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 23, 2021
September , 2021
|
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
Review Notes Linked to the Lesser Performing of the iShares®
MSCI Emerging Markets ETF and the iShares® Russell 2000 Value ETF due October 1, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
·
|
The notes are designed for investors who seek early exit prior to maturity at a premium if, on any Review
Date, the closing price of one share of each of the iShares® MSCI Emerging Markets ETF and the iShares®
Russell 2000 Value ETF, which we refer to as the Funds, is at or above its Call Value.
|
|
·
|
The earliest date on which an automatic call may be initiated is September 28, 2022.
|
|
·
|
Investors should be willing to forgo interest and dividend payments and be willing to accept the risk
of losing some or all of their principal amount at maturity.
|
|
·
|
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 Funds. Payments on the notes are linked
to the performance of each of the Funds individually, as described below.
|
|
·
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
·
|
The notes are expected to price on or about September 28, 2021 and are expected to settle on or about
October 1, 2021.
|
Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 of the accompanying
product supplement , “Risk Factors” beginning on page US-3 of the accompanying underlying 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, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
(1) See “Supplemental Use of Proceeds” in this pricing supplement
for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as
agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers.
In no event will these selling commissions exceed $5.00 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
$964.00 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the
pricing supplement and will not be less than $940.00 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-II dated November
4, 2020, underlying supplement no. 1-II dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Funds:
The iShares® MSCI Emerging Markets ETF (Bloomberg ticker: EEM) and the iShares®
Russell 2000 Value ETF (Bloomberg ticker: IWN)
Call Premium Amount:
The Call Premium Amount with respect to each Review Date is set forth below:
·
|
first Review Date:
|
at least 12.150% × $1,000
|
·
|
second Review Date:
|
at least 18.225% × $1,000
|
·
|
third Review Date:
|
at least 24.300% × $1,000
|
·
|
fourth Review Date:
|
at least 30.375% × $1,000
|
·
|
fifth Review Date:
|
at least 36.450% × $1,000
|
·
|
sixth Review Date:
|
at least 42.525% × $1,000
|
·
|
seventh Review Date:
|
at least 48.600% × $1,000
|
·
|
eighth Review Date:
|
at least 54.675% × $1,000
|
·
|
final Review Date:
|
at least 60.750% × $1,000
|
(in each case, to be provided in the pricing supplement)
Call
Value: With respect to each Fund, 100.00% of its Initial Value
Barrier Amount: With respect to each
Fund, 60.00% of its Initial Value
Pricing Date:
On or about September 28, 2021
Original
Issue Date (Settlement Date): On or about October 1, 2021
Review Dates*:
September 28, 2022, March 28, 2023, September 28, 2023, March 28, 2024, September 30, 2024, March 28, 2025, September 29, 2025, March
30, 2026 and September 28, 2026 (final Review Date)
Call Settlement
Dates*: October 3, 2022, March 31, 2023, October 3, 2023, April 3, 2024, October 3, 2024, April 2, 2025, October 2, 2025, April
2, 2026 and the Maturity Date
Maturity Date*:
October 1, 2026
* 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 Fund on any Review Date is greater than
or equal to its Call 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 Call Premium Amount 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 Fund is greater
than or equal to its Barrier Amount, you will receive the principal amount of your notes at maturity.
If the notes have not been automatically called and the Final Value of either Fund
is less than its Barrier Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Fund Return)
If the notes have not been automatically called and the Final Value of either
Fund is less than its Barrier Amount, 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 Fund: The
Fund with the Lesser Performing Fund Return
Lesser Performing Fund Return: The
lower of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Fund, the closing price
of one share of that Fund on the Pricing Date
Final
Value: With respect to each Fund, the closing price of one share of that Fund on the final
Review Date
Share Adjustment Factor:
With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing price of one share of that Fund and is
set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment upon the occurrence of certain
events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product
supplement for further information.
PS-1
| Structured Investments
Review Notes Linked to the Lesser Performing of the iShares®
MSCI Emerging Markets ETF and the iShares® Russell 2000 Value ETF
|
|
How the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not
Been Automatically Called
PS-2
| Structured Investments
Review Notes Linked to the Lesser Performing of the iShares®
MSCI Emerging Markets ETF and the iShares® Russell 2000 Value ETF
|
|
Call Premium Amount
The table below illustrates the hypothetical Call Premium Amount per
$1,000 principal amount note for each Review Date based on the minimum Call Premium Amounts set forth under “Key Terms — Call
Premium Amount” above. The actual Call Premium Amounts will be provided in the pricing supplement and will not be less than the
minimum Call Premium Amounts set forth under “Key Terms — Call Premium Amount.”
Review Date
|
Call Premium Amount
|
First
|
$121.50
|
Second
|
$182.25
|
Third
|
$243.00
|
Fourth
|
$303.75
|
Fifth
|
$364.50
|
Sixth
|
$425.25
|
Seventh
|
$486.00
|
Eighth
|
$546.75
|
Final
|
$607.50
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to two hypothetical Funds, assuming a range of performances for the hypothetical Lesser Performing Fund on the Review Dates. Each hypothetical
payment set forth below assumes that the closing price of one share of the Fund that is not the Lesser Performing Fund on each Review
Date is greater than or equal to its Call Value (and therefore its Barrier Amount).
In addition, the hypothetical payments set forth below assume the
following:
|
·
|
an Initial Value for the Lesser Performing Fund of $100.00;
|
|
·
|
a Call Value for the Lesser Performing Fund of $100.00 (equal to 100.00% of its hypothetical Initial Value);
|
|
·
|
a Barrier Amount for the Lesser Performing Fund of $60.00 (equal to 60.00% of its hypothetical Initial Value); and
|
|
·
|
the Call Premium Amounts are equal to the minimum Call Premium Amounts set forth under “Key Terms — Call Premium Amount”
above.
|
The hypothetical Initial Value of the Lesser Performing Fund of
$100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either Fund. The actual
Initial Value of each Fund will be the closing price of one share of that Fund 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 Fund, please see the historical information set
forth under “The Funds” 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 first
Review Date.
Date
|
Closing Price of Lesser
Performing Fund
|
|
First Review Date
|
$105.00
|
Notes are automatically called
|
|
Total Payment
|
$1,121.50 (12.15% return)
|
Because the closing price of one share of each Fund on the first
Review Date is greater than or equal to its Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal
amount note, of $1,121.50 (or $1,000 plus the Call Premium Amount applicable to the first Review Date), payable on the applicable
Call Settlement Date. No further payments will be made on the notes.
PS-3
| Structured Investments
Review Notes Linked to the Lesser Performing of the iShares®
MSCI Emerging Markets ETF and the iShares® Russell 2000 Value ETF
|
|
Example 2 — Notes are automatically called on the final
Review Date.
Date
|
Closing Price of Lesser
Performing Fund
|
|
First Review Date
|
$90.00
|
Notes NOT automatically called
|
Second Review Date
|
$75.00
|
Notes NOT automatically called
|
Third through Eighth Review Dates
|
Less than Call Value
|
Notes NOT automatically called
|
Final Review Date
|
$160.00
|
Notes are automatically called
|
|
Total Payment
|
$1,607.50 (60.75% return)
|
Because
the closing price of one share of each Fund on the final Review
Date is greater than or equal to its Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal
amount note, of $1,607.50 (or $1,000 plus the Call Premium Amount applicable to the final Review Date), payable on the applicable
Call Settlement Date, which is the Maturity Date.
Example 3 — Notes have NOT been automatically called and
the Final Value of the Lesser Performing Fund is greater than or equal to its Barrier Amount.
Date
|
Closing Price of Lesser
Performing Fund
|
|
First Review Date
|
$80.00
|
Notes NOT automatically called
|
Second Review Date
|
$75.00
|
Notes NOT automatically called
|
Third through Eighth Review Dates
|
Less than Call Value
|
Notes NOT automatically called
|
Final Review Date
|
$60.00
|
Notes NOT automatically called; Final Value of Lesser Performing Fund is greater than or equal to Barrier Amount
|
|
Total Payment
|
$1,000.00 (0.00% return)
|
Because the notes have not been automatically called and the Final
Value of the Lesser Performing Fund is greater than or equal to its Barrier Amount, the payment at maturity, for each $1,000 principal
amount note, will be $1,000.00.
Example
4 — Notes have NOT been automatically called and the Final Value of the Lesser Performing Fund is less than its Barrier Amount.
Date
|
Closing Price of Lesser
Performing Fund
|
|
First Review Date
|
$80.00
|
Notes NOT automatically called
|
Second Review Date
|
$70.00
|
Notes NOT automatically called
|
Third through Eighth Review Dates
|
Less than Call Value
|
Notes NOT automatically called
|
Final Review Date
|
$50.00
|
Notes NOT automatically called; Final Value of Lesser Performing Fund is less than Barrier Amount
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the notes have not been automatically called, the Final
Value of the Lesser Performing Fund is less than its Barrier Amount and the Lesser Performing Fund 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.
PS-4
| Structured Investments
Review Notes Linked to the Lesser Performing of the iShares®
MSCI Emerging Markets ETF and the iShares® Russell 2000 Value ETF
|
|
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement
and underlying supplement.
Risks Relating to the Notes Generally
|
·
|
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 Fund is less than its Barrier Amount, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value of the Lesser Performing Fund 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.
|
·
|
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 ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
|
regardless of any appreciation of either Fund, which may
be significant. You will not participate in any appreciation of either Fund.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH FUND —
|
Payments on the notes are not linked to a basket composed
of the Funds and are contingent upon the performance of each individual Fund. Poor performance by either of the Funds over the term of
the notes may result in the notes not being automatically called on a Review Date, may negatively affect your payment at maturity and
will not be offset or mitigated by positive performance by the other Fund.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING FUND.
|
|
·
|
THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of either Fund is less than its Barrier
Amount and the notes have not been automatically called, the benefit provided by the Barrier Amount will terminate and you will be fully
exposed to any depreciation of the Lesser Performing Fund.
|
·
|
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 one year. There is no guarantee that you would be able to reinvest the proceeds from
an investment in the notes at a comparable return 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.
PS-5
| Structured Investments
Review Notes Linked to the Lesser Performing of the iShares®
MSCI Emerging Markets ETF and the iShares® Russell 2000 Value ETF
|
|
|
·
|
THE NOTES DO NOT PAY INTEREST.
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON EITHER FUND OR THE SECURITIES HELD BY EITHER FUND OR HAVE ANY RIGHTS WITH RESPECT TO EITHER FUND
OR THOSE SECURITIES.
|
|
·
|
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE PRICE OF ONE SHARE OF THAT
FUND IS VOLATILE.
|
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 Call Premium Amounts.
Risks Relating to Conflicts of Interest
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.
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
|
·
|
THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling
commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
|
·
|
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.
|
·
|
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).
PS-6
| Structured Investments
Review Notes Linked to the Lesser Performing of the iShares®
MSCI Emerging Markets ETF and the iShares® Russell 2000 Value ETF
|
|
|
·
|
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, 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,
projected hedging profits, if any, estimated hedging costs and the prices of one share of the Funds. 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.
Risks Relating to the Funds
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject to management risk, which is the risk
that the investment strategies of the applicable Fund’s investment adviser, the implementation of which is subject to a number of
constraints, may not produce the intended results. These constraints could adversely affect the market prices of the shares of the Funds
and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate its Underlying Index
(as defined under “The Funds” below) and may hold securities different from those included in its Underlying Index. In addition,
the performance of each Fund will reflect additional transaction costs and fees that are not included in the calculation of its Underlying
Index. All of these factors may lead to a lack of correlation between the performance of each Fund and its Underlying Index. In addition,
corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs) may impact the variance between
the performances of that Fund and its Underlying Index. Finally, because the shares of each Fund are traded on a securities exchange and
are subject to market supply and investor demand, the market value of one share of each Fund may differ from the net asset value per share
of that Fund.
During periods of market volatility, securities underlying
each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per
share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt the ability
of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially, the
prices at which market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances, the market value
of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the performance
of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of that Fund, which
could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE iSHARES® MSCI EMERGING MARKETS
ETF —
|
The equity securities held
by the iShares® MSCI Emerging Markets ETF 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. 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.
|
·
|
EMERGING MARKETS RISK WITH RESPECT TO THE iSHARES® MSCI EMERGING MARKETS ETF —
|
The equity securities held by the iShares®
MSCI Emerging Markets ETF have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging
markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership
and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The
economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global
trade conditions, and may suffer from extreme and
PS-7
| Structured Investments
Review Notes Linked to the Lesser Performing of the iShares®
MSCI Emerging Markets ETF and the iShares® Russell 2000 Value ETF
|
|
volatile debt burdens or inflation rates. Local securities
markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making
prompt liquidation of holdings difficult or impossible at times.
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THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE iSHARES®
MSCI EMERGING MARKETS ETF —
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Because the prices of the equity securities held by the
iShares® MSCI Emerging Markets ETF are converted into U.S. dollars for purposes of calculating the net asset value of the
iShares® MSCI Emerging Markets ETF, holders of the notes will be exposed to currency exchange rate risk with respect to
each of the currencies in which the equity securities held by the iShares® MSCI Emerging Markets ETF trade. Your net exposure
will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity securities
held by the Fund denominated in each of those currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens
against those currencies, the price of the iShares® MSCI Emerging Markets ETF will be adversely affected and any payment
on the notes may be reduced.
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RECENT EXECUTIVE ORDERS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE iSHARES®
MSCI EMERGING MARKETS ETF —
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Pursuant to recent
executive orders, U.S. persons are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain
companies that are determined to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities
that are derivative of, or are designed to provide investment exposure to, those securities. The sponsor of the Underlying Index
for the iShares® MSCI Emerging Markets ETF has recently removed the equity securities of a small number of companies from
that Underlying Index in response to these executive orders and, as a result, these stocks have also been removed from the iShares®
MSCI Emerging Markets ETF. If the issuer of any of the equity securities held by the iShares® MSCI Emerging Markets
ETF is in the future designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly,
which would adversely affect the performance of the iShares® MSCI Emerging Markets ETF. In addition, under these
circumstances, each of the sponsor of the Underlying Index for the iShares® MSCI Emerging Markets ETF and the iShares®
MSCI Emerging Markets ETF is expected to remove the equity securities of that company from that Underlying Index and the iShares®
MSCI Emerging Markets ETF, respectively. Any changes to the composition of the iShares® MSCI Emerging Markets ETF
in response to these executive orders could adversely affect the performance of the iShares® MSCI Emerging Markets ETF.
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE iSHARES®
RUSSELL 2000 VALUE ETF —
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The equity securities held by the iShares®
Russell 2000 Value ETF 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. These companies tend to be less well-established than
large market capitalization 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.
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THE INVESTMENT STRATEGY REPRESENTED BY THE iSHARES® RUSSELL 2000 VALUE ETF MAY NOT BE SUCCESSFUL —
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The iShares®
Russell 2000 Value ETF seeks to track the investment results, before fees and expenses, of an index composed of small capitalization U.S.
equities that exhibit value characteristics, which is currently the Russell 2000® Value Index. The Russell 2000®
Value Index measures the capitalization-weighted price performance of the stocks included in the Russell 2000® Index that
are determined by FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted growth values. A “value”
investment strategy is premised on the goal of investing in stocks that are determined to be relatively cheap or “undervalued”
under the assumption that the value of those stocks will increase over time as the market comes to reflect the “fair” market
value of those stocks. However, the value characteristics referenced by the Russell 2000® Value Index may not be
accurate predictors of undervalued stocks, and there is no guarantee that undervalued stocks will appreciate. In addition, the Russell
2000® Value Index’s selection methodology includes a significant bias against stocks with strong growth characteristics,
and stocks with strong growth characteristics may outperform stocks with weak growth characteristics. There is no assurance that
the iShares® Russell 2000 Value ETF will outperform any other index, exchange-traded fund or strategy that tracks
U.S. stocks selected using other criteria and may underperform the Russell 2000® Index as a whole.
It is possible that the stock selection methodology of the Russell 2000® Value Index will adversely affect its return
and, consequently, the level of the Russell 2000® Value Index, the price of one share of the iShares® Russell
2000 Value ETF and the value and return of the notes.
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THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
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The calculation agent will make adjustments to the Share
Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will not make an
adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not require the calculation
agent to make an adjustment, the value of the notes may be materially and adversely affected.
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The Funds
The iShares® MSCI Emerging Markets ETF is an exchange-traded
fund of iShares®, Inc., a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of large- and mid-capitalization emerging market equities, which we refer to as the Underlying Index with respect
to the iShares® MSCI Emerging Markets ETF. The Underlying Index for the iShares® MSCI Emerging Markets ETF
is currently the MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that
is designed to measure the equity market performance of global emerging markets. For additional information about the iShares®
MSCI Emerging Markets ETF, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying
supplement.
The iShares® Russell 2000 Value ETF is an exchange-traded
fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of small capitalization U.S. equities that exhibit value characteristics, which we refer to as the Underlying Index
with respect to the iShares® Russell 2000 Value ETF. The Underlying Index for the iShares® Russell 2000
Value ETF is currently the Russell 2000® Value Index. The Russell 2000® Value Index measures the capitalization-weighted
price performance of the stocks included in the Russell 2000® Index that are determined by FTSE Russell to be value oriented,
with lower price-to-book ratios and lower forecasted growth values. For additional information about the iShares® Russell
2000 Value ETF, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying supplement.
For purposes of the accompanying underlying supplement, the iShares® Russell 2000 Value ETF is an “iShares®
ETF.” For additional information about the Russell 2000® Value Index, see Annex A in this pricing supplement.
Historical Information
The following graphs set forth the historical performance of each
Fund based on the weekly historical closing prices of one share of each Fund from January 8, 2016 through September 17, 2021. The closing
price of one share of the iShares® MSCI Emerging Markets ETF on September 22, 2021 was $50.99. The closing price of one
share of the iShares® Russell 2000 Value ETF on September 22, 2021 was $158.97. We obtained the closing prices above and
below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
prices above and below may have been adjusted by Bloomberg for actions taken by the Funds, such as stock splits.
The historical closing prices of one share of each Fund 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 Fund
on the Pricing Date or any Review Date. There can be no assurance that the performance of the Funds will result in the return of any of
your principal amount.
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Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.
federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S. federal income
tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders
— Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this
treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for
more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not respect
this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely 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; the relevance of factors such as the nature of the underlying property to which the
instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be
subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge.
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 and adversely affect the tax consequences of an investment in the notes, possibly
with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the
notes, including possible alternative treatments and the issues presented by this notice.
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. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2023 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.
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The Estimated Value of the
Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes 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 —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — 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 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 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 — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — 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, 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 — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — 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.
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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 Funds”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Supplemental Plan of
Distribution
We expect that delivery of the notes will be made against payment
for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third business
day following the Pricing Date of the notes (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 notes 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.
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 and the accompanying underlying 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” sections of the accompanying prospectus supplement,
the accompanying product supplement and the accompanying underlying 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.
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Annex
A
The Russell 2000® Value Index
All information contained in this pricing supplement regarding
the Russell 2000® Value Index (the “Value Index”), including, without limitation, its make-up, method of calculation
and changes in its components, has been derived from publicly available information, without independent verification. This information
reflects the policies of, and is subject to change by, FTSE Russell. The Value Index is calculated, maintained and published by FTSE Russell.
FTSE Russell has no obligation to publish, and may discontinue the publication of, the Value Index.
The Value Index is reported by Bloomberg under the ticker symbol
“RUJ.”
The Value Index measures the capitalization-weighted price performance
of the stocks included in the Russell 2000® Index (each, a “Russell 2000 Component Stock” and collectively,
the “Russell 2000 Component Stocks”) that are determined by FTSE Russell to be value oriented, with lower price-to-book ratios
and lower forecasted growth values. The Russell 2000® Index measures the capitalization-weighted price performance of 2,000
U.S. small-capitalization stocks listed on eligible U.S. exchanges. For more information about the Russell 2000® Index,
see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
FTSE Russell uses a “non-linear probability” method
to assign stocks to the Value Index and the Russell 2000® Growth Index (the “Growth Index”), an index that
measures the capitalization-weighted price performance of the Russell 2000 Component Stocks determined by FTSE Russell to be growth oriented,
with higher price-to-book ratios and higher forecasted growth values. The term “probability” is used to indicate the degree
of certainty that a stock is value or growth based on its relative book-to-price (B/P) ratio, I/B/E/S forecast medium-term growth (2 year)
and sales per share historical growth (5 year). This method allows stocks to be represented as having both growth and value characteristics,
while preserving the additive nature of the indices.
The process for assigning growth and value weights is applied separately
to the Russell 2000 Component Stocks. The Russell 2000 Component Stocks are ranked by their adjusted book-to-price ratio (B/P), their
I/B/E/S forecast medium-term growth (2 year) and sales per share historical growth (5 year). These rankings are converted to standardized
units, where the value variable represents 50% of the score and the two growth variables represent the remaining 50%. They are then combined
to produce a Composite Value Score (“CVS”).
The Russell 2000 Component Stocks are then ranked by their CVS,
and a probability algorithm is applied to the CVS distribution to assign growth and value weights to each stock. In general, a stock with
a lower CVS is considered growth, a stock with a higher CVS is considered value, and a stock with a CVS in the middle range is considered
to have both growth and value characteristics, and is weighted proportionately in the growth and value indices. Stocks are always fully
represented by the combination of their growth and value weights (e.g., a stock that is given a 20% weight in the Value Index will have
an 80% weight in the Growth Index).
Stock A, in the figure below, is a security with 20% of its available
shares assigned to the Value Index and the remaining 80% assigned to the Growth Index. Hence, the sum of a stock’s market capitalization
in the Value Index and the Growth Index will always equal its market capitalization in the Russell 2000® Index.
In the figure above, the quartile breaks are calculated such that
approximately 25% of the available market capitalization lies in each quartile. Stocks at the median are divided 50% in each of the Value
Index and the Growth Index. Stocks below the first quartile are 100% in the Growth Index. Stocks above the third quartile are 100% in
the Value Index. Stocks falling between the first and third quartile breaks are in both the Value Index and the Growth Index to varying
degrees, depending on how far they are above or below the median and how close they are to the first or third quartile breaks.
Roughly 70% of the available market capitalization is classified
as all growth or all value. The remaining 30% have some portion of their market value in either the Value Index or the Growth Index, depending
on their relative distance from the median value score.
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Note that there is a small position cutoff rule. If a stock’s
weight is more than 95% in one index, its weight is increased to 100% in that index.
In an effort to mitigate unnecessary turnover, FTSE Russell implements
a banding methodology at the CVS level of the growth and value style algorithm. If a company’s CVS change from the previous year
is greater than or equal to +/- 0.10 and if the company remains in the same core index (i.e., the Russell 2000® Index),
then the CVS remains unchanged during the next reconstitution process. Keeping the CVS static for these companies does not mean the probability
(growth/value) will remain unchanged in all cases due to the relation of a CVS score to the overall index. However, this banding methodology
is intended to reduce turnover caused by smaller, less meaningful movements while continuing to allow the larger, more meaningful changes
to occur, signaling a true change in a company’s relation to the market.
In calculating growth and value weights, stocks with missing or
negative values for B/P, or missing values for I/B/E/S growth, or missing sales per share historical growth (6 years of quarterly numbers
are required), are allocated by using the mean value score of the base index (the Russell 2000® Index), the Russell Global
Sectors (ICB) industry, subsector or sector group into which the company falls. Each missing (or negative B/P) variable is substituted
with the industry, subsector or sector group independently. An industry must have five members or the substitution reverts to the subsector,
and so forth to the sector. In addition, a weighted value score is calculated for securities with low analyst coverage for I/B/E/S medium-term
growth. For securities with coverage by a single analyst, 2/3 of the industry, subsector, or sector group value score is weighted with
1/3 the security’s independent value score. For those securities with coverage by two analysts, 2/3 of the independent security’s
value score is used and only 1/3 of the industry, subsector, or sector group is weighted. For those securities with at least three analysts
contributing to the I/B/E/S medium-term growth, 100% of the independent security’s value score is used.
For more information about the index calculation methodology used
for the Value Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
For purposes of this pricing supplement, all references to the Russell Indices contained in the above-referenced section are deemed to
include the Value Index.
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