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
20, 2017
JPMorgan Chase Financial Company LLC
|
September 2017
|
Pricing
Supplement
Registration Statement Nos. 333-209682
and 333-209682-01
Dated September ,
2017
Filed pursuant to Rule 424(b)(2)
Structured Investments
Opportunities in U.S. and International Equities
Contingent Income Callable Securities
due October 2, 2020
All
Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
Contingent Income 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 1.7875% of the stated principal amount with respect to each quarterly monitoring period during
which the closing level of each of the EURO STOXX 50
®
Index, the S&P 500
®
Index
and
the
Russell 2000
®
Index on each day is
greater than or equal to
65% of its initial index value, which we refer
to as a downside threshold level. However, if, on
any
day during a quarterly monitoring period, the closing level of
any underlying index
is less than its downside threshold level, you will not receive any contingent quarterly payment for
the related quarterly monitoring period. In addition,
we will have the right to redeem the securities at our discretion
on any contingent payment date
(other than the first and final contingent payment dates) for an early redemption payment equal
to the stated principal amount
plus
any contingent quarterly payment otherwise due with respect to the related quarterly
monitoring period. Any early redemption of the securities will be at our discretion and will not automatically occur based on the
performance of the underlying indices. If the securities have not been redeemed prior to maturity and the final index value of
each
underlying index 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, if the closing level of each underlying index on each day during the final quarterly monitoring
period is greater than or equal to its downside threshold level, the contingent quarterly payment with respect to the final quarterly
monitoring period. If, however, the securities have not been redeemed prior to maturity and the final index value of
any
underlying index
is less than its downside threshold level, you will be exposed to the decline in the worst performing of the
underlying indices, as compared to its initial index value, on a 1-to-1 basis and will receive a cash payment at maturity that
is less than 65% 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 worst performing of the underlying
indices, a decline of any underlying index 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 indices appreciate or have not declined as much.
Investors will not participate in any appreciation of any underlying index. 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 indices:
|
EURO STOXX 50
®
Index (the “SX5E Index”), S&P 500
®
Index (the “SPX Index”) and Russell 2000
®
Index (the “RTY Index”) (each an “underlying index”)
|
Aggregate principal amount:
|
$
|
Optional early redemption:
|
We,
at our discretion
, may redeem the securities early, in whole but not in part, on any of the contingent payment dates (other than the first and final contingent payment dates) for the early redemption payment. If we intend to redeem your securities early, we will deliver notice to The Depository Trust Company, or DTC, at least three business days before the applicable contingent payment date. Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the underlying indices. No further payments will be made on the securities once they have been redeemed.
|
Early redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period.
|
Contingent quarterly payment:
|
·
If the closing level of each underlying index is greater than or equal to its downside threshold
level on each day during a quarterly monitoring period, we will pay a contingent quarterly payment of at least $17.875 (at least
1.7875% 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 the closing level of
any underlying index
is less than its downside threshold level
on
any
day during a quarterly monitoring period, no contingent quarterly payment will be payable with respect to that quarterly
monitoring period. It is possible that one or more of the underlying indices will be below their respective downside threshold
levels on at least one day during most or all of the quarterly monitoring periods so that you will receive few or no contingent
quarterly payments.
|
Payment at maturity:
|
·
If the final index value of
each
underlying index is
greater than or equal to
its downside threshold level:
|
(i) the stated principal amount
plus
, (ii) if the closing level of each underlying index on each day during the final quarterly monitoring period is greater than or equal to its downside threshold level, the contingent quarterly payment with respect to the final quarterly monitoring period.
|
|
·
If the final index value of
any underlying index
is less than its downside threshold level:
|
(i) the stated principal amount
times
(ii) the index performance factor of the worst performing underlying index. This cash payment will be less than 65% of the stated principal amount of the securities and could be zero.
|
Downside threshold level:
|
With respect to the SX5E Index: ,
which is equal to 65% of its initial index value
With respect to the SPX Index: ,
which is equal to 65% of its initial index value
With respect to the RTY Index: ,
which is equal to 65% of its initial index value
|
Stated principal amount:
|
$1,000 per security
|
Issue price:
|
$1,000 per security (see “Commissions and issue price” below)
|
Pricing date:
|
On or about September , 2017 (expected to price on or about September 29, 2017)
|
Original issue date:
|
October , 2017 (3 business days after the pricing date)
(Settlement date)
|
Maturity date:
|
October 2, 2020, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
|
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
|
|
$1,000.00
|
$15.00
(2)
|
$980.00
|
|
|
|
$5.00
(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 $15.00 per
$1,000 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 $5.00 for each
$1,000 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 $969.20 per $1,000
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 $940.00 per $1,000 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, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “Risk Factors” beginning on page 11 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The securities are not bank deposits, are not insured by
the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should
read this document together with the related product supplement,
underlying
supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional
Information about the Securities” at the end of this document.
Product
supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
Underlying
supplement no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
Prospectus
supplement and prospectus, each dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Terms continued from previous page:
|
Quarterly monitoring period:
|
With respect to each contingent payment date, the period from but excluding the second immediately preceding determination date (or, in the case of the first determination date, from but excluding the pricing date) to and including the immediately preceding determination date
|
Initial index value:
|
With respect to the SX5E Index: , which is its closing level on the pricing date
With respect to the SPX Index: , which is its closing level on the pricing date
With respect to the RTY Index: , which is its closing level on the pricing date
|
Final index value:
|
With respect to each underlying index, the closing level on the final determination date
|
Worst performing underlying index:
|
The underlying index with the worst index performance factor
|
Index performance factor:
|
With respect to each underlying index, the final index value
divided by
the initial index value
|
Determination dates:
|
December 28, 2017, March 29, 2018, June 29, 2018, September 28, 2018, December 28, 2018, March 29, 2019, June 28, 2019, September 30, 2019, December 30, 2019, March 30, 2020, June 29, 2020 and September 29, 2020, subject to postponement for non-trading days and certain market disruption events.
|
Contingent payment dates:
|
January 3, 2018, April 5, 2018, July 5, 2018, October 3, 2018, January 3, 2019, April 3, 2019, July 3, 2019, October 3, 2019, January 3, 2020, April 2, 2020, July 2, 2020 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:
|
48129HAM9 / US48129HAM97
|
Listing:
|
The securities will not be listed on any securities exchange.
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Investment Summary
The Contingent Income Callable Securities
due October 2, 2020 Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index
and the Russell 2000
®
Index, 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 $17.875 (at least 1.7875% of the stated principal amount) per security, with respect to each quarterly monitoring period
during which the closing level of each underlying index on each day is greater than or equal to 65% of its initial index value,
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 determination
date on which the related quarterly monitoring period ends. However, if the closing level of any underlying index is less than
its downside threshold level on any day during a quarterly monitoring period, investors will receive no contingent quarterly payment
for that quarterly monitoring period. It is possible that the closing level of one or more underlying indices could be below their
respective downside threshold levels on at least one day during most or all of the quarterly monitoring periods 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 all of the underlying indices were
to be at or above their respective downside threshold levels on each day during some quarterly monitoring periods, one or more
underlying indices may fluctuate below their respective downside threshold level(s) on any day during others.
In addition,
we will have the right
to redeem the securities at our discretion
on any contingent payment date (other than the first and final contingent payment
dates) for the early redemption payment equal to the stated principal amount
plus
any
contingent quarterly payment otherwise due with respect to the related quarterly monitoring period. Any early redemption of the
securities will be at our discretion and will not automatically occur based on the performance of the underlying indices.
If the securities have not previously been redeemed and the final index value of each underlying index is greater than
or equal to its downside threshold level, the payment at maturity will be the sum of the stated principal amount and, if the closing
level of each underlying index on each day during the final quarterly monitoring period is greater than or equal to its downside
threshold level, a contingent quarterly payment with respect to the final quarterly monitoring period. However, if the securities
have not previously been redeemed and the final index value of any underlying index is less than its downside threshold level,
investors will be exposed to the decline in the worst performing underlying index, as compared to its initial index value, on a
1-to-1 basis. Under these circumstances, the payment at maturity will be (i) the stated principal amount
times
(ii) the
index performance factor of the worst performing underlying index, which will be less than 65% 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 indices.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, each
underlying index is an “Index.”
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
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 at least 1.7875% of the
stated principal amount with respect to each quarterly monitoring period during which the closing level of each underlying index
on each day is
greater than or equal to
65% of its initial index value, 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
any contingent quarterly payment otherwise due with respect to the related
quarterly monitoring period, and the payment at maturity will vary depending on the closing level of each underlying index on each
day during the final quarterly monitoring period including its final index value, as follows:
Scenario 1
|
On any contingent payment date (other
than the first and final contingent payment dates), we elect to redeem the securities.
§
The securities will be redeemed for (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise
due with respect to the related quarterly monitoring period.
§
Investors will not participate in any appreciation of any underlying index from its initial index value.
Any early redemption of the securities
will be at our discretion and will not automatically occur based on the performance of the underlying indices. It is more likely
that we will redeem the securities when it would otherwise be advantageous for you to continue to hold the securities. As such,
we will be more likely to redeem the securities when the closing level of each underlying index is at or above its downside threshold
level, which would otherwise potentially result in an amount of interest payable on the securities that is greater than instruments
issued by us of a comparable maturity and credit rating trading in the market. In other words, we will be more likely to redeem
the securities when the securities are paying above-market interest.
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.
Under these circumstances, 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. On the other hand, we will be less likely to exercise our redemption right when the closing level
of any underlying index is below its downside threshold level, such that you will receive no contingent quarterly payments and/or
that you might suffer a significant loss on your investment in the securities at maturity. Therefore, if we do not exercise our
redemption right, it is more likely that you will receive few or no contingent quarterly payments and that you will suffer a significant
loss on your investment at maturity.
|
Scenario 2
|
The securities are not redeemed prior
to maturity, and the final index value of each underlying index is
greater than or equal to
its downside threshold level.
§
The payment due at maturity will be (i) the stated principal amount
plus
, (ii) if the closing level of each underlying
index on each day during the final quarterly monitoring period is greater than or equal to its downside threshold level, a contingent
quarterly payment with respect to the final quarterly monitoring period.
§
Investors will not participate in any appreciation of any underlying index from its initial index value.
|
Scenario 3
|
The securities are not redeemed prior
to maturity, and the final index value of any underlying index is
less than
its downside threshold level.
§
The payment due at maturity will be (i) the stated principal amount
times
(ii) the index performance factor of the
worst performing underlying index.
Investors will lose some, and may lose
all, of their principal in this scenario.
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the
securities depending on (1) the closing levels of the underlying indices, (2) the final index values of the underlying indices
and (3) whether we exercise our option to redeem the securities.
Diagram #1: First Quarterly Monitoring
Period
Diagram #2: Quarterly Monitoring Periods
(Other Than the First and Final Quarterly Monitoring Periods)
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Diagram
#3
: Payment
at Maturity if No 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 7.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
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 quarterly monitoring period, how to calculate the early redemption
payment if we elect to redeem the securities early 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 will
be determined by reference to the closing level of each underlying index on each day during a quarterly monitoring period and the
amount you will receive at maturity, if any, will be determined by reference to the final index value of each underlying index
and the closing level of each underlying index on each day during the final quarterly monitoring period. Any early redemption of
the securities will be at our discretion and will not automatically occur based on the performance of the underlying indices. The
hypothetical initial index value of each underlying index of 100.00 has been chosen for illustrative purposes only and may not
represent a likely actual initial index value of any underlying index. The actual initial index value of each underlying
index will be the closing level of that underlying index on the pricing date and will be provided in the pricing supplement.
For historical data regarding the actual closing levels of each underlying index, please see the historical information set forth
under “EURO STOXX 50
®
Index Overview,” “S&P 500
®
Index Overview” and
“Russell 2000
®
Index Overview,” as applicable, in this pricing supplement. The actual downside threshold
level for each underlying index 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 $17.875 per quarter per security will be paid on the securities on each contingent payment date
but only if
the closing level of each underlying index is at or above its downside threshold level on each day during the related quarterly monitoring period.
|
Early redemption:
|
We,
at our discretion
, may redeem the securities early, in whole but not in part, on any of the contingent payment dates (other than the first and final contingent payment dates) for the early redemption payment equal to the stated principal amount
plus
any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period.
|
Payment at maturity (if the securities have not been redeemed early):
|
If the final index value of each
underlying index is
greater
than or equal to
its downside threshold level: the stated principal amount and, if the closing level of each underlying index
on each day of the final quarterly monitoring period is greater than or equal to its downside threshold level, the contingent quarterly
payment with respect to the final quarterly monitoring period.
If the final index value of any underlying index is less than
its downside threshold level: (i) the stated principal amount
times
(ii) the index performance factor of the worst performing
underlying index
|
Stated principal amount:
|
$1,000 per security
|
Hypothetical initial index value:
|
With respect to the SX5E Index: 100.00
With respect to the SPX Index: 100.00
With respect to the RTY Index: 100.00
|
Hypothetical downside threshold level:
|
With respect to the SX5E Index: 65.00, which is 65% of the hypothetical
initial index value for such index
With respect to the SPX Index: 65.00, which is 65% of the hypothetical
initial index value for such index
With respect to the RTY Index: 65.00, which is 65% of the hypothetical
initial index value for such index
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
How to determine whether a contingent quarterly payment
is payable with respect to a quarterly monitoring period:
|
Lowest closing level during quarterly monitoring period
|
Contingent quarterly payment
|
|
SX5E Index
|
SPX Index
|
RTY Index
|
|
Hypothetical Quarterly Monitoring Period 1
|
80
(
at or above
downside threshold level)
|
85
(
at or above
downside threshold level)
|
90
(
at or above
downside threshold level)
|
$17.875
|
Hypothetical Quarterly Monitoring Period 2
|
50
(
below
downside threshold level)
|
75
(
at or above
downside threshold level)
|
55
(
below
downside threshold level)
|
$0
|
Hypothetical Quarterly Monitoring Period 3
|
80
(
at or above
downside threshold level)
|
45
(
below
downside threshold level)
|
50
(
below
downside threshold level)
|
$0
|
Hypothetical Quarterly Monitoring Period 4
|
50
(
below
downside threshold level)
|
40
(
below
downside threshold level)
|
30
(
below
downside threshold level)
|
$0
|
During hypothetical quarterly monitoring period 1, each underlying
index closes at or above its downside threshold level on each day. Therefore, a contingent quarterly payment of $17.875 is payable
on the relevant contingent payment date.
During each of the hypothetical quarterly monitoring periods
2 and 3, one underlying index closes at or above its downside threshold level on each day but the other underlying indices close
below their respective downside threshold levels on at least one day. Therefore, no contingent quarterly payment is payable on
the relevant contingent payment date.
During hypothetical quarterly monitoring period 4, each underlying
index closes below its downside threshold level on at least one day 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 level of any underlying index is below its downside threshold level on any day during the
related quarterly monitoring period.
How to calculate the early redemption payment
if we elect to redeem the securities early:
|
Lowest closing level during quarterly monitoring period
|
Early redemption payment
|
|
SX5E Index
|
SPX Index
|
RTY Index
|
|
Example 1:
|
45
(
below
downside threshold level)
|
70
(
at or above
downside threshold level)
|
50
(
below
downside threshold level)
|
$1,000 (the stated principal amount)
|
Example 2:
|
80
(
at or above
downside threshold level)
|
85
(
at or above
downside threshold level)
|
90
(
at or above
downside threshold level)
|
$1,017.875 (the stated principal amount
plus
the contingent quarterly payment with respect to the related quarterly monitoring period)
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
The securities are not redeemable prior to the second contingent
payment date.
In example 1, we elect to redeem the securities early on a contingent
payment date (other than the first and final contingent payment dates). During the related quarterly monitoring period, one underlying
index closes at or above its downside threshold level on each day but the other underlying indices close below their respective
downside threshold levels on at least one day. Therefore, you receive an early redemption payment equal to the stated principal
amount of the securities. No further payments will be made on the securities once they have been redeemed.
In example 2, we elect to redeem the securities early on a contingent
payment date (other than the first and final contingent payment dates). During the related quarterly monitoring period, each underlying
index closes at or above its downside threshold level on each day. Therefore, you receive an early redemption payment equal to
the stated principal amount
plus
the contingent quarterly payment with respect to the related quarterly monitoring period.
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 redeemed early):
|
Lowest closing level during final quarterly monitoring period
|
Final index value
|
Payment at
maturity
|
|
SX5E Index
|
SPX Index
|
RTY Index
|
SX5E Index
|
SPX Index
|
RTY Index
|
|
|
Example 1:
|
90
(
at or above
downside threshold level)
|
80
(
at or above
downside threshold
level)
|
75
(
at or above
downside threshold
level)
|
100
(
at or above
downside threshold level)
|
90
(
at or above
downside threshold level)
|
80
(
at or above
downside threshold level)
|
$1,017.875 (the stated principal amount
plus
the contingent quarterly payment with respect to the final quarterly monitoring period)
|
|
Example 2:
|
40
(
below
downside threshold
level)
|
55
(
below
downside threshold
level)
|
50
(
below
downside threshold
level)
|
80
(
at or above
downside threshold level)
|
90
(
at or above
downside threshold level)
|
85
(
at or above
downside threshold level)
|
$1,000 (the stated principal amount)
|
|
Example 3:
|
70
(
at or above
downside threshold
level)
|
35
(
below
downside threshold
level)
|
40
(
below
downside threshold
level)
|
110
(
at or above
downside threshold level)
|
50
(
below
downside threshold level)
|
55
(
below
downside threshold level)
|
$1,000 × index performance factor
of the worst performing underlying index =
$1,000 × (50 / 100) = $500.00
|
|
Example 4:
|
30
(
below
downside threshold
level)
|
50
(
below
downside threshold
level)
|
40
(
below
downside threshold
level)
|
40
(
below
downside threshold level)
|
55
(
below
downside threshold level)
|
50
(
below
downside threshold level)
|
$1,000 × (40 / 100) = $400.00
|
|
Example 5:
|
40
(
below
downside threshold
level)
|
20
(
below
downside threshold
level)
|
30
(
below
downside threshold
level)
|
50
(
below
downside threshold level)
|
40
(
below
downside threshold level)
|
30
(
below
downside threshold level)
|
$1,000 × (30 / 100) = $300.00
|
|
In example 1, the final index value of each underlying index
is at or above its downside threshold level and each underlying index closes at or above its downside threshold level on each day
during the final quarterly monitoring period. Therefore, you receive at maturity the stated principal amount of the securities
and the contingent quarterly payment with respect to the final quarterly monitoring period.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
In example 2, the final index value of each underlying index
is at or above its downside threshold level but at least one underlying index closes below its downside threshold level on at least
one day during the final quarterly monitoring period. Therefore, you receive at maturity the stated principal amount of the securities
but no contingent quarterly payment is payable with respect to the final quarterly monitoring period.
In example 3, the final index value of one underlying index
is at or above its downside threshold level but the final index values of the other underlying indices are below their respective
downside threshold levels. Therefore, you are exposed to the downside performance of the worst performing underlying index at maturity
and receive a cash payment at maturity equal to the stated principal amount times the index performance factor of the worst performing
underlying index.
Similarly, in examples 4 and 5, the final index value of each
underlying index is below its downside threshold level, and you receive a cash payment at maturity equal to the stated principal
amount
times
the index performance factor of the worst performing underlying index.
If the final index value of ANY underlying index is below
its downside threshold level, you will be exposed to the downside performance of the worst performing underlying index at maturity,
and your payment at maturity will be less than 65% 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 Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Risk
Factors
The following is a non-exhaustive list of certain key risk factors
for investors in the securities. For further discussion of these and other risks, you should read the sections entitled “Risk
Factors” of the accompanying product supplement and the accompanying underlying supplement. We urge you to consult your investment,
legal, tax, accounting and other advisers in connection with your investment in the securities.
|
§
|
The securities do not guarantee the return of any principal
and your investment in the securities may result in a loss.
The terms of the securities differ from those of ordinary debt
securities in that the securities do not guarantee the return of any of the principal amount at maturity. Instead, if the securities
have not been redeemed prior to maturity and if the final index value of
any
of the underlying indices is less than its
downside threshold level, you will be exposed to the decline in the closing level of the worst performing underlying index, as
compared to its initial index value, 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 index performance factor of the worst performing
underlying index.
In this case, your payment at maturity will be less than 65% of the stated principal amount and could be
zero.
|
|
§
|
You will not receive any contingent quarterly payment for any quarterly monitoring period if the closing level of any underlying
index is less than its downside threshold level on any day during that quarterly monitoring period.
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 monitoring period only if the closing level of each underlying
index on each day during the quarterly monitoring period is greater than or equal to its downside threshold level. If the closing
level of any underlying index is below its downside threshold level on any day during a quarterly monitoring period, you will not
receive a contingent quarterly payment for that quarterly monitoring period.
|
It
is possible that the closing level of one or more underlying
indices
could be below their respective
downside threshold
levels on at least one day during most or all of the quarterly monitoring periods 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 on the closing levels of the underlying indices during the quarterly monitoring
periods
.
Whether the contingent quarterly payment will be made
with respect to a quarterly monitoring period will be based on the closing level of each underlying index on each day during that
quarterly monitoring period. As a result, you will not know whether you will receive the contingent quarterly payment until the
end of the related quarterly monitoring period. Moreover, because the contingent quarterly payment is based on the closing level
of each underlying index on each day during that quarterly monitoring period, if the closing level of any of the underlying indices
on any day during that quarterly monitoring period is below its downside threshold level, you will not receive any contingent quarterly
payment with respect to that quarterly monitoring period, even if the closing level of that underlying index was higher on other
days during that quarterly monitoring period.
|
|
§
|
You are exposed to the price risk of all three underlying
indices, 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 indices. Rather, it will be contingent upon the independent
performance of each underlying index. 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
index. The performance of the underlying indices may not be correlated. Poor performance by
any underlying index
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 indices. Accordingly, your investment is subject to the risk of decline in the closing level of each underlying
index.
|
To receive
any
contingent
quarterly payments,
each
underlying index must close at or above its downside threshold
level
on each day throughout a quarterly monitoring period. In addition, if
any underlying index
has declined to
below its downside threshold level as of the final determination date, you will be
fully exposed
to the decline in the worst
performing underlying index, as compared to its initial index value, on a 1-to-1 basis, even if the other underlying indices have
appreciated. Under this scenario, the value of any such payment will be less than 65% of the stated principal amount and could
be zero.
|
§
|
Because the securities
are linked to the performance of the worst performing underlying index, you are exposed to greater risks of no contingent quarterly
payments and sustaining a significant loss on your
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
investment
than if the securities were linked to just one underlying index.
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 index. With three underlying
indices, it is more likely that any one underlying index will close below its downside threshold level on any day during a quarterly
monitoring period or on the final determination date than if the securities were linked to only one underlying index. In addition,
you will not benefit from the performance of any underlying index other than the worst performing underlying index. 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 in any underlying
index.
Investors will not participate in any appreciation in any underlying index from its
initial index value, and the return on the securities will be limited to the contingent quarterly payment that is paid with respect
to each quarterly monitoring period during which the closing level of each underlying index on each day is greater than or equal
to its downside threshold l
evel
,
if any.
|
|
§
|
The securities are subject to risks associated with
securities issued by non-U.S. companies, with respect to the SX5E Index.
The equity securities included in the SX5E Index
have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve
risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including
risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain
countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than there
is about U.S. companies that are subject to the reporting requirements of the SEC
, and generally
non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading
rules different from those applicable to U.S. reporting companies.
|
|
§
|
The securities are not directly exposed to fluctuations in foreign exchange rates with respect to the SX5E Index.
The
value of your securities will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which
the equity securities included in the SX5E Index are based, although any currency fluctuations could affect the performance of
the SX5E Index. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the
securities, you will not receive any additional payment or incur any reduction in any payment on the securities.
|
|
§
|
An investment in the securities is subject to risks associated with
small capitalization stocks with respect to the RTY Index.
The stocks that constitute the
RTY Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more
volatile than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse
economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely
to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure
under adverse market conditions.
|
|
§
|
Early redemption risk.
The term of your investment in the securities may be limited to as short as approximately six months by the optional
early redemption feature of the securities. Any early redemption of the securities will be at our discretion and will not automatically
occur based on the performance of the underlying indices. It is more likely that we will redeem the securities when it would otherwise
be advantageous for you to continue to hold the securities. As
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
such, we will be more likely to redeem the securities
when the closing level of each underlying index is at or above its downside threshold level, which would otherwise potentially
result in an amount of interest payable on the securities that is greater than instruments issued by us of a comparable maturity
and credit rating trading in the market. In other words, we will be more likely to redeem the securities when the securities are
paying above-market interest.
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.
Under these circumstances, 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. On the other hand, we will be less likely to exercise our redemption right when the closing level
of any underlying index is below its
downside threshold
level, such that you will receive no contingent quarterly payments and/or that you might suffer a significant loss on your investment
in the securities at maturity. Therefore, if we do not exercise our redemption right, it is more likely that you will receive few
or no contingent quarterly payments and that you will suffer a significant loss on your investment at maturity.
|
§
|
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 index values, the downside threshold levels and the final index values and whether
the closing value of each underlying index on any day during any quarterly monitoring period or on the final determination date
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 upon an early redemption.
|
In
addition, JPMorgan Chase & Co. is currently one of the companies that make up the SPX Index. JPMorgan Chase & Co. will
not have any obligation to consider your interests as a holder of the securities in taking any corporate action that might affect
the value of the SPX Index or the securities.
Moreover,
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.
|
|
§
|
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
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
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 level of each
underlying index, 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
level of each underlying index;
|
|
o
|
the time to maturity of the securities;
|
|
o
|
whether the closing level of any underlying index
has been, or is expected to be, less than its downside threshold level on any day during any quarterly monitoring period;
|
|
o
|
whether we are expected to exercise our right to redeem
the securities early;
|
|
o
|
the dividend rates on the equity securities included
in the underlying indices;
|
|
o
|
the actual and expected positive or negative correlation
between the underlying indices, or the actual or expected absence of any such correlation;
|
|
o
|
interest and yield rates in the market generally;
|
|
o
|
the exchange rates and the volatility of the exchange
rates between the U.S. dollar and each of the currencies in which the equity securities included in the SX5E Index trade and the
correlation among those rates and the levels of the SX5E Index; 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 any underlying index.
Investing in the securities
is not equivalent to investing in any underlying index or its component stocks. Investors in the securities will not have
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
voting rights or rights to receive dividends or other
distributions or any other rights with respect to stocks that constitute any underlying index.
|
§
|
Adjustments to any underlying index could adversely affect the value of the securities.
The underlying index publisher
of any underlying index may discontinue or suspend calculation or publication of that underlying index at any time. In these
circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued
underlying index and is not precluded from considering indices that are calculated and published by the calculation agent or any
of its affiliates.
|
|
§
|
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 levels of the underlying indices. Any of
these hedging or
trading activities on or prior to the pricing date could potentially affect the initial index values and,
as a result, the downside threshold levels, which are the respective levels at or above which the underlying indices must close
on each day during a quarterly monitoring period in order for you to earn a contingent quarterly payment or, if the securities
are not redeemed prior to maturity, the respective levels at or above which the underlying indices must close on the final determination
date in order for you to avoid being exposed to the negative price performance of the
worst
performing underlying index at maturity. Additionally, these hedging or trading activities during the term of the securities could
potentially affect the values of the underlying indices on any day during any quarterly monitoring period or on the final determination
date and, accordingly, whether investors will receive one or more contingent quarterly payments 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 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.
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
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 Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
EURO STOXX 50
®
Index Overview
The EURO STOXX 50
®
Index consists of 50 component
stocks of market sector leaders from within the Eurozone. For additional information about the EURO STOXX 50
®
Index,
see the information set forth under “Equity Index Descriptions ― The EURO STOXX 50
®
Index” in
the accompanying underlying supplement.
Information as of market close on September 19, 2017:
Bloomberg Ticker Symbol:
|
SX5E
|
52 Week High (on 5/5/2017):
|
3,658.79
|
Current Closing Level:
|
3,531.18
|
52 Week Low (on 11/4/2016):
|
2,954.53
|
52 Weeks Ago (on 9/19/2016):
|
2,968.31
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the EURO STOXX 50
®
Index for each quarter in the period from
January 1, 2012 through September 8, 2017. The graph following the table sets forth the daily closing levels of the EURO STOXX
50
®
Index during the same period. The closing level of the EURO STOXX 50
®
Index on September 19,
2017 was 3,531.18. We obtained the closing level information above and in the table and graph below from Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The historical levels of the EURO STOXX 50
®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the
EURO STOXX 50
®
Index on any day during any quarterly monitoring period, including on the final determination date.
The payment of dividends on the stocks that constitute the EURO STOXX 50
®
Index are not reflected in its closing
level and, therefore, have no effect on the calculation of the payment at maturity.
EURO STOXX 50
®
Index
|
High
|
Low
|
Period End
|
2012
|
|
|
|
First Quarter
|
2,608.42
|
2,286.45
|
2,477.28
|
Second Quarter
|
2,501.18
|
2,068.66
|
2,264.72
|
Third Quarter
|
2,594.56
|
2,151.54
|
2,454.26
|
Fourth Quarter
|
2,659.95
|
2,427.32
|
2,635.93
|
2013
|
|
|
|
First Quarter
|
2,749.27
|
2,570.52
|
2,624.02
|
Second Quarter
|
2,835.87
|
2,511.83
|
2,602.59
|
Third Quarter
|
2,936.20
|
2,570.76
|
2,893.15
|
Fourth Quarter
|
3,111.37
|
2,902.12
|
3,109.00
|
2014
|
|
|
|
First Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
Second Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
Third Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
Fourth Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
2015
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
2016
|
|
|
|
First Quarter
|
3,178.01
|
2,680.35
|
3,004.93
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
Third Quarter
|
3,091.66
|
2,761.37
|
3,002.24
|
Fourth Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
EURO STOXX 50
®
Index
|
High
|
Low
|
Period End
|
2017
|
|
|
|
First Quarter
|
3,500.93
|
3,230.68
|
3,500.93
|
Second Quarter
|
3,658.79
|
3,409.78
|
3,441.88
|
Third Quarter (through September 19, 2017)
|
3,531.18
|
3,388.22
|
3,531.18
|
EURO STOXX 50
®
Index Historical Performance – Daily Closing Levels*
January 2, 2012 to September 19, 2017
|
*The dotted line in the graph indicates the hypothetical downside threshold level, equal to 65% of the closing level on September 19, 2017. The actual downside threshold level will be based on the closing level on the pricing date.
|
License Agreement.
The EURO STOXX 50
®
Index
and STOXX
®
are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland
and/or its licensors (the “Licensors”), which are used under license. The securities based on the EURO STOXX 50
®
Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any
of its Licensors shall have any liability with respect thereto. See “Equity Index Descriptions — The EURO STOXX 50
®
Index — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
S&P 500
®
Index Overview
The S&P 500
®
Index, which is calculated,
maintained and published by S&P Dow Jones Indices LLC consists of stocks of 500 companies selected to provide a performance
benchmark for the U.S. equity markets. For additional information on the S&P 500
®
Index, see the information
set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
Information as of market close on September 19, 2017:
Bloomberg Ticker Symbol:
|
SPX
|
52 Week High (on 9/19/2017):
|
2,139.12
|
Current Closing Level:
|
2,506.65
|
52 Week Low (on 11/4/2016):
|
2,085.18
|
52 Weeks Ago (on 9/19/2016):
|
2,139.12
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the S&P 500
®
Index for each quarter in the period from
January 1, 2012 through September 8, 2017. The graph following the table sets forth the daily closing levels of the S&P 500
®
Index during the same period. The closing level of the S&P 500
®
Index on September 19, 2017 was 2,506.65. We
obtained the closing level information above and in the table and graph below from Bloomberg, without independent verification.
The historical levels of the S&P 500
®
Index should not be taken as an indication of future performance, and
no assurance can be given as to the closing level of the S&P 500
®
Index on any day during any quarterly monitoring
period, including on the final determination date. The payment of dividends on the stocks that constitute the S&P 500
®
Index are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
S&P 500
®
Index
|
High
|
Low
|
Period End
|
2012
|
|
|
|
First Quarter
|
1,416.51
|
1,277.06
|
1,408.47
|
Second Quarter
|
1,419.04
|
1,278.04
|
1,362.16
|
Third Quarter
|
1,465.77
|
1,334.76
|
1,440.67
|
Fourth Quarter
|
1,461.40
|
1,353.33
|
1,426.19
|
2013
|
|
|
|
First Quarter
|
1,569.19
|
1,457.15
|
1,569.19
|
Second Quarter
|
1,669.16
|
1,541.61
|
1,606.28
|
Third Quarter
|
1,725.52
|
1,614.08
|
1,681.55
|
Fourth Quarter
|
1,848.36
|
1,655.45
|
1,848.36
|
2014
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
S&P 500
®
Index
|
High
|
Low
|
Period End
|
2017
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third Quarter (through September 19, 2017)
|
2,506.65
|
2,409.75
|
2,506.65
|
S&P 500
®
Index Historical Performance – Daily Closing Levels*
January 3, 2012 to September 19, 2017
|
*The dotted line in the graph indicates the hypothetical downside threshold level, equal to 65% of the closing level on September 19, 2017. The actual downside threshold level will be based on the closing level on the pricing date.
|
License Agreement.
“Standard & Poor’s
®
,”
“S&P
®
,” “S&P 500
®
” and “Standard & Poor’s 500”
are trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use by JPMorgan Chase & Co.
and its affiliates. See “Equity Index Descriptions — The S&P U.S. Indices — License Agreement” in the
accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Russell 2000
®
Index Overview
The Russell 2000
®
Index consists of the middle
2,000 companies included in the Russell 3000E
TM
Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell
2000
®
Index, see the information set forth under “Equity Index Descriptions — The Russell Indices”
in the accompanying underlying supplement.
Information as of market close on September 19, 2017:
Bloomberg Ticker Symbol:
|
RTY
|
52 Week High (on 7/25/2017):
|
1,450.387
|
Current Closing Level:
|
1,440.404
|
52 Week Low (on 11/3/2016):
|
1,156.885
|
52 Weeks Ago (on 9/19/2016):
|
1,232.526
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the Russell 2000
®
Index for each quarter in the period from
January 1, 2012 through September 8, 2017. The graph following the table sets forth the daily closing levels of the Russell 2000
®
Index during the same period. The closing level of the Russell 2000
®
Index on September 19 2017 was 1,440.404. We
obtained the closing level information above and in the table and graph below from Bloomberg, without independent verification.
The historical levels of the Russell 2000
®
Index should not be taken as an indication of future performance, and
no assurance can be given as to the closing level of the Russell 2000
®
Index on any day during any quarterly monitoring
period, including on the final determination date. The payment of dividends on the stocks that constitute the Russell 2000
®
Index are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
2012
|
|
|
|
First Quarter
|
846.129
|
747.275
|
830.301
|
Second Quarter
|
840.626
|
737.241
|
798.487
|
Third Quarter
|
864.697
|
767.751
|
837.450
|
Fourth Quarter
|
852.494
|
769.483
|
849.349
|
2013
|
|
|
|
First Quarter
|
953.068
|
872.605
|
951.542
|
Second Quarter
|
999.985
|
901.513
|
977.475
|
Third Quarter
|
1,078.409
|
989.535
|
1,073.786
|
Fourth Quarter
|
1,163.637
|
1,043.459
|
1,163.637
|
2014
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
Second Quarter
|
1,192.964
|
1,095.986
|
1,192.964
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
2015
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
2016
|
|
|
|
First Quarter
|
1,114.028
|
953.715
|
1,114.028
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
Third Quarter
|
1,263.438
|
1,139.453
|
1,251.646
|
Fourth Quarter
|
1,388.073
|
1,156.885
|
1,357.130
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
2017
|
|
|
|
First Quarter
|
1,413.635
|
1,345.598
|
1,385.920
|
Second Quarter
|
1,425.985
|
1,345.244
|
1,415.359
|
Third Quarter (through September 19, 2017)
|
1,450.387
|
1,356.905
|
1,440.404
|
Russell 2000
®
Index Historical Performance – Daily Closing Levels*
January 3, 2012 to September 19, 2017
|
*The dotted line in the graph indicates the hypothetical downside threshold level, equal to 65% of the closing level on September 19, 2017. The actual downside threshold level will be based on the closing level on the pricing date.
|
License Agreement.
The “Russell 2000
®
Index” is a trademark of FTSE Russell and has been licensed for use by JPMorgan Chase Bank, National Association and its
affiliates. For more information, see “Equity Index Descriptions — The Russell Indices — Disclaimers”
in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
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 / 1 security
|
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.”
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Tax considerations:
|
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-1-I. In determining our reporting responsibilities
we intend to treat (i) the securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any contingent quarterly payments as ordinary income, as described in the section entitled “Material U.S.
Federal Income Tax Consequences — Tax 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 “EURO STOXX 50
®
Index Overview,” “S&P 500
®
Index Overview” and “Russell
2000
®
Index 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
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due October 2, 2020
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
|
commissions paid to JPMS and other affiliated or unaffiliated dealers and the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities.
|
Benefit plan investor considerations:
|
See “Benefit Plan Investor Considerations” in the accompanying product supplement
|
Supplemental plan of 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 and the accompanying
underlying supplement.
This document, together with the documents listed below, contains
the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
stand-alone fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying
supplement, as the securities involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the securities.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
·
Product supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
·
Underlying supplement no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
·
Prospectus supplement and prospectus, each dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Financial.
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