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 July 1, 2016.
Dated July , 2016
|
Registration Statement
Nos. 333-209682 and 333-209682-01: Rule 424(b)(2)
|
JPMorgan
Chase Financial Company LLC
Structured Investments
Dual Directional Contingent Buffered
Return Enhanced
Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index due
July
31, 2020
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
●
|
The notes are designed for investors who seek
an uncapped return of at least 1.30 times any appreciation, or a capped, unleveraged return equal to the absolute value of any
depreciation (up to the Contingent Buffer Amount of 30%), of the
lesser
performing of
the S&P 500
®
Index and the Russell 2000
®
Index
at maturity.
|
|
●
|
If the Final Value of either Index is less than
its Initial Value by more than 30%, you will lose more than 30% of your principal amount at maturity and could lose all of your
principal amount at maturity.
|
|
●
|
Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount
at maturity.
|
|
●
|
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 July
26, 2016 and are expected to settle on or about July 29, 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-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 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 $27.50 per $1,000 principal
amount note and in no event will these selling commissions exceed $30.00 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 $948.60 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 $920.00 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)
Upside Leverage Factor:
At
least 1.30 (to be provided in the pricing supplement)
Contingent Buffer Amount:
30.00%
Pricing Date:
On
or about July 26, 2016
Original Issue Date (Settlement Date):
On or about July 29, 2016
Observation Date:
July
28, 2020
Maturity Date*:
July
31, 2020
*
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
|
|
Payment at Maturity:
If the
Final Value of each Index is greater than its Initial Value, your payment at maturity per $1,000 principal amount note will be
calculated as follows:
$1,000
+ ($1,000 × Lesser Performing Index Return × Upside Leverage Factor)
If the
Final Value of either Index is equal to its Initial Value or is less than its 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 Lesser Performing Index)
If the
Final Value of either Index is less than its 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 × Lesser Performing Index Return)
If the Final Value of
either Index is less than its Initial Value by more than the Contingent Buffer Amount, you will lose more than 30.00% of your principal
amount at maturity and could lose all of your principal amount at maturity.
Absolute Index Return:
With
respect to each Index, the absolute value of its Index Return. For example, if the Index Return of an Index is -5%, its Absolute
Index Return will equal 5%
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 Observation Date
|
PS-
1
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Hypothetical
Payout Profile
The following table and graph illustrate the
hypothetical total return at maturity on the notes linked to two hypothetical Indices. 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 and payments set forth below assume the following:
|
●
|
an Initial Value for the Lesser
Performing Index of 100.00;
|
|
●
|
an Upside Leverage Factor of 1.30;
and
|
|
●
|
a Contingent Buffer Amount of
30.00%.
|
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 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 of the Lesser Performing
Index
|
Lesser Performing
Index Return
|
Absolute Index Return of the
Lesser Performing Index
|
Total Return on the Notes
|
Payment at Maturity
|
165.00
|
65.00%
|
N/A
|
84.50%
|
$1,845.00
|
150.00
|
50.00%
|
N/A
|
65.00%
|
$1,650.00
|
140.00
|
40.00%
|
N/A
|
52.00%
|
$1,520.00
|
130.00
|
30.00%
|
N/A
|
39.00%
|
$1,390.00
|
120.00
|
20.00%
|
N/A
|
26.00%
|
$1,260.00
|
110.00
|
10.00%
|
N/A
|
13.00%
|
$1,130.00
|
105.00
|
5.00%
|
N/A
|
6.50%
|
$1,065.00
|
101.00
|
1.00%
|
N/A
|
1.30%
|
$1,013.00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$1,000.00
|
95.00
|
-5.00%
|
5.00%
|
5.00%
|
$1,050.00
|
90.00
|
-10.00%
|
10.00%
|
10.00%
|
$1,100.00
|
85.00
|
-15.00%
|
15.00%
|
15.00%
|
$1,150.00
|
80.00
|
-20.00%
|
20.00%
|
20.00%
|
$1,200.00
|
75.00
|
-25.00%
|
25.00%
|
25.00%
|
$1,250.00
|
70.00
|
-30.00%
|
30.00%
|
30.00%
|
$1,300.00
|
69.99
|
-30.01%
|
N/A
|
-30.01%
|
$699.90
|
60.00
|
-40.00%
|
N/A
|
-40.00%
|
$600.00
|
50.00
|
-50.00%
|
N/A
|
-50.00%
|
$500.00
|
40.00
|
-60.00%
|
N/A
|
-60.00%
|
$400.00
|
30.00
|
-70.00%
|
N/A
|
-70.00%
|
$300.00
|
20.00
|
-80.00%
|
N/A
|
-80.00%
|
$200.00
|
10.00
|
-90.00%
|
N/A
|
-90.00%
|
$100.00
|
0.00
|
-100.00%
|
N/A
|
-100.00%
|
$0.00
|
PS-
2
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
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 60%). 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 of each Index is greater than
its Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Lesser Performing
Index Return
times
the Upside Leverage Factor of at least 1.30.
|
●
|
Assuming a hypothetical Upside Leverage Factor of
1.30
,
if
the closing level of the
Lesser
Performing Index increases 10.00%, investors will receive at maturity a 13.00% return, or $1,130.00 per $1,000 principal amount
note.
|
Index Flat or Index Depreciation Upside Scenario:
If
the Final Value of either Index is equal to its Initial Value or is less than its Initial Value by up to the Contingent Buffer
Amount of 30.00%, investors will receive at maturity the $1,000 principal amount plus a return equal to the Absolute Index Return
of the
Lesser
Performing Index.
|
●
|
For example, if the closing level of the
Lesser
Performing 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 of either Index is less than its Initial Value by more than the Contingent Buffer Amount of 30.00%, investors will
lose 1% of the principal amount of their notes for every 1% that the Final Value of the
Lesser
Performing Index is less than its Initial Value.
|
●
|
For example, if the closing level of the Lesser Performing 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.
|
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.
PS-
3
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
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 of either Index is less than its Initial Value by more
than
30.00%
, 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 more than
30.00%
of your principal amount at maturity and could lose all of your principal amount at maturity.
|
|
●
|
YOUR MAXIMUM GAIN ON THE NOTES IF THE LESSER PERFORMING
INDEX RETURN IS NEGATIVE IS LIMITED BY THE CONTINGENT BUFFER AMOUNT
—
Because the payment at maturity will not reflect the Absolute Index Return of the Lesser Performing Index if the Final Value of
either Index is less than its 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 of the Lesser Performing Index is negative. The maximum payment at maturity
if the Lesser Performing Index Return is negative is
$1,300.00
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.
|
|
●
|
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 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 CONTINGENT BUFFER AMOUNT
MAY TERMINATE ON THE OBSERVATION DATE —
If the Final Value of either Index is less than its 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 closing level of the
Lesser Performing Index.
|
|
●
|
THE NOTES DO NOT PAY INTEREST.
|
|
●
|
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.
|
PS-
4
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
|
●
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BY
MORE THAN THE CONTINGENT BUFFER AMOUNT IS GREATER IF THE VALUE 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
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 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 levels 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-
5
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced 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 June 24, 2016. The closing
level of the S&P 500
®
Index on June 30, 2016 was 2,098.86. The closing level of the Russell 2000
®
Index on June 30, 2016 was 1,151.923. We obtained the closing levels above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
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 the Observation Date. There can be no assurance that the performance of the Indices will result in the return of
any of your principal amount.
Historical Performance of the
S&P 500
®
Index
Source: Bloomberg
|
PS-
6
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced 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. 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 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 recently
promulgated Treasury regulations imposing a withholding tax on certain “dividend equivalents” under certain “equity
linked instruments” will not apply to the notes.
PS-
7
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
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.
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 Indices” in this pricing supplement for a description of the market exposure provided by the notes.
PS-
8
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
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-
9
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced 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 Aug 2024 to Sep 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Sep 2023 to Sep 2024