Sector Index also included companies in the then-GICS® telecommunication
industry group, the GICS® media industry group and certain companies from the internet & direct marketing retail
sub-industry. For additional information about the Technology Select Sector SPDR® Fund, see “Fund Descriptions
— The Select Sector SPDR® Funds” in the accompanying underlying supplement.
The SPDR® S&P®
Bank ETF is an exchange-traded fund of the SPDR® Series Trust, a registered investment company, that seeks to provide
investment results that, before fees and expenses, correspond generally to the total return performance of an index that tracks
the performance of publicly traded national money centers and leading regional banks, which we refer to as the Underlying Index
with respect to the SPDR® S&P® Bank ETF. The Underlying Index with respect to the SPDR®
S&P® Bank ETF is currently the S&P® Banks Select IndustryTM Index. The S&P®
Banks Select IndustryTM Index is a modified equal-weighted index that is designed to measure the performance of the
following GICS® sub-industries of the S&P Total Market Index: asset management & custody banks (must also
meet the North American Industry Classification of depository credit intermediation); diversified banks; regional banks; other
diversified financial services; and thrifts & mortgage finance. For additional information about the SPDR® S&P®
Bank ETF, see “Fund Descriptions — The SPDR® S&P® Industry ETFs” in the accompanying
underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Fund based on the weekly historical closing prices from January 2, 2015 through June 5, 2020. The closing price
of one share of the Financial Select Sector SPDR® Fund on June 5, 2020 was $26.24. The closing price of one share
of the Technology Select Sector SPDR® Fund on June 5, 2020 was $101.41. The closing price of one share of the SPDR®
S&P® Bank ETF on June 5, 2020 was $36.66. We obtained the closing prices above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The closing prices above and
below may have been adjusted by Bloomberg for actions taken by the Funds, such as stock splits.
In September 2016, the Financial Select Sector
SPDR® Fund made a significant change to its portfolio so that it no longer holds real estate stocks. The historical
performance of the Financial Select Sector SPDR® Fund shown below might have been meaningfully different had the
Financial Select Sector SPDR® Fund not held real estate stocks prior to September 2016.
In addition, in September 2018, the Technology
Select Sector SPDR® Fund made a significant change to its portfolio so that it no longer holds communication services
stocks. The historical performance of the Technology Select Sector SPDR® Fund shown below might have been meaningfully
different had the Technology Select Sector SPDR® Fund not held communication services stocks prior to September
2018.
The historical closing prices of one share of
each Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of
one share of any Fund on any Observation Date. There can be no assurance that the performance of the Funds will result in the return
of any of your principal amount or the payment of any interest.
PS-9 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
PS-10 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-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 Interest Payments 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, 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 Interest Payments is uncertain, and although we believe it is reasonable to
take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your 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. Additionally, a
recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 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.
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.
The Estimated Value of the Notes
The estimated value of the Notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the Notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the Notes. The estimated value of the Notes does not represent a minimum price
at which JPMS would be willing to buy your Notes in any secondary market (if any exists) at any time. 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. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes
Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
PS-11 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
The value of the derivative or derivatives
underlying the economic terms of the Notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the Notes is determined when the terms of the Notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the Notes does not
represent future values of the Notes and may differ from others’ estimates. 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.
The estimated value of the Notes is lower
than the original issue price 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 paid to JPMS and other affiliated or unaffiliated
dealers, 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. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the Notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the Notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the Notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, 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.
This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the Notes.
The length of any such initial period reflects the structure of the Notes, whether our affiliates expect to earn a profit in connection
with our hedging activities, the estimated costs of hedging the Notes and when these costs are incurred, as determined by our affiliates.
See “Selected Risk Considerations — 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” in this pricing
supplement.
Supplemental
Use of Proceeds
The Notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the Notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
Notes and “The Funds” in this pricing supplement for a description of the market exposure provided by the Notes.
The original issue price of the Notes is equal
to the estimated value of the Notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the Notes, plus the estimated cost of hedging our obligations under the Notes.
Supplemental
Plan of Distribution
We expect that delivery of the Notes will be
made against payment for the Notes on or about the Original Issue Date set forth on the front cover of this pricing supplement,
which will be the fourth business day following the Initial Valuation Date of the Notes (this settlement cycle being referred to
as “T+4”). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally
are required to settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers
who wish to trade Notes on any date prior to two business days before delivery will be required to specify an alternate settlement
cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.
PS-12 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
|
|
Validity
of the Notes and the Guarantee
In the opinion
of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Notes
offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant
to the indenture, and delivered against payment as contemplated herein, such Notes will be valid and binding obligations of JPMorgan
Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in
accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith,
fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision
of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as
of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and
the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the indenture and its authentication of the Notes and the validity, binding nature and
enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 26, 2020,
which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February
26, 2020.
Additional
Terms 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 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 prospectus supplement, the accompanying product supplement and the accompanying underlying
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):
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, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-13 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the Technology Select Sector SPDR® Fund and the SPDR® S&P® Bank ETF
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