JPMorgan Chase Financial Company LLC
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June 2020
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Pricing Supplement
Registration Statement Nos. 333-236659
and 333-236659-01
Dated June 30, 2020
Filed pursuant to Rule 424(b)(2)
Structured Investments
Opportunities in U.S. Equities
Dual Directional Trigger Participation Securities
Based on the Value of the S&P 500® Index due August 4, 2021
Principal at Risk Securities
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
The Dual Directional Trigger Participation Securities, which we refer
to as the securities, will pay no interest and do not guarantee any return of your principal at maturity. At maturity, if
the underlying index has appreciated in value, investors will receive the stated principal amount of their investment plus
a return reflecting 100% of the upside performance of the underlying index, subject to a maximum payment at maturity. If
the underlying index has depreciated in value but by no more than 10%, investors will receive at maturity the stated principal
amount of the securities plus an unleveraged positive return equal to the absolute value of the percentage decline, which will
effectively be limited to a positive 10% return. However, if the underlying index has depreciated by more than 10%
in value, at maturity investors will lose the benefit of the absolute return feature and will lose 1% of the stated principal amount
for every 1% of decline in the value of the underlying index over the term of the securities. The securities are for investors
who seek an equity index-based return and who are willing to risk their principal and forgo current income and upside above the
maximum payment at maturity in exchange for the absolute return and trigger features that in each case apply to a limited range
of the performance of the underlying index. The securities are unsecured and unsubordinated obligations of JPMorgan Chase Financial
Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan
Chase & Co., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program. Any payment on the
securities is subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase
& Co., as guarantor of the securities. The investor may lose some or all of the stated principal amount of the
securities.
FINAL TERMS
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Issuer:
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Underlying index:
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S&P 500® Index (Bloomberg ticker: SPX Index)
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Aggregate principal amount:
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$9,702,150
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Payment at maturity:
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If the final index value is greater than the initial index value, for each $10 stated principal amount security:
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$10 + upside payment
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In no event will the payment at maturity exceed the maximum payment at maturity.
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If the final index value is less than or equal to the initial index value but is greater than or equal to the trigger level, for each $10 stated principal amount security:
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$10 + ($10 × absolute index return)
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In this scenario, you will receive a 1% positive return on the securities for each 1% negative return on the underlying index. In no event will this amount exceed the stated principal amount plus $1.00.
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If the final index value is less than the trigger level, for each $10 stated principal amount security:
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$10 × index performance factor
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This amount will be less than the stated principal amount of $10 per security and will represent a loss of more than 10%, and possibly all, of your investment.
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Upside payment:
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$10 × index percent change
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Index percent change:
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(final index value – initial index value) / initial index value
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Absolute index return:
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The absolute value of the index percent change. For example, a -5% index percent change will result in a +5% absolute index return.
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Initial index value:
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The closing level of the underlying index on the pricing date, which was 3,100.29
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Final index value:
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The closing level of the underlying index on the valuation date
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Trigger level:
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2,790.261, which is 90% of the initial index value
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Index performance factor:
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final index value / initial index value
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Maximum payment at maturity:
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$11.64 (116.40% of the stated principal amount) per security
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Stated principal amount:
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$10 per security
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Issue price:
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$10 per security (see “Commissions and issue price” below)
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Pricing date:
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June 30, 2020
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Original issue date (settlement date):
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July 6, 2020
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Valuation date:
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July 30, 2021, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” in the accompanying product supplement
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Maturity date:
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August 4, 2021, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
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CUSIP / ISIN:
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48132L681 / US48132L6810
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Listing:
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The securities will not be listed on any securities exchange.
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Agent:
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J.P. Morgan Securities LLC (“JPMS”)
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Commissions and issue price:
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Price to public(1)
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Fees and commissions
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Proceeds to issuer
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Per Security
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$10.00
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$0.175(2)
$0.05(3)
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$9.775
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Total
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$9,702,150.00
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$218,298.38
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$9,483,851.62
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(1)
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See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the Securities.
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(2)
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JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $0.175 per $10 stated principal
amount security it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). See “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement.
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(3)
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Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each
$10 stated principal amount security
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The estimated value of the securities on the pricing date was $9.704
per $10 stated principal amount security. See “Additional Information about the Securities — The estimated value
of the securities” in this document for additional information.
Investing in the securities involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-10
of the accompanying product supplement, “Risk Factors” beginning on page US-1 of the accompanying underlying supplement
and “Risk Factors” beginning on page 5 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The securities are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should read this document together with
the related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed via
the hyperlinks below. Please also see “Additional Information about the securities” at the end of this document.
Product supplement no. MS-1-I dated April 8,
2020: http://www.sec.gov/Archives/edgar/data/19617/000095010320007233/crt-dp125067_424b2.pdf
Underlying supplement no. 1-I dated April 8,
2020: http://www.sec.gov/Archives/edgar/data/19617/000095010320007221/crt-dp125705_424b2.pdf
Prospectus supplement and prospectus,
each dated April 8, 2020: http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf
JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
Investment Summary
Dual Directional Trigger Participation
Securities
Principal at Risk Securities
The Dual Directional Trigger Participation Securities Based
on the Value of the S&P 500® Index due August 4, 2021 can be used:
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To potentially achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum
payment at maturity.
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To provide an unleveraged positive return in the event of a decline of the underlying index but only if the final index value
is greater than or equal to the trigger level.
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Maturity:
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Approximately 13 months
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Trigger level:
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90% of the initial index value
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Maximum payment at maturity:
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$11.64 (116.40% of the stated principal amount) per security
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Minimum payment at maturity:
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None. Investors may lose their entire initial investment in the securities.
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Supplemental Terms of the Securities
For purposes of the accompanying product supplement, the underlying
index is an “Index.”
JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
Key Investment Rationale
The securities offer exposure to an underlying asset and
the opportunity, through the absolute return feature, to earn a positive return at maturity for a limited range of negative performance
of the underlying asset. At maturity, if the underlying asset has appreciated, investors will receive the stated principal
amount of their investment plus a return reflecting 100% of the upside performance of the underlying asset, subject to the maximum
payment at maturity. At maturity, if the underlying asset has depreciated in value but by no more than 10%, investors will
receive the stated principal amount of their investment plus an unleveraged positive return equal to the absolute value of the
percentage decline in the underlying asset, which will effectively be limited to a positive 10% return. However, at maturity, if
the underlying asset has depreciated in value by more than 10%, investors will lose the benefit of the absolute return feature
and will lose 1% of the stated principal amount for every 1% of decline in the value of the underlying asset, without any buffer.
Investors may lose some or all of the stated principal amount of the securities.
Absolute Return Feature
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The securities offer investors an opportunity to earn an unleveraged positive return if the final index value is less than or equal to the initial index value but is greater than or equal to the trigger level.
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Upside Scenario if the Underlying Index Appreciates
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The final index value is greater than the initial index value and, at maturity, the securities pay the stated principal amount of $10 plus a return equal to 100% of the index percent change, subject to the maximum payment at maturity of $11.64 (116.40% of the stated principal amount) per security.
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Absolute Return Scenario
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The final index value is less than or equal to the initial index value but is greater than or equal to the trigger level, which is 90% of the initial index value. In this case, the securities pay a 1% positive return for each 1% negative return of the underlying index. For example, if the final index value is 5% less than the initial index value, the securities will provide a total positive return of 5% at maturity. The maximum return you may receive in this scenario is a positive 10% return at maturity.
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Downside Scenario
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The final index value is less than the trigger level. In this case, the securities pay an amount that is over 10% less than the stated principal amount and this decrease will be by an amount that is proportionate to the percentage decline in the final index value from the initial index value. (Example: if the underlying index decreases in value by 30%, the securities will pay an amount that is less than the stated principal amount by 30%, or $7 per security.)
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JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
How the Securities Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the securities based on the following terms:
Stated principal amount:
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$10 per security
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Trigger level:
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90% of the initial index value
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Maximum payment at maturity:
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$11.64 (116.40% of the stated principal amount) per security
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Dual Directional Trigger Participation Securities Payoff Diagram
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How it works
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Upside
Scenario. If the final index value is greater than the initial index value, for each $10 stated principal amount security,
investors will receive the $10 stated principal amount plus a return equal to 100% of the appreciation of the underlying
index over the term of the securities, subject to the maximum payment at maturity. Under the terms of the securities, an investor
will realize the maximum payment at maturity at a final index value of 116.40% of the initial index value.
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For example, if the underlying index appreciates 5%, investors
will receive a 5% return, or $10.50 per security.
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Absolute
Return Scenario. If the final index value is less than or equal to the initial index value but is greater than or equal
to the trigger level, investors will receive a 1% positive return on the securities for each 1% negative return of the underlying
index.
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For example, if the underlying index depreciates 5%, investors will receive a 5% return, or $10.50
per security.
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The maximum return you may receive in this scenario is a positive 10% return at maturity.
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Downside
Scenario. If the final index value is less than the trigger level, investors will lose the benefit of the absolute
return feature and will instead receive an amount that is significantly less than the stated principal amount by an amount proportionate
to the percentage decrease of the final index value from the initial index value. This amount will be less than 90% of the stated
principal amount per security.
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For example, if the underlying index depreciates 50%, investors will lose 50% of their principal and receive only $5 per security
at maturity, or 50% of the stated principal amount.
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The hypothetical returns and hypothetical
payments on the securities shown above apply only if you hold the securities for their entire term. These hypotheticals
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were
included, the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these
and other risks, you should read the sections entitled “Risk Factors” of the accompanying prospectus supplement, the
accompanying product supplement and the accompanying underlying supplement. We urge you to consult your investment, legal, tax,
accounting and other advisers in connection with your investment in the securities.
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The
securities do not pay interest or guarantee return of any principal and your investment in the securities may result in a loss.
The terms of the securities differ from those of ordinary debt securities in that the securities do not pay interest
or guarantee the payment of any principal amount at maturity. If the final index value is less than the trigger level (which is
90% of the initial index value), you will lose the benefit of the absolute return feature and the payment at maturity will be
an amount in cash that is over 10% less than the stated principal amount of each security, and this decrease will be by an amount
that is proportionate to the decrease in the value of the underlying index and may be zero. There is no minimum payment at maturity
on the securities, and, accordingly, you could lose your entire initial investment in the securities.
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The appreciation potential of the securities if the underlying index
has appreciated is limited by the maximum payment at maturity. The appreciation potential
of securities if the underlying index has appreciated is limited by the maximum payment at maturity of $11.64 (16.40% of the stated
principal amount) per security. Because the maximum payment at maturity will be limited to 116.40% of the stated
principal amount for the securities, any increase in the final index value by more than 16.40% will not further increase the return
on the securities.
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Your maximum downside gain on the securities is limited by the trigger
level. If the final index value is less than or equal to the initial index value and greater than or equal to the trigger
level, you will receive at maturity $10 plus a return equal to the absolute index return, which will reflect a 1% positive
return for each 1% negative return on the underlying index, subject to an effective limit of 10%. Because you will not receive
a positive return if the underlying index has depreciated below the trigger level, your maximum payment at maturity if the underlying
index depreciates will be $11.00 per $10.00 stated principal amount security.
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The
securities are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., and any actual or anticipated changes
to our or JPMorgan Chase & Co.’s credit ratings or credit spreads may adversely affect the market value of the securities.
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the securities.
Any actual or anticipated decline in our or JPMorgan Chase & Co.’s credit ratings or increase in our or JPMorgan Chase
& Co.’s credit spreads determined by the market for taking that credit risk is likely to adversely affect the market
value of the securities. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any
amounts owed to you under the securities and you could lose your entire investment.
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As a finance subsidiary, JPMorgan Financial has no independent operations
and has limited assets. As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond
the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements.
As a result, we are dependent upon payments from our affiliates to meet our obligations under the securities. If these affiliates
do not make payments to us and we fail to make payments on the securities, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co.
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Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the securities and
other affiliates of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent
and as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used
to determine the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value
of the securities. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
The calculation agent has determined the initial index value and the trigger level, will determine the final index value and will
calculate the amount of payment you will receive at maturity, if any. Determinations
made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events, the selection
of a successor to the underlying index or calculation of the final index value in the event of a discontinuation or material change
in method of calculation of the underlying index, may affect the payment to you at maturity.
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JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
In addition, JPMorgan Chase & Co. is currently
one of the companies that make up the underlying index. JPMorgan Chase & Co. will not have any obligation to consider your
interests as a holder of the securities in taking any corporate action that might affect the value of the underlying index or the
securities.
Moreover, our
and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the securities and
the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the
securities could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional
information about these risks.
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The benefit provided by the trigger level may terminate on the valuation
date. If the final index value is less than the trigger level, the benefit provided by the
trigger level will terminate and you will be fully exposed to any depreciation of the underlying index.
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The estimated value of the securities is lower than the original
issue price (price to public) of the securities. The estimated value of the securities is
only an estimate determined by reference to several factors. The original issue price of the securities exceeds the estimated value
of the securities because costs associated with selling, structuring and hedging the securities are included in the original issue
price of the securities. These costs include the selling commissions, the structuring fee, the projected profits, if any, that
our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated
cost of hedging our obligations under the securities. See “Additional Information about the Securities — The estimated
value of the securities” in this document.
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The estimated value of the securities does not represent future
values of the securities and may differ from others’ estimates. The estimated value of the securities is determined by reference
to internal pricing models of our affiliates. This estimated value of the securities is based
on market conditions and other relevant factors existing at the time of pricing and assumptions about market parameters, which
can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide
valuations for the securities that are greater than or less than the estimated value of the securities. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the securities could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase
& Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
which JPMS would be willing to buy securities from you in secondary market transactions. See “Additional Information about
the Securities — The estimated value of the securities” in this document.
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The estimated value of the securities is derived by reference to
an internal funding rate. The internal funding rate used in the determination of the estimated
value of the securities may differ from the market-implied funding rate for vanilla fixed income instruments of a
similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our
and our affiliates’ view of the funding value of the securities as well as the higher issuance, operational and ongoing liability
management costs of the securities in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase
& Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is
intended to approximate the prevailing market replacement funding rate for the securities. The use of an internal funding rate
and any potential changes to that rate may have an
adverse effect on the terms of the securities and any secondary market prices of the securities. See “Additional Information
about the Securities — The estimated value of the securities” in this document.
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The value of the securities as published by JPMS (and which may
be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited
time period. We generally expect that some of the costs included in the original issue price
of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount
that will decline to zero over an initial predetermined period. These costs can include selling commissions, the structuring fee,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. See “Additional Information about the Securities — Secondary market prices of
the securities” in this document for additional information relating to this initial period. Accordingly, the estimated value
of your securities
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JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
during this initial period may be lower than the value
of the securities as published by JPMS (and which may be shown on your customer account statements).
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Secondary market prices of the securities will likely be lower than
the original issue price of the securities. Any secondary market prices of the securities
will likely be lower than the original issue price of the securities because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices
may exclude selling commissions and the structuring fee, projected hedging profits, if any, and estimated hedging costs that are
included in the original issue price of the securities. As a result, the price, if any, at which JPMS will be willing to buy securities
from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior
to the maturity date could result in a substantial loss to you. See the immediately following risk factor for information about
additional factors that will impact any secondary market prices of the securities.
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The
securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities
to maturity. See “— Secondary trading may be limited” below.
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Secondary market prices of the securities will be impacted by many
economic and market factors. The secondary market price of the securities during their term will be impacted by
a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, structuring
fee, projected hedging profits, if any, estimated hedging costs and the closing level of the underlying index, including:
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any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured debt issuances;
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the actual and expected volatility of the underlying index;
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the time to maturity of the securities;
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the dividend rates on the equity securities included in the underlying index;
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interest and yield rates in the market generally; and
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a variety of other economic, financial, political, regulatory and judicial events.
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Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the securities, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing
to purchase your securities in the secondary market.
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Investing in the securities is not equivalent to investing in the
underlying index. Investing in the securities is not equivalent to investing in the underlying
index or its component stocks. Investors in the securities will not have voting rights or rights to receive dividends or other
distributions or any other rights with respect to the stocks that constitute the underlying index.
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Adjustments to the underlying index could adversely affect the value
of the securities. The underlying index publisher may discontinue or suspend calculation
or publication of the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion
to substitute a successor index that is comparable to the discontinued underlying index and is not precluded from considering indices
that are calculated and published by the calculation agent or any of its affiliates.
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Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the securities.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the
securities on or prior to the pricing date and prior
to maturity could have adversely affected, and may continue to adversely affect, the value of the underlying index and, as a result,
could decrease the amount an investor may receive on the securities at maturity, if any. Any of these hedging or trading activities
on or prior to the pricing date could have affected the initial index value and the trigger level and, therefore, could potentially
increase the level that the final index value must reach before you receive a payment at maturity that exceeds the issue price
of the securities or so that you do not suffer
a loss on your initial investment in the securities.
Additionally, these hedging or trading activities during the
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JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
term of the securities,
including on the valuation date, could adversely affect the final index value and, accordingly, the amount of cash an investor
will receive at maturity, if any. It is possible that these hedging or trading activities could result in substantial returns for
us or our affiliates while the value of the securities
declines.
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Secondary trading may be limited. The
securities will not be listed on a securities
exchange. There may be little or no secondary market for the securities.
Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities
easily. JPMS may act as a market maker for
the securities, but is not required to do so.
Because we do not expect that other market makers will participate significantly in the secondary market for the securities,
the price at which you may be able to trade your securities
is likely to depend on the price, if any, at which JPMS
is willing to buy the securities. If at any
time JPMS or another agent does not act as
a market maker, it is likely that there would be little or no secondary market for the securities.
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The tax consequences of an investment in the securities are uncertain. There is no direct legal authority as to the
proper U.S. federal income tax characterization of the securities,
and we do not intend to request a ruling from the IRS. The IRS might not accept, and a court might not uphold, the treatment of
the securities described in “Additional
Information about the Securities ― Additional
Provisions ― Tax considerations” in this document and in “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement. If the IRS were successful in asserting an alternative treatment for the securities,
the timing and character of any income or loss on the securities
could differ materially and adversely from our description herein. 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;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. 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 and adversely affect the tax consequences of an investment in the securities,
possibly with retroactive effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the securities, including possible alternative
treatments and the issues presented by this notice.
|
JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
S&P 500® Index Overview
The S&P 500® Index, which is calculated,
maintained and published by S&P Dow Jones Indices LLC, consists of stocks of 500 companies selected to provide a performance
benchmark for the U.S. equity markets. For additional information about the S&P 500® Index, see the information
set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
Information as of market close on June 30, 2020:
Bloomberg Ticker Symbol:
|
SPX
|
Current Closing Level:
|
3,100.29
|
52 Weeks Ago (on 7/1/2019):
|
2,964.33
|
52 Week High (on 2/19/2020):
|
3,386.15
|
52 Week Low (on 3/23/2020):
|
2,237.40
|
The following table sets forth
the published high and low closing levels, as well as end-of-quarter closing levels, of the underlying index for each quarter in
the period from January 1, 2015 through June 30, 2020. The graph following the table sets forth the daily closing levels of the
underlying index during the same period. The closing level of the underlying index on June 30, 2020 was 3,100.29.
We obtained the closing level information above and in the table and graph below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The historical levels of the
underlying index should not be taken as an indication of future performance, and no assurance can be given as to the closing level
of the underlying index on the valuation date. The payment of dividends on the stocks that constitute the underlying index are
not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
S&P 500® Index
|
High
|
Low
|
Period End
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
Fourth Quarter
|
2,690.16
|
2,529.12
|
2,673.61
|
2018
|
|
|
|
First Quarter
|
2,872.87
|
2,581.00
|
2,640.87
|
Second Quarter
|
2,786.85
|
2,581.88
|
2,718.37
|
Third Quarter
|
2,930.75
|
2,713.22
|
2,913.98
|
Fourth Quarter
|
2,925.51
|
2,351.10
|
2,506.85
|
2019
|
|
|
|
First Quarter
|
2,854.88
|
2,447.89
|
2,834.40
|
Second Quarter
|
2,954.18
|
2,744.45
|
2,941.76
|
Third Quarter
|
3,025.86
|
2,840.60
|
2,976.74
|
Fourth Quarter
|
3,240.02
|
2,887.61
|
3,230.78
|
2020
|
|
|
|
First Quarter
|
3,386.15
|
2,237.40
|
2,584.59
|
Second Quarter
|
3,232.39
|
2,470.50
|
3,100.29
|
JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
S&P 500®
Index Historical Performance – Daily Closing Levels
January 2, 2015 to
June 30, 2020*
|
|
*The dotted line in the graph
indicates the trigger level, equal to 90% of the initial index value.
|
License Agreement. “Standard & Poor’s®,”
“S&P®,” “S&P 500®” and “Standard & Poor’s 500”
are trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use by JPMorgan Chase & Co.
and its affiliates, including JPMorgan Financial. See “Equity Index Descriptions — The S&P U.S. Indices —
License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional Provisions:
|
Postponement of maturity date:
|
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the third business day following the valuation date as postponed.
|
Minimum ticketing size:
|
$1,000 / 100 securities
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation agent:
|
JPMS
|
The estimated value of the securities:
|
The estimated value of the securities set forth
on the cover of this document 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 securities, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum
price at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding
rate used in the determination of the estimated value of the securities may differ from the market-implied funding rate for vanilla
fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based
on, among other things, our and our affiliates’ view of the funding value of the securities as well as the higher issuance,
operational and ongoing liability management costs of the securities in comparison to those costs for the conventional fixed income
instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may
prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the securities. The use
of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities and
any secondary market prices of the securities. For additional information, see “Risk Factors — The estimated value
of the securities is derived by reference to an internal funding rate” in this document. The value of the derivative or derivatives
underlying the economic terms of the securities 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 securities on the pricing date is based on market
conditions and other relevant factors and assumptions existing at that time. See “Risk Factors — The estimated value
of the securities does not represent future values of the securities and may differ from others’ estimates” in this
document.
The estimated value of the securities is lower
than the original issue price of the securities because costs associated with selling, structuring and hedging the securities are
included in the original issue price of the securities. These costs include the selling commissions paid to JPMS and other affiliated
or unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities.
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 securities 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 “Risk Factors — The estimated value of the securities is lower than
the original issue price (price to public) of the securities” in this document.
|
Secondary market prices of the securities:
|
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Secondary market prices of the securities will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the securities. The length of any such initial period
|
JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
|
reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.”
|
Tax considerations:
|
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-1-I. The following discussion, when read
in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding
the material U.S. federal income tax consequences of owning and disposing of the securities.
Based on current market conditions, in the opinion
of our special tax counsel, your securities should be treated as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax
Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, the gain or loss on your securities should be treated as long-term capital
gain or loss if you hold your securities for more than a year, whether or not you are an initial purchaser of securities at the
issue price. However, the IRS or a court may not respect this treatment of the securities in which case the timing and character
of any income or loss on the securities could be materially and adversely 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;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. 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 and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities,
including possible alternative treatments and the issues presented by this notice.
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 securities 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 securities.
|
Supplemental use of proceeds and hedging:
|
The securities are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the securities. See “How the Securities
Work” in this document for an illustration of the risk-return profile of the securities and “S&P 500®
Index Overview” in this document for a description of the market exposure provided by the securities.
The original issue price of the securities is equal
to the estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
and the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities.
|
Benefit plan investor considerations:
|
See “Benefit Plan Investor Considerations” in the accompanying product supplement.
|
Supplemental plan of distribution:
|
Subject to regulatory constraints, JPMS intends to
use its reasonable efforts to offer to purchase the securities in the secondary market, but is not required to do so. JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management.
In addition, Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each
security.
|
JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk Securities
|
We or our affiliate may
enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection
with the sale of the securities and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the
swap or related hedge transactions. See “— Supplemental use of proceeds and hedging”
above and “Use of Proceeds and Hedging” in the accompanying product supplement.
We expect that delivery of the securities will be made against payment
for the securities on or about the original issue date set forth on the front cover of this document, which will be the third business
day following the pricing date of the securities (this settlement cycle being referred to as “T+3”). 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 securities
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.
|
Validity of the security and the guarantee:
|
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the securities 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 securities 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 securities 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.
|
Where
you can find more information:
|
You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these
securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This document, together with the documents listed below, contains
the terms of the securities 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,
stand-alone 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 securities 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 securities.
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. MS-1-I dated April 8, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320007233/crt-dp125067_424b2.pdf
·
Underlying supplement no. 1-I dated April 8, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320007221/crt-dp125705_424b2.pdf
·
Prospectus supplement and prospectus, each dated April 8, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf
|
JPMorgan Chase Financial Company
LLC
Dual
Directional Trigger Participation Securities Based on the Value of the S&P 500®
Index due August 4, 2021
Principal at
Risk 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 document, “we,” “us,”
and “our” refer to JPMorgan Financial.
|
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