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 June
27, 2017
|
JPMorgan Chase Financial Company LLC
|
June 2017
|
Pricing Supplement
Registration Statement Nos. 333-209682
and 333-209682-01
Dated June , 2017
Filed pursuant to Rule 424(b)(2)
Structured Investments
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due July
6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
Contingent Income Auto-Callable Securities do not guarantee
the payment of interest or the repayment of principal. Instead, the securities offer the opportunity for investors to earn a contingent
quarterly payment equal to 2.50% of the stated principal amount with respect to each determination date on which the closing price
of one ETF Share is greater than or equal to the downside threshold level, which will be at most 26.60% of the initial share price.
However, if on any determination date, the closing price of one ETF Share is less than the downside threshold level, you will not
receive any contingent quarterly payment for the related quarterly period. In addition, if the closing price of one ETF Share is
greater than or equal to the initial share price on any determination date (other than the final determination date), the securities
will be automatically redeemed for an amount per security equal to the stated principal amount
plus
the contingent quarterly
payment with respect to that determination date. If the securities have not been automatically redeemed prior to maturity, and
the final share price is greater than or equal to the downside threshold level the payment at maturity due on the securities will
be the stated principal amount and the contingent quarterly payment with respect to the final determination date. If, however,
the securities have not been automatically redeemed prior to maturity and the final share price is less than the downside threshold
level, investors will be exposed to the decline in the ETF Shares, as compared to the Initial Share Price, on a 1-to-1 basis and
will receive a cash payment at maturity that is less than the stated principal amount of the securities by more than 73.40% and
could be zero. The securities are for investors who are willing to risk their principal and seek an opportunity to earn interest
at a potentially above-market rate in exchange for the risk of receiving few or no contingent quarterly payments and also the risk
of receiving a cash payment at maturity that is significantly less than the stated principal amount of the securities and could
be zero.
Accordingly, investors could lose their entire initial investment in the securities.
Investors will not participate
in any appreciation of the ETF Shares. The securities 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., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program.
Any payment on the securities
is subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co.,
as guarantor of the securities.
|
SUMMARY
TERMS
|
|
|
Issuer:
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
|
|
Guarantor:
|
JPMorgan Chase & Co.
|
|
ETF
Shares:
|
Shares of the VanEck Vectors
TM
Gold Miners ETF (the “ETF”)
|
|
Aggregate
principal amount:
|
$
|
|
Early
redemption:
|
If, on any determination date (other than the final determination
date), the closing price of one ETF Share is
greater than or equal to
the initial share price, the securities will be automatically
redeemed for an early redemption payment on the first contingent payment date immediately following the related determination date.
No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any contingent
payment date if the closing price of one ETF Share is below the initial share price on the related determination date.
|
|
Early
redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount
plus
(ii) the contingent quarterly payment with respect to the related determination date.
|
|
Contingent
quarterly payment:
|
·
If, on any determination date, the closing price of one ETF Share is greater than or equal
to the downside threshold level, we will pay a contingent quarterly payment of $0.25 (2.50% of the stated principal amount) per
security on the related contingent payment date.
·
If, on any determination date, the closing price of one ETF share is less than the downside
threshold level, no contingent quarterly payment will be made with respect to that determination date.
It is possible that the
closing price of one ETF Share will be below the downside threshold level on most or all of the determination dates so that you
will receive few or no contingent quarterly payments.
|
|
Determination
dates:
|
September 29, 2017, December 28, 2017, March 29, 2018, June 29, 2018, September 28, 2018, December 28, 2018, March 29, 2019, June 28, 2019, September 30, 2019, December 30, 2019, March 30, 2020 and June 30, 2020, subject to postponement for non-trading days and certain market disruption events.
|
|
Contingent
payment dates:
|
October 4, 2017, January 3, 2018, April 4, 2018, July 5, 2018, October 3, 2018, January 3, 2019, April 3, 2019, July 3, 2019, October 3, 2019, January 3, 2020, April 2, 2020 and the maturity date, subject to postponement in the event of certain market disruption events and as described under “General Terms of the Notes — Postponement of Payment Date” in the accompanying product supplement
|
|
Payment
at maturity:
|
·
If the final share price is
greater than or equal to
the downside threshold level:
|
(i) the stated principal amount
plus
(ii) the contingent quarterly payment with respect to the final determination date
|
|
|
·
If the final share price is
less than
the downside threshold level:
|
(i) the stated principal amount
times
(ii) the share performance factor. This cash payment will be less than the stated principal amount of the securities by more than 26.60% and could be zero.
|
|
Downside
threshold level:
|
$ , which is equal to at most 73.40% of the initial share price. The actual downside threshold level will be provided in the pricing supplement and will not be greater than 73.40% of the initial share price.
|
|
Initial
share price:
|
The closing price of one ETF Share on the pricing date
|
|
Final
share price:
|
The closing price of one ETF Share on the final determination date
|
|
Share
adjustment factor:
|
The share adjustment factor is referenced in determining the closing price of one ETF Share and is set initially at 1.0 on the pricing date. The share adjustment factor is subject to adjustment in the event of certain events affecting the ETF Shares. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement.
|
|
Share
performance factor:
|
final share price / initial share price
|
|
Stated
principal amount:
|
$10 per security
|
|
Issue
price:
|
$10 per security (see “Commissions and issue price” below)
|
|
Pricing
date:
|
June , 2017 (expected to price on or about June 30, 2017)
|
|
Original
issue date (settlement date):
|
July , 2017 (3 business days after the pricing date)
|
|
Maturity
date:
|
July 6, 2020, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
|
CUSIP/ISIN:
|
48129G588 / US48129G5889
|
|
Listing:
|
The securities will not be listed on any securities exchange.
|
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
|
Commissions
and issue price:
|
|
Price to public
(1)
|
Fees and commissions
|
Proceeds to issuer
|
|
Per
security
|
|
$10.00
|
$0.20
(2)
|
$9.75
|
|
|
|
|
$0.05
(3)
|
|
|
Total
|
|
$
|
$
|
$
|
|
|
|
|
|
|
|
|
|
(1)
|
See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the securities.
|
|
|
(2)
|
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley
Smith Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $0.20 per
$10 stated principal amount security. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement.
|
|
|
(3)
|
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each
$10 stated principal amount security
|
If the securities priced today and assuming a contingent
quarterly payment equal to the minimum listed above, the estimated value of the securities would be approximately $9.61 per $10
stated principal amount security. The estimated value of the securities on the pricing date will be provided in the pricing supplement
and will not be less than $9.45 per $10 stated principal amount security.
See “Additional Information about the Securities
— The estimated value of the securities” in this document for additional information.
Investing in the securities involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement and “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “Risk Factors” beginning on page 7 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The securities are not bank deposits, are not insured by
the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should read this document together
with the related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed
via the hyperlinks below. Please also see “Additional Information about the Securities” at the end of this document.
Product
supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
Underlying supplement no. 1-I dated April 15,
2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
Prospectus supplement and prospectus, each dated
April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
Investment Summary
The Contingent Income Auto-Callable Securities
due July 6, 2020 Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF, which we refer to as the securities,
do not provide for the regular payment of Interest. Instead, the securities provide an opportunity for investors to earn a contingent
quarterly payment, which is an amount equal to $0.25 (2.50% of the stated principal amount) per security, with respect to each
quarterly determination date on which the closing price of one ETF Share is greater than or equal to the downside threshold level,
which will be at most 73.40% of the initial share price. The actual downside threshold level will be provided in the pricing supplement.
The contingent quarterly payment, if any, will be payable quarterly on the relevant contingent payment date immediately following
the related determination date. However, if the closing price of one ETF Share is less than the downside threshold level on any
determination date, investors will receive no contingent quarterly payment for the related quarterly period. It is possible that
the closing price of one ETF Share could be below the downside threshold level on most or all of the determination dates so that
you will receive few or no contingent quarterly payments during the term of the securities. We refer to these payments as contingent,
because there is no guarantee that you will receive a payment on any contingent payment date. Even if the closing price of one
ETF Share was at or above the downside threshold level on some quarterly determination dates, the closing price of one ETF Share
may fluctuate below the downside threshold level on others.
If the closing price of one ETF Share
is greater than or equal to the initial share price on any determination date (other than the final determination date), the securities
will be automatically redeemed for an early redemption payment equal to the stated principal amount
plus
the contingent
quarterly payment with respect to the related determination date. If the securities have not previously been redeemed and the final
share price is greater than or equal to the downside threshold level, the payment at maturity will also be the sum of the stated
principal amount and the contingent quarterly payment with respect to the final determination date. However, if the securities
have not previously been redeemed and the final share price is less than the downside threshold level, investors will be exposed
to the decline in the closing price of one ETF Share, as compared to the initial share price, on a 1-to-1 basis. Under these circumstances,
the payment at maturity will be (i) the stated principal amount
times
(ii) the share performance factor, which will be less
than the stated principal amount of the securities by more than 26.60% and could be zero. Investors in the securities must be willing
to accept the risk of losing their entire principal and also the risk of receiving few or no contingent quarterly payments over
the term of the securities. In addition, investors will not participate in any appreciation of the ETF Shares.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, the VanEck
Vectors
TM
Gold Miners ETF is a “Fund.”
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead, the securities offer investors an opportunity to earn a contingent quarterly payment equal to 2.50% of the stated principal
amount with respect to each determination date on which the closing price of the ETF Shares is greater than or equal to the downside
threshold level, which will be at most 73.40% of the initial share price. The actual downside threshold level will be provided
in the pricing supplement. The securities may be redeemed prior to maturity for the stated principal amount per security
plus
the applicable contingent quarterly payment, and the payment at maturity will vary depending on the final share price, as follows:
|
Scenario
1
|
On any determination date (other than
the final determination date), the closing price of the ETF Shares is
greater than or equal to
the initial share price.
§
The securities will be automatically redeemed for (i) the stated principal amount
plus
(ii) the contingent quarterly
payment with respect to the related determination date.
§
Investors will not participate in any appreciation of the ETF Shares from the initial share price.
|
|
Scenario
2
|
The securities are not automatically
redeemed prior to maturity, and the final share price is
greater than or equal to
the downside threshold level.
§
The payment due at maturity will be (i) the stated principal amount
plus
(ii) the contingent quarterly payment with
respect to the final determination date.
§
Investors will not participate in any appreciation of the ETF Shares from the initial share price.
|
|
Scenario
3
|
The securities are not automatically
redeemed prior to maturity, and the final share price is
less than
the downside threshold level.
§
The payment due at maturity will be (i) the stated principal amount
times
(ii) the share performance factor.
§
Investors will lose some, and may lose all, of their principal in this scenario.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the
securities depending on (1) the closing price of the ETF Shares and (2) the final share price.
Diagram #1: Determination Dates (Other
Than the Final Determination Date)
Diagram #2: Payment at Maturity if No
Automatic Early Redemption Occurs
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 5.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
Hypothetical Examples
The below examples are based on the following terms:
|
Stated principal amount:
|
$10 per security
|
|
Hypothetical initial share price:
|
$23.00
|
|
Hypothetical downside threshold level:
|
$16.882, which is 73.40% of the hypothetical initial share price
|
|
Hypothetical share adjustment factor:
|
1.0
|
|
Contingent quarterly payment:
|
$0.25 (2.50% of the stated principal amount) per security
|
In Examples 1 and 2, the closing price
of one ETF Share fluctuates over the term of the securities and the closing price of one ETF Share is greater than or equal to
the initial share price on one of the first eleven determination dates. Because the closing price of one ETF Share is greater than
or equal to the initial share price on one of the first eleven determination dates, the securities are automatically redeemed following
the relevant determination date. In Examples 3 and 4, the closing price of one ETF Share on the first eleven determination dates
is less than the initial share price, and, consequently, the securities are not automatically redeemed prior to, and remain outstanding
until, maturity.
|
|
Example 1
|
Example 2
|
|
Determination Dates
|
Hypothetical Closing Price
|
Contingent Quarterly Payment
|
Early Redemption Payment*
|
Hypothetical Closing Price
|
Contingent Quarterly Payment
|
Early Redemption Payment*
|
|
#1
|
$13.00
|
$0
|
N/A
|
$.00
|
$0.25
|
N/A
|
|
#2
|
$23.00
|
—*
|
$10.25
|
$10.00
|
$0
|
N/A
|
|
#3
|
N/A
|
N/A
|
N/A
|
$12.00
|
$0
|
N/A
|
|
#4
|
N/A
|
N/A
|
N/A
|
$9.50
|
$0
|
N/A
|
|
#5
|
N/A
|
N/A
|
N/A
|
$19.00
|
$0.25
|
N/A
|
|
#6
|
N/A
|
N/A
|
N/A
|
$20.00
|
$0.25
|
N/A
|
|
#7
|
N/A
|
N/A
|
N/A
|
$11.00
|
$0
|
N/A
|
|
#8
|
N/A
|
N/A
|
N/A
|
$21.00
|
$0.25
|
N/A
|
|
#9
|
N/A
|
N/A
|
N/A
|
$18.00
|
$0.25
|
N/A
|
|
#10
|
N/A
|
N/A
|
N/A
|
$28.75
|
—*
|
$10.25
|
|
#11
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|
Final Determination Date
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
* The early redemption payment includes the
unpaid contingent quarterly payment with respect to the determination date on which the closing price of one ETF Share is greater
than or equal to the initial share price and the securities are redeemed as a result.
|
|
§
|
In
Example 1
, the securities are automatically redeemed following the second determination date as the closing price
of one ETF Share on the second determination date is equal to the initial share price. As the closing price of one ETF Share on
the first determination date is less than the downside threshold level, no contingent quarterly payment was made with respect to
that date. Following the second determination date, you receive the early redemption payment, calculated as follows:
|
stated principal
amount + contingent quarterly payment = $10 + $0.25 = $10.25
In this example, the early redemption
feature limits the term of your investment to approximately 6 months and you may not be able to reinvest at comparable terms or
returns. If the securities are redeemed early, you will stop receiving contingent quarterly payments.
|
|
§
|
In
Example 2
, the securities are automatically
redeemed following the tenth determination date as the closing price of one ETF Share on the tenth determination date is greater
than the initial share price. As the closing price of one ETF Share on each of the first, fifth, sixth, eighth, and ninth determination
dates is greater than the downside threshold level, you receive the contingent quarterly payment of $0.25 with respect to each
of those determination dates. Following the tenth determination date, you receive an early redemption payment of $10.25, which
includes the contingent quarterly payment with respect to the tenth determination date.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
In this example, the early redemption
feature limits the term of your investment to approximately 30 months and you may not be able to reinvest at comparable terms or
returns. If the securities are redeemed early, you will stop receiving contingent quarterly payments. Further, although the ETF
Shares have appreciated by 25% from the initial share price on the tenth determination date, you only receive $10.25 per security
upon redemption and do not benefit from this appreciation. The total payments on the securities will amount to $11.50 per security.
|
|
Example 3
|
Example 4
|
|
Determination Dates
|
Hypothetical Closing Price
|
Contingent Quarterly Payment
|
Early Redemption Payment
|
Hypothetical Closing Price
|
Contingent Quarterly Payment
|
Early Redemption Payment
|
|
#1
|
$12.00
|
$0
|
N/A
|
$12.25
|
$0
|
N/A
|
|
#2
|
$11.25
|
$0
|
N/A
|
$11.00
|
$0
|
N/A
|
|
#3
|
$12.50
|
$0
|
N/A
|
$13.00
|
$0
|
N/A
|
|
#4
|
$10.75
|
$0
|
N/A
|
$10.75
|
$0
|
N/A
|
|
#5
|
$9.00
|
$0
|
N/A
|
$8.50
|
$0
|
N/A
|
|
#6
|
$11.00
|
$0
|
N/A
|
$7.75
|
$0
|
N/A
|
|
#7
|
$8.75
|
$0
|
N/A
|
$9.25
|
$0
|
N/A
|
|
#8
|
$7.00
|
$0
|
N/A
|
$9.50
|
$0
|
N/A
|
|
#9
|
$12.25
|
$0
|
N/A
|
$10.00
|
$0
|
N/A
|
|
#10
|
$13.00
|
$0
|
N/A
|
$11.50
|
$0
|
N/A
|
|
#11
|
$11.75
|
$0
|
N/A
|
$12.25
|
$0
|
N/A
|
|
Final Determination Date
|
$9.20
|
$0
|
N/A
|
$16.882
|
—*
|
N/A
|
|
Payment at Maturity
|
$4.00
|
$10.25
|
* The final contingent quarterly payment, if any,
will be paid at maturity.
Examples 3 and 4 illustrate the payment
at maturity per security based on the final share price.
|
|
§
|
In
Example 3
, the closing price of one ETF Share remains below the downside threshold level throughout the term of the
securities. As a result, you do not receive any contingent quarterly payment during the term of the securities and, at maturity,
you are fully exposed to the decline in the closing price of one ETF Share. As the final share price is less than the downside
threshold level, you receive a cash payment at maturity calculated as follows:
|
stated principal
amount × share performance factor = $10 × ($9.20 / $23.00) = $4.00
In this example, the payment you receive
at maturity is significantly less than the stated principal amount.
|
|
§
|
In
Example 4
, the closing price of one ETF Share decreases to a final share price of $16.882. Although the final share
price is less than the initial share price, because the final share price is still not less than the downside threshold level,
you receive the stated principal amount
plus
a contingent quarterly payment with respect to the final determination date.
Your payment at maturity is calculated as follows:
|
$10 + $0.25 = $10.25
In this example, although the final share
price represents a 26.60% decline from the initial share price, you receive the stated principal amount per security plus the contingent
quarterly payment, equal to a total payment of $10.25 per security at maturity.
The hypothetical returns and
hypothetical payments on the securities shown above apply
only if you hold the securities for their entire term or until
early redemption.
These hypotheticals do not reflect fees or expenses that would be associated with any sale in the
secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above
would likely be lower.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk factors
for investors in the securities. For further discussion of these and other risks, you should read the sections entitled “Risk
Factors” of the accompanying product supplement and the accompanying underlying supplement. We urge you to consult your investment,
legal, tax, accounting and other advisers in connection with your investment in the securities.
|
|
§
|
The securities do not guarantee the return of any principal and your investment in the securities may result in a loss.
The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the return of
any of the principal amount at maturity. Instead, if the securities have not been automatically redeemed prior to maturity and
if the final share price is less than the downside threshold level, you will be exposed to the decline in the closing price of
one ETF Share, as compared to the initial share price, on a 1-to-1 basis and you will receive for each security that you hold at
maturity a cash payment equal to the stated principal amount
times
the share performance factor.
In this case, your payment
at maturity will be less than the stated principal amount by more than 26.60% and could be zero
.
|
|
|
§
|
You will not receive any contingent quarterly payment for any quarterly period where the closing price of one ETF Share
on the relevant determination date is less than the downside threshold level.
The terms of the securities differ from those
of ordinary debt securities in that the securities do not guarantee the payment of regular interest. Instead, a contingent quarterly
payment will be made with respect to a quarterly period only if the closing price of one ETF Share on the relevant determination
date is greater than or equal to the downside threshold level. If the closing price of one ETF Share is below the downside threshold
level on any determination date, you will not receive a contingent quarterly payment for the relevant quarterly period.
It is possible that the closing price of one ETF Share could be below the downside threshold level on most or all of the determination
dates so that you will
receive
few or no contingent
quarterly payments. If you do not earn sufficient contingent quarterly payments over the term of the securities, the overall return
on the securities may be less than the amount that would be paid on one of our conventional debt securities of comparable maturity.
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The contingent quarterly payment is based solely on the closing prices of one ETF Share on the specified determination dates
.
Whether the contingent quarterly payment will be made with respect to a determination date will be based on the closing
price of one ETF Share on that determination date. As a result, you will not know whether you will receive the contingent quarterly
payment until the related determination date. Moreover, because the contingent quarterly payment is based solely on the closing
price on a specific determination date, if that closing price is less than the downside threshold level, you will not receive any
contingent quarterly payment with respect to that determination date, even if the closing price of one ETF Share was higher on
other days during the term of the securities.
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The securities are subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit ratings or
credit spreads may adversely affect the market value of the securities.
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan
Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined by the
market for taking that credit risk is likely to adversely affect the market value of the securities. If we and JPMorgan Chase &
Co. were to default on our payment obligations, you may not receive any amounts owed to you under the securities 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 securities. If these affiliates do not make payments to us and we fail to
make payments on the securities, 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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Investors will not participate in any appreciation in the price
of the ETF Shares.
Investors will not participate in any appreciation in the price of the
ETF Shares from the initial share price, and the return on the securities will be limited to the contingent quarterly payment that
is paid with respect to each determination date on which the closing price of one ETF Share is greater than or equal to the downside
threshold level, if any.
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Early redemption risk.
The term of your investment in the securities
may be limited to as short as approximately three months by the automatic early redemption feature of the securities. If the securities
are redeemed prior to
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JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
maturity, you will
receive no more contingent quarterly payments and you may be forced to reinvest in a lower interest rate environment and may not
be able to reinvest the proceeds from an investment in the securities at a comparable return for a similar level of risk.
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Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the securities and
other affiliates of the issuer may be different from those of investors.
We
and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent
and as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used
to determine the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value
of the securities. 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 securities.
The calculation agent will determine the initial share price, the downside threshold level and the final share price and whether
the closing price of one ETF Share on any determination date is greater than or equal to the initial share price or is below the
downside threshold level. Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence
of market disruption events, the selection of a successor to the ETF Shares or calculation of the final share price in the event
of a discontinuance of the ETF Shares and any anti-dilution adjustments, may affect the payment to you at maturity or whether the
securities are redeemed early. 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 securities and the value of the securities. It is possible that hedging or trading activities of ours
or our affiliates in connection with the securities could result in substantial returns for us or our affiliates while the value
of the securities 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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The estimated value of the securities will be lower than the original
issue price (price to public) of the securities.
The estimated value of the securities is
only an estimate determined by reference to several factors. The original issue price of the securities will exceed the estimated
value of the securities because costs associated with selling, structuring and hedging the securities are included in the original
issue price of the securities. These costs include the selling commissions, the structuring fee, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated
cost of hedging our obligations under the securities. See “Additional Information about the Securities — The estimated
value of the securities” in this document.
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The estimated value of the securities does not represent future
values of the securities and may differ from others’ estimates. The estimated value of the securities is determined by reference
to internal pricing models of our affiliates.
This estimated value of the securities is based
on market conditions and other relevant factors existing at the time of pricing 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 securities that are greater than or less than the estimated value of the securities. 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 securities 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 securities from you in secondary market transactions. See “Additional Information about
the Securities — The estimated value of the securities” in this document.
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The estimated value of the securities is derived by reference to
an internal funding rate.
The internal funding rate used in the determination of the estimated
value of the securities is based on, among other things, our and our affiliates’ view of the funding value of the securities
as well as the higher issuance, operational and ongoing liability management costs of the securities 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 securities and any secondary market prices of the securities. See “Additional
Information about the Securities — The estimated value of the securities” in this document.
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The value of the securities as published by JPMS (and which may
be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited
time period.
We generally expect that some of the costs included in the original issue price
of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount
that will decline to zero over an initial predetermined period. These costs can include selling commissions, the structuring fee,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. See “Additional Information about the Securities — Secondary market prices of
the securities” in this document for additional information relating to this initial period. Accordingly, the estimated value
of
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JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
your securities during
this initial period may be lower than the value of the securities as published by JPMS (and which may be shown on your customer
account statements).
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Secondary market prices of the securities will likely be lower than
the original issue price of the securities.
Any secondary market prices of the securities
will likely be lower than the original issue price of the securities 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 the structuring fee and (b) may exclude projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the securities. As a result, the price, if any, at which JPMS will be willing
to buy securities 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 factor for
information about additional factors that will impact any secondary market prices of the securities.
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The
securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities
to maturity. See “— Secondary trading may be limited” below.
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Secondary market prices of the securities will be impacted by many
economic and market factors.
The secondary market price of the securities 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, structuring fee, projected hedging profits, if any, estimated hedging costs and the closing price of one ETF
Share, 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 in the prices of the ETF Shares;
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the time to maturity of the securities;
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whether the closing price of one ETF Share has been, or is expected to be, less than the downside threshold level on any determination
date and whether the final share price is expected to be less than the downside threshold level;
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the likelihood of an early redemption being triggered;
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the dividend rates on the ETF Shares and the equity securities underlying the ETF Shares;
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interest and yield rates in the market generally;
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the exchange rates and the volatility of the exchange rate between the U.S. dollar and the currencies in which the non-U.S.
equity securities underlying the ETF Shares trade and the correlation among those rates and the price of one ETF Share;
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the occurrence of certain events to the ETF Shares that may or may not require an adjustment to the share adjustment factor;
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 securities, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing
to purchase your securities in the secondary market.
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Investing in the securities is not equivalent to investing in the
ETF Shares.
Investing in the securities is not equivalent to investing in the ETF Shares,
the index tracked by the ETF Shares, which we refer to as the underlying index, or the stocks underlying the ETF Shares or the
underlying index. Investors in the securities will not have voting rights or rights to receive dividends or other distributions
or any other rights with respect to the ETF Shares, the underlying index or the stocks underlying the ETF Shares or the underlying
index.
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Adjustments to the ETF Shares or the underlying index could adversely
affect the value of the securities.
Those responsible for calculating and maintaining the ETF Shares and the underlying
index can add, delete or substitute the components of the ETF Shares or the underlying index, or make other methodological changes
that could change the value of the ETF Shares or the underlying index. Any of these actions could adversely affect the price of
the ETF Shares and, consequently, the value of the securities.
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There are risks associated with the ETF Shares
. Although the ETF Shares are listed for trading on NYSE Arca, Inc. and
a number of similar products have been traded on various national securities exchanges for varying periods
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JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
of time, there is no assurance that an active trading
market will continue for the ETF Shares or that there will be liquidity in the trading market. The ETF Shares are subject to management
risk, which is the risk that the investment strategy of the investment adviser to the ETF Shares, the implementation of which is
subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price
of the ETF Shares and, consequently, the value of the securities.
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The performance and market value of the ETF Shares, particularly
during periods of market volatility, may not correlate with the performance of the underlying index as well as the net asset value
per ETF Share.
The ETF does not fully replicate the underlying index and may hold securities different from those included
in the underlying index. In addition, the performance of the ETF Shares will reflect additional transaction costs and fees that
are not included in the calculation of the underlying index. All of these factors may lead to a lack of correlation between the
performance of the ETF Shares and the underlying index. In addition, corporate actions with respect to the equity securities underlying
the ETF (such as mergers and spin-offs) may impact the variance between the performances of the ETF Shares and the underlying index.
Finally, because the ETF Shares are traded on a securities exchange and are subject to market supply and investor demand, the market
value of one ETF Share may differ from the net asset value per ETF Share.
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During periods of market volatility,
securities underlying the ETF may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per ETF Share and the liquidity of the ETF Shares may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem ETF Shares. Further, market volatility may adversely affect,
sometimes materially, the prices at which market participants are willing to buy and sell ETF Shares. As a result, under these
circumstances, the market value of ETF Shares may vary substantially from the net asset value per ETF Share. For all of the foregoing
reasons, the performance of the ETF Shares may not correlate with the performance of the underlying index as well as its net asset
value per ETF Share, which could materially and adversely affect the value of the securities in the secondary market and/or reduce
any payment on the securities.
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Risks associated with the gold and silver mining industries.
All or substantially all of the equity securities underlying
the ETF Shares are issued by companies whose primary line of business is directly associated with the gold and/or silver mining
industries. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single
economic, political or regulatory occurrence affecting these industries than a different investment linked to securities of a more
broadly diversified group of issuers. Investments related to gold and silver are considered speculative and are affected by a variety
of factors. Competitive pressures may have a significant effect on the financial condition of gold mining and silver mining companies.
Also, gold and silver mining companies are highly dependent on the price of gold bullion and silver bullion, respectively, but
may also be adversely affected by a variety of worldwide economic, financial and political factors. Therefore, the securities of
companies involved in the gold or silver mining industry may under- or over-perform commodities themselves over the short term
or long term. Gold bullion and silver bullion prices may fluctuate substantially over short periods of time, even during periods
of rising prices, so the price of one ETF Share may be more volatile than other types of investments. A drop in the price of gold
and/or silver bullion would particularly adversely affect the profitability of small- and medium-capitalization mining companies
and their ability to secure financing. Furthermore, companies that are only in the exploration stage are typically unable to adopt
specific strategies for controlling the impact of the price of gold or silver. The price of gold has decreased in recent years
and may continue to fluctuate. These prices may fluctuate substantially over short periods of time so the price of one ETF Share
may be more volatile than other types of investments. Fluctuation in the prices of gold and silver may be due to a number of factors,
including the changes in inflation and changes in industrial and commercial demand for metals. Additionally, increased environmental
or labor costs may depress the value of metal investments. In times of significant inflation or great economic uncertainty, gold,
silver and other precious metals may outperform traditional investments such as bonds and stocks. However, in times of stable economic
growth, traditional equity and debt investments could offer greater appreciation potential and the value of gold, silver and other
precious metals may be adversely affected, which could in turn affect the ETF Shares’ returns. A significant portion of the
world’s gold reserves are held by governments, central banks and related institutions. The production, purchase and sale
of precious metals by governments or central banks or other larger holders can be negatively affected by various economic, financial,
social and political factors, which may be unpredictable and may have a significant adverse impact on the supply and prices of
precious metals. Additionally, the United States or foreign governments may pass laws or regulations limiting metal investments
for strategic or other policy reasons. The principal supplies of metal industries also may be concentrated in a small number of
countries and regions. Economic, social and political conditions in those countries that are the
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JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
largest producers of gold and silver may have a direct
negative effect on the production and marketing of gold and silver and on sales of central bank gold holdings. Some gold, silver
and precious metals mining operation companies may hedge their exposure to declines in gold, silver and precious metals prices
by selling forward future production, which may result in lower returns during periods when the prices of gold, silver and precious
metals increase. The gold, silver and precious metals industries can be significantly adversely affected by events relating to
international political developments, the success of exploration projects, commodity prices, tax and government regulations and
intervention (including government restrictions on private ownership of gold and mining land), changes in inflation or expectations
regarding inflation in various countries and investment speculation. If a natural disaster or other event with a significant economic
impact occurs in a region where the companies in which the ETF invests operate, that disaster or event could negatively affect
the profitability of these companies and, in turn, the ETF’s investment in them. Gold and silver mining companies may also
be significantly adversely affected by import controls, worldwide competition, environmental hazards, liability for environmental
damage, depletion of resources, industrial accidents, underground fires, seismic activity, labor disputes, unexpected geological
formations, availability of appropriately skilled persons, unanticipated ground and water conditions and mandated expenditures
for safety and pollution control devices. These factors could affect the oil and gas exploration and production industry and could
affect the value of the equity securities underlying the ETF Shares and the price of one ETF Share during the term of the notes,
which may adversely affect the value of your securities.
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The securities are subject to risks associated with securities issued by non-U.S.
companies.
A portion of the equity securities underlying the ETF Shares have been issued by non-U.S. companies. Investments
in securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the
home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental
intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly
available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the
reporting requirements of the SEC.
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The securities are subject to currency exchange risk.
Because the prices of the non-U.S. equity securities underlying
the ETF Shares are converted into U.S. dollars for purposes of calculating the net asset value of the ETF Shares, holders of the
securities will be exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S. equity securities
underlying the ETF Shares trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against
the U.S. dollar and the relative weight of the equity securities underlying the ETF Shares denominated in each of those currencies.
If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the ETF Shares
will be adversely affected and the payment at maturity, if any, may be reduced. Of particular importance to potential currency
exchange risk are:
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existing and expected rates of inflation;
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existing and expected interest rate levels;
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the balance of payments in the countries issuing those
currencies and the United States and between each country and its major trading partners;
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political, civil or military unrest in the countries
issuing those currencies and the United States; and
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the extent of government surpluses or deficits in the
countries issuing those currencies and the United States.
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All of these factors are in turn
sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies and the
United States and other countries important to international trade and finance.
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Owning the
securities
is not the same as owning the ETF Shares.
Owning the
securities
is not the same as owning
the ETF Shares. Accordingly, changes in the closing price of one ETF Share may not result in a comparable change of the market
value of the
securities
. If the closing price
of one ETF Share on any trading day increases above the initial share price, the value of the securities may not increase comparably,
if at all. It is possible for the closing price of the ETF Shares to increase moderately while the value of the
securities
declines.
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The anti-dilution protection for the ETF Shares is limited.
The calculation agent will make adjustments to the share adjustment factor for certain events affecting the ETF Shares. However,
the calculation agent will not make an adjustment in response to all events that could affect the ETF Shares. If an event occurs
that does not require the calculation agent to make an adjustment, the value of the securities may be materially and adversely
affected.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
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Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the
securities
.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the
securities
on
or prior to the pricing date and prior to maturity could adversely affect the value of the ETF Shares. Any of these hedging or
trading activities
on or prior to the pricing date could potentially affect the initial share price and, as a result, the
downside threshold level, which is the price at or above which the ETF Shares must close on each determination date in order for
you to earn a contingent quarterly payment or, if the securities are not redeemed prior to maturity, in order for you to avoid
being exposed to the negative price performance of the ETF Shares at maturity. Additionally, these hedging or trading activities
during the term of the securities could potentially affect the price of the ETF Shares on the determination dates and, accordingly,
whether investors will receive one or more contingent quarterly payments, whether the securities are automatically redeemed prior
to maturity and, if the securities are not redeemed prior to maturity, the payment to you at maturity. It is possible that these
hedging or trading activities could result in substantial returns for us or our affiliates while the value of the securities declines.
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Secondary trading may be limited.
Th
e securities will not be listed on a securities exchange. There may be little or no secondary market for the securities.
Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily
.
JPMS
may act as a market maker for the securities, but is not required to do so. Because we do not expect that other market
makers will participate significantly in the secondary market for the securities, the price at which you may be able to trade your
securities is likely to depend on the price, if any, at which
JPMS
is willing to buy the securities. If at any time
JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the securities.
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The final terms and valuation of the securities will be provided in the pricing supplement.
The final terms of the securities
will be provided in the pricing supplement. In particular, the estimated value of the securities will be provided in the pricing
supplement and may be as low as the minimum for the estimated value of the securities set forth on the cover of this document.
In addition, the downside threshold level will be provided in the pricing supplement and may be as high as the maximum for the
downside threshold level set forth on the cover of this pricing supplement. Accordingly, you should consider your potential investment
in the securities based on the minimum for the estimated value of the securities and the maximum for the downside threshold level.
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The U.S. federal income tax consequences of an investment in the securities are uncertain.
There is no direct legal
authority as to the proper U.S. federal income tax treatment of the securities, and we do not intend to request a ruling from the
IRS. The IRS might not accept, and a court might not uphold, the treatment of the securities as prepaid forward contracts with
associated contingent coupons, as described in “Additional Information about the Securities — Additional Provisions
— Tax considerations” in this document and in “Material U.S. Federal Income Tax Consequences” in the accompanying
product supplement. If the IRS were successful in asserting an alternative treatment for the securities, the timing and character
of any income or loss on the securities could be materially affected. Although the U.S. federal income tax treatment of contingent
quarterly payments (including any contingent quarterly payments paid in connection with an early redemption or at maturity) is
uncertain, in determining our reporting responsibilities we intend (in the absence of an administrative determination or judicial
ruling to the contrary) to treat any contingent quarterly payments as ordinary income. 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 securities,
possibly with retroactive effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the securities, including possible alternative treatments and the issues presented by this notice.
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Non-U.S. Holders — Tax Consideration.
The U.S. federal income tax treatment of contingent quarterly payments is uncertain, and although we believe it is reasonable
to take a position that contingent quarterly 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 securities 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). In the event of any withholding, we will not be required to pay any additional amounts with
respect to amounts so withheld. 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 securities in light of your particular circumstances.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
VanEck Vectors
TM
Gold Miners ETF Overview
The VanEck Vectors
TM
Gold Miners ETF is an exchange-traded
fund of the VanEck Vectors
TM
ETF Trust, a registered investment company that seeks to replicate as closely as possible,
before fees and expenses, the price and yield performance of the NYSE Arca Gold Miners Index. Effective May 1, 2016, the name of
the VanEck Vectors
TM
ETF Trust was changed from “Market Vectors ETF Trust” to its current name, and the
name of the VanEck Vectors
TM
Gold Miners ETF was changed from “Market Vectors Gold Miners ETF” to its current
name. Information provided to or filed with the SEC by the Market Vectors ETF pursuant to the Securities Act of 1933 and the Investment
Company Act of 1940 can be located by reference to the SEC file numbers 333-123257 and 811-10325, respectively, through the SEC’s
website at http://www.sec.gov. In addition, information regarding the VanEck Vectors
TM
Gold Miners ETF may be obtained
from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
For additional information about the VanEck Vectors
TM
Gold Miners ETF, see “Fund Descriptions — The Market
Vectors Gold Miners ETF” in the accompanying underlying supplement.
Information as of market close on June 26, 2017:
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Bloomberg
Ticker Symbol:
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GDX
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52
Week High (on 8/2/2016):
|
$31.32
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|
Current
Closing Price:
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$22.56
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52
Week Low (on 12/15/2016):
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$18.99
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52
Weeks Ago (on 6/27/2016):
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$27.06
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|
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The table below sets forth the published high and low closing
prices, as well as end-of-quarter closing prices, of the ETF Shares for each quarter in the period from January 1, 2012 through
June 26, 2017. The closing price of one ETF Share on June 26, 2017 was $22.56. The associated graph shows the closing prices of
one ETF Share for each day in the same period. We obtained the closing price information above and in the table and graph 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.
The historical closing prices of the ETF Shares should not
be taken as an indication of future performance, and no assurance can be given as to the closing price of one ETF Share at any
time, including on the determination dates.
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The
VanEck Vectors
TM
Gold Miners ETF
|
High
|
Low
|
Period
End
|
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2012
|
|
|
|
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First Quarter
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$57.47
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$48.75
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$49.57
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Second Quarter
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$50.37
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$39.34
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$44.77
|
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Third Quarter
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$54.81
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$40.70
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$53.71
|
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Fourth Quarter
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$54.25
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$44.85
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$46.39
|
|
2013
|
|
|
|
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First Quarter
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$47.09
|
$35.91
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$37.85
|
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Second Quarter
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$37.45
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$22.22
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$24.41
|
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Third Quarter
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$30.43
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$22.90
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$25.06
|
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Fourth Quarter
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$26.52
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$20.39
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$21.12
|
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2014
|
|
|
|
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First Quarter
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$27.73
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$21.27
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$23.60
|
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Second Quarter
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$26.45
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$22.04
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$26.45
|
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Third Quarter
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$27.46
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$21.35
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$21.35
|
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Fourth Quarter
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$21.94
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$16.59
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$18.38
|
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2015
|
|
|
|
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First Quarter
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$22.94
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$17.67
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$18.24
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Second Quarter
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$20.82
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$17.76
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$17.76
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Third Quarter
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$17.85
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$13.04
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$13.74
|
|
Fourth Quarter
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$16.90
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$13.08
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$13.72
|
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2016
|
|
|
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
|
The
VanEck Vectors
TM
Gold Miners ETF
|
High
|
Low
|
Period
End
|
|
First Quarter
|
$20.86
|
$12.47
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$19.97
|
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Second Quarter
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$27.71
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$19.53
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$27.71
|
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Third Quarter
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$31.32
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$25.49
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$26.43
|
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Fourth Quarter
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$25.96
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$18.99
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$20.92
|
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2017
|
|
|
|
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First Quarter
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$25.57
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$21.14
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$22.81
|
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Second Quarter (through June 26, 2017)
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$24.57
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$21.10
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$22.56
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The VanEck Vectors
TM
Gold Miners ETF – Daily Closing Prices*
January 2, 2012 to June 26, 2017
|
|
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*
The dotted line in the graph indicates the
hypothetical downside threshold level, equal to 73.40% of the closing price on June 26, 2017. The actual downside threshold
level will be based on the closing price on the pricing date and will be at most 73.40% of the initial share price.
|
This document relates only to the securities offered hereby
and does not relate to the ETF Shares. We have derived all disclosures contained in this document regarding the VanEck Vectors
TM
Gold Miners ETF from the publicly available documents described in the first paragraph under this “VanEck Vectors
TM
Gold Miners ETF Overview” section, without independent verification. In connection with the offering of the securities, neither
we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to the VanEck
Vectors
TM
Gold Miners ETF. Neither we nor the agent makes any representation that such publicly available documents
or any other publicly available information regarding the VanEck Vectors
TM
Gold Miners ETF is accurate or complete.
Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect
the accuracy or completeness of the publicly available documents described in the first paragraph under this “VanEck Vectors
TM
Gold Miners ETF Overview” section) that would affect the trading price of the ETF Shares (and therefore the price of the
ETF Shares at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure
of or failure to disclose material future events concerning the VanEck Vectors
TM
Gold Miners ETF could affect the value
received at maturity with respect to the securities and therefore the trading prices of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the ETF Shares.
The NYSE Arca Gold Miners Index.
The NYSE Arca Gold
Miners Index is a modified market capitalization weighted index composed of publicly traded companies involved primarily in the
mining of gold or silver. For additional information about the NYSE Arca Gold Miners Index, see the information set forth under
“Fund Descriptions — The Market Vectors Gold Miners ETF” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the summary
terms on the front cover of this document.
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Additional
Provisions
|
|
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Record
date:
|
The record date for each contingent payment date is the date one business day prior to that contingent payment date.
|
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Postponement
of maturity date:
|
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled final determination date is not a trading day or if a market disruption event occurs on that day so that the final determination date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the third business day following that final determination date as postponed.
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Minimum
ticketing size:
|
$1,000/100 securities
|
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Trustee:
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Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
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Calculation
agent:
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JPMS
|
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The
estimated value of the securities:
|
The estimated value of the securities set forth on
the cover of this document 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 securities, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum
price at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding
rate used in the determination of the estimated value of the securities is based on, among other things, our and our affiliates’
view of the funding value of the securities as well as the higher issuance, operational and ongoing liability management costs
of the securities in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional
information, see “Risk Factors — The estimated value of the securities is derived by reference to an internal funding
rate” in this document. The value of the derivative or derivatives underlying the economic terms of the securities 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 securities on the pricing date is based on market conditions and other relevant factors and assumptions
existing at that time. See “Risk Factors — The estimated value of the securities does not represent future values of
the securities and may differ from others’ estimates” in this document.
The estimated value of the securities will be lower than
the original issue price of the securities because costs associated with selling, structuring and hedging the securities are included
in the original issue price of the securities. These costs include the selling commissions paid to JPMS and other affiliated or
unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities.
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 securities. See “Risk Factors — The estimated value of the securities
will be lower than the original issue price (price to public) of the securities” in this document.
|
|
Secondary
market prices of the securities:
|
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Secondary market prices of the securities will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities 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 securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.”
|
|
Tax
considerations:
|
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-1-I. In determining our reporting responsibilities we intend to treat (i) the securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any contingent quarterly payments as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
|
|
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 securities
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 securities, possibly with retroactive effect. You should consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative
treatments and the issues presented by this notice.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of contingent quarterly payments is uncertain, and although we believe it is reasonable
to take a position that contingent quarterly 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 securities 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 securities 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 purposes (each an “Underlying Security”). Based on certain determinations made by us, we expect that Section
871(m) will not apply to the securities 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 securities. You should consult your
tax adviser regarding the potential application of Section 871(m) to the securities.
FATCA.
Withholding under legislation commonly
referred to as “FATCA” could apply to payments with respect to the securities 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 securities are recharacterized, in whole or in part, as debt instruments, or contingent quarterly payments if they are otherwise
treated as FDAP Income). If the securities are recharacterized, in whole or in part, as debt instruments, withholding could
also apply to payments of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity. However,
under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as FDAP Income)
with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential
application of FATCA to the securities.
In the event of any withholding on the securities,
we will not be required to pay any additional amounts with respect to amounts so withheld.
|
|
Supplemental use of proceeds and hedging:
|
The securities are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the securities. See “How the Securities
Work” in this document for an illustration of the risk-return profile of the securities and “VanEck Vectors
TM
Gold Miners ETF Overview” in this document for a description of the market exposure provided by the securities.
The original issue price of the securities is equal
to the estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers
and the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities.
|
|
Benefit plan investor considerations:
|
See “Benefit Plan Investor Considerations” in the accompanying product supplement.
|
|
Supplemental plan of
|
Subject to regulatory constraints, JPMS intends to
use its reasonable efforts to offer to purchase the
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 6, 2020
Based on the Performance of the VanEck Vectors
TM
Gold Miners ETF
Principal at Risk Securities
|
distribution:
|
securities in the secondary market, but is not required to do so. JPMS, acting as agent
for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition,
Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each security.
We or our affiliate may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the securities
and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
See “— Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying
product supplement.
|
|
Contact:
|
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326).
|
|
Where you can find more information:
|
You may revoke your offer to purchase the securities 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 securities prior to their issuance. In the event of any changes to the terms of the securities,
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 document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these
securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This document, together with the documents listed below, contains
the terms of the securities 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,
stand-alone 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 securities 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 securities.
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):
• Product supplement no. MS-1-I dated June
3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
• Underlying supplement no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
• Prospectus supplement and prospectus, each dated
April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Financial.
|
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