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 April
29, 2016.
May , 2016
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan Chase Financial
Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index due August 31, 2017
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
●
|
The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the
closing level of each of the S&P 500
®
Index and the Russell 2000
®
Index, which we refer to as
the Indices, is greater than or equal to 70.00% of its Initial Value, which we refer to as an Interest Barrier.
|
|
●
|
The notes will be automatically called if the closing level of each Index on any Review Date (other than the final Review Date)
is greater than or equal to its Initial Value.
|
|
●
|
Investors in the notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all Review Dates.
|
|
●
|
Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
|
|
●
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
|
|
●
|
Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance
of each of the Indices individually, as described below.
|
|
●
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
●
|
The notes are expected to price on or about May
25, 2016 and are expected to settle on or about May 31, 2016.
|
Investing in the notes involves a number of risks.
See “Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-2 of the accompanying underlying 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, 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 Financial, will pay all of the selling commissions it receives from us to other affiliated
or unaffiliated dealers. If the notes priced today, the selling commissions would be approximately $15.00 per $1,000 principal
amount note and in no event will these selling commissions exceed $25.00 per $1,000 principal amount note. See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement.
|
If the notes priced today, the estimated value of the
notes would be approximately $962.80 per $1,000 principal amount note. The estimated value of the notes, when the terms of the
notes are set, will be provided in the pricing supplement and will not be less than $950.00 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.
Pricing supplement no. to product supplement no.
4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan
Chase Financial Company LLC
Guarantor:
JPMorgan
Chase & Co.
Indices:
The
S&P 500
®
Index
(Bloomberg ticker: SPX) and the Russell 2000
®
Index (Bloomberg ticker: RTY)
Contingent Interest Payment
s
:
If the notes
have not been automatically called and the closing level of each Index on any Review Date is greater than or equal to its Interest
Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment
equal to between $15.00 and $20.00 (equivalent to a Contingent Interest Rate of between 6.00% and 8.00% per annum, payable at a
rate of between 1.50% and 2.00% per quarter) (to be provided in the pricing supplement).
If the closing level
of either Index on any Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect
to that Review Date.
Contingent Interest Rate:
Between
6.00% and 8.00% per annum, payable at a rate of between 1.50% and 2.00% per quarter (to be provided in the pricing supplement).
Interest Barrier/Trigger Value:
With
respect to each Index, 70.00% of its Initial Value
Pricing Date:
On
or about May 25, 2016
Original Issue Date (Settlement Date):
On or about May 31, 2016
Review Dates*:
August
26, 2016, November 25, 2016, February 23, 2017, May 25, 2017 and August 28, 2017 (final Review Date)
Interest Payment Dates*:
August
31, 2016, November 30, 2016, February 28, 2017, May 31, 2017 and the Maturity Date
Call Settlement Date*:
If
the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately
following that Review Date
* Subject
to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to Multiple Underlyings” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement
|
|
Lesser Performing Index:
The
Index with the Lesser Performing Index Return
Lesser Performing Index Return:
The
lower of the Index Returns of the Indices
Index Return:
With
respect to each Index,
(Final Value – Initial
Value)
Initial Value
Initial Value:
With
respect to each Index, the closing level of that Index on the Pricing Date
Final Value:
With
respect to each Index, the closing level of that Index on the final Review Date
Trigger Event:
A
Trigger Event occurs if, on any day during the Monitoring Period, the closing level of either Index is less than its Trigger Value
Monitoring Period:
The
period from but excluding the Pricing Date to and including the final Review Date
Automatic Call:
If the closing level of each Index on any Review Date (other than the final Review Date) is greater than or equal to its Initial
Value, 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 Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. No further
payments will be made on the notes
Payment at Maturity:
If the
notes have not been automatically called and (i) the Final Value of each Index is greater than or equal to its Initial Value or
(ii) a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date.
If the
notes have not been automatically called and (i) the Final Value of either Index is less than its Initial Value and (ii) a Trigger
Event has occurred, your payment at maturity per $1,000 principal amount note, in addition to any Contingent Interest Payment,
will be calculated as follows:
$1,000
+ ($1,000 × Lesser Performing Index Return)
If the notes have not
been automatically called and (i) the Final Value of either Index is less than its Initial Value and (ii) a Trigger Event has occurred,
you will lose some or all of your principal amount at maturity.
|
|
|
PS-1| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
How
the Notes Work
Payments in Connection with Review Dates Preceding
the Final Review Date
Payment at Maturity If the Notes Have Not
Been Automatically Called
Total Contingent Interest Payments
The
table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the term of the
notes based on a hypothetical Contingent Interest Rate of 6.00% per annum, depending on how many Contingent Interest Payments are
made prior to automatic call or maturity. The actual Contingent Interest Rate will be provided in the pricing supplement and will
be between 6.00% and 8.00% per annum.
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
5
|
$75.00
|
4
|
$60.00
|
3
|
$45.00
|
2
|
$30.00
|
1
|
$
15.00
|
0
|
$0.00
|
|
|
PS-2| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to two hypothetical Indices, assuming a range of performances for the hypothetical Lesser Performing Index on the Review Dates.
Each hypothetical payment set forth below assumes that the closing level of the Index that is not the Lesser Performing Index
on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth below assume
the following:
|
●
|
an Initial Value for the Lesser Performing Index of 100.00;
|
|
●
|
an
Interest Barrier and a Trigger Value for the
Lesser Performing Index
of
70.00 (equal to 70.00% of its hypothetical Initial Value); and
|
|
●
|
a
Contingent Interest Rate of 6.00% per annum (payable at a rate of 1.50% per quarter).
|
The hypothetical Initial Value of the Lesser Performing Index
of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either Index.
The actual Initial Value of each Index will be the closing level
of that Index on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing
levels of each Index, please see the historical information set forth under “The Indices” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following
examples have been rounded for ease of analysis.
Example 1 – Notes are automatically
called on the first Review Date.
Date
|
Closing Level of Lesser Performing Index
|
Payment (per $1,000 principal amount note)
|
First
Review Date
|
105.00
|
$1,015.00
|
|
Total Payment
|
$1,015.00 (1.50%
return)
|
Because the closing level of each Index on the first Review Date
is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal
amount note, of $1,015.00 (or $1,000
plus
the Contingent Interest Payment applicable to the first Review Date), payable
on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 – Notes are automatically
called on the third Review Date.
Date
|
Closing Level of Lesser Performing Index
|
Payment (per $1,000 principal amount note)
|
First
Review Date
|
95.00
|
$15.00
|
Second Review Date
|
60.00
|
$0
|
Third Review Date
|
105.00
|
$1,015.00
|
|
Total Payment
|
$1,030.00 (3.00%
return)
|
Because the closing level of each Index on the third Review Date
is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal
amount note, of $1,015.00 (or $1,000
plus
the Contingent Interest Payment applicable to the third Review Date), payable
on the applicable Call Settlement Date. When added to the Contingent Interest Payments received with respect to the prior Review
Dates, the total amount paid, for each $1,000 principal amount note, is $1,030.00. No further payments will be made on the notes.
|
|
PS-3| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Example 3 – Notes have NOT been
automatically called, the Final Value of the Lesser Performing Index
is greater than or equal to its Initial Value and a
Trigger Event has occurred.
Date
|
Closing Level of Lesser Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$15.00
|
Second Review Date
|
85.00
|
$15.00
|
Third Review Date
|
50.00
|
$0
|
Fourth Review Date
|
45.00
|
$0
|
Final Review Date
|
105.00
|
$1,015.00
|
|
Total Payment
|
$1,045.00 (4.50% return
)
|
Because the notes have not been automatically called and the Final
Value of the Lesser Performing Index is greater than or equal to its Initial Value (and, therefore, the Interest Barrier), even
though a Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,015.00 (or $1,000
plus
the Contingent Interest Payment applicable to the final Review Date). When added to the Contingent Interest Payments
received with respect to the prior Review Dates, the total amount paid for each $1,000 principal amount note, is $1,045.00.
Example 4 — Notes have NOT been
automatically called, the Final Value of the Lesser Performing Index is less than its Initial Value and a Trigger Event has NOT
occurred.
Date
|
Closing Level of Lesser Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$15.00
|
Second Review Date
|
95.00
|
$15.00
|
Third Review Date
|
85.00
|
$15.00
|
Fourth Review Date
|
85.00
|
$15.00
|
Final Review Date
|
70.00
|
$1,015.00
|
|
Total Payment
|
$1,075.00 (7.50% return
)
|
Because the notes have not been automatically called, the Final
Value of the Lesser Performing Index is greater than or equal to its Interest Barrier and a Trigger Event has not occurred, even
though the Final Value of the Lesser Performing Index is less than its Initial Value, the payment at maturity, for each $1,000
principal amount note, will be $1,015.00 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date).
When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each
$1,000 principal amount note, is $1,075.00.
Example 5 — Notes have NOT been
automatically called, the Final Value of the Lesser Performing Index is less than its Initial Value but is greater than or equal
to its Interest Barrier and a Trigger Event has occurred.
Date
|
Closing Level of Lesser Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
60.00
|
$0
|
Second Review Date
|
55.00
|
$0
|
Third Review Date
|
50.00
|
$0
|
Fourth Review Date
|
45.00
|
$0
|
Final Review Date
|
70.00
|
$
715.00
|
|
Total Payment
|
$
715.00
(-
28.50%
return)
|
|
|
PS-4| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Because the notes have not been automatically called, the Final
Value of the Lesser Performing Index is less than its Initial Value but is greater than or equal to its Interest Barrier, a Trigger
Event has occurred and the Lesser Performing Index Return is -
30.00
%,
the payment at maturity will be $
715.00
per
$1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-
30.00
%)]
+ $15.00 = $
715.00
Example 6 — Notes have NOT been
automatically called, the Final Value of the Lesser Performing Index is less than its Initial Value and its Interest Barrier and
a Trigger Event has occurred.
Date
|
Closing Level of Lesser Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
65.00
|
$0
|
Second Review Date
|
60.00
|
$0
|
Third Review Date
|
55.00
|
$0
|
Fourth Review Date
|
45.00
|
$0
|
Final Review Date
|
50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the notes have not been automatically called, the Final
Value of the Lesser Performing Index is less than its Initial Value and its Interest Barrier, a Trigger Event has occurred and
the Lesser Performing Index Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated
as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments on the notes
shown above apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals do
not reflect the 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.
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 product supplement and underlying supplement.
|
●
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
—
The notes do not guarantee any return of principal. If the notes have not been automatically called
and (i) the Final Value of either Index is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose 1%
of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial
Value. Accordingly, under these circumstances, you will lose some or all of your principal amount at maturity.
|
|
●
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL
—
If the notes have not been automatically called we will make a Contingent Interest Payment with respect
to a Review Date only if the closing level of each Index on that Review Date is greater than or equal to its Interest Barrier.
If the closing level of either Index on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will
be made with respect to that Review Date. Accordingly, if the closing level of either Index on each Review Date is less than its
Interest Barrier, you will not receive any interest payments over the term of the notes.
|
|
●
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
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.
|
●
|
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
|
|
PS-5| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
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.
|
●
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
regardless of any appreciation in the value of either Index, which may be significant. You will not
participate in any appreciation in the value of either Index.
|
We and our affiliates play a variety of roles in connection
with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially adverse
to your interests as an investor in 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.
|
●
|
JPMORGAN CHASE & CO. IS
CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500
®
INDEX,
|
but JPMorgan Chase & Co. will not have any obligation
to consider your interests in taking any corporate action that might affect the level of the S&P 500
®
Index.
|
●
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the
performance of each individual Index. Poor performance by either of the Indices over the term of the notes may negatively affect
whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be
offset or mitigated by positive performance by the other Index.
|
|
●
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
|
|
●
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD
—
If, on any day during the Monitoring Period, the closing level of either Index is less than its Trigger
Value (
i.e.,
a Trigger Event occurs) and the notes have not been automatically called, the benefit provided by the Trigger
Value will terminate and you will be fully exposed to any depreciation in the closing level of the Lesser Performing Index. You
will be subject to this potential loss of principal even if that Index subsequently recovers such that the closing level of that
Index is greater than or equal to its Trigger Value.
|
|
●
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately
three months and you will not receive any Contingent Interest Payments after the applicable Call Settlement 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. Even in cases where the notes are called before maturity, noteholders are not entitled
to any fees and commissions described on the front cover of this pricing supplement.
|
|
●
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS
WITH RESPECT TO THOSE SECURITIES.
|
|
●
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE RUSSELL 2000
®
INDEX —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive
conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the
presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
|
|
●
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE
IS GREATER IF THE LEVEL OF THAT INDEX IS VOLATILE.
|
|
●
|
LACK OF LIQUIDITY—
The notes will not be listed on any securities exchange. Accordingly, 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. You may not be able
to sell your 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.
|
|
●
|
THE FINAL TERMS AND VALUATION
OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment in the
notes based on the minimums for the estimated value of the notes and the Contingent Interest Rate.
|
|
PS-6| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
|
●
|
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 only an estimate
determined by reference to several factors. The original issue price of the notes will exceed 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.
|
●
|
THE ESTIMATED VALUE OF THE
NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’
ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
|
●
|
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 is 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-rate debt of JPMorgan Chase & Co. 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.
|
●
|
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. 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).
|
●
|
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 (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 the 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.
|
●
|
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 values of the Indices. 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. See
“Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market
prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
|
|
|
PS-7| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
The
Indices
The S&P 500
®
Index consists of stocks of 500
companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500
®
Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
The Russell 2000
®
Index consists of the middle
2,000 companies included in the Russell 3000E
TM
Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell
2000
®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying
supplement.
Historical Information
The following graphs set forth the historical performance of each
Index based on the weekly historical closing levels from January 7, 2011 through April 22, 2016. The closing level of the S&P
500
®
Index on April 28, 2016 was 2,075.81. The closing level of the Russell 2000
®
Index on April
28, 2016 was 1,140.398. We obtained the closing levels below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. Although Russell Investments publishes the official closing levels of the Russell 2000® Index
to six decimal places, Bloomberg publishes the closing levels of the Russell 2000® Index to only three decimal places.
The historical closing levels of each Index should not be taken
as an indication of future performance, and no assurance can be given as to the closing level of either Index on the Pricing Date
or any Review Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal
amount or the payment of any interest.
Historical Performance of the
S&P 500
®
Index
Source: Bloomberg
|
|
|
PS-8| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Historical Performance of the
Russell 2000
®
Index
Source: Bloomberg
|
Tax
Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting responsibilities
we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated
Contingent Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special
tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court
may adopt, in which case the timing and character of any income or loss on the notes could be materially 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 and the relevance of factors such as the nature of the underlying property
to which the instruments are linked. 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 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.
Non-U.S. Holders — Tax Considerations
. The U.S. federal
income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a position
that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding
agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under
an applicable income tax treaty), unless income from your notes is effectively connected with your conduct of a trade or business
in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States).
If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the notes in light of your particular circumstances.
Non-U.S. holders should also note that, notwithstanding anything
to the contrary in the accompanying product supplement, recently promulgated Treasury regulations imposing a withholding tax on
certain “dividend equivalents” under certain “equity linked instruments” will not apply to the notes.
FATCA
. Withholding under legislation commonly referred
to as “FATCA” could apply to payments with respect to the notes that are treated as U.S.-source “fixed or determinable
annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest, if the notes
are recharacterized, in whole or in part, as debt instruments, or Contingent Interest Payments if they are otherwise treated as
FDAP Income). Notwithstanding anything to the contrary in the accompanying product supplement, under a
|
|
PS-9| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
recent IRS notice, withholding under FATCA will not apply to payments
of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including an early redemption or redemption
at maturity, of the notes. You should consult your tax adviser regarding the potential application of FATCA to the notes.
In the event of any withholding on the notes, we will not be required
to pay any additional amounts with respect to amounts so withheld.
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 is 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-rate debt of JPMorgan Chase & Co
. 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.
The estimated value of the notes does not represent future
values of the notes and may differ from others’ estimates. 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 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.
The 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. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other
affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — The 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 “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product
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. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging
costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period 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” in this pricing supplement.
|
|
PS-10| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
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 “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Indices”
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.
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 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 and the accompanying underlying
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 product supplement and the accompanying underlying 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.
|
|
PS-11| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Feb 2024 to Mar 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2023 to Mar 2024