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 September 19, 2017.
Pricing supplement
|
|
To prospectus dated April 15, 2016,
prospectus supplement dated April 15, 2016 and
product supplement no. 4-I dated April 15, 2016
JPMorgan Chase Financial Company
LLC
|
Registration Statement Nos. 333-209682
and 333-209682-01
Dated September ,
2017
Rule 424(b)(2)
|
Structured
Investments
|
$
Auto Callable Contingent Interest Notes Linked to the Common Stock of Bank of America Corporation due October 11, 2018
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
|
General
|
●
|
The notes are designed for investors who seek a Contingent Interest Payment if, (1) with respect to any Review Date (other
than the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to the final Review Date,
the Final Stock Price is greater than or equal to 78.05% of the Initial Stock Price, which we refer to as the Interest Barrier.
Investors should be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments.
|
|
●
|
Investors in the notes should be willing to accept the risk of losing some or all of their principal if a Trigger Event (as
defined below) has occurred and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates.
Contingent Interest Payments should not be viewed as periodic interest payments.
|
|
●
|
If the closing price of one share of the Reference Stock is greater than or equal to the Interest Barrier on any Review Date,
investors will receive, in addition to the Contingent Interest Payment with respect to that Review Date, any previously unpaid
Contingent Interest Payments for prior Review Dates.
|
|
●
|
The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than
the final Review Date) is greater than or equal to the Initial Stock Price. The earliest date on which an automatic
call may be initiated, is January 4, 2018.
|
|
●
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
|
|
●
|
Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof
|
Key Terms
Issuer:
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
|
Guarantor:
|
JPMorgan Chase & Co.
|
Reference Stock:
|
The common stock of Bank of America Corporation, par value $0.01 per share (Bloomberg Ticker: BAC). We refer to Bank of America Corporation as “Bank of America.”
|
Contingent Interest
Payments:
|
If the notes have not been automatically called and (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock on that Review Date or (2) with respect to the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at least $25.00*
plus
any previously unpaid Contingent Interest Payments for any prior Review Dates.
|
|
If the Contingent Interest Payment is not paid on any Interest Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing price of one share of the Reference Stock on the Review Date related to that later Interest Payment Date is greater than or equal to the Interest Barrier. You will not receive any unpaid Contingent Interest Payments if the closing price of one share of the Reference Stock or the Final Stock Price, as applicable, on each subsequent Review Date is less than the Interest Barrier.
|
|
*
The actual Contingent Interest Payment will be provided in the pricing supplement and will not be less than $25.00 per $1,000 principal amount note.
|
Interest Barrier / Trigger
Level:
|
An amount that represents 78.05% of the Initial Stock Price
|
Automatic Call:
|
If, with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock is
greater than or equal to
the Initial Stock Price, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review Date
plus
(c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date.
|
Payment at Maturity:
|
If the notes have not been automatically called and a Trigger Event has
not
occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date
plus
(c) any previously unpaid Contingent Interest Payments for any prior Review Dates.
|
|
If the notes have not been automatically called
and a Trigger Event
has
occurred, at maturity you will lose 1% of the principal amount of your notes for every 1%
that the Final Stock Price is less than the Initial Stock Price. Under these circumstances, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + ($1,000 x Stock
Return)
|
|
If the notes have not been automatically called and a Trigger Event has occurred, you will lose more than 21.95% of the principal amount of your notes at maturity and could lose all of the principal amount of your notes at maturity.
|
Trigger Event:
|
A Trigger Event occurs if the Final Stock Price (
i.e.,
the arithmetic averaging of the closing prices of one share of the Reference Stock on the Ending Averaging Dates) is less than the Trigger Level.
|
Stock Return:
|
(Final Stock Price – Initial Stock Price)
|
|
Initial Stock Price
|
Initial Stock Price:
|
The closing price of one share of the Reference Stock on the Pricing Date
|
Final Stock Price:
|
The arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates
|
Stock Adjustment Factor:
|
The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings —Reference Stocks— Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further information.
|
Pricing Date:
|
On or about September 21, 2017
|
Original Issue Date (Settlement Date):
|
On or about September 26, 2017
|
Review Dates
†
:
|
January 4, 2018, April 5, 2018, July 5, 2018 and October 5, 2018 (final Review Date)
|
Ending Averaging Dates
†
:
|
October 1, 2018, October 2, 2018, October 3, 2018, October 4, 2018 and the final Review Date
|
Interest Payment Dates
†
:
|
January 9, 2018, April 10, 2018, July 10, 2018 and the Maturity Date
|
Call Settlement Date
†
:
|
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date
|
Maturity Date
†
:
|
October 11, 2018
|
CUSIP:
|
48129HAL1
|
Other Key Terms:
|
See “Additional Key Terms” in this pricing supplement
|
†
|
Subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement.
|
Investing
in the notes involves a number of risks. See “Risk Factors” beginning on page PS-10 of the accompanying product supplement
and “Selected Risk Considerations” beginning on page PS-5 of this pricing supplement.
Neither
the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved
of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, prospectus
supplement and prospectus. Any representation to the contrary is a criminal offense.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
|
(1)
|
See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price
to public of the notes.
|
|
(2)
|
J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling
commissions it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed
$10.00 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement.
|
If
the notes priced today, the estimated value of the notes would be approximately $981.00 per $1,000 principal amount note. The
estimated value of the notes, when the terms of the notes are set, will be provided in the pricing supplement and will not be
less than $965.00 per $1,000 principal amount note.
See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The
notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and
are not obligations of, or guaranteed by, a bank.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time
prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these
notes are a part, and the more detailed information contained in the accompanying product supplement.
This pricing supplement,
together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral
statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours.
You should
carefully consider, among other things, the matters set forth in the “Risk Factors” section of the accompanying product
supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
|
JPMorgan Structured Investments -
|
PS -
1
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Bank of America Corporation
|
What Are the Payments on the Notes, Assuming
a Range of Performances for the Reference Stock?
If the notes have not been automatically called and, (1) with
respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock or, (2) with
respect to the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, you will receive on the
applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at least $25.00 plus
any previously unpaid Contingent Interest Payments for any prior Review Dates. The actual Contingent Interest Payment will be provided
in the pricing supplement and will not be less than $25.00 per $1,000 principal amount note. If, (1) with respect to any Review
Date (other than the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to the final
Review Date, the Final Stock Price is less than the Interest Barrier, no Contingent Interest Payment will be made with respect
to that Review Date. We refer to the Interest Payment Date immediately following any Review Date on which the closing price of
one share of the Reference Stock or Final Stock Price, as applicable, is less than the Interest Barrier as a “No-Coupon Date.”
The following table assumes a Contingent Interest Payment of $25.00 per $1,000 principal amount note and illustrates the hypothetical
total Contingent Interest Payments per $1,000 principal amount note over the term of the notes depending on how many No-Coupon
Dates occur.
Number of
No-Coupon Dates
|
Total Contingent
Coupon Payments
|
0 No-Coupon Date
|
$100.00
|
1 No-Coupon Date
|
$75.00
|
2 No-Coupon Dates
|
$50.00
|
3 No-Coupon Dates
|
$25.00
|
4 No-Coupon Dates
|
$0.00
|
The following table illustrates the hypothetical payments on
the notes in different hypothetical scenarios. Each hypothetical payment set forth below assumes an Initial Stock Price of $25,
an Interest Barrier and a Trigger Level of $19.513 (equal to 78.05% of the hypothetical Initial Stock Price) and a Contingent Interest
Payment of $25.00. The actual Contingent Interest Payment will be provided in the pricing supplement and will not be less than
$25.00 per $1,000 principal amount note. Each hypothetical payment set forth below is for illustrative purposes only and may not
be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following table and examples have been
rounded for ease of analysis.
Review Dates Prior to the Final
Review Date
|
Final Review Date
|
Closing Price of One Share of the Reference
Stock
|
Appreciation / Depreciation of the Reference
Stock at Review Date
|
Payment on Interest Payment Date
or Call Settlement Date (1)(2)
|
Final Stock Price
|
Appreciation / Depreciation of the Reference Stock at Final Review Date
|
Payment at Maturity If a Trigger Event
Has Not Occurred (2)(3)
|
Payment at Maturity If a Trigger Event
Has Occurred (3)
|
$45.000
|
80.00%
|
$1,025.00
|
$45.000
|
80.00%
|
$1,025.00
|
N/A
|
$42.500
|
70.00%
|
$1,025.00
|
$42.500
|
70.00%
|
$1,025.00
|
N/A
|
$40.000
|
60.00%
|
$1,025.00
|
$40.000
|
60.00%
|
$1,025.00
|
N/A
|
$37.500
|
50.00%
|
$1,025.00
|
$37.500
|
50.00%
|
$1,025.00
|
N/A
|
$35.000
|
40.00%
|
$1,025.00
|
$35.000
|
40.00%
|
$1,025.00
|
N/A
|
$32.500
|
30.00%
|
$1,025.00
|
$32.500
|
30.00%
|
$1,025.00
|
N/A
|
$31.250
|
25.00%
|
$1,025.00
|
$31.250
|
25.00%
|
$1,025.00
|
N/A
|
$30.000
|
20.00%
|
$1,025.00
|
$30.000
|
20.00%
|
$1,025.00
|
N/A
|
$28.750
|
15.00%
|
$1,025.00
|
$28.750
|
15.00%
|
$1,025.00
|
N/A
|
$27.500
|
10.00%
|
$1,025.00
|
$27.500
|
10.00%
|
$1,025.00
|
N/A
|
$26.250
|
5.00%
|
$1,025.00
|
$26.250
|
5.00%
|
$1,025.00
|
N/A
|
$25.000
|
0.00%
|
$1,025.00
|
$25.000
|
0.00%
|
$1,025.00
|
N/A
|
$23.750
|
-5.00%
|
$25.00
|
$23.750
|
-5.00%
|
$1,025.00
|
N/A
|
$22.500
|
-10.00%
|
$25.00
|
$22.500
|
-10.00%
|
$1,025.00
|
N/A
|
$21.250
|
-15.00%
|
$25.00
|
$21.250
|
-15.00%
|
$1,025.00
|
N/A
|
$20.000
|
-20.00%
|
$25.00
|
$20.000
|
-20.00%
|
$1,025.00
|
N/A
|
$19.513
|
-21.95%
|
$25.00
|
$19.513
|
-21.95%
|
$1,025.00
|
N/A
|
$19.510
|
-21.96%
|
N/A
|
$19.510
|
-21.96%
|
N/A
|
$780.40
|
$18.750
|
-25.00%
|
N/A
|
$18.750
|
-25.00%
|
N/A
|
$750.00
|
$17.500
|
-30.00%
|
N/A
|
$17.500
|
-30.00%
|
N/A
|
$700.00
|
$15.000
|
-40.00%
|
N/A
|
$15.000
|
-40.00%
|
N/A
|
$600.00
|
$12.500
|
-50.00%
|
N/A
|
$12.500
|
-50.00%
|
N/A
|
$500.00
|
$10.000
|
-60.00%
|
N/A
|
$10.000
|
-60.00%
|
N/A
|
$400.00
|
$7.500
|
-70.00%
|
N/A
|
$7.500
|
-70.00%
|
N/A
|
$300.00
|
$5.000
|
-80.00%
|
N/A
|
$5.000
|
-80.00%
|
N/A
|
$200.00
|
$2.500
|
-90.00%
|
N/A
|
$2.500
|
-90.00%
|
N/A
|
$100.00
|
$0.000
|
-100.00%
|
N/A
|
$0.000
|
-100.00%
|
N/A
|
$0.00
|
|
JPMorgan Structured Investments -
|
PS -
2
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Bank of America Corporation
|
|
(1)
|
The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than
the final Review Date) is greater than or equal to the Initial Stock Price.
|
|
(2)
|
You will receive a Contingent Interest Payment in connection with a Review Date if, (1) with respect to any Review Date (other
than the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to the final Review Date,
the Final Stock Price is greater than or equal to the Interest Barrier
plus
any previously unpaid Contingent Interest Payments
for any prior Review Dates. The applicable amount shown in the table above does not include any previously unpaid Contingent Interest
Payments that may be payable on the applicable Interest Payment Date.
|
|
(3)
|
A Trigger Event occurs if the Final Stock Price (
i.e.
, the arithmetic average of the closing prices of one share of
the Reference Stock on the Ending Averaging Dates) is less than the Trigger Level.
|
Hypothetical Examples of Amounts Payable
on the Notes
The following examples illustrate how payments on the notes in
different hypothetical scenarios are calculated.
Example 1: The price of one share of the Reference Stock increases
from the Initial Stock Price of $25 to a closing level of $30 on the first Review Date.
Because the closing price of one share
of the Reference Stock on the first Review Date is greater than the Interest Barrier, the investor is entitled to receive a Contingent
Interest Payment in connection with the first Review Date. In addition, because the closing price of one share of the Reference
Stock on the first Review Date is greater than the Initial Stock Price, the notes are automatically called. Accordingly, the investor
receives a payment of $1,025.00 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent
Interest Payment of $25.00 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount
note.
Example 2: A Contingent Interest Payment is not paid in connection
with the first Review Date but is paid in connection with the second Review Date, the closing price of one share of the Reference
Stock is less than the Initial Stock Price of $25 on each of the Review Dates preceding the third Review Date and the price of
one share of the Reference Stock increases from the Initial Stock Price of $25 to a closing price of $30 on the third Review Date.
The investor receives a payment of $50.00 per $1,000 principal amount note in connection with the second Review Date (reflecting
the Contingent Interest Payment for the second Review Date and the unpaid Contingent Interest Payment for the first Review Date),
but the notes are not automatically called on any of the Review Dates preceding the third Review Date because the closing price
of one share of the Reference Stock is less than the Initial Stock Price on each of the Review Dates preceding the third Review
Date. Because the closing price of one share of the Reference Stock on the third Review Date is greater than the Interest Barrier,
the investor is entitled to receive a Contingent Interest Payment in connection with the third Review Date. In addition, because
the closing price of one share of the Reference Stock on the third Review Date is greater than the Initial Stock Price, the notes
are automatically called. Accordingly, the investor receives a payment of $1,025.00 per $1,000 principal amount note
on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $25.00 per $1,000 principal amount note and
repayment of principal equal to $1,000 per $1,000 principal amount note. As a result, the total amount paid on the notes
over the term of the notes is $1,075.00 per $1,000 principal amount note.
Example 3: The notes are not automatically called prior to
maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and
the price of one share of the Reference Stock increases from the Initial Stock Price of $25 to a Final Stock Price of $30 —
A Trigger Event has not occurred.
The investor receives a payment of $25.00 per $1,000 principal amount note in connection
with each of the Review Dates preceding the final Review Date. Because the notes are not automatically called prior to maturity
and a Trigger Event has not occurred, the investor receives at maturity a payment of $1,025.00 per $1,000 principal amount note.
This payment consists of a Contingent Interest Payment of $25.00 per $1,000 principal amount note and repayment of principal equal
to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of the notes is $1,100.00 per $1,000
principal amount note.
This represents the maximum total payment an investor may receive over the term of the notes.
Example 4: The notes are not automatically called prior to
maturity, a Contingent Interest Payment is paid in connection with the second Review Date but not paid in connection with the first
or third Review Dates and the price of one share of the Reference Stock decreases from the Initial Stock Price of $25 to a Final
Stock Price of $19.513 — A Trigger Event has not occurred.
The investor receives a payment of $50.00 per $1,000 principal
amount note in connection with the second Review Date (reflecting the Contingent Interest Payment for the second Review Date and
the unpaid Contingent Interest Payment for the first Review Date). Because the notes are not automatically called prior to maturity
and a Trigger Event has not occurred, even though the Final Stock Price is less than the Initial Stock Price, the investor receives
at maturity a payment of $1,050.00 per $1,000 principal amount note. This payment consists of Contingent Interest Payments of $50.00
per $1,000 principal amount note (reflecting the Contingent Interest Payment for the final Review Date and the unpaid Contingent
Interest Payment for the third Review Date) and repayment of principal equal to $1,000 per $1,000 principal amount note. The total
amount paid on the notes over the term of the notes is $1,100.00 per $1,000 principal amount note.
This represents the maximum
total payment an investor may receive over the term of the notes.
Example 5: The notes are not automatically called prior to
maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and
the price of one share of the Reference Stock decreases from the Initial Stock Price of $25 to a Final Stock Price of $10 —
A Trigger Event has occurred.
The investor receives a payment of $25.00 per $1,000 principal amount note in connection with
each of the Review Dates preceding the final Review Date. Because the notes are not automatically called prior to maturity, a Trigger
Event has occurred and the Stock Return is -60%, the investor receives at maturity of $400 per $1,000 principal amount note, calculated
as follows:
$1,000 + ($1,000 × -60%) = $400
|
JPMorgan Structured Investments -
|
PS -
3
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Bank of America Corporation
|
The total value of the payments on the notes over the term of
the notes is $475.00 per $1,000 principal amount note.
Example 6: The notes are not automatically called prior to
maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date and the
price of one share of the Reference Stock decreases from the Initial Stock Price of $25 to a Final Stock Price of $7.50 —
A Trigger Event has occurred.
Because the notes are not automatically called prior to maturity, no Contingent Interest Payments
are paid in connection with the Review Dates preceding the final Review Date, a Trigger Event has occurred and the Stock Return
is -70%, the investor receives no payments over the term of the notes, other than a payment at maturity of $300 per $1,000 principal
amount note, calculated as follows:
$1,000 + ($1,000 × -70%) = $300
The hypothetical payments on the notes shown above apply
only
if you hold the notes for their entire term or until automatically called.
These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical payments
shown above would likely be lower.
Selected Purchase Considerations
|
●
|
CONTINGENT INTEREST PAYMENTS —
The notes offer the potential to earn a Contingent Interest Payment in connection
with each Review Date of at least $25.00* per $1,000 principal amount note. If the notes have not been automatically called and,
(1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock or,
(2) with respect to the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, you will receive
on the applicable Interest Payment Date a Contingent Interest Payment for that Review Date
plus
any previously unpaid Contingent
Interest Payments for any prior Review Dates. If, (1) with respect to any Review Date (other than the final Review Date), the closing
price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than the
Contingent Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not receive
any unpaid Contingent Interest Payments if the closing price of one share of the Reference Stock or the Final Stock Price, as applicable,
on each subsequent Review Date is less than the Interest Barrier. If the closing price of one share of the Reference
Stock or the Final Stock Price, as applicable, on each Review Date is less than the Interest Barrier, you will not receive any
Contingent Interest Payments over the term of the notes. If payable, a Contingent Interest Payment will be made to the holders
of record at the close of business on the business day immediately preceding the applicable Interest Payment Date.
Because the
notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan
Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan
Chase & Co.’s ability to pay its obligations as they become due.
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* The actual Contingent Interest
Payment will be provided in the pricing supplement and will not be less than $25.00 per $1,000 principal amount note.
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POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE
— If the closing price of one share of the Reference
Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price, your notes will
be automatically called prior to the Maturity Date. Under these circumstances, you will receive a cash payment, for each $1,000
principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review Date plus
(c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Dates.
Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions described on the front
cover of this pricing supplement.
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THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED —
If the
notes have not been automatically called, we will pay you your principal back at maturity only if a Trigger Event has not occurred.
However, if the notes have not been automatically called and a Trigger Event has occurred, you will lose some or all of the
principal amount of your notes at maturity.
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RETURN LINKED TO A SINGLE REFERENCE STOCK —
The return on the notes is linked to the performance of a single Reference
Stock, which is the common stock of Bank of America. For additional information see “The Reference Stock” in this pricing
supplement.
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TAX TREATMENT —
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement no. 4-I. In determining our reporting responsibilities we intend to treat (i) the notes
for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest
Payments as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences —
Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in
the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe
that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and
the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income
over the term of their investment. It also asks for comments on a number of related topics, including the character of income or
loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the
instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment
in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by this notice.
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Non-U.S. Holders
—
Tax Considerations
. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we
believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least
if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of
30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively
connected with your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable
to a permanent establishment in the United States). If you are not a United States person, you are urged to consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax
treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations
(such an index, a “Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m)
instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends
for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, we
expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the
IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further
information regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You
should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
FATCA.
Withholding under
legislation commonly referred to as “FATCA” could apply to payments with respect to the notes that are treated as U.S.-source
“fixed or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes
(such as interest, if the notes are recharacterized, in whole or in part, as debt instruments, or Contingent Interest Payments
if they are otherwise treated as FDAP Income). Under a recent IRS notice, withholding under FATCA will not apply to payments of
gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including an early redemption or redemption
at maturity, of the notes. You should consult your tax adviser regarding the potential application of FATCA to the notes.
In the event of any withholding
on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying product supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. If the
notes have not been automatically called and a Trigger Event has occurred, you will lose 1% of the principal amount of your notes
at maturity for every 1% that the Final Stock Price is less than the Initial Stock Price. Under these circumstances, you will lose
more than 21.95% of your principal amount at maturity and could lose all of the principal amount of your notes at maturity.
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
The terms of the notes
differ from those of conventional debt securities in that, among other things, whether we pay interest is linked to the performance
of the Reference Stock. Contingent Interest Payments should not be viewed as periodic interest payments. If
the notes have not been automatically called and if, (1) with respect to any Review Date (other than the final Review Date), the
closing price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is greater
than or equal to the Interest Barrier, we will make a Contingent Interest Payment with respect to that Review Date (and will pay
you any previously unpaid Contingent Interest Payments for any prior Review Dates). If, (1) with respect to any Review Date (other
than the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to the final Review Date,
the Final Stock Price is less than the Contingent Interest Barrier, no Contingent Interest Payment will be made with respect to
that Review Date. You will not receive any unpaid Contingent Interest Payments if the closing price of one share of the Reference
Stock or the Final Stock Price, as applicable, on each subsequent Review Date is less than the Interest Barrier. Accordingly, if,
(1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock or,
(2) with respect to the final Review Date, the Final Stock Price is less than the Interest Barrier, you will not receive any Contingent
Interest Payments over the term of the notes.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.
— The notes are subject to our and JPMorgan Chase
& Co.'s credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the
market value of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on
the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined
by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase &
Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose
your entire investment.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
— As a finance
subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all
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of our assets relate to obligations of our affiliates
to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our
affiliates to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments
on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT
— If the notes are automatically called, the amount
of Contingent Interest Payments made on the notes may be less than the amount of Contingent Interest Payments that might have been
payable if the notes were held to maturity, and, for each $1,000 principal amount note, you will receive on the applicable Call
Settlement Date $1,000
plus
the Contingent Interest Payment applicable to the relevant Review Date
plus
any previously
unpaid Contingent Interest Payments for any prior Review Dates.
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REINVESTMENT RISK
— If your notes are automatically called, the term of the notes may be reduced to as short as
approximately three months and you will not receive any Contingent Interest Payments after the applicable Call Settlement Date. There
is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return and/or with
a comparable interest rate for a similar level of risk in the event the notes are automatically called prior to the Maturity Date.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION OF THE REFERENCE STOCK
—
The appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be paid
over the term of the notes, regardless of any appreciation of the Reference Stock, which may be significant. You will not participate
in any appreciation of the Reference Stock. Accordingly, the return on the notes may be significantly less than the return on a
direct investment in the Reference Stock during the term of the notes.
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POTENTIAL CONFLICTS
— We and our affiliates play a variety of roles in connection with the issuance of the notes,
including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and
making the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes
are set, which we refer to as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s
economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to
your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, including
hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours
and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities
of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value
of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement for additional information about these risks.
We and/or our affiliates may also currently or from time to time engage in business with Bank of America, including extending loans
to, or making equity investments in, Bank of America or providing advisory services to Bank of America. In addition, one or more
of our affiliates may publish research reports or otherwise express opinions with respect to Bank of America, and these reports
may or may not recommend that investors buy or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake
an independent investigation of the Reference Stock issuer that in your judgment is appropriate to make an informed decision with
respect to an investment in the notes.
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THE BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE —
If the Final Stock
Price is less than the Trigger Level and the notes have not been automatically called, the benefit provided by the Trigger Level
will terminate and you will be fully exposed to any depreciation of the Reference Stock.
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THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
The
estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes
will exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging
our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
The estimated value of the notes is determined by reference to internal pricing models of our affiliates when the terms
of the notes are set. This estimated value of the notes is based on market conditions and other relevant factors existing at that
time and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different
pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of
the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See “The
Estimated Value of the Notes” in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate
used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate
and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR
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A LIMITED TIME PERIOD —
We generally
expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection
with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs
can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market
funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement
for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial
period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary
market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary
market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary
market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs
that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy
notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you
prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk consideration for information
about additional factors that will impact any secondary market prices of the notes.
The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes
to maturity. See “
—
Lack of Liquidity” below.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market
price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify
each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one
share of the Reference Stock, including:
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any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured debt issuances;
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the actual and expected volatility of the Reference Stock;
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the time to maturity of the notes;
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whether the closing price of one share of the Reference Stock or Final Stock Price, as applicable, has been, or is expected
to be, less than the Interest Barrier on any Review Date and whether a Trigger Event is expected to occur;
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the likelihood of an automatic call being triggered;
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the dividend rate on the Reference Stock;
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interest and yield rates in the market generally;
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the occurrence of certain events affecting the issuer of the Reference Stock that may or may not require an adjustment to the
Stock Adjustment Factor, including a merger or acquisition; and
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a variety of other economic, financial, political, regulatory and judicial events.
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Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your
notes in the secondary market.
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NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK—
As a holder of the notes, you will not have any ownership
interest or rights in the Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference
Stock will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might
affect the value of the Reference Stock and the notes.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
We are not affiliated with the issuer of the Reference Stock.
We assume no responsibility for the adequacy of the information about the Reference Stock issuer contained in this pricing supplement.
You should undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock
issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
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SINGLE STOCK RISK —
The price of the Reference Stock can fall sharply due to factors specific to the Reference
Stock and its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments,
management changes and decisions and other events, as well as general market factors, such as general stock market volatility and
levels, interest rates and economic and political conditions.
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VOLATILITY RISK —
Greater expected volatility with respect to the Reference Stock indicates a greater likelihood
as of the Pricing Date that the closing piece of one share of the Reference Stock or the Initial Stock Price, as applicable, could
be below the Interest Barrier on any Review Date or below the Trigger Level on the Final Review Date. The Reference Stock’s
volatility, however, can change significantly over the term of the notes. The price of one share of the Reference Stock
could fall sharply at any time during the term of the notes, which could result in the loss of one or more, or all, Contingent
Interest Payments or a significant loss of principal.
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LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. JPMS intends to offer to purchase
the notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough
liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the
notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing
to buy the notes.
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
The calculation agent
will make adjustments to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation
agent will not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does
not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. You should
also be aware that the calculation agent may make
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adjustments in response to events that are not described
in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is under
no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
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THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
The final terms of the
notes will be based on relevant market conditions when the terms of the notes are set and will be provided in the pricing supplement.
In particular, each of the estimated value of the notes and the Contingent Interest Payment will be provided in the pricing supplement
and each may be as low as the applicable minimum set forth on the cover of this pricing supplement. Accordingly, you should consider
your potential investment in the notes based on the minimums for the estimated value of the notes and the Contingent Interest Payment.
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The Reference Stock
Public Information
All information contained herein on the Reference Stock and on
Bank of America is derived from publicly available sources and is provided for informational purposes only. According to its publicly
available filings with the SEC, Bank of America provides a diversified range of banking and non-banking financial services and
products domestically and internationally. The common stock of Bank of America, par value $0.01 per share (Bloomberg ticker: BAC),
is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the
New York Stock Exchange, which we refer to as the relevant exchange for purposes of Bank of America in the accompanying product
supplement. Information provided to or filed with the SEC by Bank of America pursuant to the Exchange Act can be located by reference
to SEC file number 001-06523, and can be accessed through www.sec.gov. We do not make any representation that these publicly available
documents are accurate or complete.
Historical Information Regarding the Reference
Stock
The following graph sets forth the historical performance of
the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 6, 2012 through
September 15, 2017. The closing price of one share of the Reference Stock on September 18, 2017 was $24.70. We obtained the closing
prices above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent
verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings,
mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference Stock
should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share
of the Reference Stock on the Pricing Date, any Ending Averaging Date or any Review Date, including the final Review Date. There
can be no assurance that the performance of the Reference Stock will result in the return of any of your principal amount at maturity
or the payment of any interest.
Historical Performance of Bank
of America Corporation
Source: Bloomberg
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The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would
be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding value of
the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those
costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected Risk Considerations
— The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of
our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and
on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates
and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the
notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing
at that time. See “Selected Risk Considerations — The Estimated Value of the Notes Does Not Represent Future Values
of the Notes and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the notes will be lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
the projected profits, if any, that our affiliates expect to
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realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under
the notes. See “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes Will Be Impacted
by Many Economic and Market Factors” in this pricing supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your
notes by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of
six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes,
whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — The Value of
the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Notes for a Limited Time Period.”
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the notes. See “What Are the Payments on the Notes, Assuming
a Range of Performances for the Reference Stock?” and “Hypothetical Examples of Amounts Payable on the Notes”
in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference Stock” in
this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
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JPMorgan Structured Investments -
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PS -
10
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Bank of America Corporation
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