Pricing supplement
To prospectus dated April 8, 2020,
prospectus supplement dated April 8, 2020 and
product supplement no. 1-I dated April 8, 2020
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Registration Statement No. 333-236659
Dated July 29, 2020
Rule 424(b)(2)
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$15,000,000
Callable Fixed Rate Notes due July 31, 2027
General
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to
the credit risk of JPMorgan Chase & Co.
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These notes are designed for an investor who seeks a fixed income investment at an interest rate of 1.25% per annum but who
is also willing to accept the risk that the notes will be called prior to the Maturity Date.
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At our option, we may redeem the notes, in whole but not in part, on any of the Redemption Dates specified below.
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The notes may be purchased in minimum denominations of $1,000 and in integral multiples of $1,000 thereafter.
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Key Terms
Issuer:
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JPMorgan Chase & Co.
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Payment at Maturity:
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On the Maturity Date, we will pay you the principal amount of your notes plus any accrued and unpaid interest, provided that your notes are outstanding and have not previously been called on any Redemption Date.
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Call Feature:
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On the last calendar day of January, April, July and October of each year, beginning on July 31, 2025 and ending on April 30, 2027 (each, a “Redemption Date”), we may redeem your notes, in whole but not in part, at a price equal to the principal amount being redeemed plus any accrued and unpaid interest, subject to the Business Day Convention and the Interest Accrual Convention described below and in the accompanying product supplement. If we intend to redeem your notes, we will deliver notice to The Depository Trust Company at least 5 business days and not more than 15 business days before the applicable Redemption Date.
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Interest:
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Subject to the Interest Accrual Convention, with respect to
each Interest Period, for each $1,000 principal amount note, we will pay you interest in arrears on each Interest Payment Date
in accordance with the following formula:
$1,000 × Interest Rate × Day
Count Fraction.
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Interest Period:
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The period beginning on and including the Original Issue Date of the notes and ending on but excluding the first Interest Payment Date, and each successive period beginning on and including an Interest Payment Date and ending on but excluding the next succeeding Interest Payment Date or, if the notes are redeemed prior to that succeeding Interest Payment Date, ending on but excluding the applicable Redemption Date, subject to the Interest Accrual Convention described below and in the accompanying product supplement
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Interest Payment Dates:
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Interest on the notes will be payable in arrears on the last calendar day of January and July of each year, beginning on January 31, 2021 to and including the Maturity Date (each, an “Interest Payment Date”), subject to any earlier redemption and the Business Day Convention and Interest Accrual Convention described below and in the accompanying product supplement.
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Interest Rate:
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1.25% per annum
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Pricing Date:
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July 29, 2020
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Original Issue Date:
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July 31, 2020, subject to the Business Day Convention (Settlement Date)
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Maturity Date:
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July 31, 2027, subject to the Business Day Convention
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Business Day Convention:
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Following
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Interest Accrual Convention:
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Unadjusted
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Day Count Fraction:
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30/360
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CUSIP:
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48128GU99
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Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-9
of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-4 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
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$7.883
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$992.117
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Total
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$15,000,000
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$118,245
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$14,881,755
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(1) The price to the public includes the estimated cost of hedging
our obligations under the notes through one or more of our affiliates.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $7.883 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.
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 E medium-term notes of which these
notes are a part, and the more detailed information contained in the accompanying product supplement. This pricing supplement,
together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral
statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement
and 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):
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Product supplement no. 1-I dated April 8, 2020:
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http://www.sec.gov/Archives/edgar/data/19617/000095010320007225/crt_dp125799-424b2.pdf
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Prospectus supplement and prospectus, each dated April 8, 2020:
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http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 19617.
As used in this pricing supplement, “we,” “us” and “our” refer to JPMorgan Chase & Co.
Selected Purchase Considerations
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PRESERVATION OF CAPITAL AT MATURITY OR UPON REDEMPTION — We will pay you at least the principal amount of your
notes if you hold the notes to maturity or to the Redemption Date, if any, on which we elect to call the notes. Because the
notes are our unsecured and unsubordinated obligations, payment of any amount on the notes is subject to our ability to pay our
obligations as they become due.
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PERIODIC INTEREST PAYMENTS — The notes offer periodic interest payments on each Interest Payment Date at the Interest
Rate, subject to any earlier redemption, and, if the notes are redeemed on a Redemption Date that is not an Interest Payment Date,
on the applicable Redemption Date at the applicable Interest Rate. Interest, if any, will be paid in arrears on each Interest Payment
Date occurring before any Redemption Date on which the notes are redeemed and, if so redeemed, on that Redemption Date to the holders
of record at the close of business on the business day immediately preceding the applicable Interest Payment Date. The interest
payments will be based on the Interest Rate listed on the cover of this pricing supplement. The yield on the notes may be less
than the overall return you would receive from a conventional debt security that you could purchase today with the same maturity
as the notes.
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POTENTIAL PERIODIC REDEMPTION BY US AT OUR OPTION — At our option, we may redeem the notes, in whole but not in
part, on any of the Redemption Dates set forth on the cover of this pricing supplement, at a price equal to the principal amount
being redeemed plus any accrued and unpaid interest, subject to the Business Day Convention and the Interest Accrual Convention
described on the cover of this pricing supplement and in the accompanying product supplement. Any accrued and unpaid interest on
the notes redeemed will be paid to the person who is the holder of record of these notes at the close of business on the business
day immediately preceding the applicable Redemption Date. Even in cases where the notes are called before maturity, noteholders
are not entitled to any fees or commissions described on the front cover of this pricing supplement.
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INSOLVENCY AND RESOLUTION CONSIDERATIONS — The notes constitute “loss-absorbing capacity” within the
meaning of the final rules (the “TLAC rules”) issued by the Board of Governors of the Federal Reserve System (the “Federal
Reserve”) on December 15, 2016 regarding, among other things, the minimum levels of unsecured external long-term debt and
other loss-absorbing capacity that certain U.S. bank holding companies, including JPMorgan Chase & Co., are required to maintain.
Such debt must satisfy certain eligibility criteria under the TLAC rules. If JPMorgan Chase & Co. were to enter into resolution,
either in a proceeding under Chapter 11 of the U.S. Bankruptcy Code or in a receivership administered by the Federal Deposit Insurance
Corporation (the “FDIC”) under Title II of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the
“Dodd-Frank Act”), holders of the notes and other debt and equity securities of JPMorgan Chase & Co. will absorb
the losses of JPMorgan Chase & Co. and its affiliates.
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Under Title I of the Dodd-Frank Act
and applicable rules of the Federal Reserve and the FDIC, JPMorgan Chase & Co. is required to submit periodically to the Federal
Reserve and the FDIC a detailed plan (the “resolution plan”) for the rapid and orderly resolution of JPMorgan Chase
& Co. and its material subsidiaries under the U.S. Bankruptcy Code and other applicable insolvency laws in the event of material
financial distress or failure. JPMorgan Chase & Co.’s preferred resolution strategy under its resolution plan contemplates
that only JPMorgan Chase & Co. would enter bankruptcy proceedings under Chapter 11 of the U.S. Bankruptcy Code pursuant to
a “single point of entry” recapitalization strategy. JPMorgan Chase & Co.’s subsidiaries would be recapitalized
as needed so that they could continue normal operations or subsequently be wound down in an orderly manner. As a result, JPMorgan
Chase & Co.’s losses and any losses incurred by its subsidiaries would be imposed first on holders of JPMorgan Chase
& Co.’s equity securities and thereafter on unsecured creditors, including holders of the notes and other securities
of JPMorgan Chase & Co. Claims of holders of the notes and those other debt securities would have a junior position to the
claims of creditors of JPMorgan Chase & Co.’s subsidiaries and to the claims of priority (as determined by statute) and
secured creditors of JPMorgan Chase & Co. Accordingly, in a resolution of JPMorgan Chase & Co. under
Callable Fixed Rate Notes
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PS-2
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Chapter 11 of the U.S. Bankruptcy
Code, holders of the notes and other debt securities of JPMorgan Chase & Co. would realize value only to the extent available
to JPMorgan Chase & Co. as a shareholder of JPMorgan Chase Bank, N.A. and its other subsidiaries and only after any claims
of priority and secured creditors of JPMorgan Chase & Co. have been fully repaid. If JPMorgan Chase & Co. were to enter
into a resolution, none of JPMorgan Chase & Co., the Federal Reserve or the FDIC is obligated to follow JPMorgan Chase &
Co.’s preferred resolution strategy under its resolution plan.
The FDIC has similarly indicated that
a single point of entry recapitalization model could be a desirable strategy to resolve a systemically important financial institution,
such as JPMorgan Chase & Co., under Title II of the Dodd-Frank Act (“Title II”). Pursuant to that strategy, the
FDIC would use its power to create a “bridge entity” for JPMorgan Chase & Co.; transfer the systemically important
and viable parts of JPMorgan Chase & Co.’s business, principally the stock of JPMorgan Chase & Co.’s main operating
subsidiaries and any intercompany claims against such subsidiaries, to the bridge entity; recapitalize those subsidiaries using
assets of JPMorgan Chase & Co. that have been transferred to the bridge entity; and exchange external debt claims against JPMorgan
Chase & Co. for equity in the bridge entity. Under this Title II resolution strategy, the value of the stock of the bridge
entity that would be redistributed to holders of the notes and other debt securities of JPMorgan Chase & Co. may not be sufficient
to repay all or part of the principal amount and interest on the notes and those other securities. To date, the FDIC has not formally
adopted a single point of entry resolution strategy, and it is not obligated to follow such a strategy in a Title II resolution
of JPMorgan Chase & Co.
Callable Fixed Rate Notes
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PS-3
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Selected Risk Considerations
An investment in the notes involves significant risks. These
risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and the
accompanying product supplement.
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WE MAY CALL YOUR NOTES PRIOR TO THEIR SCHEDULED MATURITY DATE — We may choose to call the notes early or choose
not to call the notes early on any Redemption Date in our sole discretion. If the notes are called early, you will receive the
principal amount of your notes plus any accrued and unpaid interest to, but excluding, the Redemption Date. The aggregate
amount that you will receive through and including the Redemption Date will be less than the aggregate amount that you would have
received had the notes not been called early. If we call the notes early, your overall return may be less than the yield that the
notes would have earned if you held your notes to maturity and you may not be able to reinvest your funds at the same rate as the
original notes. We may choose to call the notes early, for example, if U.S. interest rates decrease or do not rise significantly
or if volatility of U.S. interest rates decreases significantly.
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CREDIT RISK OF JPMORGAN CHASE & CO. — The notes are subject to the credit risk of JPMorgan Chase & Co.,
and our credit ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or
credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If
we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your
entire investment.
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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 and hedging our obligations under the notes.
In performing these duties, our economic interests and the economic interests of the calculation agent and other affiliates of
ours are potentially adverse to your interests as an investor in the notes. In addition, our business activities, including hedging
and trading activities for our own accounts or on behalf of customers, could cause our economic interests to be adverse to yours
and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities
of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value
of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement for additional information about these risks.
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REINVESTMENT RISK — If we redeem the notes, the term of the notes may be reduced and you will not receive interest
payments after the applicable Redemption Date. There is no guarantee that you would be able to reinvest the proceeds from an investment
in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk in the event the notes are
redeemed prior to the Maturity Date.
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CERTAIN BUILT-IN COSTS ARE LIKELY TO AFFECT ADVERSELY THE VALUE OF THE NOTES PRIOR TO MATURITY — While the payment
at maturity described in this pricing supplement is based on the full principal amount of your notes, the original issue price
of the notes includes the agent’s commission and the estimated cost of hedging our obligations under the notes through one
or more of our affiliates. As a result, the price, if any, at which JPMS will be willing to purchase notes from you in secondary
market transactions, if at all, will likely be lower than the original issue price and any sale prior to the Maturity Date could
result in a substantial loss to you. This secondary market price will also be affected by a number of factors aside from the agent’s
commission and hedging costs, including those referred to under “Many Economic and Market Factors Will Impact the Value of
the Notes” below.
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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.
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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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MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES — The notes will be affected by a number of
economic and market factors that may either offset or magnify each other, including but not limited to:
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any actual or potential change in our creditworthiness or credit spreads;
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the time to maturity of the notes;
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interest and yield rates in the market generally, as well as the volatility of those rates; and
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the likelihood, or expectation, that the notes will be redeemed by us, based on prevailing market interest rates or otherwise.
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Callable Fixed Rate Notes
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PS-4
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Hypothetical Examples of Calculation of
the Interest Payment on the Notes for an Interest Period
The following examples illustrate how the hypothetical Interest
Payment for an Interest Period is calculated if we choose to call the notes early or choose not to call the notes early on any
Redemption Date in our sole discretion, assuming that, except as specified below, the Day Count Fraction for the applicable Interest
Period is equal to 180 / 360. The actual Day Count Fraction for an Interest Period will be calculated in the manner set forth in
the accompanying product supplement. The hypothetical Interest Payments in the following examples are for illustrative purposes
only and may not correspond to the actual Interest Payments for any Interest Period applicable to a purchaser of the notes. The
numbers appearing in the following examples have been rounded for ease of analysis.
Example 1: If we choose to call the notes early on a Redemption
Date and the Redemption Date is October 31, 2025, we will pay you $1,000 for each $1,000 principal amount note plus
any accrued and unpaid interest at the Interest Rate of 1.25% per annum. Because the Redemption Date occurs prior to the end of
the Interest Period, that Interest Period will now end on but excluding the Redemption Date. Therefore, assuming the Day Count
Fraction for this shortened Interest Period is 90 / 360, the interest payment per $1,000 principal amount note on the Redemption
Date will be calculated as follows:
$1,000 × 1.25% × (90 / 360)
= $3.125
We will pay you a principal payment of $1,000 for each $1,000
principal amount note on the Redemption Date. Therefore, you will receive $1,003.125 for each $1,000 principal amount note ($1,000
of principal plus $3.125 of interest) on the Redemption Date, but you will not receive any further interest or principal
payments from us.
Example 2: If we choose not to call the notes early
on any prior Redemption Date and on the Redemption Date corresponding to the Interest Payment Date and the Interest Payment Date
is July 31, 2026, we will pay you any accrued and unpaid interest on the applicable Interest Payment Date at the Interest Rate
of 1.25% per annum. Therefore, the interest payment per $1,000 principal amount note will be calculated as follows:
$1,000 × 1.25% × (180 / 360)
= $6.25
We will pay you an interest payment of $6.25 for each $1,000
principal amount note on that Interest Payment Date. Because the notes have not been called, you will be entitled to receive additional
interest payments until the Maturity Date or, if the notes are redeemed earlier, the applicable Redemption Date. You will also
receive a payment of principal on the Maturity Date or, if the notes are redeemed early, the applicable Redemption Date.
Example 3: If we choose not to call the notes prior
to the Maturity Date and today is the Maturity Date, we will pay you $1,000 for each $1,000 principal amount note plus
any accrued and unpaid interest on the Maturity Date at the Interest Rate of 1.25% per annum. Therefore, the interest payment per
$1,000 principal amount note on the Maturity Date will be calculated as follows:
$1,000 × 1.25% × (180 / 360)
= $6.25
We will pay you a principal payment of $1,000 for each $1,000
principal amount note on the Maturity Date. Therefore, you will receive $1,006.25 for each $1,000 principal amount note ($1,000
of principal plus $6.25 of interest) on the Maturity Date, and you will not receive any further interest or principal payments
from us.
The hypothetical payments on these notes shown above apply
only if you hold the notes for their entire term or until earlier redemption. 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
payments shown above would likely be lower.
Callable Fixed Rate Notes
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PS-5
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Supplemental Use of Proceeds
Notwithstanding anything to the contrary in the accompanying
prospectus, we will contribute the net proceeds that we receive from the sale of the notes offered by this pricing supplement to
our “intermediate holding company” subsidiary, JPMorgan Chase Holdings LLC, which will use those net proceeds for general
corporate purposes. General corporate purposes may include investments in our subsidiaries, payments of dividends to us, extensions
of credit to us or our subsidiaries or the financing of possible acquisitions or business expansion. Interest on our debt securities
(including interest on the notes offered by this pricing supplement) and dividends on our equity securities, as well as redemptions
or repurchases of our outstanding securities, will be made using amounts we receive as dividends or extensions of credit from JPMorgan
Chase Holdings LLC or as dividends from JPMorgan Chase Bank, N.A.
Tax Treatment
You should review carefully the section in the accompanying
product supplement no. 1-I entitled “Material U.S. Federal Income Tax Consequences,” focusing particularly on the section
entitled “— Tax Consequences to U.S. Holders — Notes Treated as Debt Instruments But Not Contingent Payment Debt
Instruments.” The following, when read in combination with those sections, 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 notes.
Our special tax counsel is of the opinion that the notes will
be treated as fixed-rate debt instruments.
Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as our
special products counsel, when the notes offered by this pricing supplement have been executed and issued by us and authenticated
by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be our valid and
binding obligations, 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 the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions
expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York and the General
Corporation Law of the State of Delaware. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and
enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 26, 2020,
which was filed as an exhibit to the Registration Statement on Form S-3 by us on February 26, 2020.
Callable Fixed Rate Notes
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PS-6
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