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) the contingent quarterly payment with respect to the final determination date.
|
|
●
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 75% of the stated principal amount of the securities and could be zero.
|
Downside
threshold level:
|
With respect
to the NKY Index: , which is equal to 75% of its initial index
value
With respect to the SPX Index: , which is equal to 75% of its initial
index value
With respect to the SX5E Index: , which is equal to 75% 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:
|
October ,
2019 (expected to price on or about October 31, 2019)
|
Original
issue date (settlement date):
|
November ,
2019 (3 business days after the pricing date)
|
Maturity
date:
|
November 4, 2021, 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
|
Agent:
|
J.P. Morgan Securities
LLC (“JPMS”)
|
|
Terms
continued on the following page
|
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 $967.30 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 $950.00 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-1 of the accompanying underlying supplement and “Risk Factors” beginning on page
9 of this document.
Neither the Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities or passed
upon the accuracy or the adequacy of this document or the accompanying product supplement, 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 April 5, 2018: http://www.sec.gov/Archives/edgar/data/19617/000095010318004523/dp87526_424b2-ms1i.pdf
Underlying supplement
no. 1-I dated April 5, 2018: http://www.sec.gov/Archives/edgar/data/19617/000095010318004514/crt_dp87766-424b2.pdf
Prospectus supplement
and prospectus, each dated April 5, 2018: http://www.sec.gov/Archives/edgar/data/19617/000095010318004508/dp87767_424b2-ps.pdf
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
Terms continued from previous
page:
Initial
index value:
|
With respect to the NKY 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 SX5E 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:
|
January 31, 2020, April 30, 2020, July
31, 2020, November 2, 2020, February 1, 2021, April 30, 2021, August 2, 2021 and November 1, 2021, subject to postponement
for non-trading days and certain market disruption events
|
Contingent
payment dates:
|
February 5, 2020, May 5, 2020, August 5,
2020, November 5, 2020, February 4, 2021, May 5, 2021, August 5, 2021 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:
|
48132FZD1 / US48132FZD13
|
Listing:
|
The securities will not be listed on any
securities exchange.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
Investment Summary
The Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50®
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 $20.25 (at least 2.025%
of the stated principal amount) per security, with respect to each quarterly determination date on which the closing level of each
underlying index is greater than or equal to 75% 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 related determination date. However, if the closing
level of any underlying index is less than its downside threshold level on any determination date, investors will receive no contingent
quarterly payment for the related quarterly period. It is possible that the closing level of one or more underlying indices could
be below their respective downside threshold levels on most or all of the determination dates so that you will receive few or no
contingent quarterly payments during the term of the securities. We refer to these payments as contingent, because there is no
guarantee that you will receive a payment on any contingent payment date. Even if all of the underlying indices were to be at or
above their respective downside threshold levels on some quarterly determination dates, one or more underlying indices may fluctuate
below their respective downside threshold level(s) on others.
If the closing level of each underlying index is greater than or
equal to its initial closing value on any determination date (other than the final determination date), the securities will be
automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent quarterly
payment with respect to the related determination date. If the securities have not previously been redeemed and the final 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 the contingent quarterly payment with respect to the final determination date. 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 75% 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 Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® 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 2.025% of the stated
principal amount with respect to each determination date on which the closing level of each underlying index is greater than
or equal to 75% 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 the applicable contingent quarterly payment, and the payment at maturity will vary depending on the final
index value of each underlying index, as follows:
Scenario 1
|
This scenario assumes that, prior to early
redemption, each underlying index closes at or above its downside threshold level on some determination dates but one or more of
the underlying indices closes below their respective downside threshold levels on the others. On the 6th determination date, the
closing level of each underlying index is greater than or equal to its initial index value.
Investors receive the contingent quarterly payment for the quarterly
periods in which the closing level of each underlying index is at or above its downside threshold level on the related determination
date.
On the contingent payment date immediately following the 6th determination
date, the securities will be automatically redeemed for the stated principal amount plus the contingent quarterly payment
with respect to the related determination date.
|
|
|
Scenario 2
|
This scenario assumes that each underlying
index closes at or above its downside threshold level on some determination dates but one or more of the underlying indices closes
below their respective downside threshold levels on the others, and each underlying index closes below its initial index value
on all the determination dates prior to the final determination date. On the final determination date, each underlying index closes
at or above its downside threshold level.
Consequently, the securities are not automatically redeemed, and
investors receive a contingent quarterly payment for the quarterly periods in which the closing level of each underlying index
is at or above its downside threshold level on the related determination date. At maturity, investors will receive the stated principal
amount and the contingent quarterly payment with respect to the final determination date.
|
|
|
Scenario 3
|
This scenario assumes that each underlying
index closes at or above its downside threshold level on some determination dates but one or more of the underlying indices closes
below their respective downside threshold levels on the others, and each underlying index closes below its initial index value
on all the determination dates prior to the final determination date. On the final determination date, one or more of the underlying
indices close below their downside threshold levels.
Consequently, the securities are not automatically redeemed, and
investors receive a contingent quarterly payment for the quarterly periods in which the closing level of each underlying index
is at or above its downside threshold level on the related determination date. At maturity, investors will receive the stated principal
amount times the index performance factor of the worst performing underlying index, which will be less than 75% of the stated principal
amount and could be zero.
Investors will lose some and may lose all of their principal
in this scenario.
|
|
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® 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 and (2) the final index values of the underlying indices.
Diagram #1: Determination Dates (Other Than
the Final Determination Date)
Diagram #2: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 6.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® 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 determination date, whether the securities will be automatically
redeemed on any determination date prior to the final determination date and how to calculate the payment at maturity if the securities
have not been redeemed early. The following examples are for illustrative purposes only. Whether you receive a contingent quarterly
payment or whether the securities will be automatically redeemed will be determined by reference to the closing level of each underlying
index on each quarterly determination date and the amount you will receive at maturity, if any, will be determined by reference
to the final index value of each underlying index. 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 "Nikkei 225 Index Overview," "S&P 500® Index Overview,"
and "EURO STOXX 50® Index Overview," as applicable, in this pricing supplement. The actual downside threshold
level of 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 $20.25 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 the related determination date.
|
Early redemption:
|
If the closing level of each underlying index is greater than or equal to its initial index value on any quarterly determination date (other than the final determination date), the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent quarterly payment with respect to the related determination date.
|
Payment at maturity (if the securities have not been automatically redeemed early):
|
If the final index value of each underlying index is greater
than or equal to its downside threshold level: the stated principal amount and the contingent quarterly payment with respect
to the final determination date.
If the final 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 NKY Index: 100.00
With respect to the SPX Index: 100.00
With respect to the SX5E Index: 100.00
|
Hypothetical downside threshold level:
|
With respect to the NKY Index: 75.00, which is 75% of the hypothetical initial index value for such index
With respect to the SPX Index: 75.00, which is 75% of the hypothetical initial index value for such index
With respect to the SX5E Index: 75.00, which is 75% of the hypothetical initial index value for such index
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
How to determine whether
a contingent quarterly payment is payable with respect to a determination date:
|
Closing level
|
Contingent quarterly payment
|
|
|
|
|
|
|
NKY Index
|
SPX Index
|
SX5E Index
|
|
|
|
|
|
|
Hypothetical Determination Date 1
|
80
(at or above downside threshold level)
|
85
(at or above downside threshold level)
|
90
(at or above downside threshold level)
|
$20.25
|
|
|
|
|
|
Hypothetical Determination Date 2
|
50
(below downside threshold level)
|
85
(at or above downside threshold level)
|
55
(below downside threshold level)
|
$0
|
|
|
|
|
|
Hypothetical Determination Date 3
|
80
(at or above downside threshold level)
|
50
(below downside threshold level)
|
45
(below downside threshold level)
|
$0
|
|
|
|
|
|
Hypothetical Determination Date 4
|
45
(below downside threshold level)
|
40
(below downside threshold level)
|
35
(below downside threshold level)
|
$0
|
On hypothetical determination date 1, each underlying index closes
at or above its downside threshold level. Therefore, a contingent quarterly payment of $20.25 is payable on the relevant contingent
payment date.
On each of the hypothetical determination dates 2 and 3, one underlying
index closes at or above its downside threshold level but the other underlying indices close below their respective downside threshold
levels. Therefore, no contingent quarterly payment is payable on the relevant contingent payment date.
On hypothetical determination date 4, each underlying index closes
below its downside threshold level and, accordingly, no contingent quarterly payment is payable on the relevant contingent payment
date.
You will not receive a contingent quarterly payment on any contingent
payment date if the closing level of any underlying index is below its downside threshold level on the related determination date.
How to determine whether
the securities will be automatically redeemed on any determination date prior to the final determination date:
|
Closing level
|
Early redemption payment
|
|
|
|
|
|
|
NKY Index
|
SPX Index
|
SX5E Index
|
|
|
|
|
|
|
Hypothetical Determination Date 1
|
110
(at or above initial index value)
|
90
(below initial index value)
|
80
(below initial index value)
|
n/a (securities are not redeemed early)
|
|
|
|
|
|
Hypothetical Determination Date 2
|
90
(below initial index value)
|
80
(below initial index value)
|
70
(below initial index value)
|
n/a (securities are not redeemed early)
|
|
|
|
|
|
Hypothetical Determination Date 3
|
110
(at or above initial index value)
|
120
(at or above initial index value)
|
105
(at or above initial index value)
|
$1,020.25 (the stated principal amount plus the contingent quarterly payment with respect to the related determination date)
|
On hypothetical determination date 1, one underlying index closes
at or above its initial index value but the other underlying indices close below their respective initial index values. Therefore,
the securities remain outstanding and are not redeemed early.
On hypothetical determination date 2, each underlying index closes
below its initial index value. Therefore, the securities remain outstanding and are not redeemed early.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|
On hypothetical determination date 3, each underlying index closes
at or above its initial index value. Therefore, the securities are automatically redeemed and you receive an early redemption payment
equal to the stated principal amount plus the contingent quarterly payment with respect to the related determination date.
No further payments will be made on the securities once they have been redeemed.
How to calculate the
payment at maturity (if the securities have not been automatically redeemed early):
|
Final index value
|
Payment at maturity
|
|
|
|
|
NKY Index
|
SPX Index
|
SX5E Index
|
|
|
|
|
|
|
Example 1:
|
100
(at or above downside threshold level)
|
85
(at or above downside threshold level)
|
85
(at or above downside threshold level)
|
$1,020.25 (the stated principal amount plus the contingent quarterly payment with respect to the final determination date)
|
|
|
|
|
|
Example 2:
|
110
(at or above downside threshold level)
|
50
(below downside threshold level)
|
55
(below downside threshold level)
|
$1,000 × index performance factor of the worst performing underlying index = $1,000 × (50 /100) = $500.00
|
|
|
|
|
|
Example 3:
|
40
(below downside threshold level)
|
55
(below downside threshold level)
|
45
(below downside threshold level)
|
$1,000 × ( 40 / 100) = $400.00
|
|
|
|
|
|
Example 4:
|
30
(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. Therefore, you receive at maturity the stated principal amount of the securities and
the contingent quarterly payment with respect to the final determination date.
In example 2, the final 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 3 and 4, 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 75% of the stated principal amount per security and could be zero.
The hypothetical returns and hypothetical payments on the securities
shown above apply only if you hold the securities for their entire term or until early redemption. These hypotheticals do
not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due November 4, 2021
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the EURO STOXX 50® Index
Principal at Risk Securities
|