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 October 27, 2016.
October , 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 Russell 2000
®
Index due October 31, 2019
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
●
|
The notes are designed for investors who seek
an uncapped return of 1.33 times any appreciation, or a capped, unleveraged return equal to the absolute value of any depreciation
(up to the Contingent Buffer Amount of at least 10.00%), of the Russell 2000
®
Index
at maturity.
|
|
●
|
If the Final Value of the Index is less than its
Initial Value by more than the Contingent Buffer Amount, you will lose more than 10.00% 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.
|
|
●
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
●
|
The notes are expected to price on or about October
28, 2016 and are expected to settle on or about November 2, 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-3 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 $2.50 per $1,000 principal amount
note and in no event will these selling commissions exceed $5.00 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 $999.00 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 $980.00 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.
Index:
Russell 2000
®
Index (Bloomberg ticker: RTY)
Upside Leverage Factor:
1.33
Contingent Buffer Amount:
At
least 10.00% (to be provided in the pricing supplement)
Pricing Date:
On
or about October 28, 2016
Original Issue Date (Settlement Date):
On
or about November 2, 2016
Observation Date:
October
28, 2019
Maturity Date*:
October
31, 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 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
|
|
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)
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
10.00%
of your principal amount
at maturity and could lose all of your principal amount at maturity.
|
PS-
1
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Russell 2000
®
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;
|
|
●
|
an Upside Leverage Factor of 1.33;
and
|
|
●
|
a Contingent Buffer Amount of
10.00%
|
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
|
160.000
|
60.000%
|
N/A
|
79.800%
|
$1,798.00
|
150.000
|
50.000%
|
N/A
|
66.500%
|
$1,665.00
|
140.000
|
40.000%
|
N/A
|
53.200%
|
$1,532.00
|
130.000
|
30.000%
|
N/A
|
39.900%
|
$1,399.00
|
120.000
|
20.000%
|
N/A
|
26.600%
|
$1,266.00
|
110.000
|
10.000%
|
N/A
|
13.300%
|
$1,133.00
|
105.000
|
5.000%
|
N/A
|
6.650%
|
$1,066.50
|
101.000
|
1.000%
|
N/A
|
1.330%
|
$1,013.30
|
100.00
|
0.000%
|
0.000%
|
0.000%
|
$1,000.00
|
95.000
|
-5.000%
|
5.000%
|
5.000%
|
$1,050.00
|
90.000
|
-10.000%
|
10.000%
|
10.000%
|
$1,100.00
|
89.990
|
-10.010%
|
N/A
|
-10.010%
|
$899.90
|
85.000
|
-15.000%
|
N/A
|
-15.000%
|
$850.00
|
80.000
|
-20.000%
|
N/A
|
-20.000%
|
$800.00
|
75.000
|
-25.000%
|
N/A
|
-25.000%
|
$750.00
|
70.000
|
-30.000%
|
N/A
|
-30.000%
|
$700.00
|
65.000
|
-35.000%
|
N/A
|
-35.000%
|
$650.00
|
60.000
|
-40.000%
|
N/A
|
-40.000%
|
$600.00
|
50.000
|
-50.000%
|
N/A
|
-50.000%
|
$500.00
|
40.000
|
-60.000%
|
N/A
|
-60.000%
|
$400.00
|
30.000
|
-70.000%
|
N/A
|
-70.000%
|
$300.00
|
20.000
|
-80.000%
|
N/A
|
-80.000%
|
$200.00
|
10.000
|
-90.000%
|
N/A
|
-90.000%
|
$100.00
|
0.000
|
-100.000%
|
N/A
|
-100.000%
|
$0.00
|
PS-
2
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Russell 2000
®
Index
|
|
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 1.33.
|
●
|
If the
closing level of the Index increases 10.00%,
investors will receive at maturity a 13.30% return, or $1,133.00 per $1,000 principal amount note.
|
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
at
least
10.00%, 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:
Assuming a hypothetical Contingent Buffer Amount
of
10.00%
, if
the
Final Value is less than the Initial Value by more than the Contingent Buffer Amount of 10.00%, 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.
|
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 the Contingent
Buffer Amount of at least
10.00%
,
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
10.00%
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 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 of at least
10.00%,
t
he 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 at least
$1,100.00
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.
|
PS-
3
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Russell 2000
®
Index
|
|
|
●
|
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.
|
|
●
|
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.
|
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000
®
INDEX —
|
Small
capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger
companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment
could be a factor that limits downward stock price pressure under adverse market conditions.
|
●
|
THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INITIAL VALUE BY MORE THAN THE CONTINGENT BUFFER AMOUNT IS
GREATER IF THE VALUE OF THE 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,
|
PS-
4
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Russell 2000
®
Index
|
|
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
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Russell 2000
®
Index
|
|
The
Index
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 graph sets forth the historical
performance of the Index based on the weekly historical closing levels of the Index from January 7, 2011 through October 21, 2016.
The closing level of the Index on October 26, 2016 was 1,204.749. We obtained the closing levels above and below from the Bloomberg
Professional
®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the
Pricing Date or 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
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
PS-
6
| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to 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 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 JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if
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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 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 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.
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Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Russell 2000
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