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 23, 2017
Pricing supplement
To prospectus dated April 15, 2016,
prospectus supplement dated April 15, 2016, product supplement no. 4-I dated April 15, 2016 and
underlying supplement no. 1-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
|
$
Review Notes Linked to the S&P 500
®
Index due March 26, 2020
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
|
General
|
·
|
The
notes are designed for investors who seek early exit prior to maturity at a premium if,
(1) with respect to any Review Date (other than the final Review Date), the closing level
of the S&P 500
®
Index on that Review Date is at or above the Call
Level or, (2) with respect to the final Review Date, the Ending Index Level is at or
above the Call Level applicable to that Review Date. If the notes are not automatically
called and the Ending Index Level is less than the Initial Index Level by more than the
Buffer Amount of 10%, investors will lose some or all of their principal amount at maturity.
|
|
·
|
Investors
in the notes should be willing to accept this risk of loss and be willing to forgo interest
and dividend payments, in exchange for the opportunity to receive a premium payment if
the notes are automatically called.
|
|
·
|
The
earliest date on which an automatic call may be initiated is March 26, 2018
†
.
|
|
·
|
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.
|
Index:
|
The S&P 500
®
Index (Bloomberg
ticker: SPX)
|
Automatic Call:
|
If (1) with respect to any Review Date (other
than the final Review Date), the closing level of the Index on that Review Date is greater than or equal to the Call Level
or, (2) with respect to the final Review Date, the Ending Index Level is greater than or equal to the Call Level, the notes
will be automatically called for a cash payment per note that will be payable on the applicable Call Settlement Date and that
will vary depending on the applicable Review Date and call premium.
|
Call Level:
|
100% of the Initial Index Level for each Review
Date
|
Payment if Called:
|
For every $1,000
principal amount note, you will receive one payment of $1,000 plus a call premium amount, calculated as follows:
• at least 6.70%*
×$1,000 if automatically called on the first Review Date
• at least 13.40%*
× $1,000 if automatically called on the second Review Date
• at least 20.10%*
× $1,000 if automatically called on the final Review Date
*The actual call
premiums applicable to the first, second and final Review Dates will be provided in the pricing supplement, and will not
be less than 6.70%, 13.40% and 20.10%, respectively.
|
Payment at Maturity:
|
If the notes are
not automatically called and the Ending Index Level is less than the Initial Index Level by up to 10%, you will receive
the principal amount of your notes at maturity.
If the notes are
not automatically called and the Ending Index Level is less than the Initial Index Level by more than 10%, you will lose
1.11111% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index
Level by more than 10%. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated
as follows:
$1,000
+ [$1,000 × (Index Return + 10%) × 1.11111]
If the notes are
not automatically called and the Ending Index Level is less than the Initial Index Level by more than 10%, you will lose
some or all of your principal amount at maturity
|
Buffer Amount:
|
10%
|
Downside Leverage Factor:
|
1.11111
|
Index Return:
|
(Ending Index Level
– Initial Index Level)
Initial
Index Level
|
Initial Index Level:
|
The closing level of the Index on the Pricing
Date
|
Ending Index Level:
|
The arithmetic
average of the closing levels of the Index on the Ending Averaging Dates
|
Pricing Date:
|
On or about March 23, 2017
|
Original Issue Date:
|
On or about March
28, 2017 (Settlement Date)
|
Review Dates
†
:
|
March 26, 2018, March 25, 2019 and March 23,
2020 (final Review Date)
|
Ending Averaging Dates
†
:
|
March 17, 2020, March 18, 2020, March 19, 2020,
March 20, 2020 and the final Review Date
|
Call Settlement Date
†
:
|
March 29, 2018, March 28, 2019 and the Maturity
Date
|
Maturity Date
†
:
|
March 26, 2020
|
CUSIP:
|
46646QZ81
|
†
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, “Risk
Factors” beginning on page US-2 of the accompanying underlying supplement and “Selected Risk Considerations”
beginning on page PS-4 of this pricing supplement.
Neither the Securities and
Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the notes or passed
upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus
supplement and prospectus. Any representation to the contrary is a criminal offense.
|
Price
to Public (1)
|
Fees
and Commissions (2)
|
Proceeds
to Issuer
|
Per
note
|
$1,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
|
(1)
|
See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the notes.
|
|
(2)
|
J.P. Morgan Securities LLC, which we refer to as JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated
dealers. In no event will these selling commissions exceed $20.00 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 $972.50 per $1,000 principal amount note. The estimated value of the notes,
when the terms of the notes are set, will be provided in the pricing supplement and will not be less than $957.50 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 and the accompanying underlying
supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes
all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing
terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational
materials of ours.
You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you
invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
JPMorgan Structured Investments —
|
PS-
1
|
Review Notes Linked to the S&P 500
®
Index
|
|
What Is the Total Return on the Notes upon
an Automatic Call or at Maturity, Assuming a Range of Performances for the Index?”
The following table illustrates the hypothetical simple total
return (
i.e.
, not compounded) on the notes that could be realized with respect to the applicable Review Date for a range
of movements in the Index as shown under the columns “Index Level Appreciation/Depreciation at Review Date” and “Index
Return.” The following table assumes a hypothetical Initial Index Level of 2,350 and a hypothetical Call Level of 2,350 (equal
to 100% of the hypothetical Initial Index Level) and reflects the Buffer Amount of 10% and the Downside Leverage Factor of 1.11111.
The table assumes that the call premiums used to calculate the call premium amount applicable to the first, second and final Review
Dates are 6.70%, 13.40% and 20.10%, respectively, regardless of the appreciation of the Index, which may be significant. The actual
call premiums will be provided in the pricing supplement and will not be less than 6.70%, 13.40% and 20.10%, respectively. There
will be only one payment on the notes whether called or at maturity. An entry of “N/A” indicates that the notes would
not be called on the applicable Review Date and no payment would be made on the applicable Call Settlement Date. Each hypothetical
return set forth below is for illustrative purposes only and may not be the actual total return applicable to a purchaser of the
notes. The numbers appearing in the following table have been rounded for ease of analysis.
Review Dates Prior to the Final Review Date
|
Final Review Date
|
Closing Level of the
Index at Review Date
|
Index Level
Appreciation/
Depreciation at
Review Date
|
Total
Return at First
Call Settlement Date
|
Total
Return at
Second
Call Settlement Date
|
Ending Index Level (1)
|
Index Return
|
Total Return
at
Maturity
|
4,230.00
|
80.00%
|
6.70%
|
13.40%
|
4,230.00
|
80.00%
|
20.10%
|
3,995.00
|
70.00%
|
6.70%
|
13.40%
|
3,995.00
|
70.00%
|
20.10%
|
3,760.00
|
60.00%
|
6.70%
|
13.40%
|
3,760.00
|
60.00%
|
20.10%
|
3,525.00
|
50.00%
|
6.70%
|
13.40%
|
3,525.00
|
50.00%
|
20.10%
|
3,290.00
|
40.00%
|
6.70%
|
13.40%
|
3,290.00
|
40.00%
|
20.10%
|
3,055.00
|
30.00%
|
6.70%
|
13.40%
|
3,055.00
|
30.00%
|
20.10%
|
2,820.00
|
20.00%
|
6.70%
|
13.40%
|
2,820.00
|
20.00%
|
20.10%
|
2,585.00
|
10.00%
|
6.70%
|
13.40%
|
2,585.00
|
10.00%
|
20.10%
|
2,350.00
|
0.00%
|
6.70%
|
13.40%
|
2,350.00
|
0.00%
|
20.10%
|
2,232.50
|
-5.00%
|
N/A
|
N/A
|
2,232.50
|
-5.00%
|
0.00%
|
2,115.00
|
-10.00%
|
N/A
|
N/A
|
2,115.00
|
-10.00%
|
0.00%
|
1,880.00
|
-20.00%
|
N/A
|
N/A
|
1,880.00
|
-20.00%
|
-11.111
|
1,645.00
|
-30.00%
|
N/A
|
N/A
|
1,645.00
|
-30.00%
|
-22.22%
|
1,410.00
|
-40.00%
|
N/A
|
N/A
|
1,410.00
|
-40.00%
|
-33.33%
|
1,175.00
|
-50.00%
|
N/A
|
N/A
|
1,175.00
|
-50.00%
|
-44.44%
|
940.00
|
-60.00%
|
N/A
|
N/A
|
940.00
|
-60.00%
|
-55.56%
|
705.00
|
-70.00%
|
N/A
|
N/A
|
705.00
|
-70.00%
|
-66.67%
|
470.00
|
-80.00%
|
N/A
|
N/A
|
470.00
|
-80.00%
|
-77.78%
|
235.00
|
-90.00%
|
N/A
|
N/A
|
235.00
|
-90.00%
|
-88.89%
|
0.00
|
-100.00%
|
N/A
|
N/A
|
0.00
|
-100.00%
|
-100.00%
|
(1) The Ending Index Level is equal to the arithmetic average
of the closing levels of the Index on the Ending Averaging Dates.
Hypothetical Examples of Amount Payable upon
Automatic Call or at Maturity
The following examples illustrate how the payment upon an automatic
call or at maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases from the Initial
Index Level of 2,350 to a closing level of 2,585 on the first Review Date.
Because the closing level of the Index on the first
Review Date of 2,585 is greater than the Call Level of 2,350, the notes are automatically called, and the investor receives a single
payment of $1,067 per $1,000 principal amount note on the first Call Settlement Date.
Example 2: The level of the Index decreases from the Initial
Index Level of 2,350 to closing levels of 2,115 and 1,880 on the first and second Review Dates, respectively, and increases from
the Initial Index Level of 2,350 to an Ending Index Level of 2,585.
Because the closing level of the Index on each of the first
two Review Dates (2,115 and 1,880) is less than the Call Level of 2,350, the notes are not automatically called on these Review
Dates. However, because the Ending Index Level of 2,585 is greater than the Call Level of 2,350, the notes are automatically called
on the final Review Date, and the investor receives a single payment at maturity of $1,201 per $1,000 principal amount note.
Example 3: The level of the Index decreases from the Initial
Index Level of 2,350 to closing levels of 1,410 and 1,645 on the first and second Review Dates, respectively, and to an Ending
Index Level of 2,115.
Because (a) the closing level of the Index on each of the first two Review Dates (1,410 and 1,645) is
less than the Call Level of 2,350 and (b) the Ending Index Level of 2,115 is less than the Initial Index Level by up to the Buffer
Amount of 10%, the notes are not automatically called and the payment at maturity is the principal amount of $1,000 per $1,000
principal amount note.
JPMorgan Structured Investments —
|
PS-
2
|
Review Notes Linked to the S&P 500
®
Index
|
|
Example 4: The level of the Index decreases from the Initial
Index Level of 2,350 to closing levels of 1,880 and 1,645 on the first and second Review Dates, respectively, and to an Ending
Index Level of 1,410.
Because (a) the closing level of the Index on each of the first two Review Dates (1,880 and 1,645) is
less than the Call Level of 2,350, and (b) the Ending Index Level of 1,410 is less than the Initial Index Level by more than the
Buffer Amount of 10%, the notes are not automatically called and the investor receives a payment at maturity that is less than
the principal amount for each $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-40% + 10%) ×
1.11111] = $666.67
The hypothetical returns and hypothetical payments on the notes
shown above apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals do
not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected Purchase Considerations
|
·
|
APPRECIATION POTENTIAL
— If (1) with respect to any Review
Date (other than the final Review Date), the closing level of the Index on that Review Date is greater than or equal to the Call
Level or, (2) with respect to the final Review Date, the Ending Index Level is greater than or equal to the Call Level, your investment
will yield a payment per $1,000 principal amount note of $1,000
plus
: (i) at least 6.70%* × $1,000 if automatically
called on the first Review Date, (ii) at least 13.40%* × $1,000 if automatically called on the second Review Date; or (iii)
at least 20.10%* × $1,000 if automatically called on the final Review 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.
|
*The actual call premiums applicable
to the first, second and final Review Dates will be provided in the pricing supplement and will not be less than 6.70%, 13.40%
and 20.10%, respectively.
|
·
|
Potential Early Exit With Appreciation
As a Result of Automatic Call Feature
— While the original
term of the notes is approximately three years, the notes will be automatically called before maturity if, (1) with respect to
any Review Date (other than the final Review Date), the closing level of the Index on that Review Date is at or above the Call
Level or, (2) with respect to the final Review Date, the Ending Index Level is at or above the Call Level, and you will be entitled
to the applicable payment corresponding to the relevant Review Date as set forth on the cover of this pricing supplement. 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.
|
|
·
|
LIMITED PROTECTION AGAINST LOSS
— If the notes are not
automatically called and the Ending Index Level is less than the Initial Index Level by up to the Buffer Amount of 10%, you will
be entitled to the full repayment of your principal at maturity. Your investment will be exposed to a loss on a leveraged basis
if the Ending Index Level is less than the Initial Index Level by more than 10%. For every 1% that the Ending Index Level is less
than the Initial Index Level by more than 10%, you will lose an amount equal to 1.11111% of the principal amount of your notes.
Under these circumstances, you will lose some or all of your principal amount at maturity.
|
RETURN LINKED TO THE S&P
500
®
INDEX
— The S&P 500
®
Index consists of stocks of 500 companies selected to provide
a performance benchmark for the U.S. equity markets. For additional information about the S&P 500
®
Index, see
“Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
|
·
|
TAX TREATMENT
— You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The
following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis
Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
|
Based on current market conditions,
in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt
instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the
accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as
long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes
at the issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of
any income or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the
JPMorgan Structured Investments —
|
PS-
3
|
Review Notes Linked to the S&P 500
®
Index
|
|
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.
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 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.
Withholding under legislation commonly
referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest
paid with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including an automatic call
or redemption at maturity, of a note. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds
(other than any amount treated as interest) with respect to dispositions occurring before January 1, 2019. You should consult your
tax adviser regarding the potential application of FATCA to the notes.
Selected Risk
Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Index or any of the equity securities included in the Index. These
risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement and the accompanying
underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The
notes do not guarantee any return of principal. If the notes are not automatically called, the return on the notes at maturity
is linked to the performance of the Index and will depend on whether, and the extent to which, the Index Return is positive or
negative. If the Ending Index Level is less than the Initial Index Level by more than the Buffer Amount of 10%, for every 1% that
the Ending Index Level is less than the Initial Index Level by more than 10%, you will lose an amount equal to 1.11111% of the
principal amount of your notes. Under these circumstances, you will lose some or all of you principal amount at maturity.
|
|
·
|
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.
|
|
·
|
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.
|
|
·
|
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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JPMorgan Structured Investments —
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In addition, JPMorgan Chase & Co. is currently
one of the companies that make up the S&P 500
®
Index, but JPMorgan Chase & Co. will have no obligation
to consider your interests as a holder of the notes in taking any corporate action that might affect the value of the S&P
500
®
Index.
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·
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LIMITED RETURN ON THE NOTES
— Your potential gain on the
notes will be limited to the call premium applicable to the Review Dates, as set forth on the cover of this pricing supplement,
regardless of the appreciation in the Index, which may be significant. Because the closing level of the Index at various times
during the term of the notes could be higher than on the Review Dates, you may receive a lower payment if automatically called
or at maturity, as the case may be, than you would have if you had invested directly in the Index.
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REINVESTMENT RISK
— If your notes are automatically called
early, the term of the notes may be reduced to as short as approximately one year. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the notes at a comparable return for a similar level of risk in the event the notes
are automatically called prior to the Maturity Date.
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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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·
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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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·
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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 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.
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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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·
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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 level of the Index, including:
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·
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any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads;
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·
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customary bid-ask spreads for similarly sized trades;
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JPMorgan Structured Investments —
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our internal secondary market funding rates for structured debt issuances;
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·
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the actual and expected volatility of the Index;
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the time to maturity of the notes;
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·
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the likelihood of an automatic call being triggered;
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·
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the dividend rates on the equity securities included in the Index;
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·
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interest and yield rates in the market generally; and
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·
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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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·
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NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS
— As
a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends
or other distributions or other rights that holders of securities included in the Index would have.
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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 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 call premium
for each Review Date 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 call premium for each Review Date.
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JPMorgan Structured Investments —
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Historical Information
The following graph sets forth the historical performance of
the Index based on the weekly historical closing levels of the Index from January 6, 2012 through March 17, 2017. The closing level
of the Index on March 22, 2017 was 2,348.45.
We obtained the closing levels of the Index above and below from
the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The historical
levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing
level of the Index on the Pricing Date or any Review Date or Ending Averaging Date. There can be no assurance that the performance
of the Index will result in the return of any of your principal amount.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would
be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding value of
the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those
costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected Risk Considerations
— The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of
our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and
on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates
and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the
notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing
at that time. 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
JPMorgan Structured Investments —
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®
Index
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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 Is the Total Return on the Notes upon
an Automatic Call or at Maturity, Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amount
Payable upon an Automatic Call or at Maturity” in this pricing supplement for an illustration of the risk-return profile
of the notes and “Selected Purchase Considerations — Return Link to the S&P 500
®
Index” in
this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
JPMorgan Structured Investments —
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®
Index
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