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 May
21, 2019
May , 2019
|
Registration Statement
Nos. 333-222672 and 333-222672-01; Rule 424(b)(2)
|
JPMorgan
Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company due June 3, 2022
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
●
|
The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the
closing price of one share of each of the Reference Stocks is greater than or equal to 60.00% of its Initial Value, which we refer
to as an Interest Barrier.
|
|
●
|
The notes will be automatically called if the closing price of one share of each Reference Stock on any Review Date (other
than the first and final Review Dates) is greater than or equal to its Initial Value.
|
|
●
|
The earliest date on which an automatic call may be initiated is November 29, 2019.
|
|
●
|
Investors in the notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all Review Dates.
|
|
●
|
Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
|
|
●
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
|
|
●
|
Payments on the notes are not linked to a basket composed of the Reference Stocks. Payments on the notes are linked to the
performance of each of the Reference Stocks individually, as described below.
|
|
●
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
●
|
The notes are expected to price on or about May 29, 2019 and are expected to settle on or about May 31, 2019.
|
Investing in the notes involves a number of risks.
See “Risk Factors” beginning on page PS-10 of the accompanying product supplement and “Selected Risk Considerations”
beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the
“SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or
the adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1)(2)
|
Fees and Commissions (2)(3)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
(1) See “Supplemental Use
of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.
(2) With respect to notes sold to certain fee based
advisory accounts for which an affiliated or unaffiliated broker dealer is an investment adviser, the price to the public will
not be lower than $975.00 per $1,000 principal amount note. J.P. Morgan Securities LLC, which we refer to as JPMS, and these broker
dealers will forgo any selling commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
(3) With respect to notes sold
to brokerage accounts, JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us
to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $25.00 per $1,000 principal amount
note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
|
If the notes priced today, the
estimated value of the notes would be approximately $963.80 per $1,000 principal amount note. The estimated value of the notes,
when the terms of the notes are set, will be provided in the pricing supplement and will not be less than $950.00 per $1,000 principal
amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are
not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed
by, a bank.
Pricing supplement to product supplement no. 4-I
dated April 5, 2018 and the prospectus and prospectus supplement, each dated April 5, 2018
Key
Terms
Issuer:
JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan
Chase & Co.
Reference Stocks:
As
specified under “Key Terms Relating to the Reference Stocks” in this pricing supplement
Contingent Interest Payments:
If the
notes have not been automatically called and the closing price of one share of each Reference Stock on any Review Date is greater
than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to between $20.625 and $23.125 (equivalent to a Contingent Interest Rate of between 8.25%
and 9.25% per annum, payable at a rate of between 2.0625% and 2.3125% per quarter) (to be provided in the pricing supplement).
If the closing price of
one share of either Reference Stock on any Review Date is less than its Interest Barrier, no Contingent Interest Payment will be
made with respect to that Review Date.
Contingent Interest Rate:
Between
8.25% and 9.25% per annum, payable at a rate of between 2.0625% and 2.3125% per quarter (to be provided in the pricing supplement)
Interest Barrier/Trigger Value:
With
respect to each Reference Stock, 60.00% of its Initial Value, as specified under "Key Terms Relating to the Reference Stocks"
in this pricing supplement
Pricing Date:
On
or about May 29, 2019
Original Issue Date (Settlement Date):
On or about May 31, 2019
Review Dates*:
August
29, 2019, November 29, 2019, March 2, 2020, May 29, 2020, August 31, 2020, November 30, 2020, March 1, 2021, June 1, 2021, August
30, 2021, November 29, 2021, February 28, 2022 and May 31, 2022 (final Review Date)
Interest Payment Dates*:
September
4, 2019, December 4, 2019, March 5, 2020, June 3, 2020, September 3, 2020, December 3, 2020, March 4, 2021, June 4, 2021, September
2, 2021, December 2, 2021, March 3, 2022 and the Maturity Date
Maturity Date*:
June
3, 2022
Call Settlement Date*:
If
the notes are automatically called on any Review Date (other than the first and final Review Dates), the first Interest Payment
Date immediately following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
|
|
Automatic Call:
If the closing price of one
share of each Reference Stock on any Review Date (other than the first and final Review Dates) is greater than or equal to its
Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date.
No further payments will be made on the notes.
Payment at Maturity:
If the
notes have not been automatically called and the Final Value of each Reference Stock is greater than or equal to its Trigger Value,
you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent
Interest Payment applicable to the final Review Date.
If the
notes have not been automatically called and the Final Value of either Reference Stock is less than its Trigger Value, your payment
at maturity per $1,000 principal amount note will be calculated as follows:
$1,000
+ ($1,000 × Lesser Performing Stock Return)
If the notes have not been
automatically called and the Final Value of either Reference Stock is less than its Trigger Value, you will lose more than 40.00%
of your principal amount at maturity and could lose all of your principal amount at maturity.
Lesser Performing Reference Stock:
The
Reference Stock with the Lesser Performing Stock Return
Lesser Performing Stock Return:
The
lower of the Stock Returns of the Reference Stocks
Stock Return:
With
respect to each Reference Stock,
(Final
Value – Initial Value)
Initial Value
Initial Value:
With
respect to each Reference Stock, the closing price of one share of that Reference Stock on the Pricing Date, as specified under
“Key Terms Relating to the Reference Stocks” in this pricing supplement
Final Value:
With
respect to each Reference Stock, the closing price of one share of that Reference Stock on the final Review Date
Stock Adjustment Factor:
With
respect to each Reference Stock, the Stock Adjustment Factor is referenced in determining the closing price of one share of that
Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor of each Reference Stock is subject to
adjustment upon the occurrence of certain corporate events affecting that Reference Stock. See “The Underlyings — Reference
Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events”
in the accompanying product supplement for further information.
|
PS-
1
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
Key
Terms Relating to the Reference Stocks
Reference Stock
|
Bloomberg
Ticker Symbol
|
Initial Value
|
Interest Barrier
/ Trigger Value
|
Class A common stock of Constellation Brands, Inc., par value $.01 per share
|
STZ
|
$
|
$
|
Class A common stock of Molson Coors Brewing Company, par value $0.01 per share
|
TAP
|
$
|
$
|
How
the Notes Work
Payment in Connection with the First Review
Date
Payments in Connection with Review Dates
(Other than the First and Final Review Dates)
PS-
2
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
Payment at Maturity If the Notes Have Not
Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest
Rate of 8.25% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual
Contingent Interest Rate will be provided in the pricing supplement and will be between 8.25% and 9.25% per annum.
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
12
|
$247.500
|
11
|
$226.875
|
10
|
$206.250
|
9
|
$185.625
|
8
|
$165.000
|
7
|
$144.375
|
6
|
$123.750
|
5
|
$103.125
|
4
|
$82.500
|
3
|
$61.875
|
2
|
$41.250
|
1
|
$20.625
|
0
|
$0.000
|
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to two hypothetical Reference Stocks, assuming a range of performances for the hypothetical Lesser Performing
Reference Stock on the Review Dates.
Each hypothetical payment set forth below assumes that the closing price of one share of
the Reference Stock that is not the Lesser Performing Reference Stock on each Review Date is greater than or equal to its Initial
Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
|
●
|
the notes were sold solely to brokerage accounts;
|
|
●
|
an Initial Value for the Lesser Performing Reference Stock of $100.00;
|
|
●
|
an Interest Barrier and a Trigger Value for the Lesser Performing Reference Stock of $60.00 (equal to 60.00% of its hypothetical
Initial Value); and
|
|
●
|
a Contingent Interest Rate of 8.25% per annum (payable at a rate of 2.0625% per quarter).
|
The hypothetical Initial Value of the
Lesser
Performing Reference Stock of
$100.00 has been chosen for illustrative purposes only and may not represent a likely actual
Initial Value of either Reference Stock.
The actual Initial Value of each
Reference
Stock
will be the closing price of
one share
of that Reference Stock
on the Pricing Date and will be provided in the pricing supplement. For historical data regarding
the actual closing prices of
one share of each Reference
Stock
, please see the historical information set forth under “The Reference Stocks” in this pricing supplement.
Each hypothetical payment set forth below is for
illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the
following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the second Review Date.
Date
|
Closing Price of One
Share of Lesser
Performing Reference
Stock
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$105.00
|
$20.625
|
Second Review Date
|
$110.00
|
$1,020.625
|
|
Total Payment
|
$1,041.25 (4.125% return)
|
Because the closing price of one share of each
Reference Stock on the second Review Date is greater than or equal to its Initial Value, the notes will be automatically called
for a cash payment, for each $1,000 principal amount note, of $1,020.625 (or $1,000
plus
the Contingent Interest Payment
applicable to the second Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable
before the second Review Date, even though the closing price of one share of each Reference Stock on the first Review Date is greater
than its Initial Value. When added to the Contingent Interest Payment received with respect to the prior Review Date, the total
amount paid, for each $1,000 principal amount note, is $1,041.25. No further payments will be made on the notes.
Example 2 — Notes have NOT been
automatically called and the Final Value of the Lesser Performing Reference Stock is greater than or equal to its Trigger Value.
Date
|
Closing Price of One
Share of Lesser
Performing Reference
Stock
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$95.00
|
$20.625
|
Second Review Date
|
$85.00
|
$20.625
|
Third through Eleventh Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$90.00
|
$1,020.625
|
|
Total Payment
|
$1,061.875 (6.1875% return)
|
Because the notes have not been automatically
called and the Final Value of the Lesser Performing Reference Stock is greater than or equal to its Trigger Value, the payment
at maturity, for each $1,000 principal amount note, will be $1,020.625 (or $1,000
plus
the Contingent Interest Payment applicable
to the final Review Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the
total amount paid, for each $1,000 principal amount note, is $1,061.875.
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
Example 3 — Notes have NOT been
automatically called and the Final Value of the Lesser Performing Reference Stock is less than its Trigger Value.
Date
|
Closing Price of One
Share of Lesser
Performing Reference
Stock
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$50.00
|
$0
|
Second Review Date
|
$55.00
|
$0
|
Third through Eleventh Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Reference Stock is less than its Trigger Value and the Lesser Performing Stock
Return
is -
50.00%, the payment
at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term or until automatically called
. These hypotheticals
do not reflect the 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.
Selected
Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” section of the accompanying product supplement.
|
●
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the notes have not been automatically called and the Final Value of either
Reference Stock is less than its Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final
Value of the Lesser Performing Reference Stock is less than its Initial Value. Accordingly, under these circumstances, you will
lose
more than 40.00% of your principal
amount at maturity and could lose
all of your principal amount at maturity.
|
|
●
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only
if the closing price of one share of each Reference Stock on that Review Date is greater than or equal to its Interest Barrier.
If the closing price of one share of either Reference Stock on that Review Date is less than its Interest Barrier, no Contingent
Interest Payment will be made with respect to that Review Date. Accordingly, if the closing price of one share of either Reference
Stock on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the term of the notes.
|
|
●
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or
potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for
taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default
on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
|
|
●
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate
to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are
dependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to
us and we fail to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase &
Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase &
Co.
|
|
●
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES,
regardless of any appreciation of either Reference Stock, which may be significant. You will not participate in any appreciation
of either Reference Stock.
|
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
|
●
|
POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that
hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us
or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement.
|
|
●
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH REFERENCE STOCK—
Payments on the notes are not linked to a basket composed of the Reference Stocks and are contingent upon the performance of each
individual Reference Stock. Poor performance by either of the Reference Stocks over the term of the notes may result in the notes
not being automatically called on a Review Date, may negatively affect whether you will receive a Contingent Interest Payment on
any Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by the other
Reference Stock.
|
|
●
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING REFERENCE STOCK.
|
|
●
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE—
If the Final Value of either Reference Stock is less than its Trigger Value and the notes have not been automatically called, the
benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation
of
the Lesser
Performing Reference Stock.
|
|
●
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately six months and you will
not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be
able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for
a similar level of risk. Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions
described on the front cover of this pricing supplement.
|
|
●
|
YOU WILL NOT RECEIVE DIVIDENDS ON EITHER REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO EITHER REFERENCE STOCK.
|
|
●
|
NO AFFILIATION WITH EITHER REFERENCE STOCK ISSUER —
We have not independently verified any of the information about either Reference Stock issuer contained in this pricing supplement.
You should undertake your own investigation into each Reference Stock and its issuer. We are not responsible for either Reference
Stock issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
|
|
●
|
THE ANTI-DILUTION PROTECTION FOR EACH REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
The calculation agent will not make an adjustment in response to all events that could affect a Reference Stock. The calculation
agent may make adjustments in response to events that are not described in the accompanying product supplement to account for any
diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a
holder of the notes in making these determinations.
|
|
●
|
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A REFERENCE STOCK FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER
IF THE PRICE OF ONE SHARE OF THAT REFERENCE STOCK IS VOLATILE.
|
|
●
|
LACK OF LIQUIDITY—
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
|
|
●
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
You should consider your potential investment in the notes based on the minimums for the estimated value of the notes and the Contingent
Interest Rate.
|
|
●
|
THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the
notes will exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costs include the selling commissions, if any, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
●
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
See “The Estimated Value of the Notes” in this pricing supplement.
|
|
●
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference
may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher
issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed
income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which
may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use
of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
|
●
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you
in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial
period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published
by JPMS (and which may be shown on your customer account statements).
|
|
●
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also,
because secondary market prices may exclude selling commissions, if any, projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing
to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any
sale by you prior to the Maturity Date could result in a substantial loss to you.
|
|
●
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling commissions, if any, projected hedging profits, if any, estimated hedging
costs and the prices of one share of the Reference Stocks. Additionally, independent pricing vendors and/or third party broker-dealers
may publish a price for the notes, which may also be reflected on customer account statements. This price may be different (higher
or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See
“Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market
prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
|
The
Reference Stocks
All information contained herein on the Reference
Stocks and on the Reference Stock issuers is derived from publicly available sources, without independent verification. Each Reference
Stock is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed
on the exchange provided in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in
the accompanying product supplement. Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the
Exchange Act can be located by reference to the SEC file number provided in the table below, and can be accessed through www.sec.gov.
We do not make any representation that these publicly available documents are accurate or complete. We obtained the closing prices
below from the Bloomberg Professional
®
service (“Bloomberg”) without independent verification.
Reference Stock
|
Bloomberg
Ticker
Symbol
|
Relevant Exchange
|
SEC File Number
|
Closing Price on
May 20, 2019
|
Class A common stock of Constellation Brands, Inc., par value $.01 per share
|
STZ
|
New York Stock Exchange
|
001-08495
|
$203.05
|
Class A common stock of Molson Coors Brewing Company, par value $0.01 per share
|
TAP
|
New York Stock Exchange
|
001-14829
|
$58.06
|
According to publicly available filings of the
relevant Reference Stock issuer with the SEC:
|
●
|
Constellation Brands, Inc. is an international producer and marketer of beer, wine and spirits.
|
|
●
|
Molson Coors Brewing Company is a brewer of beers with a portfolio of owned and partner brands.
|
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
Historical Information
The following graphs set forth the historical
performance of each Reference Stock based on the weekly historical closing prices of one share of that Reference Stock from January
3, 2014 through May 17, 2019. The closing prices above and below may have been adjusted by Bloomberg for corporate actions, such
as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of
each Reference Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing
price of one share of either Reference Stock on the Pricing Date or any Review Date. There can be no assurance that the performance
of the Reference Stocks will result in the return of any of your principal amount or the payment of any interest.
Historical Performance
of the Class A Common Stock of Constellation Brands, Inc.
Source: Bloomberg
|
Historical Performance
of the Class A Common Stock of Molson Coors Brewing Company
Source: Bloomberg
|
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our
reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with
associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled
“Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid
Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement. Based on the advice of Davis
Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable
treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes could be
materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions above
and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences of an
investment in the notes, including possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations
.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to
take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively connected with your
conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment
in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies)
on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities
or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments
linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a
“Qualified Index”). Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued
prior to January 1, 2021 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends
for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, we
expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the
IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further
information regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You
should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
FATCA
. Withholding under legislation commonly
referred to as “FATCA” could apply to payments with respect to the notes that are treated as U.S.-source “fixed
or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest,
if the notes are recharacterized, in whole or in part, as debt instruments, or Contingent Interest Payments if they are otherwise
treated as FDAP Income). If the notes 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, although under
recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),
no withholding will apply to payments of gross proceeds (other than any amount treated as FDAP Income). You should consult your
tax adviser regarding the potential application of FATCA to the notes.
In the event of any withholding on the notes,
we will not be required to pay any additional amounts with respect to amounts so withheld.
PS-
9
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
The
Estimated Value of the Notes
The estimated value of the notes set forth on
the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed
income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on,
among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be
incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes
Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based
on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide
valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and
other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the
notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s
creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be
willing to buy notes from you in secondary market transactions.
The estimated value of the notes will be lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions, if any, paid to JPMS and other affiliated
or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations
entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less
than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes
sold to brokerage accounts may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates
will retain any remaining hedging profits. See “Selected Risk Considerations — The Estimated Value of the Notes Will
Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include selling commissions, if any, projected hedging profits,
if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt
issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of
the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit
in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined
by our affiliates. See “Selected Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be
Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period”
in this pricing supplement.
PS-
10
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Reference Stocks” in this pricing supplement for a description of the market exposure provided by the
notes.
The original issue price of the notes is equal
to the estimated value of the notes plus the selling commissions, if any, paid to JPMS and other affiliated or unaffiliated dealers,
plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes, in which case we may reject your offer to purchase.
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement. This
pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” section of the accompanying
product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents
on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on
the SEC website):
Our Central Index Key, or
CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,”
“us” and “our” refer to JPMorgan Financial.
PS-
11
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the Class A Common Stock of Constellation Brands, Inc. and the Class A Common Stock of Molson Coors
Brewing Company
|
|
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