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 December 2, 2016.
December , 2016
|
Registration Statement
Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan
Chase Financial Company LLC
Structured Investments
Capped Buffered Return Enhanced Notes Linked
to the SPDR
®
S&P
®
Regional Banking ETF due June 14, 2018
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
●
|
The notes are designed for investors who seek a return of 1.5 times any appreciation of the SPDR
®
S&P
®
Regional Banking ETF up to a maximum return which will be at least
19.25%
at maturity.
|
|
●
|
Investors should be willing to forgo interest and dividend payments and be willing to lose up to
90%
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.
|
|
●
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
●
|
The notes are expected to price on or about
December
9, 2016
and are expected to settle on or about
December
14, 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). All sales of the notes will be made to certain
fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers
will forgo any commissions related to these sales. 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 $979.60 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 $960.00 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.
Fund:
The SPDR
®
S&P
®
Regional Banking ETF
®
(Bloomberg ticker: KRE)
Maximum Return:
At
least 19.25% (corresponding to a maximum payment at maturity of at least $1,192.50 per $1,000 principal amount note) (to be provided
in the pricing supplement)
Upside Leverage Factor:
1.5
Buffer Amount:
10%
Pricing Date:
On
or about December 9, 2016
Original Issue Date (Settlement Date):
On
or about December 14, 2016
Observation Date*:
June
11, 2018
Maturity Date*:
June
14, 2018
* 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” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement
|
|
Fund Return:
(Final Value – Initial Value)
Initial Value
Initial Value:
The
closing price of one share of the Fund on the Pricing Date
Final Value:
The
closing price of one share of the Fund 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 × (Fund Return × Upside Leverage Factor)],
subject to the Maximum Return
If the
Final Value is equal to the Initial Value or is less than the Initial Value by up to the Buffer Amount, you will receive the principal
amount of your notes at maturity.
If the
Final Value is less than the Initial Value by more than the Buffer Amount, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000
+ [$1,000 × (Fund Return + Buffer Amount)]
If the Final Value is less
than the Initial Value by more than 10%, you will lose some or most of your principal amount at maturity.
Share Adjustment Factor:
The
Share Adjustment Factor is referenced in determining the closing price of one share of the Fund and is set equal to 1.0 on the
Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund. See
“The Underlyings – Funds – Anti-Dilution Adjustments” in the accompanying product supplement for further
information.
|
PS-
1
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the
SPDR
®
S&P
®
Regional Banking ETF
|
|
Hypothetical
Payout Profile
The following table and graph illustrate the
hypothetical total return at maturity on the notes. 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
|
|
●
|
a Maximum Return of 19.25%
|
|
●
|
an Upside Leverage Factor of 1.5
|
|
●
|
the Buffer Amount of 10%.
|
The hypothetical Initial Value of 100 has been
chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be based
on the closing price of one share of the Fund on the Pricing Date and will be provided in the pricing supplement. For historical
data regarding the actual closing price of one share of the Fund, please see the historical information set forth under “The
Fund” 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
|
Fund Return
|
Total Return
|
Payment at Maturity
|
$180.0000
|
80.0000%
|
19.250%
|
$1,192.50
|
$170.0000
|
70.0000%
|
19.250%
|
$1,192.50
|
$160.0000
|
60.0000%
|
19.250%
|
$1,192.50
|
$150.0000
|
50.0000%
|
19.250%
|
$1,192.50
|
$140.0000
|
40.0000%
|
19.250%
|
$1,192.50
|
$130.0000
|
30.0000%
|
19.250%
|
$1,192.50
|
$120.0000
|
20.0000%
|
19.250%
|
$1,192.50
|
$112.8333
|
12.8333%
|
19.250%
|
$1,192.50
|
$110.0000
|
10.0000%
|
15.000%
|
$1,150.00
|
$105.0000
|
5.0000%
|
7.500%
|
$1,075.00
|
$101.0000
|
1.0000%
|
1.500%
|
$1,015.00
|
$100.0000
|
0.0000%
|
0.000%
|
$1,000.00
|
$95.0000
|
-5.0000%
|
0.000%
|
$1,000.00
|
$90.0000
|
-10.0000%
|
0.000%
|
$1,000.00
|
$85.0000
|
-15.0000%
|
-5.000%
|
$950.00
|
$80.0000
|
-20.0000%
|
-10.000%
|
$900.00
|
$70.0000
|
-30.0000%
|
-20.000%
|
$800.00
|
$60.0000
|
-40.0000%
|
-30.000%
|
$700.00
|
$50.0000
|
-50.0000%
|
-40.000%
|
$600.00
|
$40.0000
|
-60.0000%
|
-50.000%
|
$500.00
|
$30.0000
|
-70.0000%
|
-60.000%
|
$400.00
|
$20.0000
|
-80.0000%
|
-70.000%
|
$300.00
|
$10.0000
|
-90.0000%
|
-80.000%
|
$200.00
|
$0.0000
|
-100.0000%
|
-90.000%
|
$100.00
|
PS-
2
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the
SPDR
®
S&P
®
Regional Banking ETF
|
|
How
the Notes Work
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 1.50 times the Fund Return, up to
the Maximum Return which will not be less than
19.25%
at maturity. Assuming a hypothetical Maximum Return of
19.25%
,
an investor will realize the maximum payment at maturity at a Final Value of
112.8333%
or more of the Initial Value.
|
●
|
If the closing price of one share of the Fund increases 5.00%, investors will receive at maturity a 7.50% return, or $1,075.00
per $1,000 principal amount note.
|
|
●
|
Assuming a hypothetical Maximum Return of
19.25%,
if
the closing price of one share of the Fund increases 40.00%, investors will receive at maturity a return equal to the
Maximum Return of
19.25%
, or
$1,192.50 per $1,000 principal amount note, which is the maximum payment at maturity.
|
Par Scenario:
If the Final Value is equal to the Initial Value
or is less than the Initial Value by up to the Buffer Amount of
10%
,
investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Initial Value
by more than the Buffer Amount of
10%
,
investors will lose 1% of the principal amount of their notes for every 1% that the Final Value is less than the Initial Value
by more than the Buffer Amount.
|
●
|
For example, if the closing price of one share of the Fund declines 50.00%, investors will lose
40.00%
of their principal amount and receive only
$600.00
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
10%
,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value by more
than
10%
. Accordingly, you may
lose up to
90%
of your principal
amount at maturity.
|
●
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN,
|
regardless of the appreciation in
the Fund, which may be significant.
|
●
|
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
Capped Buffered Return Enhanced Notes Linked to the
SPDR
®
S&P
®
Regional Banking ETF
|
|
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 NOTES DO NOT PAY INTEREST.
|
|
●
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE FUND OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
●
|
THERE ARE RISKS ASSOCIATED WITH THE FUND —
|
The Fund is subject to management
risk, which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
|
●
|
RISKS ASSOCIATED WITH THE BANKING INDUSTRY WITH RESPECT TO THE SPDR
®
S&P
®
BANK
ETF
—
|
All or substantially all of the equity securities held by the SPDR
®
S&P
®
Regional Banking ETF are issued by companies whose primary line of business is directly associated with the banking industry. As
a result, the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political
or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified
group of issuers. The performance of bank stocks may be affected by extensive governmental regulation, which may limit both the
amounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge and the amount
of capital they must maintain. Profitability is largely dependent on the availability and cost of capital funds and can fluctuate
significantly when interest rates change. Credit losses resulting from financial difficulties of borrowers can negatively impact
the banking companies. Banks may also be subject to severe price competition. Competition among banking companies is high and failure
to maintain or increase market share may result in lost market share. These factors could affect the banking industry and could
affect the value of the equity securities held by the SPDR
®
S&P
®
Regional Banking ETF and the
price of the SPDR
®
S&P
®
Regional Banking ETF during the term of the notes, which may adversely
affect the value of your notes.
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 Maximum Return.
|
●
|
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 structuring and hedging the notes are included in the original issue price of the notes.
These costs include 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
PS-
4
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the
SPDR
®
S&P
®
Regional Banking ETF
|
|
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
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 projected hedging profits, if any, estimated hedging costs and the price of the Fund. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors”
in the accompanying product supplement.
PS-
5
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the
SPDR
®
S&P
®
Regional Banking ETF
|
|
The
Fund
The SPDR
®
S&P
®
Regional Banking ETF is an exchange-traded fund of the
SPDR
®
Series Trust, a registered investment company, which seeks to provide investment results that, before fees
and expenses, correspond generally to the total return performance of an index derived from the regional banking segment of the
U.S. banking industry, which we refer to as the Underlying Index with respect to the SPDR
®
S&P
®
Regional Bank ETF. The Underlying Index with respect to the SPDR
®
S&P
®
Regional Banking ETF is
currently the S&P
®
Regional Banks Select Industry
TM
Index. The S&P
®
Regional Banks
Select Industry
TM
Index is a modified equal-weighted index that is designed to measure the performance of the GICS
®
regional banks sub-industry. For additional information about the SPDR
®
S&P
®
Regional Banking
ETF, see “Fund Descriptions — The SPDR
®
S&P
®
Industry ETFs” in the accompanying
underlying supplement.
Historical Information
The following graph sets forth the historical
performance of the Fund based on the weekly historical closing prices of one share of the Fund from January 7, 2011 through November
25, 2016. The closing price of one share of the Fund on December 1, 2016 was $53.46. We obtained the closing prices above and below
from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The closing
prices below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing prices of one share of
the Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one
share of the Fund on the Pricing Date or the Observation Date. There can be no assurance that the performance of the Fund will
result in the return of any of your principal amount in excess of
$100
per $1,000 principal amount note, 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.
Historical Performance
of the SPDR
®
S&P
®
Regional Banking ETF
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, subject to the possible application of the “constructive
ownership” rules, 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. The notes could be treated
as “constructive ownership
PS-
6
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the
SPDR
®
S&P
®
Regional Banking ETF
|
|
transactions” within the meaning of Section
1260 of the Internal Revenue Code of 1986, as amended, in which case any gain recognized in respect of the notes that would otherwise
be long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section
1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes
at a constant yield over the notes’ term. Our special tax counsel has not expressed an opinion with respect to whether
the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding
the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment
of the notes described above, in which case the timing and character of any income or loss on your 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 described above. 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
the potential application of the constructive ownership rules, 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. Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other
than any amount treated as interest) of a taxable disposition, including redemption at maturity, of the notes. 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 structuring and hedging the notes are included in the
original issue price of the notes. These costs include 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
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| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the
SPDR
®
S&P
®
Regional Banking ETF
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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, if any. 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 Fund” 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 (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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| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the
SPDR
®
S&P
®
Regional Banking ETF
|
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