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.
Neither the Securities and Exchange Commission (the
“SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or
the adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
Pricing supplement to product supplement no. 3-I
dated April 15, 2016 and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms Relating to the Reference Stocks
Reference Stock
|
Ticker Symbol
|
Stock Weighting
|
Initial Value*
|
Common stock of AbbVie Inc., par value $0.01 per share
|
ABBV
|
1/9
|
$
|
Ordinary shares of Alibaba Group Holding Ltd., par value $0.000025 per share (American Depository Shares, each representing one ordinary share)
|
BABA
|
1/9
|
$
|
Common stock of Altria Group, Inc., par value $0.33 1/3 per share
|
MO
|
1/9
|
$
|
Common stock of American Water Works Company, Inc., par value $0.01 per share
|
AWK
|
1/9
|
$
|
Common stock of Baxter International Inc., par value $1.00 per share
|
BAX
|
1/9
|
$
|
Class A Common stock of Facebook Inc., par value $0.000006 per share
|
FB
|
1/9
|
$
|
Common stock of Lincoln National Corporation, no par value
|
LNC
|
1/9
|
$
|
Common stock of OneMain Holdings, Inc., par value $0.01 per share
|
OMF
|
1/9
|
$
|
Common shares of XL Group Ltd, par value $0.01 per share
|
XL
|
1/9
|
$
|
* To be provided in the pricing supplement
|
|
|
|
Hypothetical
Payout Profile
The following examples illustrate the hypothetical
Coupon Rate and Coupon Payment for a Coupon Payment Date. The hypothetical Coupon Rates and Coupon Payments set forth below assume
a Coupon Cap of 7.00% per annum (3.50% with respect to each semi-annual Coupon Payment Date), the Minimum Coupon Rate of 0.50%
per annum (0.25% with respect to each semi-annual Coupon Payment Date) and the Stock Return Floor of -20%. The actual Coupon Cap
and Minimum Coupon Rate will be provided in the pricing supplement. Each hypothetical Coupon Rate and Coupon Payments set forth
below is for illustrative purposes only and may not be the actual Coupon Rate or Coupon Payments applicable to a purchaser of the
notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
Example 1
Reference Stock
|
Stock Return
|
Stock Performance
|
Stock Performance
× Stock Weighting
|
Stock 1
|
0.10%
|
3.50%
|
0.39%
|
Stock 2
|
0.05%
|
3.50%
|
0.39%
|
Stock 3
|
0.50%
|
3.50%
|
0.39%
|
Stock 4
|
1.00%
|
3.50%
|
0.39%
|
Stock 5
|
2.00%
|
3.50%
|
0.39%
|
Stock 6
|
-10.00%
|
-10.00%
|
-1.11%
|
Stock 7
|
2.50%
|
3.50%
|
0.39%
|
Stock 8
|
-8.00%
|
-8.00%
|
-0.89%
|
Stock 9
|
5.00%
|
3.50%
|
0.39%
|
|
|
Total:
|
0.72%
|
|
|
Coupon Rate:
|
0.72%
|
As illustrated by the immediately preceding table,
even when most of the Reference Stocks only have modest positive Stock Returns, negative Stock Returns for the other Reference
Stocks may reduce the Coupon Rate and the Coupon Payment on the applicable Coupon Payment Date.
PS-
3
| Structured Investments
Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
|
|
Example 2
Reference Stock
|
Stock Return
|
Stock Performance
|
Stock Performance
× Stock Weighting
|
Stock 1
|
15.00%
|
3.50%
|
0.39%
|
Stock 2
|
15.00%
|
3.50%
|
0.39%
|
Stock 3
|
20.00%
|
3.50%
|
0.39%
|
Stock 4
|
50.00%
|
3.50%
|
0.39%
|
Stock 5
|
30.00%
|
3.50%
|
0.39%
|
Stock 6
|
30.00%
|
3.50%
|
0.39%
|
Stock 7
|
35.00%
|
3.50%
|
0.39%
|
Stock 8
|
25.00%
|
3.50%
|
0.39%
|
Stock 9
|
45.00%
|
3.50%
|
0.39%
|
|
|
Total:
|
3.50%
|
|
|
Coupon Rate:
|
3.50%
|
As illustrated by the immediately preceding table,
even when all of the Reference Stocks have significant positive Stock Returns, the Coupon Payment on the applicable Coupon Payment
Date is limited by the Coupon Cap.
Example 3
Reference Stock
|
Stock Return
|
Stock Performance
|
Stock Performance
x Stock Weighting
|
Stock 1
|
5.00%
|
3.50%
|
0.39%
|
Stock 2
|
12.00%
|
3.50%
|
0.39%
|
Stock 3
|
-10.00%
|
-10.00%
|
-1.11%
|
Stock 4
|
50.00%
|
3.50%
|
0.39%
|
Stock 5
|
12.00%
|
3.50%
|
0.39%
|
Stock 6
|
0.00%
|
3.50%
|
0.39%
|
Stock 7
|
-25.00%
|
-20.00%
|
-2.22%
|
Stock 8
|
1.00%
|
3.50%
|
0.39%
|
Stock 9
|
-12.00%
|
-12.00%
|
-1.33%
|
|
|
Total:
|
-2.33%
|
|
|
Coupon Rate:
|
0.25%
|
As illustrated by the immediately preceding table,
even if the negative Stock Returns offset any positive Stock Performance, the investor will receive the minimum Coupon Payment
of $2.50 per $1,000 note on the applicable Coupon Payment Date.
The hypothetical returns and hypothetical payments
on the notes shown above
apply only if you hold the notes for their entire term
. These hypotheticals do not reflect 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.
PS-
4
| Structured Investments
Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
|
|
Selected
Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” section of the accompanying product supplement.
|
●
|
YOU MAY NOT RECEIVE COUPON PAYMENTS ON YOUR NOTES IN EXCESS OF A MINIMUM COUPON RATE OF AT LEAST 0.25% ON EACH SEMI-ANNUAL
COUPON PAYMENT DATE —
If the minimum Coupon Rate applies for each of the applicable Coupon Payment Dates, over the term of the notes you will receive
a minimum of at least $30.00 per $1,000 note. Therefore, the return on your investment in the notes may be less than the amount
that would be paid on a conventional debt security having a similar maturity issued by us or an issuer with a comparable credit
rating. The Coupon Payments paid over the term of the notes may not compensate you for any loss in value due to inflation and other
factors relating to the value of money over time.
|
|
●
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED BY THE COUPON CAP OF 3.50% FOR EACH COUPON DATE.
Accordingly, your return on each Coupon Payment Date will be limited, regardless of the actual appreciation of the closing prices
of the Reference Stocks, which may be significant.
|
|
●
|
CORRELATION (OR LACK OF CORRELATION) OF THE REFERENCE STOCKS
—
In calculating the Coupon Rate for any Coupon Payment Date, any positive contribution from a Reference Stock with a positive Stock
Return may be moderated, or more than offset, by declines in the closing prices of the other Reference Stocks. In addition, a positive
contribution by a Reference Stock is limited to the Coupon Cap and a negative contribution by a Reference Stock is limited to the
Stock Return Floor, which may have a disproportionate impact on the Coupon Rate. In addition, high correlation of movements in
the prices of the Reference Stocks during periods of negative returns between the Reference Stocks could have an adverse effect
on the return on the notes.
|
|
●
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or
potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for
taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default
on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
|
|
●
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate
to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are
dependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to
us and we fail to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase &
Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase &
Co.
|
|
●
|
POTENTIAL CONFLICTS
—
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that
hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us
or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement.
|
|
●
|
YOU WILL NOT RECEIVE DIVIDENDS ON ANY REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO ANY REFERENCE STOCK.
|
|
●
|
NO AFFILIATION WITH ANY REFERENCE STOCK ISSUER —
We have not independently verified any of the information about any Reference Stock issuer contained in this pricing supplement.
You should undertake your own investigation into each Reference Stock and its issuer. We are not responsible for any Reference
Stock issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
|
|
●
|
THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCKS IS LIMITED AND MAY BE DISCRETIONARY —
The calculation agent will not make an adjustment in response to all events that could affect a Reference Stock. The calculation
agent may make adjustments in response to events that are not described in the accompanying product supplement to account for any
diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a
holder of the notes in making these determinations.
|
|
●
|
LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
|
PS-
5
| Structured Investments
Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
|
|
|
●
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
You should consider your potential investment in the notes based on the minimums for JPMS’s estimated value, the Coupon Cap
and the Minimum Coupon Rate.
|
|
●
|
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.
|
|
●
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
See “The Estimated Value of the Notes” in this pricing supplement.
|
|
●
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes is based on, among other things, our and
our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The
use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and
any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
●
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you
in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial
period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published
by JPMS (and which may be shown on your customer account statements).
|
|
●
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also,
because secondary market prices (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 the notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price.
Any sale by you prior to the Maturity Date could result in a substantial loss to you.
|
|
●
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs
and the levels of the Indices. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price
for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes
will be impacted by many economic and market factors” in the accompanying product supplement.
|
|
●
|
TAX DISCLOSURE
—
The information under “Taxed as Variable Rate Debt Instruments” in this preliminary pricing supplement remains subject
to confirmation by our tax counsel. We will notify you of any revisions to the information under “Taxed as Variable Rate
Debt Instruments” in the final pricing supplement, or if the information cannot be confirmed by our tax counsel, we may terminate
this offering of notes.
|
PS-
6
| Structured Investments
Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
|
|
The
Reference Stock
Public Information
All information contained herein on the Reference
Stocks and on the Reference Stock issuers is derived from publicly available sources, without independent verification. Each Reference
Stock is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed
on the exchange provided in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in
the accompanying product supplement. Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the
Exchange Act can be located by reference to the SEC file number provided in the table below, and can be accessed through
www.sec.gov
.
We do not make any representation that these publicly available documents are accurate or complete. We obtained the closing prices
below from the Bloomberg Professional
®
service (“Bloomberg”) without independent verification.
Reference Stock
|
Ticker Symbol
|
Relevant Exchange
|
SEC File Number
|
Closing Price on September 21, 2017
|
Common stock of AbbVie Inc., par value $0.01 per share
|
ABBV
|
New York Stock Exchange (“NYSE”)
|
001-35565
|
$87.41
|
Ordinary shares of Alibaba Group Holding Ltd., par value $0.000025 per share (American Depository Shares, each representing one ordinary share)
|
BABA
|
NYSE
|
001-36614
|
$177.39
|
Common stock of Altria Group, Inc., par value $0.33 1/3 per share
|
MO
|
NYSE
|
001-08940
|
$61.50
|
Common stock of American Water Works Company, Inc., par value $0.01 per share
|
AWK
|
NYSE
|
001-34028
|
$81.79
|
Common stock of Baxter International Inc., par value $1.00 per share
|
BAX
|
NYSE
|
001-04448
|
$63.38
|
Class A Common stock of Facebook Inc., par value $0.000006 per share
|
FB
|
NASDAQ Stock Market LLC
(NASDAQ)
|
001-35551
|
$171.11
|
Common stock of Lincoln National Corporation, no par value
|
LNC
|
NYSE
|
001-06028
|
$72.33
|
Common stock of OneMain Holdings, Inc., par value $0.01 per share
|
OMF
|
NYSE
|
001-36129
|
$27.73
|
Common shares of XL Group Ltd, par value $0.01 per share
|
XL
|
NYSE
|
001-10804
|
$39.64
|
According to publicly available filings of the
relevant Reference Stock issuer with the SEC:
|
●
|
AbbVie Inc. discovers, develops, manufactures, and sells pharmaceutical products worldwide.
|
|
●
|
Alibaba Group Holding Ltd. provides e-commerce services to businesses and individuals.
|
|
●
|
Altria Group, Inc. is a holding company that manufactures and sells tobacco products through its subsidiaries.
|
|
●
|
American Water Works Company, Inc. provides drinking water and wastewater treatment services.
|
|
●
|
Baxter International Inc. manufactures and sells hospital and renal care products.
|
|
●
|
Facebook Inc. is a company that operates social media websites.
|
|
●
|
Lincoln National Corporation operates insurance and retirement businesses.
|
|
●
|
OneMain Holdings, Inc. is a consumer financial services company.
|
|
●
|
XL Group Ltd. is an insurance and reinsurance company.
|
PS-
7
| Structured Investments
Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
|
|
Historical Information
Except as noted below, the following graphs set
forth the historical performances of the Reference Stocks based on the weekly historical closing prices of one share of each Reference
Stock from January 6, 2012 through September 15, 2017. The graph for AbbVie Inc. sets forth the historical performances of the
common stock of AbbVie Inc. based on the weekly historical closing prices of one share of that Reference Stock from December 14,
2012 through September 15, 2017. The graph for Alibaba Group Holding Ltd. sets forth the historical performances of the ordinary
shares of Alibaba Group Holding Ltd. based on the weekly historical closing prices of one share of that Reference Stock from September
19, 2014 through September 15, 2017. The graph for Facebook, Inc. sets forth the historical performances of the Class A common
stock of Facebook, Inc. based on the weekly historical closing prices of one share of that Reference Stock from May 18, 2012 through
September 15, 2017. The graph for OneMain Holdings sets forth the historical performances of the common stock of OneMain Holdings
based on the weekly historical closing prices of one share of that Reference Stock from October 18, 2013 through September 15,
2017. We obtained the closing prices above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The closing prices below may have been adjusted by Bloomberg for corporate actions, such as stock
splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of
any Reference Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing
price of one share of any Reference Stock on the Pricing Date or any Coupon Determination Date. We cannot give you assurance that
the performance of the Index will result in any Coupon Payment above the Minimum Coupon Rate.
PS-
8
| Structured Investments
Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
|
|
PS-
9
| Structured Investments
Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
|
|
PS-
10
| Structured Investments
Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
|
|
PS-
11
| Structured Investments
Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
|
|
Treated
as Variable Rate Debt Instruments
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 3-I. You and we agree to
treat the notes as “variable rate debt instruments” for U.S. federal income tax purposes. Assuming this characterization
is respected, interest paid on the notes should generally be taxable to you as ordinary interest income at the time it accrues
or is received in accordance with your regular method of accounting for U.S. federal income tax purposes. In general, gain or loss
realized on the sale, exchange or other disposition of the notes will be capital gain or loss. 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 your particular circumstances.
Non-U.S. Holders – Additional Tax Consideration
Non-U.S. Holders should note that final Treasury
regulations were released on legislation that imposes a withholding tax of 30% on payments to certain foreign entities unless information
reporting and diligence requirements are met, as described in “Material U.S. Federal Income Tax Consequences — FATCA”
in the accompanying product supplement. Pursuant to the final regulations, such withholding tax will generally apply to obligations
that are issued on or after July 1, 2014; therefore, the notes will generally be subject to this withholding tax. However, the
withholding tax described above will not apply to payments of gross proceeds from the sale, exchange or other disposition of the
notes made before January 1, 2019.
PS-
12
| Structured Investments
Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
|
|
Section 871(m) of the Internal Revenue 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,
in particular 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, Treasury regulations exclude from the scope of Section
871(m) instruments issued in 2017 that are not “delta-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, our special tax counsel, Sidley Austin LLP, is of the opinion that Section 871(m) should 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. You should consult your tax adviser regarding the potential application of Section 871(m)
to the notes.
The
Estimated Value of the Notes
The estimated value of the notes set forth on
the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based
on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide
valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and
other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the
notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s
creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be
willing to buy notes from you in secondary market transactions.
The estimated value of the notes will be lower
than the original issue price of the notes because costs associated with 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. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See
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Digital Variable Coupon Notes Linked to an Equally Weighted Basket of 9 Reference Stocks
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“Selected Risk Considerations — The
Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile”
in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference Stocks” 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 JPMS’s 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.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be made
against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which
will be the third business day following the expected Pricing Date of the notes (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to
settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes, in which case we may reject your offer to purchase.
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement. This
pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” section of the accompanying
product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
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