|
JPMorgan Chase Financial Company LLC
|
June 2020
|
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 International Equities
Buffered PLUS Based on the Value of the EURO STOXX
50® Index due January 4, 2023
Buffered Performance Leveraged
Upside SecuritiesSM
Principal at Risk
Securities
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
The Buffered PLUS will pay no interest and provide a minimum
payment at maturity of only 10.00% of the stated principal amount. At maturity, if the underlying index has appreciated in value,
investors will receive the stated principal amount of their investment plus leveraged upside performance of the underlying index,
subject to a maximum payment at maturity. If the underlying index has declined in value but has not declined by more than the specified
buffer amount, investors will receive the stated principal amount of their investment. However, if the underlying index has declined
by more than the buffer amount, at maturity investors will lose 1% for every 1% decline beyond the specified buffer amount, subject
to the minimum payment at maturity of 10.00% of the stated principal amount. Investors may lose up to 90.00% of the stated principal
amount of the Buffered PLUS at maturity. The Buffered PLUS are for investors who seek an equity-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 leverage
and buffer features that in each case apply to a limited range of performance of the underlying index. The Buffered PLUS 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 Buffered PLUS is subject to the credit risk of JPMorgan Financial, as issuer of
the Buffered PLUS, and the credit risk of JPMorgan Chase & Co., as guarantor of the Buffered PLUS.
|
FINAL TERMS
|
|
Issuer:
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
|
|
Guarantor:
|
JPMorgan Chase & Co.
|
|
Underlying index:
|
EURO STOXX 50® Index (Bloomberg ticker: SX5E Index)
|
|
Aggregate principal amount:
|
$825,000
|
|
Payment at maturity:
|
If the final index value is greater than the initial index value, for each $10 stated principal amount Buffered PLUS,
|
|
|
$10 + leveraged upside payment
|
|
|
In no event will the payment at maturity exceed the maximum payment at maturity.
|
|
|
If the final index value is equal to the initial index value or is less than the initial index value but has decreased from the initial index value by an amount less than or equal to the buffer amount of 10.00%, for each $10 stated principal amount Buffered PLUS,
|
|
|
$10
|
|
|
If the final index value is less than the initial index value and has decreased from the initial index value by an amount greater than the buffer amount of 10.00%, for each $10 stated principal amount Buffered PLUS,
|
|
|
($10 × index performance factor) + $1.00
|
|
|
This amount will be less than the stated principal amount of $10 per Buffered PLUS. However, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., under no circumstances will the Buffered PLUS pay less than $1.00 per Buffered PLUS at maturity.
|
|
Leveraged upside payment:
|
$10 × leverage factor × index percent increase
|
|
Index percent increase:
|
(final index value – initial index value) / initial index value
|
|
Leverage factor:
|
200%
|
|
Buffer amount:
|
10.00%
|
|
Index performance factor:
|
final index value / initial index value
|
|
Maximum payment at maturity:
|
$12.035 (120.35% of the stated principal amount) per Buffered PLUS
|
|
Minimum payment at maturity:
|
$1.00 per Buffered PLUS (10.00% of the stated principal amount)
|
|
Stated principal amount:
|
$10 per Buffered PLUS
|
|
Issue price:
|
$10 per Buffered PLUS (see “Commissions and issue price” below)
|
|
Pricing date:
|
June 30, 2020
|
|
Original issue date (settlement date):
|
July 6, 2020
|
|
Valuation date:
|
December 29, 2022, 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
|
|
Maturity date:
|
January 4, 2023, 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
|
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
|
|
|
|
Terms continued on the following page
|
|
Commissions and issue price:
|
Price to public(1)
|
Fees and commissions
|
Proceeds to issuer
|
|
Per Buffered PLUS
|
$10.00
|
$0.25(2)
|
$9.70
|
|
|
|
$0.05(3)
|
|
|
Total
|
$825,000.00
|
$24,750.00
|
$800,250.00
|
|
|
(1)
|
See “Additional Information about the Buffered PLUS — Supplemental use of proceeds and hedging” in this
document for information about the components of the price to public of the Buffered PLUS.
|
|
|
(2)
|
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $0.25 per $10 stated principal
amount Buffered PLUS 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.
|
|
|
(3)
|
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 Buffered PLUS.
|
The estimated value of the Buffered PLUS on the pricing
date was $9.647 per $10 stated principal amount Buffered PLUS. See “Additional Information about the Buffered PLUS —
The estimated value of the Buffered PLUS” in this document for additional information.
Investing in the Buffered PLUS 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 6 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Buffered PLUS 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 Buffered PLUS 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 Buffered PLUS” 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
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Terms continued from previous page:
|
Initial index value:
|
The closing level of the underlying index on the pricing date, which was 3,234.07
|
|
Final index value:
|
The closing level of the underlying index on the valuation date
|
|
CUSIP / ISIN:
|
48132L673 / US48132L6737
|
|
Listing:
|
The Buffered PLUS will not be listed on any securities exchange.
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Buffered Performance Leveraged Upside
Securities
Principal at Risk Securities
The Buffered PLUS Based on the Value of the EURO STOXX 50®
Index due January 4, 2023 (the “Buffered PLUS”) can be used:
|
|
§
|
As an alternative to direct exposure to the underlying index that enhances returns for a certain range of potential positive
performance of the underlying index.
|
|
|
§
|
To potentially achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum
payment at maturity, while using fewer dollars by taking advantage of the leverage factor.
|
|
|
§
|
To obtain a buffer against a specified level of negative performance in the underlying index.
|
|
Maturity:
|
Approximately 30 months
|
|
Leverage factor:
|
200%
|
|
Buffer amount:
|
10.00%
|
|
Maximum payment at maturity:
|
$12.035 (120.35% of the stated principal amount) per Buffered PLUS
|
|
Minimum payment at maturity:
|
$1.00 per Buffered PLUS. Investors may lose up to 90.00% of the stated principal amount of the Buffered PLUS at maturity.
|
Supplemental Terms of the Buffered PLUS
For purposes of the accompanying
product supplement, the underlying index is an “Index.”
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
Buffered PLUS offer leveraged exposure to an underlying asset,
which may be equities, commodities and/or currencies, while providing limited protection against negative performance of the underlying
asset. If the underlying asset has decreased in value by more than the specified buffer amount, investors are exposed to the negative
performance of the underlying asset, subject to the minimum payment at maturity. At maturity, if the underlying asset has appreciated,
investors will receive the stated principal amount of their investment plus leveraged upside performance of the underlying asset,
subject to the maximum payment at maturity. At maturity, if the underlying asset has depreciated and (i) if the underlying asset
has not depreciated by more than the specified buffer amount, investors will receive the stated principal amount of their investment,
or (ii) if the underlying asset has depreciated by more than the buffer amount, the investor will lose 1% for every 1% decline
beyond the specified buffer amount. Investors may lose up to 90.00% of the stated principal amount of the Buffered PLUS at maturity.
|
Leveraged Performance
|
The Buffered PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the underlying index.
|
|
Upside Scenario
|
The underlying index increases in value and, at maturity, the Buffered PLUS pay the stated principal amount of $10 plus a return equal to 200% of the index percent increase, subject to the maximum payment at maturity of $12.035 (120.35% of the stated principal amount) per Buffered PLUS.
|
|
Par Scenario
|
The final index value is equal to the initial index value or declines in value by no more than 10.00% and, at maturity, the Buffered PLUS pay the stated principal amount of $10 per Buffered PLUS.
|
|
Downside Scenario
|
The underlying index declines in value by more than 10.00% and, at maturity, the Buffered PLUS pay an amount that is less than the stated principal amount by an amount that is proportionate to the percentage decline of the final index value from the initial index value, plus the buffer amount of 10.00%. (Example: if the underlying index decreases in value by 20%, the Buffered PLUS will pay an amount that is less than the stated principal amount by 20% plus the buffer amount of 10.00%, or $9.00 per Buffered PLUS.) The minimum payment at maturity is $1.00 per Buffered PLUS, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Buffered PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the Buffered PLUS based on the following terms:
|
Stated principal amount:
|
$10 per Buffered PLUS
|
|
Leverage factor:
|
200%
|
|
Maximum payment at maturity:
|
$12.035 (120.35% of the stated principal amount) per Buffered PLUS
|
|
Minimum payment at maturity:
|
$1.00 per Buffered PLUS
|
|
Buffered PLUS Payoff Diagram
|
|
How it works
|
|
§
|
Upside
Scenario. If the final index value is greater than the initial index value, for each $10 principal amount Buffered
PLUS investors will receive the $10 stated principal amount plus a return equal to 200% of the appreciation of the underlying
index over the term of the Buffered PLUS, subject to the maximum payment at maturity. Under the terms of the Buffered PLUS, an
investor will realize the maximum payment at maturity at a final index value of 110.175% of the initial index value.
|
|
|
§
|
Par
Scenario. If the final index value is equal to the initial index value or is less than the initial index value but
has decreased from the initial index value by an amount less than or equal to the buffer amount of 10.00%, investors will receive
the stated principal amount of $10 per Buffered PLUS.
|
|
|
§
|
Downside
Scenario. If the final index value is less than the initial index value and has decreased from the initial index value
by an amount greater than the buffer amount of 10.00%, investors will receive an amount that is less than the stated principal
amount by an amount proportionate to the percentage decrease of the final index value from the initial index value, plus the buffer
amount of 10.00%. The minimum payment at maturity is $1.00 per Buffered PLUS.
|
|
|
§
|
For example, if the underlying index depreciates 50.00%, investors will lose 40.00% of their principal and receive only $6.00
per Buffered PLUS at maturity, or 60.00% of the stated principal amount.
|
The hypothetical returns and hypothetical
payments on the Buffered PLUS shown above apply only if you hold the Buffered PLUS 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
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the Buffered PLUS. 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 Buffered PLUS.
|
|
§
|
Buffered
PLUS do not pay interest and you could lose up to 90.00% of your principal at maturity. The terms of the Buffered PLUS
differ from those of ordinary debt securities in that the Buffered PLUS do not pay interest and provide a minimum payment at maturity
of only 10.00% of your principal, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. If the final
index value has declined by an amount greater than the buffer amount of 10.00% from the initial index value, you will receive
for each Buffered PLUS that you hold a payment at maturity that is less than the stated principal amount of each Buffered PLUS
by an amount proportionate to the decline in the value of the underlying index, plus $1.00 per Buffered PLUS. Accordingly, you
could lose up to 90.00% of your principal.
|
|
|
§
|
The appreciation potential of the Buffered PLUS is limited by the
maximum payment at maturity. The appreciation potential of the Buffered PLUS is limited by
the maximum payment at maturity of $12.035 (120.35% of the stated principal amount) per Buffered PLUS. Because the maximum payment
at maturity will be limited to 120.35% of the stated principal amount for the Buffered PLUS, any increase in the final index value
by more than 10.175% will not further
increase the return on the Buffered PLUS.
|
|
|
§
|
The
Buffered PLUS 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
Buffered PLUS. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on
the Buffered PLUS. 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 Buffered PLUS. If we and JPMorgan Chase & Co. were to default on our payment obligations, you
may not receive any amounts owed to you under the Buffered PLUS 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 Buffered PLUS. If these affiliates
do not make payments to us and we fail to make payments on the Buffered PLUS, 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.
|
|
|
§
|
Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the Buffered PLUS 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 Buffered PLUS, including acting as calculation
agent and as an agent of the offering of the Buffered PLUS, hedging our obligations under the Buffered PLUS and making the assumptions
used to determine the pricing of the Buffered PLUS and the estimated value of the Buffered PLUS, which we refer to as the estimated
value of the Buffered PLUS. 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
Buffered PLUS. The calculation agent has determined the initial index value, will determine the final index value and will calculate
the amount of payment you will receive at maturity. 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.
|
In
addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our
and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the Buffered
PLUS and the value of the Buffered PLUS. It is possible that hedging or trading activities of ours or our affiliates in connection
with the Buffered PLUS could result in substantial returns for us or our affiliates while the value of the Buffered PLUS declines.
Please refer to
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
“Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement for additional information about these risks.
|
|
§
|
The estimated value of the Buffered PLUS is lower than the original
issue price (price to public) of the Buffered PLUS. The estimated value of the Buffered PLUS
is only an estimate determined by reference to several factors. The original issue price of the Buffered PLUS exceeds the estimated
value of the Buffered PLUS because costs associated with selling, structuring and hedging the Buffered PLUS are included in the
original issue price of the Buffered PLUS. 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 Buffered PLUS and
the estimated cost of hedging our obligations under the Buffered PLUS. See “Additional Information about the Buffered PLUS
— The estimated value of the Buffered PLUS” in this document.
|
|
|
§
|
The estimated value of the Buffered PLUS does not represent future
values of the Buffered PLUS and may differ from others’ estimates. The estimated value of the Buffered PLUS is determined
by reference to internal pricing models of our affiliates. This estimated value of the Buffered
PLUS 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 Buffered PLUS that are greater than or less than the estimated value of the Buffered PLUS. 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 Buffered PLUS 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 the Buffered PLUS from you in secondary market transactions. See “Additional
Information about the Buffered PLUS — The estimated value of the Buffered PLUS” in this document.
|
|
|
§
|
The estimated value of the Buffered PLUS is derived by reference
to an internal funding rate. The internal funding rate used in the determination of the estimated
value of the Buffered PLUS 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 Buffered PLUS as well as the higher issuance, operational and ongoing liability management costs
of the Buffered PLUS 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 Buffered PLUS. The use of an internal funding rate and any potential changes
to that rate may have an adverse effect on the terms of the Buffered PLUS and any secondary market prices of the Buffered PLUS.
See “Additional Information about the Buffered PLUS — The estimated value of the Buffered PLUS” in this document.
|
|
|
§
|
The value of the Buffered PLUS as published by JPMS (and which may
be reflected on customer account statements) may be higher than the then-current estimated value of the Buffered PLUS for a limited
time period. We generally expect that some of the costs included in the original issue price
of the Buffered PLUS will be partially paid back to you in connection with any repurchases of your Buffered PLUS 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 Buffered PLUS — Secondary market prices
of the Buffered PLUS” in this document for additional information relating to this initial period. Accordingly, the estimated
value of your Buffered PLUS during this initial period may be lower than the value of the Buffered PLUS as published by JPMS (and
which may be shown on your customer account statements).
|
|
|
§
|
Secondary market prices of the Buffered PLUS will likely be lower than the original issue price of the Buffered PLUS.
Any secondary market prices of the Buffered PLUS will likely be lower than the original issue price of the Buffered
PLUS 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, the structuring fee, projected hedging
profits, if any, and estimated hedging costs that are included in the original issue price of the Buffered PLUS. As a result, the
price, if any, at which JPMS will be willing to buy Buffered PLUS 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
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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 Buffered PLUS.
The Buffered PLUS are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your Buffered PLUS to maturity. See “—
Secondary trading may be limited” below.
|
|
§
|
Secondary market prices of the Buffered PLUS will be impacted by
many economic and market factors. The secondary market price of the Buffered PLUS 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:
|
|
|
o
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
|
o
|
customary bid-ask spreads for similarly sized trades;
|
|
|
o
|
our internal secondary market funding rates for structured debt issuances;
|
|
|
o
|
the actual and expected volatility of the underlying index;
|
|
|
o
|
the time to maturity of the Buffered PLUS;
|
|
|
o
|
the dividend rates on the equity securities included in the underlying index;
|
|
|
o
|
interest and yield rates in the market generally;
|
|
|
o
|
the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the
equity securities included in the underlying index trade and the correlation among those rates and the levels of the underlying
index; and
|
|
|
o
|
a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the Buffered PLUS, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the Buffered PLUS, if any, at which JPMS may be willing
to purchase your Buffered PLUS in the secondary market.
|
|
§
|
Investing in the Buffered PLUS is not equivalent to investing in
the underlying index. Investing in the Buffered PLUS is not equivalent to investing in the
underlying index or its component stocks. Investors in the Buffered PLUS will not have voting rights or rights to receive dividends
or other distributions or any other rights with respect to stocks that constitute the underlying index.
|
|
|
§
|
Adjustments to the underlying index could adversely affect the value
of the Buffered PLUS. 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.
|
|
|
§
|
The Buffered PLUS are subject to risks associated with securities
issued by non-U.S. companies. The equity securities included in the underlying index have
been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks
associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks
of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries.
Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about
U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting,
auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S.
reporting companies.
|
|
|
§
|
The Buffered PLUS are not directly exposed to fluctuations in foreign
exchange rates. The value of your Buffered PLUS will not be adjusted for exchange rate fluctuations
between the U.S. dollar and the currencies upon which the equity securities included in the underlying index are based, although
any currency fluctuations could affect the performance of the underlying index. Therefore, if the applicable
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
currencies appreciate or depreciate relative to the
U.S. dollar over the term of the Buffered PLUS, you will not receive any additional payment or incur any reduction in any payment
on the Buffered PLUS.
|
|
§
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the Buffered
PLUS. The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with
respect to the Buffered PLUS 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 Buffered PLUS at maturity. Any of these hedging or trading
activities on or prior to the pricing date could have affected the initial index value 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 Buffered PLUS or so that you do not suffer
a loss on your initial investment in the Buffered PLUS. Additionally, these hedging or trading activities during the term
of the Buffered PLUS, including on the valuation
date, could adversely affect the final index value and, accordingly, the amount of cash an investor will receive at maturity. It
is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while the value
of the Buffered PLUS declines.
|
|
|
§
|
Secondary trading may be limited. The
Buffered PLUS will not be listed on a securities exchange. There may be little or no secondary market for the Buffered PLUS. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Buffered PLUS easily.
JPMS may act as a market maker for the Buffered PLUS, 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 Buffered PLUS, the price at which you may be able
to trade your Buffered PLUS is likely to depend on the price, if any, at which JPMS
is willing to buy the Buffered PLUS. 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 Buffered
PLUS.
|
|
|
§
|
The tax consequences of an investment in the Buffered PLUS are uncertain. There is no direct legal authority as to the
proper U.S. federal income tax characterization of the Buffered PLUS, 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 Buffered PLUS described in “Additional Information
about the Buffered PLUS ― 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 Buffered PLUS, the timing and character of any income or loss on the Buffered PLUS 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 Buffered PLUS, 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 Buffered
PLUS, including possible alternative treatments and the issues presented by this notice.
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
EURO STOXX 50®
Index Overview
The EURO STOXX 50® Index consists of 50 component
stocks of market sector leaders from within the Eurozone. For additional information about the EURO STOXX 50® Index,
see the information set forth under “Equity Index Descriptions ― The STOXX Benchmark Indices” in the accompanying
underlying supplement.
Information as of market close on June 30, 2020:
|
Bloomberg Ticker Symbol:
|
SX5E
|
|
Current Closing Level:
|
3,234.07
|
|
52 Weeks Ago (on 7/1/2019):
|
3,497.59
|
|
52 Week High (on 2/19/2020):
|
3,865.18
|
|
52 Week Low (on 3/18/2020):
|
2,385.82
|
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 3,234.07. 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.
|
EURO STOXX 50® Index
|
High
|
Low
|
Period End
|
|
2015
|
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
|
2016
|
|
|
|
|
First Quarter
|
3,178.01
|
2,680.35
|
3,004.93
|
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
|
Third Quarter
|
3,091.66
|
2,761.37
|
3,002.24
|
|
Fourth Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
|
2017
|
|
|
|
|
First Quarter
|
3,500.93
|
3,230.68
|
3,500.93
|
|
Second Quarter
|
3,658.79
|
3,409.78
|
3,441.88
|
|
Third Quarter
|
3,594.85
|
3,388.22
|
3,594.85
|
|
Fourth Quarter
|
3,697.40
|
3,503.96
|
3,503.96
|
|
2018
|
|
|
|
|
First Quarter
|
3,672.29
|
3,278.72
|
3,361.50
|
|
Second Quarter
|
3,592.18
|
3,340.35
|
3,395.60
|
|
Third Quarter
|
3,527.18
|
3,293.36
|
3,399.20
|
|
Fourth Quarter
|
3,414.16
|
2,937.36
|
3,001.42
|
|
2019
|
|
|
|
|
First Quarter
|
3,409.00
|
2,954.66
|
3,351.71
|
|
Second Quarter
|
3,514.62
|
3,280.43
|
3,473.69
|
|
Third Quarter
|
3,571.39
|
3,282.78
|
3,569.45
|
|
Fourth Quarter
|
3,782.27
|
3,413.31
|
3,745.15
|
|
2020
|
|
|
|
|
First Quarter
|
3,865.18
|
2,385.82
|
2,786.90
|
|
Second Quarter
|
3,384.29
|
2,662.99
|
3,234.07
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
EURO STOXX 50®
Index Historical Performance – Daily Closing Levels
January 2, 2015 to
June 30, 2020
|
|
License Agreement. The EURO STOXX 50®
Index and STOXX® are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland
and/or its licensors (the “Licensors”), which are used under license. The securities based on the EURO STOXX 50®
Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any
of its Licensors shall have any liability with respect thereto. See “Equity Index Descriptions — The STOXX Benchmark
Indices — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information about the Buffered
PLUS
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 Buffered PLUS will be postponed to the third business day following the valuation date as postponed.
|
|
Minimum ticketing size:
|
$1,000 / 100 Buffered PLUS
|
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
|
Calculation agent:
|
JPMS
|
|
The estimated value of the Buffered PLUS:
|
The estimated value of the Buffered PLUS 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 Buffered PLUS, valued using the internal funding rate described below, and (2) the
derivative or derivatives underlying the economic terms of the Buffered PLUS. The estimated value of the Buffered PLUS does not
represent a minimum price at which JPMS would be willing to buy your Buffered PLUS in any secondary market (if any exists) at any
time. The internal funding rate used in the determination of the estimated value of the Buffered PLUS 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 Buffered PLUS as
well as the higher issuance, operational and ongoing liability management costs of the Buffered PLUS 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 Buffered PLUS. The use of an internal funding rate and any potential changes to that rate may have an adverse effect
on the terms of the Buffered PLUS and any secondary market prices of the Buffered PLUS. For additional information, see “Risk
Factors — The estimated value of the Buffered PLUS 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 Buffered PLUS 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
Buffered PLUS 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 Buffered PLUS does not represent future values of the Buffered PLUS
and may differ from others’ estimates” in this document.
The estimated value of the Buffered PLUS is lower
than the original issue price of the Buffered PLUS because costs associated with selling, structuring and hedging the Buffered
PLUS are included in the original issue price of the Buffered PLUS. 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 Buffered PLUS and the estimated cost of hedging our obligations
under the Buffered PLUS. 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 Buffered PLUS 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 Buffered PLUS is lower than the original issue price (price to public) of the Buffered PLUS” in this document.
|
|
Secondary market prices of the Buffered PLUS:
|
For information about factors that will impact any secondary market prices of the Buffered PLUS, see “Risk Factors — Secondary market prices of the Buffered PLUS 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 Buffered PLUS will be partially paid back to you in connection with any repurchases of your Buffered PLUS 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 Buffered PLUS. The length of any such initial period reflects the structure of the Buffered PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Buffered PLUS and when these costs are incurred, as
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
determined by our affiliates. See “Risk Factors — The value of the Buffered PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the Buffered PLUS 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 Buffered PLUS.
Based on current market conditions, in the opinion
of our special tax counsel, your Buffered PLUS 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 Buffered PLUS should be treated as long-term
capital gain or loss if you hold your Buffered PLUS for more than a year, whether or not you are an initial purchaser of Buffered
PLUS at the issue price. However, the IRS or a court may not respect this treatment of the Buffered PLUS, in which case the timing
and character of any income or loss on the Buffered PLUS 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 Buffered PLUS, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax
consequences of an investment in the Buffered PLUS, including possible alternative treatments and the issues presented by this
notice.
|
|
Supplemental use of proceeds and hedging:
|
The Buffered PLUS are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the Buffered PLUS. See “How the Buffered
PLUS Work” in this document for an illustration of the risk-return profile of the Buffered PLUS and “EURO STOXX 50®
Index Overview” in this document for a description of the market exposure provided by the Buffered PLUS.
The original issue price of the Buffered PLUS is equal
to the estimated value of the Buffered PLUS 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 Buffered PLUS, plus the estimated cost of hedging our obligations under the Buffered PLUS.
|
|
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 Buffered PLUS 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
PLUS.
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
Buffered PLUS 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 Buffered PLUS will be
made against payment for the Buffered PLUS 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 Buffered PLUS (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
Buffered PLUS 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.
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due January 4, 2023
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
Validity of the Buffered PLUS:
|
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Buffered PLUS 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 Buffered PLUS 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 Buffered PLUS 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
Buffered PLUS 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 Buffered PLUS 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 Buffered PLUS 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 Buffered
PLUS.
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
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.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley.
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024
