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 March
21, 2017
Pricing supplement
To prospectus dated April 15, 2016,
prospectus supplement dated April 15, 2016 and
product supplement no. 4-I dated April 15, 2016
|
Registration Statement
Nos. 333-209682 and 333-209682-01
Dated March , 2017
Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
|
Structured Investments
|
$
Auto Callable Contingent Interest Notes Linked
to the Class A Common Stock of Facebook, Inc. due April 11, 2018
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
General
·
|
|
The notes are designed for
investors who seek a Contingent Interest Payment if, (1) with respect to any Review Date (other than the final Review Date), the
closing price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is greater
than or equal to 81.90% of the Initial Stock Price, which we refer to as the Interest Barrier. Investors should be willing
to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.
|
·
|
|
Investors in the notes should
be willing to accept the risk of losing some or all of their principal if a Trigger Event (as defined below) has occurred and
the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates. Contingent Interest Payments
should not be viewed as periodic interest payments.
|
·
|
|
If
the
closing price of one share of the Reference Stock is greater than or equal to the
Interest Barrier on any Review Date, investors will receive, in addition to
the
Contingent Interest Payment with respect to that Review Date, any previously unpaid Contingent Interest Payments for prior Review
Dates.
|
·
|
|
The notes will be automatically
called if the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater
than or equal to the Initial Stock Price. The earliest date on which an automatic call may be initiated, is July 6, 2017.
|
·
|
|
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 $10,000
and integral multiples of $1,000 in excess thereof
|
Key Terms
Issuer:
|
JPMorgan Chase Financial Company LLC
|
Guarantor:
|
JPMorgan Chase & Co.
|
Reference Stock:
|
The Class A common stock of Facebook, Inc., par value $0.000006 per share (Bloomberg Ticker: FB). We refer to Facebook, Inc. as “Facebook.”
|
Contingent Interest Payments:
|
If the notes have not been automatically called and (1) with respect
to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock on that Review Date
or (2) with respect to the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, you will
receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at
least $25.00*,
plus
any previously unpaid Contingent Interest Payments for any prior Review Dates.
If the Contingent Interest Payment is not paid on any Interest
Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing price of one
share of the Reference Stock on the Review Date related to that later Interest Payment Date is greater than or equal to the Interest
Barrier. You will not receive any unpaid Contingent Interest Payments if the closing price of one share of the Reference
Stock or the Final Stock Price, as applicable, on each subsequent Review Date is less than the Interest Barrier.
*
The actual Interest Payment will be provided in the pricing
supplement and will not be less than $25.00 per $1,000 principal amount note.
|
Interest Barrier / Trigger Level:
|
An amount that represents 81.90% of the Initial Stock Price
|
Automatic Call:
|
If, with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock is
greater than or equal to
the Initial Stock Price, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review Date
plus
(c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date.
|
Payment at Maturity:
|
If the notes have not been automatically called and a Trigger Event has
not
occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date
plus
(c) any previously unpaid Contingent Interest Payments for any prior Review Dates.
|
If the notes have not been automatically called and a Trigger Event
has
occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Final Stock
Price is less than the Initial Stock Price. Under these circumstances, your payment at maturity per $1,000 principal amount note
will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
|
If the notes have not been automatically called and a Trigger Event has occurred, you will lose more than 18.10% of the principal amount of your notes at maturity and could lose all of the principal amount of your notes at maturity.
|
Trigger Event:
|
A Trigger Event occurs if the Final Stock Price (
i.e.,
the arithmetic averaging of the closing prices of one share of the Reference Stock on the Ending Averaging Dates) is less than the Trigger Level.
|
Stock Return:
|
(Final Stock Price – Initial Stock Price)
Initial Stock Price
|
Initial Stock Price:
|
The closing price of one share of the Reference Stock on the Pricing Date
|
Final Stock Price:
|
The arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates
|
Stock Adjustment Factor:
|
The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further information.
|
Pricing Date:
|
On or about March 24, 2017
|
Original Issue Date (Settlement Date):
|
On or about March 29, 2017
|
Review Dates
†
:
|
July 6, 2017, October 5, 2017, January 4, 2018 and April 6, 2018 (final Review Date)
|
Ending Averaging Dates
†:
|
April 2, 2018, April 3, 2018, April 4, 2018, April 5, 2018 and the final Review Date
|
Interest Payment Dates
†
:
|
July 11, 2017, October 11, 2017, January 9, 2018 and the Maturity Date
|
Call Settlement Date
†
:
|
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date
|
Maturity Date
†
:
|
April 11, 2018
|
CUSIP:
|
46646QNG6
|
Other Key Terms:
|
See “Additional Key Terms” in this pricing supplement
|
†
|
|
Subject to postponement in the event of certain market disruption events 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
|
Investing in the notes involves a number of risks.
See “Risk Factors” beginning on page PS-10 of the accompanying product supplement and “Selected Risk Considerations”
beginning on page PS-6 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, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
(1)
|
|
See “Supplemental Use of Proceeds” in this pricing supplement for information
about the components of the price to public of the notes.
|
(2)
|
|
J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan
Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. In no event
will these selling commissions exceed $10.00 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 $982.10 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 $970.00
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.
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.
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” section of the accompanying
product 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.
JPMorgan Structured Investments —
|
PS-
1
|
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
|
What Are the Payments on the
Notes, Assuming a Range of Performances for the Reference Stock?
If the notes have not been automatically called
and, (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock
or, (2) with respect to the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, you will
receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at
least $25.00
plus
any previously unpaid Contingent Interest Payments for any prior Review Dates. The actual Contingent
Interest Payment will be provided in the pricing supplement and will not be less than $25.00 per $1,000 principal amount note.
If, (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock
or, (2) with respect to the final Review Date, the Final Stock Price is less than the Interest Barrier, no Contingent Interest
Payment will be made with respect to that Review Date. We refer to the Interest Payment Date immediately following any Review
Date on which the closing price of one share of the Reference Stock or Final Stock Price, as applicable, is less than the Interest
Barrier as a “No-Coupon Date.” The following table assumes a Contingent Interest Payment of $25.00 per $1,000 principal
amount note and illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the term
of the notes depending on how many No-Coupon Dates occur.
Number of
No-Coupon Dates
|
Total Contingent Coupon Payments
|
0 No-Coupon Date
|
$100.00
|
1
No-Coupon Date
|
$75.00
|
2
No-Coupon Dates
|
$50.00
|
3
No-Coupon Dates
|
$25.00
|
4
No-Coupon Dates
|
$0.000
|
The following table illustrates the hypothetical
payments on the notes in different hypothetical scenarios. Each hypothetical payment set forth below assumes an Initial Stock Price
of $140.00, an Interest Barrier and a Trigger Level of $114.66 (equal to 81.90% of the hypothetical Initial Stock Price) and a
Contingent Interest Payment of $25.00. The actual Contingent Interest Payment will be provided in the pricing supplement and will
not be less than $25.00 per $1,000 principal amount note. Each hypothetical payment set forth below is for illustrative purposes
only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following table and
examples have been rounded for ease of analysis.
Review Dates Prior to the Final Review Date
|
Final Review Date
|
Closing Price of One Share of the Reference Stock
|
Appreciation / Depreciation of the Reference Stock at Review Date
|
Payment on Interest Payment Date or Call Settlement Date (1)(2)
|
Final Stock Price
|
Appreciation / Depreciation of the Reference Stock at Final Review Date
|
Payment at Maturity If a Trigger Event Has Not Occurred (2)(3)
|
Payment at Maturity If a Trigger Event Has Occurred (3)
|
$252.000
|
80.00%
|
$1,025.00
|
$252.000
|
80.00%
|
$1,025.00
|
N/A
|
$238.000
|
70.00%
|
$1,025.00
|
$238.000
|
70.00%
|
$1,025.00
|
N/A
|
$224.000
|
60.00%
|
$1,025.00
|
$224.000
|
60.00%
|
$1,025.00
|
N/A
|
$210.000
|
50.00%
|
$1,025.00
|
$210.000
|
50.00%
|
$1,025.00
|
N/A
|
$196.000
|
40.00%
|
$1,025.00
|
$196.000
|
40.00%
|
$1,025.00
|
N/A
|
$182.000
|
30.00%
|
$1,025.00
|
$182.000
|
30.00%
|
$1,025.00
|
N/A
|
$168.000
|
20.00%
|
$1,025.00
|
$168.000
|
20.00%
|
$1,025.00
|
N/A
|
$161.000
|
15.00%
|
$1,025.00
|
$161.000
|
15.00%
|
$1,025.00
|
N/A
|
$154.000
|
10.00%
|
$1,025.00
|
$154.000
|
10.00%
|
$1,025.00
|
N/A
|
$147.000
|
5.00%
|
$1,025.00
|
$147.000
|
5.00%
|
$1,025.00
|
N/A
|
$140.000
|
0.00%
|
$1,025.00
|
$140.000
|
0.00%
|
$1,025.00
|
N/A
|
$133.000
|
-5.00%
|
$25.00
|
$133.000
|
-5.00%
|
$1,025.00
|
N/A
|
$126.000
|
-10.00%
|
$25.00
|
$126.000
|
-10.00%
|
$1,025.00
|
N/A
|
$114.660
|
-18.10%
|
$25.00
|
$114.660
|
-18.10%
|
$1,025.00
|
N/A
|
$114.646
|
-18.11%
|
N/A
|
$114.646
|
-18.11%
|
N/A
|
$818.90
|
$112.000
|
-20.00%
|
N/A
|
$112.000
|
-20.00%
|
N/A
|
$800.00
|
$98.000
|
-30.00%
|
N/A
|
$98.000
|
-30.00%
|
N/A
|
$700.00
|
$84.000
|
-40.00%
|
N/A
|
$84.000
|
-40.00%
|
N/A
|
$600.00
|
$70.000
|
-50.00%
|
N/A
|
$70.000
|
-50.00%
|
N/A
|
$500.00
|
$56.000
|
-60.00%
|
N/A
|
$56.000
|
-60.00%
|
N/A
|
$400.00
|
$42.000
|
-70.00%
|
N/A
|
$42.000
|
-70.00%
|
N/A
|
$300.00
|
$28.000
|
-80.00%
|
N/A
|
$28.000
|
-80.00%
|
N/A
|
$200.00
|
$14.000
|
-90.00%
|
N/A
|
$14.000
|
-90.00%
|
N/A
|
$100.00
|
$0.000
|
-100.00%
|
N/A
|
$0.000
|
-100.00%
|
N/A
|
$0.00
|
|
(1)
|
The notes will be automatically called if the closing price of one share
of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price.
|
JPMorgan Structured Investments —
|
PS-
2
|
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
|
|
(2)
|
You will receive a Contingent Interest Payment in connection with a Review
Date if, (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference
Stock or, (2) with respect to the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier
plus
any previously unpaid Contingent Interest Payments for any prior Review Dates. The applicable amount shown in the table above does not
include any previously unpaid Contingent Interest Payments that may be payable on the applicable Interest Payment Date.
|
|
(3)
|
A Trigger Event occurs if the Final Stock Price (
i.e.,
the arithmetic
average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates) is less than the Trigger Level.
|
Hypothetical Examples of Amounts
Payable on the Notes
The following examples illustrate how payments on
the notes in different hypothetical scenarios are calculated.
Example
1: The price of one share of the Reference Stock increases from the Initial Stock Price of $140 to a closing level of $168 on the
first Review Date.
Because the closing price of one share of the Reference Stock on the first Review Date is greater than the
Interest Barrier, the investor is entitled to receive a Contingent Interest Payment in connection with the first Review Date. In
addition, because the closing price of one share of the Reference Stock on the first Review Date is greater than the Initial Stock
Price, the notes are automatically called. Accordingly, the investor receives a payment of $1,025 per $1,000 principal amount note
on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $25 per $1,000 principal amount note and repayment
of principal equal to $1,000 per $1,000 principal amount note.
Example 2: A
Contingent Interest Payment is not paid in connection with the first Review Date but is paid in connection with the second Review
Date, the closing price of one share of the Reference Stock is less than the Initial Stock Price of $140 on each of the Review
Dates preceding the third Review Date and the price of one share of the Reference Stock increases from the Initial Stock Price
of $140 to a closing price of $168 on the third Review Date.
The investor receives a payment of $50 per $1,000 principal
amount note in connection with the second Review Date (reflecting the Contingent Interest Payment for the second Review Date and
the unpaid Contingent Interest Payment for the first Review Date), but the notes are not automatically called on any of the Review
Dates preceding the third Review Date because the closing price of one share of the Reference Stock is less than the Initial Stock
Price on each of the Review Dates preceding the third Review Date. Because the closing price of one share of the Reference
Stock on the third Review Date is greater than the Interest Barrier, the investor is entitled to receive a Contingent Interest
Payment in connection with the third Review Date. In addition, because the closing price of one share of the Reference Stock
on the third Review Date is greater than the Initial Stock Price, the notes are automatically called. Accordingly, the investor
receives a payment of $1,025 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent
Interest Payment of $25 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount
note. As a result, the total amount paid on the notes over the term of the notes is $1,075 per $1,000 principal amount note.
Example 3: The notes are not automatically called
prior to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review
Date and the price of one share of the Reference Stock increases from the Initial Stock Price of $140 to an Final Stock Price of
$168 — A Trigger Event has not occurred.
The investor receives a payment of $25 per $1,000 principal amount note
in connection with each of the Review Dates preceding the final Review Date. Because the notes are not automatically called
prior to maturity and a Trigger Event has not occurred, the investor receives at maturity a payment of $1,025 per $1,000 principal
amount note. This payment consists of a Contingent Interest Payment of $25 per $1,000 principal amount note and repayment
of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of the notes
is $1,100 per $1,000 principal amount note.
This represents the maximum total payment an investor may receive over
the term of the notes.
Example 4: The notes are not automatically called
prior to maturity, a Contingent Interest Payment is paid in connection with the second Review Date but not paid in connection with
the first or third Review Date and the price of one share of the Reference Stock decreases from the Initial Stock Price of $140
to an Final Stock Price of $114.66 — A Trigger Event has not occurred.
The investor receives a payment of $50 per
$1,000 principal amount note in connection with the second Review Date (reflecting the Contingent Interest Payment for the second
Review Date and the unpaid Contingent Interest Payment for the first Review Date). Because the notes are not automatically
called prior to maturity and a Trigger Event has not occurred, even though the Final Stock Price is less than the Initial Stock
Price, the investor receives at maturity a payment of $1,050 per $1,000 principal amount note. This payment consists of Contingent
Interest Payments of $50 per $1,000 principal amount note (reflecting the Contingent Interest Payment for the final Review Date
and the unpaid Contingent Interest Payment for the third Review Date) and repayment of principal equal to $1,000 per $1,000 principal
amount note. The total amount paid on the notes over the term of the notes is $1,100 per $1,000 principal amount note.
This represents the maximum total payment an investor may receive over the term of the notes
.
Example 5: The notes are not automatically called
prior to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review
Date and the price of one share of the Reference Stock decreases from the Initial Stock Price of $140 to an Final Stock Price of
$56 — A Trigger Event has occurred.
The investor receives a payment of $25 per $1,000 principal amount note in connection
with each of the Review Dates preceding the final Review Date. Because the notes are not automatically called prior to maturity,
a Trigger Event has occurred and the Stock Return is -60%, the investor receives at maturity of $400 per $1,000 principal amount
note, calculated as follows:
$1,000
+ ($1,000
×
-60%) = $400
The total value of the payments on the notes over the
term of the notes is $475 per $1,000 principal amount note.
Example 6: The notes are not automatically called
prior to maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date
and the price of one share of the Reference Stock decreases from the Initial Stock Price of $140 to a Final Stock Price of $42
— A Trigger Event has occurred.
JPMorgan Structured Investments —
|
PS-
3
|
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
|
Because the notes are not automatically called prior to maturity, no Contingent Interest
Payments are paid in connection with the Review Dates preceding the final Review Date, a Trigger Event has occurred and the Stock
Return is -70%, the investor receives no payments over the term of the
notes, other than a payment at maturity of $300 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -70%) =
$300
The hypothetical payments on the notes shown above
apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals do not reflect
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical payments shown above would likely be lower.
JPMorgan Structured Investments —
|
PS-
4
|
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
|
Selected Purchase Considerations
|
·
|
CONTINGENT INTEREST PAYMENTS
— The notes offer the potential
to earn a Contingent Interest Payment in connection with each Review Date of at least $25.00* per $1,000 principal amount note.
If the notes have not been automatically called and, (1) with respect to any Review Date (other than the final Review Date), the
closing price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is greater
than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date a Contingent Interest Payment for
that Review Date
plus
any previously unpaid Contingent Interest Payments for any prior Review Dates. If, (1) with respect
to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect
to the final Review Date, the Final Stock Price is less than the Contingent Interest Barrier, no Contingent Interest Payment will
be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payments if the closing price of
one share of the Reference Stock or the Final Stock Price, as applicable, on each subsequent Review Date is less than the Interest
Barrier. If the closing price of one share of the Reference Stock or the Final Stock Price, as applicable, on each Review
Date is less than the Interest Barrier, you will not receive any Contingent Interest Payments over the term of the notes. If payable,
a Contingent Interest Payment will be made to the holders of record at the close of business on the business day immediately preceding
the applicable Interest Payment Date.
Because the notes are our
unsecured and unsubordinated obligations,
the
payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject
to our ability to pay our obligations as they become due
and JPMorgan Chase & Co.’s ability to pay its obligations as they become due.
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*The actual Contingent Interest Payment
will be provided in the pricing supplement and will not be less than $25.00 per $1,000 principal amount note.
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POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE
— If the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater
than or equal to the Initial Stock Price, your notes will be automatically called prior to the Maturity Date. Under these circumstances,
you will receive a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest
Payment applicable to that Review Date
plus
(c) any previously unpaid Contingent Interest Payments for any prior Review
Dates, payable on the applicable Call Settlement Dates. Even in cases where the notes are called before maturity, you are not entitled
to any fees and commissions described on the front cover of this pricing supplement.
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THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES
HAVE NOT BEEN AUTOMATICALLY CALLED
— If the notes have not been automatically called, we will pay you your principal
back at maturity only if a Trigger Event has not occurred.
However, if the notes have not been automatically called and a Trigger
Event has occurred, you will lose some or all of the principal amount of your notes at maturity.
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RETURN LINKED TO A SINGLE REFERENCE STOCK
— The return
on the notes is linked to the performance of a single Reference Stock, which is the Class A common stock of Facebook. For
additional information see “The Reference Stock” in this pricing supplement.
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TAX TREATMENT
—
You should review carefully the
section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In
determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward
contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the
section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated
as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement. Based on the advice
of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other
reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes
could be materially 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 and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. 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 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.
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Non-U.S. Holders — Tax Considerations
.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to
take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively connected with your
conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment
in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax
treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations
(such an index, a “Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m)
instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends
for U.S. federal income tax
JPMorgan Structured Investments —
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PS-
5
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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purposes (each an “Underlying Security”).
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its
application may depend on your particular circumstances, including whether you enter into other transactions with respect to an
Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in
the pricing supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m)
to the notes.
FATCA.
Withholding under
legislation commonly referred to as “FATCA” could apply to payments with respect to the notes that are treated as U.S.-source
“fixed or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes
(such as interest, if the notes are recharacterized, in whole or in part, as debt instruments, or Contingent Interest Payments
if they are otherwise treated as FDAP Income). Under a recent IRS notice, withholding under FATCA will not apply to payments
of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including an early redemption or redemption
at maturity, of the notes. You should consult your tax adviser regarding the potential application of FATCA to the notes.
In the event of any withholding on
the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more
detail in the “Risk Factors” sections of the accompanying product supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT
IN A LOSS
— The notes do not guarantee any return of principal. If the notes have not been automatically called and a
Trigger Event has occurred, you will lose 1% of the principal amount of your notes at maturity for every 1% that the Final Stock
Price is less than the Initial Stock Price. Under these circumstances, you will lose more than 18.10% of your principal amount
at maturity and could lose all of the principal amount of your notes at maturity.
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THE NOTES DO NOT GUARANTEE THE PAYMENT
OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
The terms of the notes differ from those of conventional debt securities
in that, among other things, whether we pay interest is linked to the performance of the Reference Stock. Contingent Interest Payments
should not be viewed as periodic interest payments. If the notes have not been automatically called and if, (1) with respect to
any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect
to the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, we will make a Contingent Interest
Payment with respect to that Review Date (and will pay you any previously unpaid Contingent Interest Payments for any prior Review
Dates). If, (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference
Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than the Contingent Interest Barrier, no Contingent
Interest Payment will be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payments if
the closing price of one share of the Reference Stock or the Final Stock Price, as applicable, on each subsequent Review Date is
less than the Interest Barrier. Accordingly, if, (1) with respect to any Review Date (other than the final Review Date), the closing
price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than the
Interest Barrier, you will not receive any Contingent Interest Payments over the term of the notes.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
The notes are subject to our and JPMorgan Chase & Co.’s credit
risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of
the notes. 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.
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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.
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THE AUTOMATIC CALL FEATURE MAY FORCE
A POTENTIAL EARLY EXIT
— If the notes are automatically called, the amount of Contingent Interest Payments made on the
notes may be less than the amount of Contingent Interest Payments that might have been payable if the notes were held to maturity,
and, for each $1,000 principal amount note, you will receive on the applicable Call Settlement Date $1,000
plus
the Contingent
Interest Payment applicable to the relevant Review Date
plus
any previously unpaid Contingent Interest Payments for any
prior Review Dates.
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REINVESTMENT RISK
— If your
notes are automatically called, the term of the notes may be reduced to as short as approximately three months and you will not
receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar
level of risk in the event the notes are automatically called prior to the Maturity Date.
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JPMorgan Structured Investments —
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PS-
6
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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THE APPRECIATION POTENTIAL OF THE NOTES
IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION OF THE REFERENCE STOCK
— The appreciation potential of the
notes is limited to the sum of any Contingent Interest Payments that may be paid over the term of the notes, regardless of any
appreciation of the Reference Stock, which may be significant. You will not participate in any appreciation of the Reference Stock.
Accordingly, the return on the notes may be significantly less than the return on a direct investment in the Reference Stock during
the term of the notes.
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POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the issuance
of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under
the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms
of the notes are set, which we refer to as the estimated value of the notes. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business activities,
including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse
to yours and could adversely affect any payment on the notes and the value of 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 for additional information about these risks.
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We and/or our affiliates may also currently or
from time to time engage in business with Facebook, including extending loans to, or making equity investments in, Facebook or
providing advisory services to Facebook. In addition, one or more of our affiliates may publish research reports or otherwise
express opinions with respect to Facebook, and these reports may or may not recommend that investors buy or hold the Reference
Stock. As a prospective purchaser of the notes, you should undertake an independent investigation of the Reference Stock
issuer that in your judgment is appropriate to make an informed decision with respect to an investment in the notes.
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THE BENEFIT PROVIDED BY THE TRIGGER
LEVEL MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE
— If the Final Stock Price is less than the Trigger Level and
the notes have not been automatically called, the benefit provided by the Trigger Level will terminate and you will be fully exposed
to any depreciation of the Reference Stock from the Initial Stock Price to the Final Stock Price.
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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.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES
OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
The
estimated value of the notes is determined by reference to internal pricing models of our affiliates when the terms of the notes
are set. This estimated value of the notes is based on market conditions and other relevant factors existing at that time and assumptions
about market parameters, which can include volatility, dividend rates, interest rates and other factors. 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. See “The Estimated
Value of the Notes” in this pricing supplement.
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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.
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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. 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. 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).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE
ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue
price of the notes because, among other things, secondary market prices take into account our internal secondary market funding
rates for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may
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JPMorgan Structured Investments —
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PS-
7
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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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 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. See the immediately following risk consideration
for information about additional factors that will impact any secondary market prices of the 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. See “— Lack of Liquidity”
below.
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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 price of one share of the Reference Stock, including:
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any actual or potential change in our
or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary bid-ask spreads for similarly
sized trades;
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our internal secondary market funding
rates for structured debt issuances;
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the actual and expected volatility of the Reference Stock;
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the time to maturity of the notes;
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whether the closing price of one share
of the Reference Stock or Final Stock Price, as applicable, has been, or is expected to be, less than the Interest Barrier on any
Review Date and whether a Trigger Event is expected to occur;
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the likelihood of an automatic call being
triggered;
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the dividend rate on the Reference Stock;
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interest and yield rates in the market
generally;
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the occurrence of certain events affecting
the issuer of the Reference Stock that may or may not require an adjustment to the Stock Adjustment Factor, including a merger
or acquisition; and
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a variety of other economic, financial,
political, regulatory and judicial events.
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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.
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NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK —
As
a holder of the notes, you will not have any ownership interest or rights in the Reference Stock, such as voting rights or dividend
payments. In addition, the issuer of the Reference Stock will not have any obligation to consider your interests as a holder of
the notes in taking any corporate action that might affect the value of the Reference Stock and the notes.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
We are
not affiliated with the issuer of the Reference Stock. We assume no responsibility for the adequacy of the information about the
Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference Stock
and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether contained
in SEC filings or otherwise.
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SINGLE STOCK RISK —
The price of the Reference Stock can
fall sharply due to factors specific to the Reference Stock and its issuer, such as stock price volatility, earnings, financial
conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general
market factors, such as general stock market volatility and levels, interest rates and economic and political conditions.
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LIMITED TRADING HISTORY —
The Reference Stock commenced
trading on The NASDAQ Stock Market on May 18, 2012 and therefore has limited historical performance. Accordingly, historical information
for the Reference Stock is available only since that date. Past performance should not be considered indicative of future performance.
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VOLATILITY RISK —
Greater expected volatility with respect
to the Reference Stock indicates a greater likelihood as of the Pricing Date that the closing piece of one share of the Reference
Stock or the Initial Stock Price, as applicable, could be below the Interest Barrier on any Review Date or below the Trigger Level
on the Final Review Date. The Reference Stock’s volatility, however, can change significantly over the term of the notes.
The price of one share of the Reference Stock could fall sharply at any time during the term of the notes, which could result in
the loss of one or more, or all, Contingent Interest Payments or a significant loss of principal.
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LACK OF LIQUIDITY
—
The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but
is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell
the notes easily. Because other dealers are not likely to make a secondary market for the notes, 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.
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND
MAY BE DISCRETIONARY
— The calculation agent will make adjustments to the Stock Adjustment Factor for certain corporate
events affecting the Reference Stock. However, the calculation agent will not make an adjustment in response to all events that
could affect the Reference Stock. If an event occurs that does not require the calculation agent to make an adjustment, the value
of the notes may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments
in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative
effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making
these determinations.
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JPMorgan Structured Investments —
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PS-
8
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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THE FINAL TERMS AND VALUATION OF THE
NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT
— The final terms of the notes will be based on relevant market conditions
when the terms of the notes are set and will be provided in the pricing supplement. In particular, each of the estimated value
of the notes and the Contingent Interest Payment will be provided in the pricing supplement and each may be as low as the applicable
minimum set forth on the cover of this pricing supplement. Accordingly, you should consider your potential investment in the notes
based on the minimums for the estimated value of the notes and the Contingent Interest Payment.
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JPMorgan Structured Investments —
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PS-
9
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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The Reference
Stock
Public
Information
All information contained herein on the Reference
Stock and on Facebook is derived from publicly available sources and is provided for informational purposes only. According to
its publicly available filings with the SEC, Facebook builds products that enable people to connect and share through mobile devices,
personal computers and other surfaces. The Class A common stock of Facebook, par value $0.000006 per share (Bloomberg ticker: FB),
is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on The
NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of Facebook in the accompanying product supplement.
Information provided to or filed with the SEC by Facebook pursuant to the Exchange Act can be located by reference to SEC file
number 001-35551, and can be accessed through www.sec.gov. We do not make any representation that these publicly available documents
are accurate or complete.
Historical Information Regarding
the Reference Stock
The following graph sets forth the historical performance
of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 6, 2012 through
March 17, 2017. The Reference Stock commenced trading on The NASDAQ Stock Market on May 18, 2012 and therefore has limited historical
performance. The closing price of one share of the Reference Stock on March 20, 2017 was $139.94. We obtained the closing prices
above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and
acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of
the Reference Stock 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 Reference Stock on the Pricing Date, any Ending Averaging Date or any Review Date, including the final
Review Date. There can be no assurance that the performance of the Reference Stock will result in the return of any of your principal
amount at maturity or the payment of any interest.
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.
JPMorgan Structured Investments —
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PS-
10
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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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.
See “Selected Risk Considerations — The Estimated Value of the Notes Does Not Represent Future Values of the Notes
and May Differ from Others’ Estimates” in this pricing supplement.
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. We or one or more of our affiliates will retain any profits realized in hedging our obligations under
the notes. 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 “Selected Risk Considerations — Secondary Market Prices of the Notes Will Be Impacted
by Many Economic and Market Factors” in this pricing 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 that 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.”
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 “What Are the Payments on the
Notes, Assuming a Range of Performances for the Reference Stock?” and “Hypothetical Examples of Amounts Payable on
the Notes” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference
Stock” 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.
JPMorgan Structured Investments —
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PS-
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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