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 November
10, 2017
JPMorgan Chase Financial Company LLC
|
November 2017
|
Pricing Supplement
Registration Statement Nos. 333-209682
and 333-209682-01
Dated November ,
2017
Filed pursuant to Rule 424(b)(2)
Structured Investments
Opportunities in U.S. Equities
Contingent Income Auto-Callable
Securities due May 22, 2019
All Payments on the Securities Based on the Worse
Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
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 at least 2.6875% of the stated principal amount with respect to each determination date on which the
closing price of each of the common stock of Amazon.com, Inc.
and
the class A common stock of Facebook, Inc.is
greater
than or equal to
its 70.00% of its initial stock price, which we refer to as a downside threshold level. However, if,
on any determination date, the closing price of
either
underlying stock is less than its downside threshold level, you will
not receive any contingent quarterly payment for the related quarterly period. In addition, if the closing price of
each
underlying stock is greater than or equal to its initial stock 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 stock price of
each
underlying stock is greater than or equal to its 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 stock price of
either
underlying stock is less than its downside threshold level, you will be exposed to the
decline in the worse performing of the underlying stocks, as compared to its initial stock price, on a 1-to-1 basis and will receive
a cash payment at maturity that is less than 70% of the stated principal amount of the securities 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
. Because all payments on the securities are based on
the worse performing of the underlying stocks, a decline of either underlying stock below its downside threshold level will result
in few or no contingent quarterly payments and/or significant loss of your initial investment, even if the other underlying stock
appreciates or has not declined as much. Investors will not participate in any appreciation of either underlying stock. 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.
|
Underlying
stocks:
|
Common stock of Amazon.com, Inc. and Class A common stock of Facebook, Inc.(each an “underlying stock”)
|
Aggregate
principal amount:
|
$
|
Early
redemption:
|
If, on any of the determination dates (other than the final
determination date), the closing price of each underlying stock is
greater than or equal to
its initial stock 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 either underlying stock is below its initial stock 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 each underlying stock is greater than
or equal to its downside threshold level, we will pay a contingent quarterly payment of at least $0.2688 (at least 2.6875% of the
stated principal amount) per security on the related contingent payment date. The actual contingent quarterly payment will be provided
in the pricing supplement.
·
If, on any determination date, the closing price of
either
underlying stock is less
than its downside threshold level, no contingent quarterly payment will be payable with respect to that determination date. It
is possible that one or both of the underlying stocks will remain below their respective downside threshold levels on most or all
of the determination dates so that you will receive few or no contingent quarterly payments.
|
Payment
at maturity:
|
·
If the final stock price of
each
underlying stock is
greater than or equal to
its downside threshold level:
|
(i) the stated principal amount,
plus
(ii) the contingent quarterly payment with respect to the final determination date
|
|
·
If the final stock price of
either
underlying stock is less than its downside threshold
level:
|
(i) the stated principal amount
times
(ii) the stock performance factor of the worse performing underlying stock. This cash payment will be less than 70% of the stated principal amount of the securities and could be zero.
|
Downside
threshold level:
|
With respect to the common stock of Amazon.com, Inc.: $ , which is equal to 70.00% of its initial stock price
With respect to the class A common stock of Facebook, Inc.: $ , which is equal to 70.00% of its initial stock price
|
Stated
principal amount:
|
$10 per security
|
Issue
price:
|
$10 per security (see “Commissions and issue price” below)
|
Pricing
date:
|
On or about November , 2017 (expected to price on or about November 17, 2017)
|
Original
issue date (settlement date):
|
November , 2017 (3 business days after the pricing date)
|
Maturity
date:
|
May 22, 2019, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
|
Terms continued on the following page
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
Commissions
and issue price:
|
|
Price to public
(1)
|
Fees and commissions
|
Proceeds to issuer
|
Per
security
|
|
$10.00
|
$0.15
(2)
|
$9.80
|
|
|
|
$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 $0.15 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 $9.664 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 $9.40 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
9 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, 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, 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
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 May 22, 2019
Based on the
Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
Terms continued from previous page:
|
Initial
stock price:
|
With respect to the common stock of Amazon.com, Inc.: $ ,
which is its closing price on the pricing date
With respect to the class A common stock of Facebook, Inc.:
$ , which is its closing price on the pricing date
|
Final
stock price:
|
With respect to each underlying stock, the closing price of that underlying stock on the final determination date
|
Worse
performing underlying stock:
|
The underlying stock with the worse stock performance factor
|
Stock
performance factor:
|
With respect to each underlying stock, the final stock price
divided by
the initial stock price
|
Stock
adjustment factor:
|
The stock adjustment factor of each underlying stock is referenced in determining the closing price of one share of that underlying stock and is set initially at 1.0 on the pricing date. The stock adjustment factor of each stock is subject to adjustment in the event of certain corporate events affecting that underlying stock.
|
Determination
dates:
|
February 20, 2018, May 17, 2018, August 17, 2018, November 19, 2018, February 19, 2019 and May 17, 2019, subject to postponement for non-trading days and certain market disruption events
|
Contingent
payment dates:
|
February 23, 2018, May 22, 2018, August 22, 2018, November 23, 2018, February 22, 2019 and the maturity date, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
CUSIP/ISIN:
|
48129K845 / US48129K8457
|
Listing:
|
The securities will not be listed on any securities exchange.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
Investment Summary
The Contingent Income Auto-Callable Securities
due May 22, 2019 Based on the Worse Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook,
Inc., which we refer to as the securities, do not provide for the regular payment of interest. Instead, the securities provide
an opportunity for investors to earn a contingent quarterly payment, which is an amount equal to at least $0.2688 (at least 2.6875%
of the stated principal amount) per security, with respect to each quarterly determination date on which the closing price of each
underlying stock is greater than or equal to 70% of its initial stock price, which we refer to as a downside threshold level. The
actual contingent quarterly payment will be provided in the pricing supplement. The contingent quarterly payment, if any, will
be payable quarterly on the contingent payment date immediately following the related determination date. However, if the closing
price of either underlying stock is less than its 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 share of one or both
underlying stocks could be below their respective downside threshold levels 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 both of the underlying stocks were to be at or above their respective downside threshold levels on some quarterly determination
dates, one or both underlying stocks may fluctuate below their respective downside threshold level(s) on others.
If the closing price of each underlying
stock is greater than or equal to its initial closing value 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 stock price of each underlying stock is greater than or equal to its downside threshold level, the payment at maturity
will 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 stock price of either underlying stock is less than
its downside threshold level, investors will be exposed to the decline in the
worse
performing underlying stock, as compared to its initial stock price, on a 1-to-1 basis. Under these circumstances, the payment
at maturity will be (i) the stated principal amount
times
(ii) the stock performance factor of the worse performing underlying
stock, which will be less than
70% of the stated principal amount of the securities and could be
zero.
Investors
in the securities must be willing to accept the risk
of losing their entire
principal and also the risk of receiving few or no contingent quarterly payments
over the term of the securities. In addition, investors will not participate in any appreciation of the underlying stocks.
Supplemental
Terms of the Securities
For purposes of the accompanying
product supplement, each underlying stock is a “Reference Stock.”
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
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 2.6875% of the stated principal
amount with respect to each determination date on which the closing price of each underlying stock is
greater than or equal
to
70% of its initial stock price, which we refer to as a downside threshold level. The actual contingent quarterly payment
will be provided in the pricing supplement. The securities may be redeemed prior to maturity for the stated principal amount per
security
plus
the applicable contingent quarterly payment, and the payment at maturity will vary depending on the final
stock price of each underlying stock, as follows:
Scenario
1
|
This scenario assumes that, prior to
early redemption, each underlying stock closes at or above its downside threshold level on some determination dates but one or
both of the underlying stocks closes below their respective downside threshold levels on the others. On the 4
th
determination
date, the closing price of each underlying stock is greater than or equal to its initial stock price.
Investors receive the contingent
quarterly payment for the quarterly periods in which the closing price of each underlying stock is at or above its downside threshold
level on the related determination date.
On the contingent payment
date immediately following the 4
th
determination date, the securities will be automatically redeemed for the stated
principal amount
plus
the contingent quarterly payment with respect to the related determination date.
|
Scenario
2
|
This scenario assumes that each underlying
stock closes at or above its downside threshold level on some determination dates but one or both of the underlying stocks closes
below their respective downside threshold levels on the others, and each underlying stock closes below its initial stock price
on all the determination dates prior to the final determination date. On the final determination date, each underlying stock closes
at or above its downside threshold level.
Consequently, the securities
are not automatically redeemed, and investors receive a contingent quarterly payment for the quarterly periods in which the closing
price of each underlying stock is at or above its downside threshold level on the related determination date. At maturity, investors
will receive the stated principal amount and the contingent quarterly payment with respect to the final determination date.
|
Scenario
3
|
This scenario assumes that each underlying
stock closes at or above its downside threshold level on some determination dates but one or both of the underlying stocks closes
below their respective downside threshold levels on the others, and each underlying stock closes below its initial stock price
on all the determination dates prior to the final determination date. On the final determination date, one or both of the underlying
stocks close below their downside threshold levels.
Consequently, the securities are not automatically
redeemed, and investors receive a contingent quarterly payment for the quarterly periods in which the closing price of each underlying
stock is at or above its downside threshold level on the related determination date. At maturity, investors will receive the stated
principal amount
times
the stock performance factor of the worse performing underlying stock, which will be less than 70%
of the stated principal amount and could be zero.
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 May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the
securities depending on (1) the closing prices of the underlying stocks and (2) the final stock prices of the underlying stocks.
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 6.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent quarterly payment is payable with respect to a determination date, whether the securities will be automatically
redeemed on any determination date prior to the final determination date and how to calculate the payment at maturity if the securities
have not been redeemed early. The following examples are for illustrative purposes only. Whether you receive a contingent quarterly
payment or whether the securities will be automatically redeemed will be determined by reference to the closing price of each underlying
stock on each quarterly determination date and the amount you will receive at maturity, if any, will be determined by reference
to the final stock price of each underlying stock. The hypothetical initial stock price of each underlying stock of $100.00 has
been chosen for illustrative purposes only and may not represent a likely actual initial stock price of either underlying stock.
The actual initial stock price of each underlying stock will be the closing price of that underlying stock on the pricing date
and will be provided in the pricing supplement. For historical data regarding the actual closing prices of each underlying stock,
please see the historical information set forth under “Amazon.com, Inc. Overview” and “Facebook, Inc. Overview,"
as applicable, in this pricing supplement. The actual downside threshold level of each underlying stock will be provided in the
pricing supplement. Any payment on the securities is subject to our and JPMorgan Chase & Co.’s credit risks. The numbers
in the hypothetical examples below may have been rounded for the ease of analysis. The examples below are based on the following
assumed terms:
Hypothetical contingent quarterly payment:
|
A contingent quarterly payment of $0.2688 per quarter per security will be paid on the securities on each contingent payment date
but only if
the closing price of each underlying stock is at or above its downside threshold level on the related determination date.
|
Early redemption:
|
If the closing price of each underlying stock is
greater than or equal to
its initial stock price on any quarterly 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.
|
Payment at maturity (if the securities have not been automatically redeemed early):
|
If the final stock price of each
underlying stock is
greater
than or equal to
its downside threshold level: the stated principal amount and the contingent quarterly payment with respect
to the final determination date
If the final stock price of either
underlying stock is
less than
its downside threshold level: (i) the stated principal amount
times
(ii) the stock performance factor of
the worse performing underlying stock
|
Stated principal amount:
|
$10 per security
|
Hypothetical initial stock price:
|
With respect to the common stock of Amazon.: $100.00
With respect to the class A common stock of Facebook: $100.00
|
Hypothetical downside threshold level:
|
With respect to the common stock of Amazon.com, Inc.: $70.00,
which is 70.00% of its hypothetical initial stock price
With respect to the class A common stock of Facebook, Inc.: $70.00,
which is 70.00% of its hypothetical initial stock price
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
How to determine whether
a contingent quarterly payment is payable with respect to a determination date:
|
Closing price
|
Contingent quarterly payment
|
|
Common stock of Amazon.com Inc.
|
Class A common stock of Facebook, Inc.
|
|
Hypothetical Determination Date 1
|
$80 (
at or above
downside threshold level)
|
$85 (
at or above
downside threshold level)
|
$0.2688
|
Hypothetical Determination Date 2
|
$55 (
below
downside threshold level)
|
$75 (
at or above
downside threshold level)
|
$0
|
Hypothetical Determination Date 3
|
$80 (
at or above
downside threshold level)
|
$50 (
below
downside threshold level)
|
$0
|
Hypothetical Determination Date 4
|
$50 (
below
downside threshold level)
|
$45 (
below
downside threshold level)
|
$0
|
On hypothetical determination date 1, each underlying stock
closes at or above its downside threshold level. Therefore, a contingent quarterly payment of $0.2688 is payable on the relevant
contingent payment date.
On each of the hypothetical determination dates 2 and 3, one
underlying stock closes at or above its downside threshold level but the other underlying stock closes below its downside threshold
level. Therefore, no contingent quarterly payment is payable on the relevant contingent payment date.
On hypothetical determination date 4, each underlying stock
closes below its downside threshold level and, accordingly, no contingent quarterly payment is payable on the relevant contingent
payment date.
You will not receive a contingent quarterly payment on any
contingent payment date if the closing price of either underlying stock is below its downside threshold level on the related determination
date.
How to determine whether the securities will
be automatically redeemed on any determination date prior to the final determination date:
|
Closing price
|
Early redemption payment
|
|
Common stock of Amazon.com Inc.
|
Class A common stock of Facebook, Inc.
|
|
Hypothetical Determination Date 1
|
$110 (
at or above
initial stock price)
|
$90 (
below
initial stock price)
|
n/a (securities are not redeemed early)
|
Hypothetical Determination Date 2
|
$90 (
below
initial stock price)
|
$80 (
below
initial stock price)
|
n/a (securities are not redeemed early)
|
Hypothetical Determination Date 3
|
$110 (
at or above
initial stock price)
|
$120 (
at or above
initial stock price)
|
$10.2688 (the stated principal amount
plus
the contingent quarterly payment with respect to the related determination date)
|
On hypothetical determination date 1, one underlying stock closes
at or above its initial stock price but the other underlying stock closes below its initial stock price. Therefore, the securities
remain outstanding and are not redeemed early.
On hypothetical determination date 2, each underlying stock
closes below its initial stock price. Therefore, the securities remain outstanding and are not redeemed early.
On hypothetical determination date 3, each underlying stock
closes at or above its initial stock price. Therefore, the securities are automatically redeemed and you receive an early redemption
payment equal to the stated principal amount
plus
the
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
contingent quarterly payment with respect to the related determination
date. No further payments will be made on the securities once they have been redeemed.
How to calculate the payment at maturity (if
the securities have not been automatically redeemed early):
|
Final stock price
|
Payment at maturity
|
|
Common stock of Amazon.com Inc.
|
Class A common stock of Facebook, Inc.
|
|
Example 1:
|
$100 (
at or above
downside threshold level)
|
$90 (
at or above
downside threshold level)
|
$10.2688 (the stated principal amount
plus
the contingent quarterly payment with respect to the final determination date)
|
Example 2:
|
$110 (
at or above
downside threshold level)
|
$50 (
below
downside threshold level)
|
$10 × stock performance factor of
the worse performing underlying stock =
$10 × ($50 / $100) = $5.00
|
Example 3:
|
$40 (
below
downside threshold level)
|
$55 (
below
downside threshold level)
|
$10 × ($40 / $100) = $4.00
|
Example 4:
|
$30 (
below
downside threshold level)
|
$40 (
below
downside threshold level)
|
$10 × ($30 / $100) = $3.00
|
In example 1, the final stock price of each underlying stock
is at or above its downside threshold level. Therefore, you receive at maturity the stated principal amount of the securities and
the contingent quarterly payment with respect to the final determination date.
In example 2, the final stock price of one underlying stock
is at or above its downside threshold level but the final stock price of the other underlying stock is below its downside threshold
level. Therefore, you are exposed to the downside performance of the worse performing underlying stock at maturity and receive
a cash payment at maturity equal to the stated principal amount
times
the stock performance factor of the worse performing
underlying stock.
Similarly, in examples 3 and 4, the final stock price of each
underlying stock is below its downside threshold level, and you receive a cash payment at maturity equal to the stated principal
amount
times
the stock performance factor of the worse performing underlying stock.
If the final stock price of EITHER underlying stock is below
its downside threshold level, you will be exposed to the downside performance of the worse performing underlying stock at maturity,
and your payment at maturity will be less than 70% of the stated principal amount per security and could be zero.
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 May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
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 section entitled “Risk
Factors” of the accompanying product 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 stock price of
either
of the underlying stocks
is less than its downside threshold level, you will be exposed to the decline in the closing price of the worse performing underlying
stock, as compared to its initial stock price, on a 1-to-1 basis. Under these circumstances, you will receive for each security
that you hold at maturity a cash payment equal to the stated principal amount
times
the stock performance factor of the
worse performing underlying stock.
In this case, your payment at maturity will be less than 70% of the stated principal amount
and could be zero.
|
|
§
|
You will not receive any contingent quarterly payment for any quarterly period if the closing price of either underlying
stock on the relevant determination date is less than its 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 each underlying stock on the relevant
determination date is greater than or equal to its
downside threshold level
. If the
closing price of either underlying stock is below its
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 or both underlying
stocks
could be below their respective downside threshold levels 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.
|
|
§
|
The contingent quarterly payment is based solely on the closing prices of the underlying stocks 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 each underlying stock 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 of each underlying stock on a specific determination
date, if the closing price of either of the underlying stocks on that determination date is below its
downside
threshold level
, you will not receive any contingent quarterly payment with respect to that determination date, even if
the closing price of that underlying stock was higher on other days during the related quarterly period.
|
|
§
|
You are exposed to the price risk of both underlying stocks,
with respect to all the contingent quarterly payments, if any, and the payment at maturity, if any.
Your return on the securities
is not linked to a basket consisting of the underlying stocks. Rather, it will be contingent upon the independent performance
of each underlying stock. Unlike an instrument with a return linked to a basket of underlying assets in which risk is mitigated
and diversified among all the components of the basket, you will be exposed to the risks related to each underlying stock. The
performance of the underlying stocks may not be correlated. Poor performance by
either
underlying stock over the term of
the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the other
underlying stock. Accordingly, your investment is subject to the risk of decline in the closing price of each underlying stock.
|
To receive
any
contingent
quarterly payments,
each
underlying stock must close at or above its
downside threshold
level
on the applicable determination date. In addition, if
either
underlying stock has declined to below its downside
threshold level as of the final determination date, you will be
fully exposed
to the decline in the worse performing underlying
stock, as compared to its initial stock price, on a 1-to-1 basis, even if the other underlying stock has appreciated. Under this
scenario, the value of any such payment will be less than 70% of the stated principal amount and could be zero.
|
§
|
Because the securities
are linked to the performance of the worse performing underlying stock, you are exposed to greater risks of no contingent quarterly
payments and sustaining a significant loss on your investment than if the securities were linked to just one underlying stock.
The risk that
you will not receive any contingent
quarterly payments, or that you will suffer a significant loss on your investment is greater if you invest in the securities than
if you invest in substantially similar securities that are linked to the performance of just one underlying stock. With two underlying
stocks, it is more likely that either underlying stock will close below its
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
downside
threshold level on any determination date than if the securities were linked to only one underlying stock. In addition, you will
not benefit from the performance of the underlying stock other than the worse performing underlying stock. Therefore it is more
likely that you will not receive any contingent quarterly payments and that you will suffer a significant loss on your investment.
|
§
|
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.
|
|
§
|
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.
|
|
§
|
Investors will not participate in any appreciation of either underlying
stock.
Investors will not participate in any appreciation of either underlying stock from
its initial stock 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 each underlying stock is greater than or equal to its
downside
threshold level
, if any.
|
|
§
|
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 maturity, you will receive no more contingent quarterly payments and may be forced to reinvest in a lower
interest rate environment and you may not be able to reinvest the proceeds from an investment in the securities at a comparable
return for a similar level of risk.
|
|
§
|
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 stock prices, the downside threshold levels
and the final stock prices and whether the closing price of each underlying stock on any determination date is greater than or
equal to its initial stock price or is below its downside threshold level. Determinations made by the calculation agent, including
with respect to the occurrence or non-occurrence of market disruption events, 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.
|
§
|
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.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
|
§
|
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.
|
|
§
|
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.
|
|
§
|
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 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).
|
|
§
|
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.
|
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.
|
§
|
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 each
underlying stock, including:
|
|
o
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
o
|
customary bid-ask spreads for similarly sized trades;
|
|
o
|
our internal secondary market funding rates for structured
debt issuances;
|
|
o
|
the actual and expected volatility in the closing price
of each underlying stock;
|
|
o
|
the time to maturity of the securities;
|
|
o
|
whether the closing price of one share of either underlying
stock has been, or is expected to be, less than its downside threshold level on any determination date;
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
|
o
|
the likelihood of an early redemption being triggered;
|
|
o
|
the dividend rates on the underlying stocks;
|
|
o
|
the actual and expected positive or negative correlation
between the underlying stocks, or the actual or expected absence of any such correlation;
|
|
o
|
interest and yield rates in the market generally;
|
|
o
|
the occurrence of certain events affecting the issuer
of an underlying stock that may or may not require an adjustment to its stock adjustment factor, including a merger or acquisition;
and
|
|
o
|
a variety of other economic, financial, political, regulatory and judicial events.
|
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.
|
§
|
Investing in the securities is not equivalent to investing in either
underlying stock.
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 underlying stock.
|
|
§
|
No affiliation with Amazon.com, Inc. or Facebook, Inc.
Amazon.com, Inc. and Facebook, Inc. are not affiliates of ours, are not involved with this offering in any way, and have no obligation
to consider your interests in taking any corporate actions that might affect the value of the securities. We have not made any
due diligence inquiry with respect to Amazon.com, Inc. and Facebook, Inc. in connection with this offering.
|
|
§
|
We may engage in business with or involving
Amazon.com,
Inc. or Facebook, Inc.
without regard to your interests.
We or our affiliates may presently or from time to time engage in business with Amazon.com, Inc. or Facebook, Inc. without regard
to your interests and thus may acquire non-public information about Amazon.com, Inc. or Facebook, Inc.. Neither we nor any of our
affiliates undertakes to disclose any such information to you. In addition, we or our affiliates from time to time have published
and in the future may publish research reports with respect to Amazon.com, Inc. or Facebook, Inc., which may or may not recommend
that investors buy or hold an underlying stock.
|
|
§
|
The anti-dilution protection for the underlying stocks is limited
and may be discretionary.
The calculation agent will make adjustments to the stock adjustment
factor of an underlying stock and other adjustments for certain corporate events affecting that underlying stock. However, the
calculation agent will not make an adjustment in response to all events that could affect either underlying stock. 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. You should also be aware that the calculation agent may make adjustments in response to events that are not described
in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is under
no obligation to do so or to consider your interests as a holder of the securities in making these determinations
.
|
|
§
|
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 closing prices of the underlying stocks. Any of these
hedging or trading activities
on or prior to the pricing date could potentially affect the initial stock prices and, as
a result, the downside threshold levels, which are the respective levels at or above which the underlying stocks must close on
each determination date in order for you to earn a contingent quarterly payment or, if the securities are not called prior to maturity,
in order for you to avoid being exposed to the negative price performance of the worse performing underlying stock at maturity.
Additionally, these hedging or trading activities during the term of the securities could potentially affect the values of the
underlying stocks 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.
|
|
§
|
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
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
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.
|
§
|
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,
each of the estimated value of the securities and the contingent quarterly payment will be provided in the pricing supplement
and each may be as low as the applicable minimum set forth on the cover of this document. Accordingly, you should consider your
potential investment in the securities based on the minimums for the estimated value of the securities and the contingent quarterly
payment.
|
|
§
|
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.
|
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 May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
Amazon.com, Inc. Overview
Amazon.com, Inc. operates retail websites, manufactures and
sells electronic devices, develops and produces media content, offers programs that enable sellers to sell their products on its
websites and their own branded websites and to fulfill orders through Amazon.com, Inc., offers a set of global compute, storage,
database and other service offerings, serves authors and independent publisher with an online publish platform, along with its
own publishing arm, and operates a grocery store chain. The common stock of Amazon.com, Inc. is registered under the Securities
Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by Amazon.com,
Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 000-22513 through the SEC’s website
at www.sec.gov. In addition, information regarding Amazon.com, Inc. may be obtained from other sources including, but not limited
to, press releases, newspaper articles and other publicly disseminated documents.
Information as of market close on November 9, 2017:
Bloomberg
Ticker Symbol:
|
AMZN
|
52
Week High (on 11/8/2017):
|
$1,132.88
|
Current
Closing Price:
|
$1,129.13
|
52
Week Low (on 11/14/2016):
|
$719.07
|
52
Weeks Ago (on 11/9/2016):
|
$771.88
|
|
|
The following table sets forth the published high and low
closing prices of, as well as dividends on, the common stock of Amazon.com, Inc. for each quarter in the period from January 1,
2012 through November 9, 2017. The closing price of the common stock of Amazon.com, Inc. on November 9, 2017 was $1,129.13. The
associated graph shows the closing prices of the common stock of Amazon.com, Inc. for each day in the same period. We obtained
the closing price information above and the information 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, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the closing price of the common stock
of Amazon.com, Inc. has experienced significant fluctuations. The historical performance of the common stock of Amazon.com, Inc.
should not be taken as an indication of its future performance, and no assurance can be given as to the price of the common stock
of Amazon.com, Inc. at any time, including on the determination dates.
Common
Stock of Amazon.com, Inc.
(CUSIP: 023135106)
|
High
|
Low
|
Dividends
(Declared)
|
2012
|
|
|
|
First Quarter
|
$205.44
|
$175.93
|
—
|
Second Quarter
|
$231.90
|
$185.50
|
—
|
Third Quarter
|
$261.68
|
$215.36
|
—
|
Fourth Quarter
|
$261.50
|
$220.64
|
—
|
2013
|
|
|
|
First Quarter
|
$283.99
|
$253.39
|
—
|
Second Quarter
|
$281.76
|
$248.23
|
—
|
Third Quarter
|
$318.12
|
$280.93
|
—
|
Fourth Quarter
|
$404.39
|
$298.23
|
—
|
2014
|
|
|
|
First Quarter
|
$407.05
|
$336.52
|
—
|
Second Quarter
|
$342.99
|
$288.32
|
—
|
Third Quarter
|
$360.84
|
$307.06
|
—
|
Fourth Quarter
|
$338.64
|
$287.06
|
—
|
2015
|
|
|
|
First Quarter
|
$387.83
|
$286.95
|
—
|
Second Quarter
|
$445.99
|
$370.26
|
—
|
Third Quarter
|
$548.39
|
$429.70
|
—
|
Fourth Quarter
|
$693.97
|
$520.72
|
—
|
2016
|
|
|
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
Common
Stock of Amazon.com, Inc.
(CUSIP: 023135106)
|
High
|
Low
|
Dividends
(Declared)
|
First Quarter
|
$636.99
|
$482.07
|
—
|
Second Quarter
|
$728.24
|
$586.14
|
—
|
Third Quarter
|
$837.31
|
$725.68
|
—
|
Fourth Quarter
|
$844.36
|
$719.07
|
—
|
2017
|
|
|
|
First Quarter
|
$886.54
|
$753.67
|
—
|
Second Quarter
|
$1,011.34
|
$884.67
|
—
|
Third Quarter
|
$1,052.80
|
$938.60
|
—
|
Fourth Quarter (through November 9, 2017)
|
$1,132.88
|
$957.10
|
—
|
We make no representation as to the amount of dividends, if
any, that Amazon.com, Inc. may pay in the future. In any event, as an investor in the securities, you will not be entitled to receive
dividends, if any, that may be payable on the common stock of Amazon.com, Inc.
The Common Stock
of Amazon.com, Inc. Historical Performance – Daily Closing Prices
January 3, 2012 to November
9, 2017*
|
|
*The dotted line in the graph indicates the hypothetical
downside threshold level, equal to 70.00% of the closing price on November 9, 2017. The actual downside threshold level will be
based on the closing price on the pricing date.
|
This document relates only to the securities offered hereby
and does not relate to the common stock or other securities of Amazon.com, Inc. We have derived all disclosures contained in this
document regarding the common stock of Amazon.com, Inc. from the publicly available documents described in the first paragraph
under this “Amazon.com, Inc. 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 Amazon.com, Inc. Neither we nor the agent makes any representation that such publicly available documents or any
other publicly available information regarding Amazon.com, Inc. 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 “Amazon.com, Inc. Overview” section) that would affect
the trading price of the underlying stock (and therefore the price of the underlying stock 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 Amazon.com, Inc. could
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
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 common stock of Amazon.com, Inc.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
Facebook, Inc. Overview
Facebook, Inc. builds products that enable
people to connect and share through mobile devices, personal computers and other surfaces. The Class A common stock of Facebook,
Inc. is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided
to or filed with the SEC by Facebook, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 001-35551
through the SEC’s website at www.sec.gov. In addition, information regarding Facebook, Inc. may be obtained from other sources
including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
Information as of market close on November 9, 2017:
Bloomberg
Ticker Symbol:
|
FB
|
52
Week High (on 11/1/2017):
|
$182.66
|
Current
Share Price:
|
$179.30
|
52
Week Low (on 12/30/2016):
|
$115.05
|
52
Weeks Ago (on 11/9/2016):
|
$123.18
|
|
|
The following table sets forth the published high and low closing
prices of, as well as dividends on, the Class A common stock of Facebook, Inc. for each quarter in the period from May 18, 2012
through November 9, 2017. Facebook, Inc. commenced trading on The NASDAQ Stock Market on May 18, 2012, and therefore has a limited
performance history. The closing price of the Class A common stock of Facebook, Inc. on November 9, 2017 was $179.30. The associated
graph shows the closing prices of the Class A common stock of Facebook, Inc. for each day in the same period. We obtained the closing
price information above and the information in the table and graph below from Bloomberg, without independent verification.
The
closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions,
spin-offs, delistings and bankruptcy
.
Since its inception, the closing price of the Class A common stock
of Facebook, Inc. has experienced significant fluctuations. The historical performance of the Class A common stock of Facebook,
Inc. should not be taken as an indication of its future performance, and no assurance can be given as to the price of the Class
A common stock of Facebook, Inc.at any time, including on the determination dates.
Class A common stock of Facebook,
Inc.
(CUSIP:
30303M102)
|
High
|
Low
|
Dividends
(Declared)
|
2012
|
|
|
|
Second Quarter
|
$38.23
|
$25.87
|
—
|
Third Quarter
|
$32.17
|
$17.73
|
—
|
Fourth Quarter
|
$28.24
|
$18.98
|
—
|
2013
|
|
|
|
First Quarter
|
$32.47
|
$25.13
|
—
|
Second Quarter
|
$28.97
|
$22.90
|
—
|
Third Quarter
|
$51.24
|
$24.37
|
—
|
Fourth Quarter
|
$57.96
|
$44.82
|
—
|
2014
|
|
|
|
First Quarter
|
$72.03
|
$53.53
|
—
|
Second Quarter
|
$67.60
|
$56.14
|
—
|
Third Quarter
|
$79.04
|
$62.76
|
—
|
Fourth Quarter
|
$81.45
|
$72.63
|
—
|
2015
|
|
|
|
First Quarter
|
$85.31
|
$74.05
|
—
|
Second Quarter
|
$88.86
|
$77.46
|
—
|
Third Quarter
|
$98.39
|
$82.09
|
—
|
Fourth Quarter
|
$109.01
|
$90.95
|
—
|
2016
|
|
|
|
First Quarter
|
$116.14
|
$94.16
|
—
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
Class A common stock of Facebook,
Inc.
(CUSIP:
30303M102)
|
High
|
Low
|
Dividends
(Declared)
|
Second Quarter
|
$120.50
|
$108.76
|
—
|
Third Quarter
|
$131.05
|
$114.00
|
—
|
Fourth Quarter
|
$133.28
|
$115.05
|
—
|
2017
|
|
|
|
First Quarter
|
$142.65
|
$116.86
|
—
|
Second Quarter
|
$155.07
|
$139.39
|
—
|
Third Quarter
|
$173.51
|
$148.43
|
—
|
Fourth Quarter (through November 9, 2017)
|
$182.66
|
$168.42
|
—
|
We make no representation as to the amount of dividends, if
any, that Facebook, Inc. may pay in the future. In any event, as an investor in the securities, you will not be entitled to receive
dividends, if any, that may be payable on the class A common stock of Facebook, Inc.
The Class A Common Stock of Facebook, Inc. Historical Performance – Daily Closing Prices
May 18, 2012 to November 9, 2017*
|
|
*The dotted line in the graph indicates the hypothetical
downside threshold level, equal to 70.00% of the closing price on November 9, 2017. The actual downside threshold level will be
based on the closing price on the pricing date.
|
This
document relates only to the securities offered hereby and does not relate to the common stock or other securities of Facebook,
Inc. We have derived all disclosures contained in this document regarding the class A common stock of Facebook, Inc. from the publicly
available documents described in the first paragraph under this “Facebook, Inc. 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 Facebook, Inc. Neither we nor the agent makes any representation
that such publicly available documents or any other publicly available information regarding Facebook, Inc. 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 “Facebook, Inc.”
section) that would affect the trading price of the underlying stock (and therefore the price of the underlying stock 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 Facebook, Inc. 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 Class A common stock of Facebook, Inc.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
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.
Additional
Provisions
|
|
Record
date:
|
The record date for each contingent payment date is the date one business day prior to that contingent payment date.
|
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.
|
Minimum
ticketing size:
|
$1,000 / 100 securities
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation
agent:
|
JPMS
|
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 two years 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
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
|
described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated
Contingent Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special
tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court
may adopt, in which case the timing and character of any income or loss on the 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” and “Hypothetical Examples” in this document for an illustration of the risk-return profile of the securities
and “Amazon.com, Inc. Overview” and “Facebook, Inc. 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
|
See “Benefit Plan Investor Considerations” in the accompanying product supplement
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due May 22, 2019
Based on the Worst Performing of the Common Stock of Amazon.com, Inc. and the Class A Common Stock of Facebook, Inc.
Principal at Risk Securities
considerations:
|
|
Supplemental
plan of distribution:
|
Subject to regulatory constraints, JPMS intends to use its
reasonable efforts to offer to purchase the 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.
We expect that delivery of the securities will be made against
payment for the securities on or about the original issue date set forth on the front cover of this document, which will be the
third business day following the pricing date of the securities (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
securities 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.
|
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.
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” section of the accompanying product 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
• 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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