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.
September , 2016
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Notes Linked to the Lesser Performing
of the EURO STOXX 50
®
Index and the Russell 2000
®
Index due September 6, 2019
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
·
|
The Notes are designed for investors who seek early exit prior to maturity at a premium if, on any Call Valuation Date, the
closing level of each of the EURO STOXX 50
®
Index and the Russell 2000
®
Index is at or above the
applicable Call Value.
|
|
·
|
Investors in the Notes should be willing to accept the risk of losing some or all of their principal.
|
|
·
|
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 September 1, 2016 and are expected to settle on or about September 7, 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. In no event will these selling commissions exceed $22.50 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 $964.50 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 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 EURO STOXX 50
®
Index (Bloomberg ticker: SX5E) and the Russell 2000
®
Index (Bloomberg ticker: RTY)
|
Call
Premium Amount:
The Call Premium Amount with respect to each Call
Valuation Date is set forth below:
·
first
Call Valuation Date:
at least 13.35% × $1,000
·
second
Call Valuation Date: at least 26.70% × $1,000
·
final
Call Valuation Date: at least 40.05% × $1,000
(in each case, to be provided in the pricing supplement)
|
Call
Value:
The Call Value with respect to each Index with respect to each
Call Valuation Date is set forth below:
·
first
Call Valuation Date:
100.00% of the applicable
Initial Value
·
second
Call Valuation Date: 95.00% of the applicable Initial Value
·
final
Call Valuation Date: 90.00% of the applicable Initial Value
|
Trigger Value:
With respect to each Index, 70.00% of its Initial Value
|
Initial Valuation Date:
On or about September 1, 2016
|
Original Issue Date (Settlement Date):
On or about September 7, 2016
|
Call Valuation Dates*:
September 8, 2017, September 4, 2018 and September 3, 2019 (final Call Valuation Date)
|
Call Settlement Dates*:
If the Notes are automatically called on any Call Valuation Date, the third business day after that Call Valuation Date, except that the final Call Settlement Date is the Maturity Date
|
Maturity Date*:
September 6, 2019
|
* 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
|
Automatic Call:
If the closing level of each Index on any Call Valuation
Date is greater than or equal to the applicable Call 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 Call Premium Amount applicable to that Call Valuation 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
the Final Value of each Index is greater than or equal to its Trigger Value, you will receive the principal amount of your Notes
at maturity.
If the
Notes have not been automatically called and the Final Value of either Index is less than its Trigger Value,
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 Notes have
not been automatically called and the Final Value of either Index is less than its Trigger Value, you will lose more than 30.00%
of your principal amount at maturity and could lose all of your principal amount at maturity.
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
Initial Valuation Date
Final Value:
With respect to each Index, the closing level of that Index on the
final Call Valuation Date
|
PS-
1
| Structured Investments
Auto Callable Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the Russell 2000
®
Index
|
|
How
the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not
Been Automatically Called
Call Premium Amount
The table below illustrates the hypothetical
Call Premium Amount per $1,000 principal amount Note for each Call Valuation Date based on the call premiums set forth under “Key
Terms — Call Premium Amount” above. The actual Call Premium Amounts will be provided in the pricing supplement and
will not be less than the Call Premium Amounts set forth under “Key Terms — Call Premium Amount.”
Call Valuation Date
|
Call Premium Amount
|
First
|
$133.50
|
Second
|
$267.00
|
Final
|
$400.50
|
PS-
2
| Structured Investments
Auto Callable Notes Linked to the Lesser Performing of the EURO STOXX 50
®
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 Call Valuation Dates.
Each hypothetical payment set forth below assumes that the closing level of the Index that is not
the Lesser Performing Index on each Call Valuation Date is greater than or equal to the applicable Call Value (and therefore its
Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
|
·
|
an Initial Value for the Lesser Performing Index of 100.00;
|
|
·
|
the Call Values set forth under “Key Terms — Call Value” above;
|
|
·
|
a Trigger Value for the Lesser Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value); and
|
|
·
|
that the Call Premium Amounts are equal to the minimum Call Premium Amounts set forth under “Key Terms — Call Premium
Amount” above.
|
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 Initial Valuation 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 Call Valuation Date.
Date
|
Closing level of Lesser Performing Index
|
|
First Call Valuation Date
|
110.00
|
Notes are automatically called
|
|
Total Payment
|
$1,133.50 (13.35% return)
|
Because the closing level of each Index on the
first Call Valuation Date is greater than or equal to the applicable Call Value, the Notes will be automatically called for a cash
payment, for each $1,000 principal amount Note, of $1,133.50 (or $1,000
plus
the Call Premium Amount applicable to the first
Call Valuation 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 final Call Valuation Date.
Date
|
Closing level of Lesser Performing Index
|
|
First Call Valuation Date
|
99.00
|
Notes NOT automatically called
|
Second Call Valuation Date
|
94.00
|
Notes NOT automatically called
|
Final Call Valuation Date
|
92.00
|
Notes are automatically called
|
|
Total Payment
|
$1,400.50 (40.05% return)
|
Because the closing
level of each Index on the first and second Call Valuation Dates is less than the applicable Call Value, the Notes are not automatically
called in connection with these Call Valuation Dates. However, because the closing level of each Index on the final Call Valuation
Date is greater than or equal to the applicable Call Value, even though the closing level of at least one Index is less than its
Initial Value, the Notes will be automatically called for a cash payment, for each $1,000 principal amount Note, of $
1,400.50
(or $1,000
plus
the Call Premium Amount applicable to the final Call Valuation Date), payable on the applicable Call Settlement
Date.
Example 3 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Index is greater than or equal to its Trigger Value.
Date
|
Closing level of Lesser Performing Index
|
|
First Call Valuation Date
|
95.00
|
Notes NOT automatically called
|
PS-
3
| Structured Investments
Auto Callable Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the Russell 2000
®
Index
|
|
Second Call Valuation Date
|
90.00
|
Notes NOT automatically called
|
Final Call Valuation Date
|
80.00
|
Notes NOT automatically called; Final Value of Lesser Performing Index is greater than or equal to its Trigger Value
|
|
Total Payment
|
$1,000.00 (0.00% 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 Trigger Value, the payment at maturity,
for each $1,000 principal amount Note, will be $1,000.
Example 4 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Index is less than its Trigger Value.
Date
|
Closing level of Lesser Performing Index
|
|
First Call Valuation Date
|
80.00
|
Notes NOT automatically called
|
Second Call Valuation Date
|
70.00
|
Notes NOT automatically called
|
Final Call Valuation Date
|
50.00
|
Notes NOT automatically called; Final Value of Lesser Performing Index is less than its Trigger Value
|
|
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 Trigger Value 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 the Final Value of either Index is less than its Trigger Value,
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.
|
·
|
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-
4
| Structured Investments
Auto Callable Notes Linked to the Lesser Performing of the EURO STOXX 50
®
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 ANY CALL PREMIUM AMOUNT PAID ON 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.
|
·
|
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 result in the Notes not being automatically called on a Call Valuation Date, 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 MAY BE DETERMINED BY THE LESSER PERFORMING INDEX.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL CALL VALUATION DATE —
|
If the Final Value of either Index
is less than its Trigger Value 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.
|
·
|
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 one year. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the Notes at a comparable return for a similar level of risk.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50
®
INDEX —
|
The equity securities included in
the EURO STOXX 50
®
Index have been issued by non-U.S. companies. Investments in securities linked to the value of
such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those
non-U.S. equity securities. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC.
|
·
|
NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50
®
INDEX —
|
The value of your Notes will not be
adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in
the EURO STOXX 50
®
Index are based, although any currency fluctuations could affect the performance of the EURO
STOXX 50
®
Index.
|
·
|
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-
5
| Structured Investments
Auto Callable Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the Russell 2000
®
Index
|
|
|
·
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE VALUE OF THAT INDEX IS VOLATILE.
|
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 Call Premium Amounts.
|
·
|
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 —
PS-
6
| Structured Investments
Auto Callable Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the Russell 2000
®
Index
|
|
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.
The
Indices
The EURO STOXX 50
®
Index consists of 50 component stocks of market sector leaders from within the Eurozone. The Index and STOXX are the intellectual
property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”),
which are used under license. The Notes based on the Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited
and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional
information about the EURO STOXX 50
®
Index, see “Equity Index Descriptions
— The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
The Russell 2000
®
Index consists
of the middle 2,000 companies included in the Russell 3000E™ 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 August 29, 2016. The closing
level of the EURO STOXX 50
®
Index on August 29, 2016 was 2,998.50. The closing level of the Russell 2000
®
Index on August 29, 2016 was 1,244.943. The closing levels of the Indices were not published on July 4, 2016 due to the Independence
Day holiday. 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
Initial Valuation Date or any Call Valuation Date. There can be no assurance that the performance of the Indices will result in
the return of any of your principal amount.
PS-
7
| Structured Investments
Auto Callable Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the Russell 2000
®
Index
|
|
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
PS-
8
| Structured Investments
Auto Callable Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the Russell 2000
®
Index
|
|
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 an automatic call or 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.
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
PS-
9
| Structured Investments
Auto Callable Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the Russell 2000
®
Index
|
|
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 “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-
10
| Structured Investments
Auto Callable Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the Russell 2000
®
Index
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024