Key Terms
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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Reference Stock:
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The common stock of The Walt Disney Company, par value $0.01 per share (Bloomberg ticker: DIS). We refer to The Walt Disney Company as “Disney.”
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Payment at Maturity:
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If the Final Stock Price is greater than or equal to the Stock Strike Price or is less than the Stock Strike Price by up to 25.00%, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Contingent Digital Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
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$1,000 + ($1,000 × Contingent Digital Return)
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If the Final Stock Price is less than the Stock Strike Price by more than 25.00%, at maturity you will lose 1.33333% of the principal amount of your notes for every 1% that the Final Stock Price is less than the Stock Strike Price by more than 25.00%. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
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$1,000 + [$1,000 × (Stock Return + 25.00%) × 1.33333]
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You will lose some or all of your principal amount at maturity If the Final Stock Price is less than the Stock Strike Price by more than 25.00%.
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Contingent Digital Return:
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12.70%, which reflects the maximum return on the notes. Accordingly, the maximum payment at maturity per $1,000 principal amount note is $1,127.00.
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Buffer Amount:
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25.00%
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Downside Leverage Factor:
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1.33333
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Stock Return:
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(Final Stock Price –
Stock Strike Price)
Stock Strike Price
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Stock Strike Price:
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$94.92, the closing price of one share of the Reference Stock on April 1, 2020. The Final Stock Price is not determined by reference to the closing price of the Reference Stock on the Pricing Date.
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Final Stock Price:
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The arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates
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Stock Adjustment Factor:
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The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further information.
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Pricing Date:
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April 2, 2020
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Original Issue Date:
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On or about April 7, 2020 (Settlement Date)
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Ending Averaging Dates*:
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April 8, 2021, April 9, 2021, April 12, 2021, April 13, 2021 and April 14, 2021
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Maturity Date*:
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April 19, 2021
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CUSIP:
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48132KQL2
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*
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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)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
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Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page PS-10 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000.00
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$10.00
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$990.00
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Total
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$1,280,000.00
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$12,800.00
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$1,267,200.00
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(1)
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See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price
to public of the notes.
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(2)
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J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling
commissions of $10.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement.
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The estimated value of the notes, when the terms of the notes
were set, was $969.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing
supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Additional Terms Specific
to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes, of which these notes are a part, and the more detailed information contained in the accompanying product supplement. This
pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours.
You should carefully consider, among other things, the matters set forth in the “Risk Factors” section of the accompanying
product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
JPMorgan Structured Investments —
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PS- 1
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Contingent Digital Buffered Notes Linked to the Common Stock of The Walt Disney Company
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What Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Reference Stock?
The following table and examples illustrate
the hypothetical total return and the hypothetical payment at maturity on the notes. The “total return” as used in
this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below assumes a Stock Strike Price
of $95 and reflects and a Contingent Digital Return of 12.70%, the Buffer Amount of 25.00% and the Downside Leverage Factor of
1.33333. Each hypothetical total return or payment at maturity set forth below is for illustrative purposes only and may not be
the actual total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table
and in the examples below have been rounded for ease of analysis.
Final Stock Price
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Stock Return
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Total Return
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$171.0000
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80.00%
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12.70%
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$161.5000
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70.00%
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12.70%
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$152.0000
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60.00%
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12.70%
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$142.5000
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50.00%
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12.70%
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$133.0000
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40.00%
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12.70%
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$123.5000
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30.00%
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12.70%
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$114.0000
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20.00%
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12.70%
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$107.0650
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12.70%
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12.70%
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$104.5000
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10.00%
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12.70%
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$99.7500
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5.00%
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12.70%
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$97.3750
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2.50%
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12.70%
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$95.0000
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0.00%
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12.70%
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$92.6250
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-2.50%
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12.70%
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$90.2500
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-5.00%
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12.70%
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$85.5000
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-10.00%
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12.70%
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$76.0000
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-20.00%
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12.70%
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$71.2500
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-25.00%
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12.70%
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$66.5000
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-30.00%
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-6.67%
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$57.0000
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-40.00%
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-20.00%
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$47.5000
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-50.00%
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-33.33%
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$38.0000
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-60.00%
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-46.67%
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$28.5000
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-70.00%
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-60.00%
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$19.0000
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-80.00%
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-73.33%
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$9.5000
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-90.00%
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-86.67%
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$0.0000
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-100.00%
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-100.00%
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JPMorgan Structured Investments —
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PS- 2
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Contingent Digital Buffered Notes Linked to the Common Stock of The Walt Disney Company
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Hypothetical Examples of
Amount Payable at Maturity
The following examples illustrate how the total
payment at maturity in different hypothetical scenarios is calculated.
Example 1: The price of one share of the Reference
Stock increases from the Stock Strike Price of $95.00 to a Final Stock Price of $99.75.
Because the Final Stock Price of $99.75 is greater
than the Stock Strike Price of $95.00, regardless of the Stock Return, the investor receives a payment at maturity of $1,127.00
per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
12.70%) = $1,127.00
Example 2: The price of one share of the Reference
Stock decreases from the Stock Strike Price of $95.00 to a Final Stock Price of $71.25.
Although the Stock Return is negative, because
the Final Stock Price of $71.25 is less than the Stock Strike Price of $95.00 by up to the Buffer Amount of 25.00%, the investor
receives a payment at maturity of $1,127.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
12.70%) = $1,127.00
Example 3: The price of one share of the Reference
Stock increases from the Stock Strike Price of $95.00 to a Final Stock Price of $133.00.
Because the Final Stock Price of $133.00 is greater
than the Stock Strike Price of $95.00 and although the Stock Return of 40.00% exceeds the Contingent Digital Return of 12.70%,
the investor is entitled to only the Contingent Digital Return and receives a payment at maturity of $1,127.00 per $1,000 principal
amount note, calculated as follows:
$1,000 + ($1,000 ×
12.70%) = $1,127.00
Example 4: The price of one share of the Reference
Stock decreases from the Stock Strike Price of $95.00 to a Final Stock Price of $47.50.
Because the Final Stock Price of $47.50 is less
than the Stock Strike Price of $95.00 by more than the Buffer Amount of 25.00% and the Stock Return is -50.00%, the investor receives
a payment at maturity of $666.67 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 ×
(-50.00% + 25.00%) × 1.33333] = $666.67
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes 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 Structured Investments —
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PS- 3
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Contingent Digital Buffered Notes Linked to the Common Stock of The Walt Disney Company
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Selected Purchase Considerations
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·
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FIXED APPRECIATION
POTENTIAL — If the Final Stock Price is greater than or equal to the Stock Strike Price or is less than the Stock Strike
Price by up to 25.00%, you will receive a fixed return equal to the Contingent Digital Return of 12.70% at maturity, which also
reflects the maximum return on the notes at maturity. Because the notes are our unsecured and unsubordinated obligations, the
payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject
to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as
they become due.
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·
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LOSS OF PRINCIPAL BEYOND BUFFER AMOUNT —
We will pay you the Contingent Digital Return of 12.70% at maturity if the Final Stock Price is greater than or equal to the Stock
Strike Price or is less than the Stock Strike Price by up to 25.00%. If the Final Stock Price is less than the Stock Strike Price
by more than 25.00%, for every 1% that the Final Stock Price is less than the Stock Strike Price by more than 25.00%, you will
lose an amount equal to 1.33333% of the principal amount of your notes. Accordingly, you may lose some or all of your principal
amount at maturity.
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·
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RETURN DEPENDENT ON A SINGLE REFERENCE STOCK —
The return on the notes is linked to the performance of a single Reference Stock, which is the common stock of Disney. For additional
information see “The Reference Stock” in this pricing supplement.
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·
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TAX TREATMENT — You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I.
The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel,
Latham & Watkins LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
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Based on current market conditions, in the opinion of
our special tax counsel it is reasonable to treat the notes 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 notes should be treated as long-term capital gain or loss if you
hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS
or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes 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 notes, possibly with retroactive effect. You should consult your
tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by 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 (such an index, a
“Qualified Index”). Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued
prior to January 1, 2023 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends
for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, our
special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination
is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may
depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
Withholding under legislation commonly referred to as
“FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect
to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note, although
under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),
no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax
adviser regarding the potential application of FATCA to the notes.
JPMorgan Structured Investments —
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PS- 4
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Contingent Digital Buffered Notes Linked to the Common Stock of The Walt Disney Company
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Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more detail
in the “Risk Factors” section of the accompanying product supplement.
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·
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YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the
notes at maturity is dependent on the performance of the Reference Stock and will depend on whether, and the extent to which,
the Final Stock Price is less than the Stock Strike Price. Your investment will be exposed to a loss on a leveraged basis if the
Final Stock Price is less than the Stock Strike Price by more than 25.00%. In this case, for every 1% that the Final Stock Price
is less than the Stock Strike Price by more than 25.00%, you will lose an amount equal to 1.33333% of the principal amount of
your notes. Accordingly, you may lose some or all of your principal amount at maturity.
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·
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE
CONTINGENT DIGITAL RETURN — If
the Final Stock Price is greater than or equal to the Stock Strike Price or is less than the Stock Strike Price by up to 25.00%,
for each $1,000 principal amount note, you will receive at maturity $1,000 plus an additional return equal to the Contingent
Digital Return of 12.70%, regardless of any appreciation of the Reference Stock, which may be significant.
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·
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YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL
RETURN MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Final Stock Price is less than the Stock Strike Price
by more than 25.00%, you will not be entitled to receive the Contingent Digital Return at maturity. Under these circumstances,
you will lose some or all of your principal amount at maturity.
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·
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN
CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan
Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. Investors are
dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change
in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit
risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
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·
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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 notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment
under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured
and unsubordinated obligations of JPMorgan Chase & Co.
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·
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POTENTIAL CONFLICTS — We and our affiliates
play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of
the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of
the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value of
the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of
the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes and the value
of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result
in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors —
Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.
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We and/or our affiliates may also currently
or from time to time engage in business with Disney, including extending loans to, or making equity investments in, Disney or providing
advisory services to Disney. In addition, one or more of our affiliates may publish research reports or otherwise express opinions
with respect to Disney, and these reports may or may not recommend that investors buy or hold the Reference Stock. As a prospective
purchaser of the notes, you should undertake an independent investigation of the Reference Stock issuer that in your judgment is
appropriate to make an informed decision with respect to an investment in the notes.
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·
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN
THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the
selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value
of the Notes” in this pricing supplement.
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·
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT
FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of the notes is determined
by reference to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes
is based on market conditions and other relevant factors existing at that time and assumptions about market parameters, which can
include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
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JPMorgan Structured Investments —
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PS- 5
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Contingent Digital Buffered Notes Linked to the Common Stock of The Walt Disney Company
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and other relevant factors in the future may
change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based
on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions. See “The Estimated Value of the Notes” in this pricing supplement.
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·
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY
REFERENCE TO AN INTERNAL FUNDING RATE — The internal funding rate used in the determination of the estimated value of
the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate
is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the
Notes” in this pricing supplement.
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·
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND
WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED
TIME PERIOD — We generally expect that some of the costs included in the original issue price of the notes will be partially
paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. See “Secondary Market
Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly,
the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and
which may be shown on your customer account statements).
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·
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY
BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than
the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a
result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is
likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss
to you. See the immediately following risk consideration for information about additional factors that will impact any secondary
market prices of the notes.
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The notes are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your notes to maturity. See “— Lack of Liquidity”
below.
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·
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SECONDARY MARKET
PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from
the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the Reference
Stock, including:
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·
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any actual or potential
change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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·
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customary bid-ask
spreads for similarly sized trades;
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·
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our internal secondary
market funding rates for structured debt issuances;
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·
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the actual and expected
volatility in the closing price of the Reference Stock;
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·
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the time to maturity
of the notes;
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·
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the dividend rate
on the Reference Stock;
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·
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interest and yield
rates in the market generally;
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·
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the occurrence of
certain events affecting the issuer of the Reference Stock that may or may not require an adjustment to the Stock Adjustment Factor,
including a merger or acquisition; and
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·
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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 notes, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market.
·
NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE
STOCK — As a holder of the notes, you will not have any ownership interest or rights in the Reference Stock, such as
voting rights or dividend payments. In addition, the issuer of the Reference Stock will not have any obligation to consider your
interests as a holder of the notes in taking any corporate action that might affect the value of the Reference Stock and the notes.
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·
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NO AFFILIATION
WITH THE REFERENCE STOCK ISSUER — We are not affiliated with the issuer of the Reference Stock. We assume no responsibility
for the adequacy of the information about the Reference Stock issuer contained in this pricing supplement. You should undertake
your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public
disclosure of information, whether contained in SEC filings or otherwise.
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JPMorgan Structured Investments —
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PS- 6
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Contingent Digital Buffered Notes Linked to the Common Stock of The Walt Disney Company
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SINGLE STOCK RISK
— The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its issuer, such
as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes
and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest
rates and economic and political conditions.
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NO INTEREST PAYMENTS — As a holder
of the notes, you will not receive any interest payments.
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VOLATILITY RISK
— Greater expected volatility with respect to the Reference Stock indicates a greater likelihood as of the Pricing Date
that the Final Stock Price could be less than the Stock Strike Price by more than the Contingent Buffer Amount. The Reference Stock’s
volatility, however, can change significantly over the term of the notes. The closing price of one share of the Reference Stock
could fall sharply during the term of the notes, which could result in your losing some or all of your principal amount at maturity.
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LACK OF LIQUIDITY
— The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market
but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or
sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may
be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes.
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THE ANTI-DILUTION
PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make adjustments
to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation agent will
not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does not require
the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. You should also be
aware that the calculation agent may make adjustments in response to events that are not described in the accompanying product
supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to
consider your interests as a holder of the notes in making these determinations.
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JPMorgan Structured Investments —
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PS- 7
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Contingent Digital Buffered Notes Linked to the Common Stock of The Walt Disney Company
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Public Information
All information contained herein on the Reference
Stock and on Disney is derived from publicly available sources and is provided for informational purposes only. According to its
publicly available filings with the SEC, The Walt Disney Company is an entertainment company with operations in media networks;
parks, experiences and products; studio entertainment; and direct-to-consumer and international products. The common stock of Disney,
par value $0.01 per share (Bloomberg ticker: DIS) is registered under the Securities Exchange Act of 1934, as amended, which we
refer to as the “Exchange Act”, and is listed on the New York Stock Exchange, which we refer to as the relevant exchange
for purposes of Disney in the accompanying product supplement. Information provided to or filed with the SEC by Disney pursuant
to the Exchange Act can be located by reference to SEC file number 001-38842, and can be accessed through www.sec.gov. We do not
make any representation that these publicly available documents are accurate or complete.
Historical Information Regarding
the Reference Stock
The following graph sets forth the historical
performance of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January
2, 2015 through March 27, 2020. The closing price of one share of the Reference Stock on April 2, 2020 was $96.97. We obtained
the closing prices above and below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings,
mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical performance of the Reference Stock
should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share
of the Reference Stock on any Ending Averaging Date. There can be no assurance that the performance of the Reference Stock will
result in the return of any of your principal amount.
The Estimated Value of the
Notes
The estimated value of the notes set forth on
the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed
income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on,
among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be
incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes
Is Derived by Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk Considerations
— The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates”
in this pricing supplement.
The estimated value of the notes is lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in
the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under
the notes. See “Selected Risk
JPMorgan Structured Investments —
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PS- 8
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Contingent Digital Buffered Notes Linked to the Common Stock of The Walt Disney Company
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Considerations — The Estimated Value of
the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of
the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes
Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition, we generally expect that some
of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases
of your notes by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter
of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging
the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — The
Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Notes for a Limited Time Period.”
Supplemental Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Reference Stock?” and “Hypothetical Examples of
Amount Payable at Maturity” in this pricing supplement for an illustration of the risk-return profile of the notes and “The
Reference Stock” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
We expect that delivery of the notes will be made against
payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be
the third business day following the Pricing Date of the notes (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
notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
Validity of the Notes and
the Guarantee
In the opinion of Latham & Watkins LLP, as
special product counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have
been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against
payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee
will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such special product counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that
purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the
amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof
and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenture
with respect to the trustee, all as stated in the letter of such counsel dated March 7, 2019, which was filed as an exhibit to
a Current Report on Form 8-K by JPMorgan Chase & Co. on March 7, 2019.
JPMorgan Structured Investments —
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PS- 9
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Contingent Digital Buffered Notes Linked to the Common Stock of The Walt Disney Company
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