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.
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.
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.
Index:
S&P
500
®
Index (Bloomberg
ticker: SPX)
Maximum Upside Return:
At
least 45.00% (corresponding to a maximum payment at maturity of $1,450.00 per $1,000 principal amount note) (to be provided in
the pricing supplement)
Upside Leverage Factor:
1.2
Contingent Buffer Amount:
32.50%
Pricing Date:
On
or about May 25, 2016
Original Issue Date (Settlement Date):
On or about May 31, 2016
Observation Date:
May
25, 2021
Maturity Date*:
May
28, 2021
* 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 a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity
Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
no. 4-I
|
|
Absolute Index Return:
The
absolute value of the Index Return. For example, if the Index Return is -5%, its Absolute Index Return will equal 5%
Index Return:
(Final
Value – Initial Value)
Initial Value
Initial Value:
The
closing level of the Index on the Pricing Date
Final Value:
The
closing level of the Index on the Observation Date
Payment at Maturity:
If the
Final Value is greater than the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as
follows:
$1,000
+ ($1,000 × Index Return × Upside Leverage Factor),
subject to the Maximum Upside Return
If the
Final Value is equal to the Initial Value or is less than the Initial Value by up to the Contingent Buffer Amount, your payment
at maturity per $1,000 principal amount note will be calculated as follows:
$1,000
+ ($1,000 × Absolute Index Return of the Index)
If the
Final Value is less than the Initial Value by more than the Contingent Buffer Amount, your payment at maturity per $1,000 principal
amount note will be calculated as follows:
$1,000
+ ($1,000 × Index Return)
If the Final Value is
less than the Initial Value by more than the Contingent Buffer Amount, you will lose more than
32.50%
of your principal
amount at maturity and could lose all of your principal amount at maturity.
|
PS-
1
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes Linked to the S&P 500
®
Index
|
|
Hypothetical
Payout Profile
The following table and graph illustrate the
hypothetical total return at maturity on the notes linked to a hypothetical Index. 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. The hypothetical total returns set forth below assume the following:
|
●
|
an Initial Value of 100.00;
|
|
●
|
a Maximum Upside Return of 45.00%;
|
|
●
|
an Upside Leverage Factor of 1.2;
and
|
|
●
|
a Contingent Buffer Amount of
32.50%
|
The hypothetical Initial Value of 100.00 has
been chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be
the closing level of the Index on the Pricing Date and will be provided in the pricing supplement. For historical data regarding
the actual closing levels of the Index, please see the historical information set forth under “The Index” in this pricing
supplement.
Each hypothetical total return or hypothetical 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 graph have been rounded for ease of analysis.
Final Value
|
Index Return
|
Absolute Index Return
|
Total Return on the Notes
|
Payment at Maturity
|
165.00
|
65.00%
|
N/A
|
45.000%
|
$1,450.00
|
150.00
|
50.00%
|
N/A
|
45.000%
|
$1,450.00
|
137.50
|
37.50%
|
N/A
|
45.000%
|
$1,450.00
|
130.00
|
30.00%
|
N/A
|
36.000%
|
$1,360.00
|
120.00
|
20.00%
|
N/A
|
24.000%
|
$1,240.00
|
110.00
|
10.00%
|
N/A
|
12.000%
|
$1,120.00
|
105.00
|
5.00%
|
N/A
|
6.000%
|
$1,060.00
|
101.00
|
1.00%
|
N/A
|
1.200%
|
$1,012.00
|
100.00
|
0.00%
|
0.00%
|
0.000%
|
$1,000.00
|
95.00
|
-5.00%
|
5.00%
|
5.000%
|
$1,050.00
|
90.00
|
-10.00%
|
10.00%
|
10.000%
|
$1,100.00
|
85.00
|
-15.00%
|
15.00%
|
15.000%
|
$1,150.00
|
80.00
|
-20.00%
|
20.00%
|
20.000%
|
$1,200.00
|
75.00
|
-25.00%
|
25.00%
|
25.000%
|
$1,250.00
|
70.00
|
-30.00%
|
30.00%
|
30.000%
|
$1,300.00
|
67.50
|
-32.50%
|
32.50%
|
32.500%
|
$1,325.00
|
67.49
|
-32.51%
|
N/A
|
-32.510%
|
$674.90
|
60.00
|
-40.00%
|
N/A
|
-40.000%
|
$600.00
|
50.00
|
-50.00%
|
N/A
|
-50.000%
|
$500.00
|
40.00
|
-60.00%
|
N/A
|
-60.000%
|
$400.00
|
30.00
|
-70.00%
|
N/A
|
-70.000%
|
$300.00
|
20.00
|
-80.00%
|
N/A
|
-80.000%
|
$200.00
|
10.00
|
-90.00%
|
N/A
|
-90.000%
|
$100.00
|
0.00
|
-100.00%
|
N/A
|
-100.000%
|
$0.00
|
PS-
2
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes Linked to the S&P 500
®
Index
|
|
The following graph demonstrates the hypothetical
total returns and hypothetical payments at maturity on the notes at maturity for a sub-set of Index Returns detailed in the table
above (-60% to 80%). Your investment may result in a loss of some or all of your principal amount at maturity.
How
the Notes Work
Index Appreciation Upside Scenario:
If the Final
Value is greater than the Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to
the Index Return
times
the Upside Leverage Factor of 1.2, subject to the Maximum Upside Return.
|
●
|
If the closing level of the Index increases 10.00%,
investors will receive at maturity a 12.00% return, or $1,120.00 per $1,000 principal amount note.
|
|
●
|
Assuming a hypothetical Maximum Upside Return of
45.00%
,
if
the closing level of the Index increases 60.00%,
investors will receive at maturity a return equal to the 45.00% Maximum Upside Return, or $1,450.00 per $1,000 principal amount
note, which is the maximum upside payment at maturity.
|
Index Par or Index Depreciation Upside Scenario:
If
the Final Value is equal to the Initial Value or is less than the Initial Value by up to the Contingent Buffer Amount of 32.50%,
investors will receive at maturity the $1,000 principal amount plus a return equal to the Absolute Index Return.
|
●
|
For example, if the closing level of the Index
declines 10.00%, investors will receive at maturity a 10.00% return, or $1,100.00 per $1,000 principal amount note.
|
Downside Scenario:
If
the Final Value is less than the Initial Value by more than the Contingent Buffer Amount of 32.50%, investors will lose 1% of the
principal amount of their notes for every 1% that the Final Value is less than the Initial Value.
|
●
|
For example, if the closing level of the Index declines 50.00%, investors will lose 50.00% of their principal amount and receive
only $500.00 per $1,000 principal amount note at maturity.
|
PS-
3
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes Linked to the S&P 500
®
Index
|
|
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 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 Final Value is less than the Initial Value by more than
32.50%
,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly,
under these circumstances, you will lose more than
32.50%
of your principal amount at maturity and could lose all of your principal amount at maturity.
|
|
●
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM UPSIDE RETURN IF THE INDEX RETURN IS POSITIVE
—
If the Final Value is greater than the Initial Value,
for each $1,000 principal amount note, you will receive at maturity $1,000
plu
s an additional return equal to the Index
Return
times
the Upside Leverage Factor, up to the Maximum Upside Return of at least 45.00% (corresponding to a maximum
payment at maturity of $1,450.00 per $1,000 principal amount note), regardless of the appreciation of the Index, which may be significant.
|
|
●
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE CONTINGENT BUFFER AMOUNT IF THE INDEX RETURN IS NEGATIVE
—
Because the payment at maturity will not reflect the Absolute Index Return if the Final Value is less than the Initial Value by
more than the Contingent Buffer Amount, the Contingent Buffer Amount is effectively a cap on your return at maturity if the Index
Return is negative. The maximum payment at maturity if the Index Return is negative is
$1,325.00
per $1,000 principal amount note.
|
|
●
|
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
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.
|
|
●
|
POTENTIAL CONFLICTS
—
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.
|
|
●
|
THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
If the Final Value is less than the Initial Value 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.
|
|
●
|
THE NOTES DO NOT PAY INTEREST.
|
|
●
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
●
|
THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INITIAL VALUE BY MORE THAN THE CONTINGENT BUFFER AMOUNT IS
GREATER IF THE VALUE OF THE INDEX IS VOLATILE.
|
PS-
4
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes Linked to the S&P 500
®
Index
|
|
|
●
|
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, the Maximum
Upside Return and the Upside Leverage Factor.
|
|
●
|
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. 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 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 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 level of the Index. 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-
5
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes Linked to the S&P 500
®
Index
|
|
The
Index
The 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.
®
Index” in the accompanying underlying
supplement.
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 April 22, 2016.
The closing level of the Index on April 27, 2016 was 2,075.81. We obtained the closing levels 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 the Observation Date. There can be no assurance that the performance of the Index will result in the return of
any of your principal amount.
Historical Performance of the
S&P 500
®
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. 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. 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
PS-
6
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes Linked to the S&P 500
®
Index
|
|
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, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity,
of a note. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount
treated as interest) with respect to dispositions occurring before January 1, 2019. 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, recently promulgated Treasury regulations imposing a withholding
tax on certain “dividend equivalents” under certain “equity linked instruments” will not apply to the notes.
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 issuance, operational and ongoing liability management costs of the notes. For additional information, see “Selected
Risk Considerations —The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based
on market conditions and other relevant factors and assumptions existing at that time.
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 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
PS-
7
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes Linked to the S&P 500
®
Index
|
|
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.”
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 “Hypothetical Payout Profile”
and “How the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and
“The 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 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 prospectus, as supplemented by the prospectus supplement, each dated April 15, 2016, relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in product supplement no. 4-I dated April 15,
2016 and underlying supplement no. 1-I dated April 15, 2016. 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. 4-I and “Risk Factors” in
the accompanying underlying supplement no. 1-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):
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-
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| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes Linked to the S&P 500
®
Index
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