Payment at maturity:
|
·
If the final index value of
each
underlying index is
greater than or equal to
its downside threshold level:
|
(i) the stated principal amount
plus
(ii) if the closing level of each underlying index on each day during the final quarterly monitoring period is greater than or equal to its downside threshold level, the contingent quarterly payment with respect to the final quarterly monitoring period.
|
|
·
If the final index value of
any underlying index
is less than its downside threshold level:
|
(i) the stated principal amount
times
(ii) the index performance factor of the worst performing underlying index. This cash payment will be less than 65% of the stated principal amount of the securities and could be zero.
|
Downside threshold level:
|
With respect to the SX5E Index:
, which is equal to 65% of its initial index value
With respect to the SPX Index: , which is equal to 65% of its
initial index value
With respect to the RTY Index: , which is equal to 65% of its
initial index value
|
Stated principal amount:
|
$1,000 per security
|
Issue price:
|
$1,000 per security (see “Commissions and issue price” below)
|
Pricing date:
|
On or about January , 2017 (expected to price on or about January 31, 2017)
|
Original issue date:
|
February , 2017 (3 business days after the pricing date)
(Settlement date)
|
Maturity date:
|
August 5, 2019, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
|
Terms continued on the following page
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
Commissions and issue price:
|
|
Price to public
(1)
|
Fees and commissions
|
Proceeds to issuer
|
Per security
|
|
$1,000.00
|
$15.00
(2)
|
$980.00
|
|
|
|
$5.00
(3)
|
|
Total
|
|
$
|
$
|
$
|
|
(1)
|
See “Additional Information about the Securities
— Supplemental use of proceeds and hedging” in this document for information about the components of the price to
public of the securities.
|
|
(2)
|
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley
Smith Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $15.00 per
$1,000 stated principal amount security. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement.
|
|
(3)
|
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each
$1,000 stated principal amount security
|
If the securities priced today and assuming a contingent quarterly
payment equal to the minimum listed above, the estimated value of the securities would be approximately $972.10 per $1,000 stated
principal amount security. The estimated value of the securities on the pricing date will be provided in the pricing supplement
and will not be less than $960.00 per $1,000 stated principal amount security.
See “Additional Information about the
Securities — The estimated value of the securities” in this document for additional information.
Investing in the securities 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 “Risk Factors” beginning on page 10 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The securities 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.
You should read this document together
with the related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed
via the hyperlinks below. Please also see “Additional Information about the Securities” at the end of this document.
Product supplement no. MS-1-I dated June
3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
Underlying supplement no. 1-I dated April
15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
Prospectus supplement and prospectus, each
dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Terms continued from previous page:
|
Quarterly monitoring period:
|
With respect to each contingent payment date, the period from but excluding the second immediately preceding determination date (or, in the case of the first determination date, from but excluding the pricing date) to and including the immediately preceding determination date
|
Initial index value:
|
With respect to the SX5E Index: , which is its closing level on the pricing date
With respect to the SPX Index: , which is its closing level on the pricing date
With respect to the RTY Index: , which is its closing level on the pricing date
|
Final index value:
|
With respect to each underlying index, the closing level on the final determination date
|
Worst performing underlying index:
|
The underlying index with the worst index performance factor
|
Index performance factor:
|
With respect to each underlying index, the final index value
divided by
the initial index value
|
Determination dates:
|
April 28, 2017, July 31, 2017, October 31, 2017, January 31, 2018, April 30, 2018, July 31, 2018, October 31, 2018, January 31, 2019, April 30, 2019 and July 31, 2019, subject to postponement for non-trading days and certain market disruption events.
|
Contingent payment dates:
|
May 4, 2017, August 3, 2017, November 3, 2017, February 5, 2018, May 3, 2018, August 3, 2018, November 5, 2018, February 5, 2019, May 3, 2019 and the maturity date, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement.
|
CUSIP/ISIN:
|
46646QWN1 / US46646QWN14
|
Listing:
|
The securities will not be listed on any securities exchange.
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Investment Summary
The Contingent Income Callable Securities due
August 5, 2019 Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index
and the Russell 2000
®
Index, which we refer to as the securities, do not provide for the regular payment of interest.
Instead, the securities provide an opportunity for investors to earn a contingent quarterly payment, which is an amount equal to
at least $22.875 (at least 2.2875% of the stated principal amount) per security, with respect to each quarterly monitoring period
during which the closing level of each underlying index on each day is greater than or equal to 65% of its initial index value,
which we refer to as a downside threshold level. The actual contingent quarterly payment will be provided in the pricing supplement.
The contingent quarterly payment, if any, will be payable quarterly on the relevant contingent payment date, which is the third
business day after the determination date on which the related quarterly monitoring period ends or, in the case of the contingent
quarterly payment, if any, with respect to the final quarterly monitoring period, the maturity date. However, if the closing level
of any underlying index is less than its downside threshold level on any day during a quarterly monitoring period, investors will
receive no contingent quarterly payment for that quarterly monitoring period. It is possible that the closing level of one or more
underlying indices could be below their respective downside threshold levels on at least one day during most or all of the quarterly
monitoring periods so that you will receive few or no contingent quarterly payments during the term of the securities. We refer
to these payments as contingent, because there is no guarantee that you will receive a payment on any contingent payment date.
Even if all of the underlying indices were to be at or above their respective downside threshold levels on each day during some
quarterly monitoring periods, one or more underlying indices may fluctuate below their respective downside threshold level(s) on
any day during others.
In addition,
we will have the right to redeem
the securities at our discretion
on any contingent payment date (other than the first and final contingent payment dates) for
the early redemption payment equal to the stated principal amount
plus
any contingent quarterly payment otherwise due with
respect to the related quarterly monitoring period. Any early redemption of the securities will be at our discretion and will not
automatically occur based on the performance of the underlying indices. If the securities have not previously been redeemed and
the final index value of each underlying index is greater than or equal to its downside threshold level, the payment at maturity
will be the sum of the stated principal amount and, if the closing level of each underlying index on each day during the final
quarterly monitoring period is greater than or equal to its downside threshold level, a contingent quarterly payment with respect
to the final quarterly monitoring period. However, if the securities have not previously been redeemed and the final index value
of any underlying index is less than its downside threshold level, investors will be exposed to the decline in the worst performing
underlying index, as compared to its initial index value, on a 1-to-1 basis. Under these circumstances, the payment at maturity
will be (i) the stated principal amount
times
(ii) the index performance factor of the worst performing underlying index,
which will be less than 65% of the stated principal amount of the securities and could be zero. Investors in the securities must
be willing to accept the risk of losing their entire principal and also the risk of receiving few or no contingent quarterly payments
over the term of the securities. In addition, investors will not participate in any appreciation of the underlying indices.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, each underlying
index is an “Index.”
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead, the securities offer investors an opportunity to earn a contingent quarterly payment equal to at least 2.2875% of the
stated principal amount with respect to each quarterly monitoring period during which the closing level of each underlying index
on each day is
greater than or equal to
65% of its initial index value, which we refer to as a downside threshold level.
The actual contingent quarterly payment will be provided in the pricing supplement. The securities may be redeemed prior to maturity
for the stated principal amount per security
plus
any contingent quarterly payment otherwise due with respect to the related
quarterly monitoring period, and the payment at maturity will vary depending on the closing level of each underlying index on each
day during the final quarterly monitoring period including its final index value, as follows:
Scenario 1
|
On any contingent payment date (other than
the first and final contingent payment dates), we elect to redeem the securities.
§
The
securities will be redeemed for (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise due
with respect to the related quarterly monitoring period.
§
Investors
will not participate in any appreciation of any underlying index from its initial index value.
Any early redemption of the securities
will be at our discretion and will not automatically occur based on the performance of the underlying indices. It is more likely
that we will redeem the securities when it would otherwise be advantageous for you to continue to hold the securities. As such,
we will be more likely to redeem the securities when the closing level of each underlying index is at or above its downside threshold
level, which would otherwise potentially result in an amount of interest payable on the securities that is greater than instruments
issued by us of a comparable maturity and credit rating trading in the market. In other words, we will be more likely to redeem
the securities when the securities are paying above-market interest.
If the securities are redeemed prior
to maturity, you will receive no more contingent quarterly payments and may be forced to reinvest in a lower interest rate environment.
Under these circumstances, you may not be able to reinvest the proceeds from an investment in the securities at a comparable return
for a similar level of risk. On the other hand, we will be less likely to exercise our redemption right when the closing level
of any underlying index is below its downside threshold level, such that you will receive no contingent quarterly payments and/or
that you might suffer a significant loss on your investment in the securities at maturity. Therefore, if we do not exercise our
redemption right, it is more likely that you will receive few or no contingent quarterly payments and that you will suffer a significant
loss on your investment at maturity.
|
Scenario 2
|
The securities are not redeemed prior to
maturity, and the final index value of each underlying index is
greater than or equal to
its downside threshold level.
§
The
payment due at maturity will be (i) the stated principal amount
plus
(ii) if the closing level of each underlying index
on each day during the final quarterly monitoring period is greater than or equal to its downside threshold level, a contingent
quarterly payment with respect to the final quarterly monitoring period.
§
Investors
will not participate in any appreciation of any underlying index from its initial index value.
|
Scenario 3
|
The securities are not redeemed prior to
maturity, and the final index value of any underlying index is
less than
its downside threshold level.
§
The
payment due at maturity will be (i) the stated principal amount
times
(ii) the index performance factor of the worst performing
underlying index.
Investors will lose some, and may lose all,
of their principal in this scenario.
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on (1) the closing levels, (2) the final index values and (3) whether we exercise our option to redeem
the securities.
Diagram #1: First Quarterly Monitoring Period
Diagram #2: Quarterly Monitoring Periods
(Other Than the First and Final Quarterly Monitoring Periods)
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Diagram #3: Payment at Maturity
if No Early Redemption Occurs
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 7.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent quarterly payment is payable with respect to a quarterly monitoring period, how to calculate the early redemption
payment if we elect to redeem the securities early and how to calculate the payment at maturity if the securities have not been
redeemed early. The following examples are for illustrative purposes only. Whether you receive a contingent quarterly payment will
be determined by reference to the closing level of each underlying index on each day during a quarterly monitoring period and the
amount you will receive at maturity, if any, will be determined by reference to the final index value of each underlying index
and the closing level of each underlying index on each day during the final quarterly monitoring period. Any early redemption of
the securities will be at our discretion and will not automatically occur based on the performance of the underlying indices. The
actual initial index value and downside threshold level for each underlying index will be provided in the pricing supplement. Any
payment on the securities is subject to our and JPMorgan Chase & Co.’s credit risks. The numbers in the hypothetical
examples below may have been rounded for the ease of analysis.
The examples below are based on the following assumed terms:
Hypothetical contingent quarterly payment:
|
A contingent quarterly payment of $22.875 per quarter per security will be paid on the securities on each contingent payment date
but only if
the closing level of each underlying index is at or above its downside threshold level on each day during the related quarterly monitoring period.
|
Early redemption:
|
We,
at our discretion
, may redeem the securities early, in whole but not in part, on any of the contingent payment dates (other than the first and final contingent payment dates) for the early redemption payment equal to the stated principal amount
plus
any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period.
|
Payment at maturity (if the securities have not been redeemed early):
|
If the final index value of each underlying index is
greater
than or equal to
its downside threshold level: the stated principal amount and, if the closing level of each underlying index
on each day of the final quarterly monitoring period is greater than or equal to its downside threshold level, the contingent quarterly
payment with respect to the final quarterly monitoring period.
If the final index value of any underlying index is less than
its downside threshold level: (i) the stated principal amount
times
(ii) the index performance factor of the worst performing
underlying index
|
Stated principal amount:
|
$1,000 per security
|
Hypothetical initial index value:
|
With respect to the SX5E Index: 3,300.00
With respect to the SPX Index: 2,300.00
With respect to the RTY Index: 1,350.00
|
Hypothetical downside threshold level:
|
With respect to the SX5E Index: 2,145.00, which is 65% of the
hypothetical initial index value for such index
With respect to the SPX Index: 1,495.00, which is 65% of the
hypothetical initial index value for such index
With respect to the RTY Index: 877.50, which is 65% of the hypothetical
initial index value for such index
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
How to determine whether a contingent quarterly
payment is payable with respect to a quarterly monitoring period:
|
Lowest closing level during quarterly monitoring period
|
Contingent quarterly payment
|
|
SX5E Index
|
SPX Index
|
RTY Index
|
|
Hypothetical Quarterly Monitoring Period 1
|
2,600
(
at or above
downside threshold level)
|
1,800
(
at or above
downside threshold level)
|
1,000
(
at or above
downside threshold level)
|
$22.875
|
Hypothetical Quarterly Monitoring Period 2
|
1,800
(
below
downside threshold level)
|
1,200
(
below
downside threshold level)
|
1,000
(
at or above
downside threshold level)
|
$0
|
Hypothetical Quarterly Monitoring Period 3
|
2,600
(
at or above
downside threshold level)
|
1,900
(
at or above
downside threshold level)
|
700
(
below
downside threshold level)
|
$0
|
Hypothetical Quarterly Monitoring Period 4
|
1,500
(
below
downside threshold level)
|
1,000
(
below
downside threshold level)
|
500
(
below
downside threshold level)
|
$0
|
During hypothetical quarterly monitoring period 1, each underlying
index closes at or above its downside threshold level on each day. Therefore, a contingent quarterly payment of $22.875 is payable
on the relevant contingent payment date.
During each of the hypothetical quarterly monitoring periods
2 and 3, one underlying index closes at or above its downside threshold level on each day but the other underlying indices close
below their respective downside threshold levels on at least one day. Therefore, no contingent quarterly payment is payable on
the relevant contingent payment date.
During hypothetical quarterly monitoring period 4, each underlying
index closes below its downside threshold level on at least one day and, accordingly, no contingent quarterly payment is payable
on the relevant contingent payment date.
You will not receive a contingent quarterly payment on any
contingent payment date if the closing level of any underlying index is below its downside threshold level on any day during the
related quarterly monitoring period.
How to calculate the early redemption payment
if we elect to redeem the securities early:
|
Lowest closing level during quarterly monitoring period
|
Early redemption payment
|
|
SX5E Index
|
SPX Index
|
RTY Index
|
|
Example 1:
|
1,800
(
below
downside threshold level)
|
1,800
(
at or above
downside threshold level)
|
700
(
below
downside threshold level)
|
$1,000 (the stated principal amount)
|
Example 2:
|
2,900
(
at or above
downside threshold level)
|
1,900
(
at or above
downside threshold level)
|
1,100
(
at or above
downside threshold level)
|
$1,022.875 (the stated principal amount plus the contingent quarterly payment with respect to the related quarterly monitoring period)
|
The securities are not redeemable prior to the second contingent
payment date.
In example 1, we elect to redeem the securities early on a contingent
payment date (other than the first and final contingent payment dates). During the related quarterly monitoring period, one underlying
index closes at or above its downside threshold level on each day but the other underlying indices close below their respective
downside threshold levels on at least one day. Therefore, you receive an early redemption payment equal to the stated principal
amount of the securities. No further payments will be made on the securities once they have been redeemed.
In example 2, we elect to redeem the securities early on a contingent
payment date (other than the first and final contingent payment dates). During the related quarterly monitoring period, each underlying
index closes at or above its downside threshold level on each day. Therefore, you receive an early redemption payment equal to
the stated principal amount
plus
the contingent quarterly payment with respect to the related quarterly monitoring period.
No further payments will be made on the securities once they have been redeemed.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
How to calculate the payment at maturity (if
the securities have not been redeemed early):
|
Lowest closing levels during final quarterly monitoring period
|
Final index value
|
Payment at
maturity
|
|
SX5E Index
|
SPX Index
|
RTY Index
|
SX5E Index
|
SPX Index
|
RTY Index
|
|
Example 1:
|
2,400
(
at or above
downside threshold level)
|
1,600
(
at or above
downside threshold level)
|
1,100
(
at or above
downside threshold level)
|
3,000
(
at or above
downside threshold level)
|
1,900
(
at or above
downside threshold level)
|
1,100
(
at or above
downside threshold level)
|
$1,022.875 (the stated principal amount plus the contingent quarterly payment with respect to the final quarterly monitoring period)
|
Example 2:
|
1,600
(
below
downside threshold level)
|
1,000
(
below
downside threshold level)
|
500
(
below
downside threshold level)
|
2,400
(
at or above
downside threshold level)
|
1,600
(
at or above
downside threshold level)
|
1,200
(
at or above
downside threshold level)
|
$1,000 (the stated principal amount)
|
Example 3:
|
2,300
(
at or above
downside threshold level)
|
1,000
(
below
downside threshold level)
|
500
(
below
downside threshold level)
|
3,300
(
at or above
downside threshold level)
|
1,150
(
below
downside threshold level)
|
750
(
below
downside threshold level)
|
$1,000 × index performance factor of
the worst performing underlying index =
$1,000 × (1,150 / 2,300) = $500.00
|
Example 4:
|
900
(
below
downside threshold level)
|
900
(
below
downside threshold level)
|
500
(
below
downside threshold level)
|
1,320
(
below
downside threshold level)
|
1,200
(
below
downside threshold level)
|
700
(
below
downside threshold level)
|
$1,000 × (1,320 / 3,300) = $400.00
|
Example 5:
|
1,100
(
below
downside threshold level)
|
400
(
below
downside threshold level)
|
400
(
below
downside threshold level)
|
1,500
(
below
downside threshold level)
|
690
(
below
downside threshold level)
|
600
(
below
downside threshold level)
|
$1,000 × (690 / 2,300) = $300.00
|
In example 1, the final index value of each underlying index
is at or above its downside threshold level and each underlying index closes at or above its downside threshold level on each day
during the final quarterly monitoring period. Therefore, you receive at maturity the stated principal amount of the securities
and the contingent quarterly payment with respect to the final quarterly monitoring period.
In example 2, the final index value of each underlying index
is at or above its downside threshold level but at least one underlying index closes below its downside threshold level on at least
one day during the final quarterly monitoring period. Therefore, you receive at maturity the stated principal amount of the securities
but no contingent quarterly payment is payable with respect to the final quarterly monitoring period.
In example 3, the final index value of one underlying index is
at or above its downside threshold level but the final index values of the other underlying indices are below their respective
downside threshold levels. Therefore, you are exposed to the downside performance of the worst performing underlying index at maturity
and receive a cash payment at maturity equal to the stated principal amount times the index performance factor of the worst performing
underlying index.
Similarly, in examples 4 and 5, the final index value of each
underlying index is below its downside threshold level, and you receive a cash payment at maturity equal to the stated principal
amount
times
the index performance factor of the worst performing underlying index.
If the final index value of ANY underlying index is below
its downside threshold level, you will be exposed to the downside performance of the worst performing underlying index at maturity,
and your payment at maturity will be less than 65% of the stated principal amount per security and could be zero.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
The hypothetical returns and hypothetical payments on the securities
shown above apply
only if you hold the securities for their entire term or until early redemption.
These hypotheticals do
not reflect 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.