H
The following is a summary of the terms of the Notes offered by the preliminary pricing supplement highlighted below.
Summary of Terms
Issuer:
JPMorgan Chase Financial Company LLC
Guarantor:
JPMorgan Chase & Co.
Minimum Denomination:
Denomination:$1,000
Index:
S&P 500 ® Index
Initial Valuation Date:
August 24, 2020
Final Valuation Date:
August 24, 2022
Maturity Date:
August 29, 2022
Call Settlemen
t Date: If applicable, the third business day after the first day on which a Knock Out Event occurs, provided that if
the first day on which a Knock Out Event occurs is the Final Valuation Date, the Call Settlement Date will
be the Maturity Date
Call Premium Amount:
At least $60.00 per $1,000 principal amount
Downside Participation Rate:
100.00%
Knock
Out Percentage: 30.00%
Additional Amount:
Amount:$1,000 ×Bearish Index Return ×Downside Participation Rate
Knock
Out Event: A Knock Out Event occurs if, on any day during the Monitoring Period, the closing level of the
Index is less than the Initial Value by more than the Knock Out Percentage.
Monitoring Period:
The period from but excluding the Initial Valuation Date to and including the Final Valuation Date
Bearish Index Return:
(Initial Value Final Value)
Initial Value
Automatic Call:
If a Knock Out Event occurs, the Notes will be automatically called for a cash payment, for each
$1,000 principal amount Note, equal to (a) $1,000 plus (b) the Call Premium Amount, payable on
the Call Settlement Date. No further payments will be made on the Notes
Payment At Maturity:
If (i) a Knock Out Event has not occurred and (ii) the Final Value is less than the Initial Value, at
maturity, you will receive a cash payment, for each $1,000 principal amount Note, of $1,000 plus
the Additional Amount.
If (i) a Knock
Out Event has not occurred and (ii) the Final Value is greater than or equal to the
Initial Value, at maturity, your payment at maturity per $1,000 principal amount Note will be
calculated as follows
$1,000
+ ($1,000 ×Bearish Index Return)
In no event, however, will the payment at maturity be less than $850.00 per $1,000 principal
amount Note.
If
(i) a Knock Out Event has not occurred and (ii) the Final Value is greater than the Initial Value,
you will lose up to 15.00% of your principal amount at maturity.
You
are entitled to repayment of at least $850.00 per $1,000 principal amount Note at maturity,
subject to the credit risks of JPMorgan Chase Financial Company LLC and JPMorgan Chase &
Co
CUSIP:
48132M3R0
Preliminary Pricing
Supplement:
http://sp.jpmorgan.com/document/cusip/48132M3R0/doctype/Product_Termsheet/document.pdf
For more information about the estimated value of the Notes, which likely will be lower than the price you paid for the Notes
,
please see the hyperlink above.
Any
payment on the Notes is subject to the credit risk of JPMorgan Chase Financial Company LLC, as issuer of the Notes, and
the credit risk of JPMorgan Chase & Co., as guarantor of the Notes.
J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com
Hypothetical Total Returns**
A Knock
Out
Event Has Not
Occurred
A Knock
Out
Event
Occurs****
Final
Value
Index
Return***
Bearish
Index Return
Total Return
on the Notes
Total Return
on the Notes
165.00
65.00%
-
65.00% -
15.00% 6.00%
140.00
40.00%
-
40.00% -
15.00% 6.00%
120.00
20.00%
-
20.00% -
15.00% 6.00%
115.00
15.00%
-
15.00% -
15.00% 6.00%
110.00
10.00%
-
10.00% -
10.00% 6.00%
105.00
5.00%
-
5.00% -
5.00% 6.00%
101.00
1.00%
-
1.00% -
1.00% 6.00%
100.00
0.00%
0.00%
0.00%
6.00%
95.00
-
5.00% 5.00
5.00
6.00%
90.00
-
10.00% 10.00
10.00
6.00%
80.00
-
20.00% 20.00%
20.00%
6.00%
70.00
-
30.00% 30.00%
30.00%
6.00%
69.99
-
30.01% N/A
N/A
6.00%
60.00
-
40.00% N/A
N/A
6.00%
30.00
-
70.00% N/A
N/A
6.00%
0.00
-
100.00% N/A
N/A
6.00%
2
yr SPX Partial Principal at Risk Bearish Auto Callable Knock Out Notes
North America Structured Investments
*The
actual Call Premium Amount will be provided in the pricing supplement and will not be less than $60.00 per $1,000 principal amount
**Reflects the Call Premium Amount equal to the minimum Call Premium Amount set forth herein, for illustrative purposes.
***The Index Return is equal to (Final Value
Initial Value) / Initial Value.
****The Notes
will be automatically called
The
“total return” as used above is the number, expressed as a percentage, that results from comparing the payment at maturity pe r $ 1,000
principal amount Note to $1,000.
The
hypothetical returns shown above apply only at maturity. 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 shown above would likely be lower

J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com
Selected Risks
•
The Notes will not pay more than 85.00% of the principal amount at maturity if a Knock Out
Event has not occurred.
•
The Notes are bearish on the Index.
•
If a Knock Out Event has not occurred, your maximum gain on the Notes is limited by the
Knock Out Percentage.
•
If a Knock Out Event has occurred, the Notes will be automatically called and the
appreciation potential of the Notes is limited to the Call Premium Amount paid on the
Notes.
•
Any payment on the Notes is subject to the credit risks of JPMorgan Chase Financial
Company LLC and JPMorgan Chase & Co. Therefore the value of the Notes prior to
maturity will be subject to changes in the market’s view of the creditworthiness of
JPMorgan Chase Financial Company LLC or JPMorgan Chase & Co.
•
The automatic call feature may force a potential early exit.
•
The benefit provided by the Knock Out Percentage may terminate on any day during the
Monitoring Period.
•
You may receive a lower return on the Notes if a Knock Out Event has not occurred than if
a Knock Out Event has occurred.
•
No interest payments, dividend payments or voting rights.
•
JPMorgan Chase & Co. is currently one of the companies that make up the Index.
•
As a finance subsidiary, JPMorgan Chase Financial Company LLC has no independent
operations and has limited assets.
Selected Risks (continued)
•
The estimated value of the Notes will be lower than the original issue price (price to public)
of the Notes
•
The estimated value of the Notes is determined by reference to an internal funding rate.
•
The estimated value of the Notes does not represent future values and may differ from
others’ estimates.
•
The value of the Notes , which may be reflected in customer account statements, may be
higher than the then current estimated value of the Notes for a limited time period.
•
Lack of liquidity: J.P. Morgan Securities LLC (who we refer to as JPMS) intends to offer to
purchase the Notes in the secondary market but is not required to do so. The price, if any, at
which JPMS will be willing to purchase Notes from you in the secondary market, if at all, may
result in a significant loss of your principal.
•
Potential conflicts: We and our affiliates play a variety of roles in connection with the
issuance of Notes , including acting as calculation agent and 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. It is possible that such
hedging or other trading activities of J.P. Morgan or its affiliates could result in substantial
returns for J.P. Morgan and its affiliates while the value of the Notes decline.
•
The tax consequences of the Notes may be uncertain. You should consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the Notes
Additional Information
SEC Legend: JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. have filed a registration statement (including a pr
osp ectus) with the SEC for any offerings to which these materials relate. Before you
invest, you should read the prospectus in that registration statement and the other documents relating to this offering that JPM organ Chase Financial Company LLC and JPMorgan Chase & Co. has filed with the SEC for
more complete information about JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. and this offering. You may get the se documents without cost by visiting EDGAR on the SEC web site at
www.sec.gov. Alternatively, JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co., any agent or any dealer participat ing in the this offering will arrange to send you the prospectus and each prospectus
supplement, as well as any product supplement, underlying supplement and preliminary pricing supplement if you so request by cal ling toll free 1 866 535 9248.
IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly, any discussion o
f U .S. tax matters contained herein (including any attachments) is not intended or written to be
used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with JPMorgan Cha se & Co. of any of the matters addressed herein or for the purpose of avoiding U.S.
tax related penalties.
Investment suitability must be determined individually for each investor, and the financial instruments described herein may
not be suitable for all investors. This information is not intended to provide and should not be
relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisers as to the se matters.
This material is not a product of J.P. Morgan Research Departments.
Free Writing Prospectus Filed Pursuant to Rule 433,
Registration Statement Nos. 333 236659 and 333 236659 01
North America Structured Investments
2yr
SPX Partial Principal at Risk Bearish Auto Callable Knock Out Notes
The risks identified above are not exhaustive. Please see “Risk Factors” in the prospectus supplement and the applicable prod
uct supplement and underlying supplement and “Selected
Risk Considerations” in the applicable preliminary pricing supplement for additional information.