The information in this preliminary
pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it
seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated
February 12, 2016
Pricing supplement no. |
|
To prospectus dated November 7, 2014,
prospectus supplement dated November 7, 2014,
product supplement no. 4a-I dated November 7, 2014
and
underlying supplement no. 1a-I dated November 7, 2014
|
Registration Statement No. 333-199966
Dated February , 2016
Rule 424(b)(2) |
Structured
Investments |
$
Contingent Buffered Equity Notes Linked to the S&P 500® Index due August 16, 2017 |
General
| · | The
notes are designed for investors who seek uncapped, unleveraged exposure to the appreciation of the S&P 500®
Index. Investors should be willing to forgo interest and dividend payments and, if the Ending Index Level is less than the Initial
Index Level by more than the Contingent Buffer Amount, be willing to lose some or all of their principal at maturity. If the Ending
Index Level is greater than or equal to the Initial Index Level or is less than the Initial Index Level by up to 19.50%, investors
have the opportunity to receive the Index Return at maturity. |
| · | 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. |
| · | Minimum
denominations of $10,000 and integral multiples of $1,000 in excess thereof |
Key
Terms
Index: |
The S&P 500® Index (Bloomberg ticker: SPX) |
Payment at Maturity:
|
If the Ending Index Level is greater than the Initial Index Level, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return and calculated as follows: |
|
$1,000 + ($1,000 × Index Return) |
|
If the Ending Index Level is equal to or less than the Initial Index Level by up to the Contingent Buffer Amount, you will be entitled to receive a full repayment of your principal at maturity.
If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 19.50%, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level, and your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|
$1,000 + ($1,000 × Index Return) |
|
If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount, you will lose more than 19.50% of your principal amount and may lose all of your principal amount at maturity. |
Contingent Buffer Amount: |
19.50% |
Index Return: |
(Ending Index Level – Initial Index Level)
Initial Index Level |
Initial Index Level: |
The Index closing level on the Pricing Date |
Ending Index Level: |
The arithmetic average of the Index closing levels on the Ending Averaging Dates |
Pricing Date: |
On or about February 12, 2016 |
Original Issue Date (Settlement Date) *: |
On or about February 18, 2016 |
Ending Averaging Dates*: |
August 7, 2017, August 8, 2017, August 9, 2017, August 10, 2017and August 11, 2017 (the “Final Ending Averaging Date”) |
Maturity Date*: |
August 16, 2017 |
CUSIP: |
48128GNN6 |
* Subject to postponement in the event of certain
market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I.
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page PS-8 of the accompanying product supplement no. 4a-I, “Risk Factors” beginning on
page US-2 of the accompanying underlying supplement no. 1a-I 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, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price
to Public (1) |
Fees
and Commissions (2) |
Proceeds
to Issuer |
Per
note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the notes.
(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 it receives from us to other affiliated or
unaffiliated dealers. In no event will these selling commissions exceed $12.50 per $1,000 principal amount note. See “Plan
of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I.
If the notes priced today, the estimated value of the notes
as determined by JPMS would be approximately $985.20 per $1,000 principal amount note. JPMS’s estimated value of the notes,
when the terms of the notes are set, will be provided by JPMS in the pricing supplement and will not be less than $970.20 per $1,000
principal amount note. See “JPMS’s 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.
February , 2016
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time
prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
You should read this pricing supplement together with the prospectus,
as supplemented by the prospectus supplement, each dated November 7, 2014 relating to our Series E medium-term notes of which these
notes are a part, and the more detailed information contained in product supplement no. 4a-I dated November 7, 2014 and underlying
supplement no. 1a-I dated November 7, 2014. 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 “Risk Factors” in the accompanying product supplement no. 4a-I and “Risk Factors” in the accompanying
underlying supplement no. 1a-I, 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):
| · | Prospectus supplement and prospectus, each dated November
7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_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.
JPMorgan Structured Investments — Contingent Buffered Equity Notes Linked to the S&P 500® Index | PS-1 |
What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Index?
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 an Initial Index Level of 1,830.00 and
reflects the Contingent Buffer Amount of 19.50%. 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 examples have been rounded for ease of analysis.
Ending Index Level |
Index Return |
Total Return |
3,294.000 |
80.00% |
80.00% |
3,111.000 |
70.00% |
70.00% |
2,928.000 |
60.00% |
60.00% |
2,745.000 |
50.00% |
50.00% |
2,562.000 |
40.00% |
40.00% |
2,379.000 |
30.00% |
30.00% |
2,196.000 |
20.00% |
20.00% |
2,104.500 |
15.00% |
15.00% |
2,013.000 |
10.00% |
10.00% |
1,921.500 |
5.00% |
5.00% |
1,875.750 |
2.50% |
2.50% |
1,848.300 |
1.00% |
1.00% |
1,830.000 |
0.00% |
0.00% |
1,738.500 |
-5.00% |
0.00% |
1,647.000 |
-10.00% |
0.00% |
1,555.500 |
-15.00% |
0.00% |
1,473.150 |
-19.50% |
0.00% |
1,472.967 |
-19.51% |
-19.51% |
1,464.000 |
-20.00% |
-20.00% |
1,281.000 |
-30.00% |
-30.00% |
1,098.000 |
-40.00% |
-40.00% |
915.000 |
-50.00% |
-50.00% |
732.000 |
-60.00% |
-60.00% |
549.000 |
-70.00% |
-70.00% |
366.000 |
-80.00% |
-80.00% |
183.000 |
-90.00% |
-90.00% |
0.000 |
-100.00% |
-100.00% |
Hypothetical
Examples of Amount Payable at Maturity
The following examples illustrate how the payment at maturity
in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases from the Initial
Index Level of 1,830.00 to an Ending Index Level of 1,921.50.
Because the Ending Index Level of 1,921.50 is greater than the
Initial Index Level of 1,830.00 and the Index Return is 5%, the investor receives a payment at maturity of $1,050 per $1,000 principal
amount note, calculated as follows:
$1,000 + ($1,000 × 5%) = $1,050
Example 2: The level of the Index decreases from the Initial
Index Level of 1,830.00 to an Ending Index Level of 1,473.15.
Although the Index Return is negative, because the Ending Index
Level of 1,473.15 is less than the Initial Index Level of 1,830.00 by not more than the Contingent Buffer Amount of 19.50%, the
investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example 3: The level of the Index decreases from
the Initial Index Level of 1,830.00 to an Ending Index Level of 1,098.00.
Because the Ending Index Level of 1,098.00 is less
than the Initial Index Level of 1,830.00 by more than the Contingent Buffer Amount of 19.50% and the Index Return is -40%, the
investor receives a payment at maturity of $600 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -40%) = $600
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 — Contingent Buffered Equity Notes Linked to the S&P 500® Index | PS-2 |
Selected
Purchase Considerations
| · | UNLEVERAGED
AND UNCAPPED APPRECIATION POTENTIAL — The notes provide the opportunity to earn an unleveraged return equal to any positive
Index Return. The notes are not subject to a predetermined maximum gain and, accordingly,
any return at maturity will be determined based on the movement of the Index. If
the Ending Index Level is greater than or equal to the Index Initial Level or is less than the Initial Index Level by up to the
Contingent Buffer Amount, at maturity you will receive at least a cash payment of $1,000
per $1,000 principal amount note, subject to the credit risk of JPMorgan Chase & Co. 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. |
| · | LIMITED
PROTECTION AGAINST LOSS — We will pay you your principal back at maturity if the Ending Index Level is less than the
Initial Index Level by not more than the Contingent Buffer Amount of 19.50%. If the Ending Index Level is less than the Initial
Index Level by more than the Contingent Buffer Amount, for every 1% that the Ending Index Level is less than the Initial Index
Level, you will lose an amount equal to 1% of the principal amount of your notes. Accordingly, under these circumstances, you
will lose more than 19.50% of your principal amount and may lose all of your principal amount at maturity. |
| · | RETURN
LINKED TO THE S&P 500® INDEX — The return on the notes is linked to the S&P 500®
Index. The S&P 500® Index consists of 500 component stocks selected to provide a performance benchmark for
the U.S. equity markets. See “Equity Index Descriptions — The S&P 500® Index” in the accompanying
underlying supplement no. 1a-I. |
| · | TAX
TREATMENT — You should review carefully the section entitled “Material U.S. Federal
Income Tax Consequences” in the accompanying product supplement no. 4a-I. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material
U.S. federal income tax consequences of owning and disposing of notes. |
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 no. 4a-I. 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.
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. Notwithstanding anything to the contrary in the accompanying product
supplement no. 4a-I, under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than
any amount treated as interest) of a taxable disposition, including redemption at maturity, of the notes. You should consult your
tax adviser regarding the potential application of FATCA to the notes.
Non-U.S.
holders should also note that, notwithstanding anything to the contrary in the accompanying product supplement no. 4a-I, recently
promulgated Treasury regulations imposing a withholding tax on certain “dividend equivalents” under certain “equity
linked instruments” will not apply to the notes.
JPMorgan Structured Investments — Contingent Buffered Equity Notes Linked to the S&P 500® Index | PS-3 |
Selected Risk Considerations
An
investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index
or any of the equity securities underlying the Index. These risks are explained in more detail in the “Risk Factors”
section of the accompanying product supplement no. 4a-I dated November 7, 2014 and “Risk Factors” in the accompanying
underlying supplement no. 1a-I dated November 7, 2014.
| · | YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal at maturity. The return
on the notes at maturity is linked to the performance of the Index and will depend on whether, and the extent to which, the Index
Return is positive or negative. If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer
Amount of 19.50%, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than
the Initial Index Level. Accordingly, under these circumstances, you will lose more than 19.50% of your principal amount and may
lose all of your principal amount at maturity. |
| · | 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. |
| · | 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 JPMS’s estimated value. 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, 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 no. 4a-I for additional information about these risks. |
We
are also currently one of the companies that make up the S&P 500® Index. We 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 S&P 500®
Index and the notes.
| · | THE
BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Ending Index
Level is less than the Initial Index Level by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer
Amount will terminate and you will be fully exposed to any depreciation in the Index. |
| · | JPMS’S
ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — JPMS’s
estimated value is only an estimate using several factors. The original issue price of the notes will exceed JPMS’s estimated
value 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
“JPMS’s Estimated Value of the Notes” in this pricing supplement. |
| · | JPMS’S
ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES
AND MAY DIFFER FROM OTHERS’ ESTIMATES — JPMS’s estimated value of the
notes is determined by reference to JPMS’s internal pricing models when the terms of the notes are set. This estimated value
is based on market conditions and other relevant factors existing at that time and JPMS’s assumptions about market parameters,
which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could
provide valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and
other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of
the notes could change significantly based on, among other things, changes in market conditions, our 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 “JPMS’s Estimated Value of the Notes” in this pricing supplement. |
| · | JPMS’S
ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal
funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. The discount is based on, among other things, our 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
our conventional fixed-rate debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads,
we would expect the economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate
would have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated
Value of the Notes” in this pricing supplement. |
| · | THE
VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S
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 projected hedging profits,
if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads 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). |
JPMorgan Structured Investments — Contingent Buffered Equity Notes Linked to the S&P 500® Index | PS-4 |
| · | 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 secondary market credit spreads for structured debt issuances and, also, because secondary market prices
(a) exclude selling commissions and (b) may exclude 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. |
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.
| · | 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 level of the Index, including: |
| · | any actual or potential change in our creditworthiness or credit spreads; |
| · | customary bid-ask spreads for similarly sized trades; |
| · | secondary market credit spreads for structured debt issuances; |
| · | the actual and expected volatility of the Index; |
| · | the time to maturity of the notes; |
| · | the dividend rates on the equity securities underlying the Index; |
| · | interest and yield rates in the market generally; and |
| · | a variety of other economic, financial, political, regulatory and judicial
events. |
Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the 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
INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and
you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities
composing the Index would have. |
| · | 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. |
| · | THE
FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will
be based on relevant market conditions when the terms of the notes are set and will be provided in the pricing supplement. In
particular, JPMS’s estimated value will be provided in the pricing supplement and may be as low as the minimum for JPMS's
estimated value set forth on the cover of this pricing supplement. Accordingly, you should consider your potential investment
in the notes based on the minimum for JPMS’s estimated value. |
JPMorgan Structured Investments — Contingent Buffered Equity Notes Linked to the S&P 500® Index | PS-5 |
Historical
Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 7, 2011 through February 5, 2016. The closing
level of the Index on February 11, 2016 was 1,829.08. We obtained the closing levels of the Index above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the
Pricing Date or any Ending Averaging Date. We cannot give you assurance that the performance of the Index will result in the return
of any of your principal amount.
JPMorgan Structured Investments — Contingent Buffered Equity Notes Linked to the S&P 500® Index | PS-6 |
JPMS’s
Estimated Value of the Notes
JPMS’s 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 our internal funding rate for structured debt described below, and
(2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s estimated value 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 JPMS’s estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations — JPMS’s
Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.” The value of the
derivative or derivatives underlying the economic terms of the notes is derived from JPMS’s internal pricing models. 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, JPMS’s 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 — JPMS’s Estimated Value Does Not Represent Future Values of the Notes and
May Differ from Others’ Estimates.”
JPMS’s estimated value of the notes will be 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 Considerations — JPMS’s Estimated Value of the Notes Will Be 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 JPMS. 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 JPMS’s 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 Index?” and “Hypothetical Examples of Amount Payable at Maturity”
in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations
— Return Linked to the S&P 500® Index” 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 JPMS’s
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.
JPMorgan Structured Investments — Contingent Buffered Equity Notes Linked to the S&P 500® Index | PS-7 |
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024