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 July 24, 2024
PRICING SUPPLEMENT dated July , 2024
(To the Prospectus and Prospectus Supplement, each dated April 13, 2023,
Product Supplement no. WF-1-I dated April 13, 2023, Underlying Supplement no. 1-I dated April 13, 2023 and Prospectus Addendum dated June
3, 2024) |
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01 |
![Kwan's HD:Users:design:Documents:Kwan:JPM logos:J.P. Morgan Logos:Logo_2008_JPM_allSizes_RGB:PNG:Logo2008_JPM_C_RGB.png](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063787/image_001.jpg) |
JPMorgan Chase Financial Company
LLC
Global Medium-Term Notes, Series
A
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co. |
Market Linked Securities — Leveraged Upside
Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due
February 5, 2030 |
n Linked
to an unequally weighted basket composed of the EURO STOXX 50® Index (30.00% weighting), the TOPIX® Index
(20.00% weighting), the FTSE 100 Index (15.00% weighting), the S&P/ASX 200 Index (15.00% weighting) and the iShares®
MSCI Emerging Markets ETF (20.00% weighting) (each referred to as a “basket component”)
n Unlike
ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the securities
provide for a maturity payment amount that may be greater than, equal to or less than the principal amount of the securities, depending
on the performance of the basket from the starting level to the ending level. The maturity payment amount will reflect the following
terms:
n If
the level of the basket increases, you will receive the principal amount plus a positive return equal to at least 184.00% (to
be provided in the pricing supplement) of the percentage increase in the level of the basket from the starting level of the basket.
n If
the level of the basket remains flat or decreases but is not less than 70% of the starting level (the threshold level),
you will receive the principal amount.
n If
the level of the basket decreases and is less than the threshold level, you will have full downside exposure to the decrease in the level
of the basket from the starting level, and you will lose more than 30%, and possibly all, of the principal amount.
n Investors
may lose some or all of the principal amount.
n The
securities are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the securities is subject
to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co., as
guarantor of the securities.
n No
periodic interest payments or dividends
n No
exchange listing; designed to be held to maturity |
The securities have complex features and investing
in the securities involves risks not associated with an investment in conventional debt securities. See “Risk Factors” beginning
on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors” beginning
on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” on page PS-9 in this pricing supplement.
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 pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus
and prospectus addendum. Any representation to the contrary is a criminal offense.
|
Price to Public(1) |
Fees and Commissions(2)(3) |
Proceeds to Issuer |
Per Security |
$1,000.00 |
$38.70 |
$961.30 |
Total |
|
|
|
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components
of the price to public of the securities. |
| (2) | Wells Fargo Securities, LLC, which we refer to as WFS, acting as agent for JPMorgan Financial, will receive
selling commissions from us of up to $38.70 per security. WFS has advised us that it may provide
dealers, which may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of WFS’s
affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), with a selling concession of $30.00 per
security. In addition to the concession allowed to WFA, WFS has advised us that it may pay $1.20 per security of the selling commissions
to WFA as a distribution expense fee for each security sold by WFA. See “Plan of Distribution (Conflicts of Interest)” in
the accompanying product supplement. |
| (3) | In respect of certain securities sold in this offering, J.P. Morgan Securities LLC, which we refer to as
JPMS, may pay a fee of up to $2.50 per security to selected dealers in consideration for marketing and other services in connection with
the distribution of the securities to other dealers. |
If the securities priced today, the estimated
value of the securities would be approximately $938.30 per security. The estimated value of the securities, when the terms of the securities
are set, will be provided in the pricing supplement and will not be less than $910.00 per security. See “The Estimated Value of
the Securities” in this pricing supplement for additional information.
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.
Wells Fargo Securities |
![J](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063787/image_002.jpg) |
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Terms
of the Securities
Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Basket / Basket Components: |
An unequally weighted basket (the “basket”) composed of the following basket components, with the weighting percentages noted parenthetically: the EURO STOXX 50® Index (Bloomberg ticker: SX5E)(30%), the TOPIX® Index (Bloomberg ticker: TPX) (20%), the FTSE 100 Index (Bloomberg ticker: UKX)(15%) and the S&P/ASX 200 Index (Bloomberg ticker: AS51)(15%) (each referred to as an “Index,” and collectively as the “Indices”) and the iShares® MSCI Emerging Markets ETF (Bloomberg ticker: EEM) (20%) (the “Fund”) (each of the Indices and the Fund referred to as a “basket component” and collectively as the “basket components”) |
Pricing Date1: |
July 31, 2024 |
Issue Date1: |
August 5, 2024 |
Calculation Day1, 2: |
January 31, 2030 |
Stated Maturity Date1, 2: |
February 5, 2030 |
Principal Amount: |
$1,000 per security. References in this pricing supplement to a “security” are to a security with a principal amount of $1,000. |
Maturity Payment Amount: |
On the stated maturity date, you will be entitled to receive a cash payment
per security in U.S. dollars equal to the maturity payment amount. The “maturity payment amount” per security will
equal:
· if the ending level is greater than the starting level:
$1,000 + ($1,000 × basket
return × upside participation rate);
· if
the ending level is less than or equal to the starting level, but greater than or equal to the threshold level: $1,000; or
· if
the ending level is less than the threshold level:
$1,000 + ($1,000 × basket
return)
If the ending level of the basket is less than the threshold level, you will
have full downside exposure to the decrease in the level of the basket from the starting level and will lose more than 30%, and possibly
all, of the principal amount of your securities at maturity. |
Upside Participation Rate: |
The “upside participation rate” will be provided in the pricing supplement and will be at least 184% |
Basket Return: |
The “basket return” is the percentage change from the starting
level to the ending level, calculated as follows:
ending level – starting level
starting level |
Threshold Level: |
70.00, which is equal to 70% of the starting level |
Starting Level: |
100.00 |
Ending Level: |
The “ending level” will be calculated based on the weighted returns of the basket components and will be equal to the product of (i) 100 and (ii) an amount equal to 1 plus the sum of (A) 30% of the basket component return of the EURO STOXX 50® Index; (B) 20% of the basket component return of the TOPIX® Index; (C) 15% of the basket component return of the FTSE 100 Index; (D) 15% of the basket component return of the S&P/ASX 200 Index; and (E) 20% of the basket component return of the Fund. |
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Basket Component Return: |
The “basket component return” with respect to each basket
component is the percentage change from its initial basket component value to its final basket component value, calculated as follows:
final basket component value – initial
basket component value
initial basket component value |
Initial Basket Component Value: |
With respect to the EURO STOXX 50® Index: , its closing value
on the pricing date
With respect to the TOPIX® Index: , its closing value on the
pricing date
With respect to the FTSE 100 Index: , its closing value on the pricing date
With respect to the S&P/ASX 200 Index: , its closing value on the pricing
date
With respect to the Fund: $ , its closing value on the pricing date |
Final Basket Component Value: |
With respect to the EURO STOXX 50® Index: its closing value on
the calculation day
With respect to the TOPIX® Index: its closing value on the calculation
day
With respect to the FTSE 100 Index: its closing value on the calculation day
With respect to the S&P/ASX 200 Index: its closing value on the calculation
day
With respect to the Fund: its closing value on the calculation day |
Closing Value: |
With respect to each Index, “closing value” has the meaning
assigned to “closing level” as set forth under “The Underlyings — Indices — Certain Definitions” in
the accompanying product supplement.
With respect to the Fund, “closing value” has the meaning
assigned to “fund closing price” as set forth under “The Underlyings — Funds — Certain Definitions”
in the accompanying product supplement. The closing value of the Fund is subject to adjustment through the adjustment factor as described
in the accompanying product supplement. |
Additional Terms: |
Terms used in this pricing supplement, but not defined herein, will have the meanings ascribed to them in the accompanying product supplement. |
Calculation Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
Tax Considerations: |
For a discussion of the material U.S. federal income tax consequences of the ownership and disposition of the securities, see “Tax Considerations.” |
Denominations: |
$1,000 and any integral multiple of $1,000 |
CUSIP: |
48135PQT1 |
Fees and Commissions: |
Wells Fargo Securities, LLC, which we refer to as WFS, acting as agent for JPMorgan
Financial, will receive selling commissions from us of up to $38.70 per security. WFS has advised us that it may provide dealers, which
may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of WFS’s affiliates,
Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), with a selling concession of $30.00 per security.
In addition to the concession allowed to WFA, WFS has advised us that it may pay $1.20 per security of the selling commissions to WFA
as a distribution expense fee for each security sold by WFA. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement.
In addition, in respect of certain securities sold in this offering, JPMS may
pay a fee of up to $2.50 per security to selected securities dealers in consideration for marketing and other services in connection with
the distribution of the securities to other securities dealers.
We, WFS or an affiliate may enter into swap agreements or related hedge transactions
with one of our or their other affiliates or unaffiliated counterparties in connection with the sale of the securities and JPMS, WFS and/or
an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental
Use of Proceeds” below and “Use of Proceeds and Hedging” in the accompanying product supplement. |
1 Expected. In the event that we make any change to the expected
pricing date or issue date, the calculation day and/or the stated maturity date may be changed so that the stated term of the securities
remains the same.
2 Subject to postponement in the event of a non-trading day or
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
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Additional
Information about the Issuer, the Guarantor and the Securities
You may revoke your offer to purchase the securities at any
time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or
reject any offer to purchase, the securities prior to their issuance. In the event of any changes to the terms of the securities, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
You should read this 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 securities are a part, the accompanying prospectus addendum 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 securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, 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 and the accompanying product supplement and in Annex A to the accompanying prospectus
addendum, as the securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the securities.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Prospectus addendum dated June 3, 2024: |
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
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.
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The
Estimated Value of the Securities
The estimated value of the securities 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 securities, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum price at which JPMS
would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the securities 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 securities as well as the higher issuance, operational and ongoing liability management
costs of the securities in comparison to those costs for the conventional fixed 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 securities. The use of an internal funding rate and any potential changes to that
rate may have an adverse effect on the terms of the securities and any secondary market prices of the securities. For additional information,
see “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities —
The Estimated Value of the Securities 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 securities is derived from internal pricing models of our affiliates.
These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs,
some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions
about future market events and/or environments. Accordingly, the estimated value of the securities is determined when the terms of the
securities are set based on market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk
Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value
of the Securities Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates” in this pricing
supplement.
The estimated value of the securities will be lower than
the original issue price of the securities because costs associated with selling, structuring and hedging the securities are included
in the original issue price of the securities. These costs include the selling commissions paid to WFS (which WFS has advised us includes
selling concessions and distribution expense fees), the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities.
Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit
that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations
under the securities 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 Securities — The Estimated Value of the Securities Will Be Lower Than the Original Issue Price (Price to Public) of
the Securities” in this pricing supplement.
Secondary
Market Prices of the Securities
For information about factors that will impact any secondary
market prices of the securities, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes — Secondary market prices of the securities 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 securities will
be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over
an initial predetermined period that is intended to be approximately six months. The length of any such initial period reflects the structure
of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging
the securities and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Securities — The Value of the Securities as Published by JPMS
(and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for
a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The securities are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the securities. See “Hypothetical Examples and Returns”
in this pricing supplement for an illustration of the risk-return profile of the securities and “The Basket,” “EURO
STOXX 50® Index,” “TOPIX® Index”, “FTSE 100 Index”, “S&P/ASX 200
Index” and “iShares® MSCI Emerging Markets ETF” in this pricing supplement for a description of the market
exposure provided by the securities.
The original issue price of the securities is equal to the
estimated value of the securities plus the selling commissions paid to WFS (which WFS has advised us includes selling concessions and
distribution expense fees), plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities.
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Supplemental
Terms of the Securities
Any values of the basket components, and any values derived
therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this
pricing supplement and the corresponding terms of the securities. Notwithstanding anything to the contrary in the indenture governing
the securities, that amendment will become effective without consent of the holders of the securities or any other party.
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Investor
Considerations
The securities are not appropriate for all investors.
The securities may be an appropriate investment for you if all of the following statements are true:
| § | You do not seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| § | You anticipate that the ending level of the basket will be greater than the starting level, and you are willing and able to accept
the risk that, if the ending level of the basket is less than the threshold level, you will lose more than 30%, and possibly all, of the
principal amount of your securities at maturity. |
| § | You are willing and able to accept the risks associated with an investment linked to the performance of the basket, as explained in
more detail in the Selected Risk Considerations section of this pricing supplement. |
| § | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the Fund
or the securities composing the basket components, nor will you have any voting rights with respect to the Fund or the securities composing
the basket components. |
| § | You do not seek an investment for which there will be an active secondary market and you are willing and able to hold the securities
to maturity. |
| § | You are willing and able to assume our and JPMorgan Chase & Co.s credit risks for all payments on the securities. |
The securities may not be an appropriate investment for
you if any of the following statements are true:
| § | You seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| § | You seek an investment that provides for the full repayment of principal at maturity. |
| § | You anticipate that the ending level of the basket will be less than the starting level, or you are unwilling or unable to accept
the risk that, if the ending level of the basket is less than the threshold level, you will lose more than 30%, and possibly all, of the
principal amount of your securities at maturity. |
| § | You are unwilling or unable to accept the risks associated with an investment linked to the performance of the basket, as explained
in more detail in the Selected Risk Considerations section of this pricing supplement. |
| § | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the Fund or the securities
composing the basket components. |
| § | You seek an investment for which there will be an active secondary market and/or you are unwilling or unable to hold the securities
to maturity. |
| § | You are unwilling or unable to assume our and JPMorgan Chase & Co.s credit risks for all payments on the securities. |
The considerations identified above are not exhaustive.
Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you should reach
an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the appropriateness
of an investment in the securities in light of your particular circumstances. You should also review carefully the “Selected Risk
Considerations” section in this pricing supplement, the “Risk Factors” sections in the accompanying prospectus supplement
and product supplement and Annex A to the accompanying prospectus addendum. For more information about the basket and the basket components,
please see the sections titled “The Basket,” “The EURO STOXX 50® Index,” “The TOPIX®
Index,” “The FTSE 100 Index,” “The S&P/ASX 200 Index” and “The iShares® MSCI Emerging
Markets ETF” below.
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Determining
the Maturity Payment Amount
On the stated maturity date, you will receive a cash payment
per security (the maturity payment amount) calculated as follows:
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063787/image_003.jpg)
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Selected
Risk Considerations
An investment in the securities involves significant risks.
Investing in the securities is not equivalent to investing directly in the basket, the basket components or their components. Some of
the risks that apply to an investment in the securities are summarized below, but we urge you to read the more detailed explanation of
risks relating to the securities generally in the “Risk Factors” sections of the accompanying prospectus supplement and the
accompanying product supplement and in Annex A to the accompanying prospectus addendum. You should not purchase the securities unless
you understand and can bear the risks of investing in the securities.
Risks Relating to the Securities Generally
| · | If the Ending Level of the Basket Is Less Than the Threshold Level, You Will Lose More Than 30%, and Possibly
All, of the Principal Amount of Your Securities at Maturity The securities do not guarantee the full return of principal. The
return on the securities at maturity is linked to the performance of the basket and will depend on whether, and the extent to which, the
basket has appreciated or depreciated. If the ending level of the basket is less than the threshold level, you will lose 1% of the principal
amount of the securities for every 1% that the ending level is less than the starting level. Accordingly, under these circumstances, you
will lose more than 30%, and possibly all, of your principal amount at maturity. |
| · | The Securities Are Subject to the 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 securities.
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 securities. If we and JPMorgan Chase & Co.
were to default on our payment obligations, you may not receive any amounts owed to you under the securities and you could lose your entire
investment. |
| · | As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Has Limited Assets
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration
of our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co.,
substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to
JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co.
to meet our obligations under the securities. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy
or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in respect
of the securities as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments
on the securities, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information,
see the accompanying prospectus addendum. |
| · | Changes in the Values of the Basket Components May Offset Each Other The securities are linked
to an unequally weighted basket consisting of the basket components. Movements in the values of the basket components may or may not be
correlated with each other. At a time when the value of one basket component increases, the values of one or more of the other basket
components may not increase as much or may even decline. Therefore, in calculating the ending level, an increase in the value of one basket
component may be moderated, or more than offset, by a lesser increase or decline in the values of one or more of the other basket components.
There can be no assurance that the ending level will be higher than the starting level. Even if one basket component appreciates significantly
over the term of the securities, you may lose some or most of your principal amount at stated maturity. In addition, because the basket
components are unequally weighted, increases in the final basket component values of the lower-weighted basket components may be offset
by even small decreases in the final basket component value of the more heavily weighted basket component. |
| · | Correlation of Performances Among the Basket Components May Reduce the Performance of the Securities
There may be high correlation of movements in the basket components during periods of negative returns, which could have an adverse effect
on your return on the securities. However, the movements in the basket components may become uncorrelated in the future. Accordingly,
at a time when the value of one basket component increases, the values of one or more of the other basket components may not increase
as much or may even decline. See Changes in the Values of the Basket Components May Offset Each Other above. |
| · | No Interest or Dividend Payments or Voting Rights As a holder of the securities, you will not
receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights
that holders of the Fund or the securities included in or held by basket components would have. |
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
| · | Lack of Liquidity The securities will not be listed on any securities exchange. Accordingly,
the price at which you may be able to trade your securities is likely to depend on the price, if any, at which JPMS or WFS is willing
to buy the securities. You may not be able to sell your securities. The securities are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your securities to maturity. |
| · | The Final Terms and Estimated Valuation of the Securities Will Be Provided in the Pricing Supplement
You should consider your potential investment in the securities based on the minimums for the estimated value of the securities
and the upside participation rate. |
| · | The U.S. Federal Tax Consequences of the Securities Are Uncertain, and May Be Adverse to a Holder of
the Securities See Tax Considerations below and Risk Factors Risks Relating to the Notes Generally
The tax consequences of an investment in the notes are uncertain in the accompanying product supplement. |
Risks Relating to Conflicts of Interest
| · | Potential Conflicts We and our affiliates play a variety of roles in connection with the issuance
of the securities, including acting as calculation agent and hedging our obligations under the securities and making the assumptions used
to determine the pricing of the securities and the estimated value of the securities when the terms of the securities are set, which we
refer to as the estimated value of the securities. In performing these duties, our and JPMorgan Chase & Co.s economic
interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as
an investor in the securities. In addition, our and JPMorgan Chase & Co.s business activities, including hedging and
trading activities, could cause our and JPMorgan Chase & Co.s economic interests to be adverse to yours and could
adversely affect any payment on the securities and the value of the securities. It is possible that hedging or trading activities of ours
or our affiliates in connection with the securities could result in substantial returns for us or our affiliates while the value of the
securities declines. Please refer to Risk Factors Risks Relating to Conflicts of Interest in the accompanying product
supplement for additional information about these risks. |
Risks Relating to the Estimated Value
of the Securities and the Secondary Market
| · | The Estimated Value of the Securities Will Be Lower Than the Original Issue Price (Price to Public) of
the Securities The estimated value of the securities is only an estimate determined by reference to several factors. The original
issue price of the securities will exceed the estimated value of the securities because costs associated with selling, structuring and
hedging the securities are included in the original issue price of the securities. These costs include the selling commissions, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and
the estimated cost of hedging our obligations under the securities. See The Estimated Value of the Securities in this pricing
supplement. |
| · | The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ
from Others Estimates The estimated value of the securities is determined by reference to internal pricing models of
our affiliates when the terms of the securities are set. This estimated value of the securities is based on market conditions and other
relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates, interest
rates and other factors. Different pricing models and assumptions could provide valuations for the securities that are greater than or
less than the estimated value of the securities. In addition, market conditions and other relevant factors in the future may change, and
any assumptions may prove to be incorrect. On future dates, the value of the securities could change significantly based on, among other
things, changes in market conditions, our or JPMorgan Chase & Co.s creditworthiness, interest rate movements and other
relevant factors, which may impact the price, if any, at which JPMS would be willing to buy securities from you in secondary market transactions.
See The Estimated Value of the Securities in this pricing supplement. |
| · | The Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate —
The internal funding rate used in the determination of the estimated value of the securities 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 securities as well as the higher issuance,
operational and ongoing liability management costs of the securities in comparison to those costs for the conventional fixed 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 securities. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities and any secondary market
prices of the securities. See “The Estimated Value of the Securities” in this pricing supplement. |
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
| · | The Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited Time Period We generally expect that some
of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases
of your securities by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling
commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market
funding rates for structured debt issuances. See Secondary Market Prices of the Securities in this pricing supplement for
additional information relating to this initial period. Accordingly, the estimated value of your securities during this initial period
may be lower than the value of the securities as published by JPMS (and which may be shown on your customer account statements). |
| · | Secondary Market Prices of the Securities Will Likely Be Lower Than the Original Issue Price of the Securities
Any secondary market prices of the securities will likely be lower than the original issue price of the securities because, among
other things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and,
also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs
that are included in the original issue price of the securities. As a result, the price, if any, at which JPMS will be willing to buy
securities from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you
prior to the stated maturity date could result in a substantial loss to you. See the immediately following risk consideration for information
about additional factors that will impact any secondary market prices of the securities. |
The securities are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity. See “—
Risks Relating to the Securities Generally — Lack of Liquidity” above.
| · | Many Economic and Market Factors Will Impact the Value of the Securities As described under
The Estimated Value of the Securities in this pricing supplement, the securities can be thought of as securities that combine
a fixed-income debt component with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and
derivative instruments will also influence the terms of the securities at issuance and their value in the secondary market. Accordingly,
the secondary market price of the securities during their term will be impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and
the level of the basket, including: |
| · | any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads; |
| · | customary bid-ask spreads for similarly sized trades; |
| · | our internal secondary market funding rates for structured debt issuances; |
| · | the actual and expected volatility of the basket components; |
| · | the time to maturity of the securities; |
| · | the dividend rates on the equity securities included in or held by the basket components; |
| · | the occurrence of certain events affecting the Fund that may or may not require an
adjustment to the adjustment factor of the Fund; |
| · | interest and yield rates in the market generally; |
| · | the actual and expected positive or negative correlation among the basket components,
or the actual or expected absence of any such correlation; and |
| · | a variety of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing to purchase your
securities in the secondary market.
Risks Relating to the Basket
| · | The Securities Are Subject to Non-U.S. Securities Risk
The equity securities included in the basket components 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 home countries and/or 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. |
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
| · | No Direct Exposure to Fluctuations In Foreign Exchange Rates
with Respect to the Indices The value of your securities will not be adjusted for exchange rate fluctuations between the U.S.
dollar and the currencies upon which the equity securities included in the Indices are based, although any currency fluctuations could
affect the performance of the Indices. |
| · | There Are Risks Associated with the Fund The Fund is subject
to management risk, which is the risk that the investment strategies of the Funds 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 price
of the shares of the Fund and, consequently, the value of the securities. |
| · | The Performance and Market Value of the Fund, Particularly During Periods of Market Volatility, May Not
Correlate with the Performance of the Funds Fund Underlying Index As Well As the Net Asset Value Per Share The
Fund does not fully replicate its fund underlying index (as defined under The iShares® MSCI Emerging Markets
ETF below) and may hold securities different from those included in its fund underlying index.
In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of
its fund underlying index. All of these factors may lead to a lack of correlation between the performance of the Fund and its fund underlying
index. In addition, corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs) may impact
the variance between the performances of the Fund and its fund underlying index. Finally, because the shares of the Fund are traded on
a securities exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from
the net asset value per share of the Fund. |
During periods of market volatility,
securities underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the
net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also
disrupt the ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes
materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances,
the market value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing
reasons, the performance of the Fund may not correlate with the performance of its fund underlying index as well as the net asset value
per share of the Fund, which could materially and adversely affect the value of the securities in the secondary market and/or reduce any
payment on the securities.
| · | Emerging Markets Risk with Respect to the Fund The equity
securities held by the Fund 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 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. |
| · | The Securities Are Subject to Currency Exchange Risk 2ith Respect to the Fund Because
the prices of the equity securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of
the Fund, holders of the securities will be exposed to currency exchange rate risk with respect to each of the currencies in which the
equity securities held by the Fund 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 Fund will be adversely affected
and any payment on the securities may be reduced. |
| · | Recent Executive Orders May Adversely Affect the Performance of the Fund 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 Peoples 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 fund underlying
index has recently removed the equity securities of a small number of companies from that fund underlying index in response to these executive
orders and, as a result, these stocks have also been removed from the Fund. If the issuer of any of the equity securities held by the
Fund 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 Fund. In addition, under these circumstances, each of the sponsor of the fund underlying
index and the Fund is expected to remove the equity securities of that company from that fund underlying index and the Fund, respectively.
Any changes to the composition of the Fund in response to these executive orders could adversely affect the performance of the Fund. |
| · | The Anti-Dilution Protection for the Fund Is Limited and May Be Discretionary The
calculation agent will, in its sole discretion, adjust the adjustment factor, which will be set initially at 1.0, of the Fund for certain
events affecting the Fund, such as stock splits. However, the calculation agent is not required to make an adjustment for every event
that can affect the Fund. If such a dilution event occurs and the calculation agent is not required to make an adjustment, the value of
the securities may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments in response
to events that are not described in the accompanying product supplement to account for any dilutive or concentrative effect, but the calculation
agent is under no obligation to do so. |
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
| · | The Maturity Payment Amount Will Depend upon the Performance of the Basket and Therefore the Securities
Are Subject to the Following Risks, Each as Discussed in More Detail in the Accompanying Product Supplement. |
| · | You Will Have No Ownership Rights in the Basket Components or Any of the Securities Underlying the Basket
Components. Investing in the securities is not equivalent to investing directly in any or all of the basket components or any of the
securities underlying the basket components or exchange-traded or over-the-counter instruments based on any of the foregoing. As an investor
in the securities, you will not have any ownership interests or rights in any of the foregoing. |
| · | Historical Values of the Basket and the Basket Components Should Not Be Taken as an Indication of the
Future Performance of the Basket and the Basket Components During the Term of the Securities. |
| · | The Sponsor of an Index May Adjust that Index in a Way that Affects Its Value, and No Index Sponsor Has
an Obligation to Consider Your Interests. |
| · | The Policies of the Investment Adviser for the Fund, and the Sponsor of Its Fund Underlying Index, Could
Affect the Value of, and Any Amount Payable on, the Securities. |
| · | We Cannot Control Actions by Any of the Unaffiliated Companies Whose Securities Are Included in or Held
by the Basket Components. |
| · | We and Our Affiliates Have No Affiliation with the Index Sponsor of an Index or the Sponsor of the Fund
and Have Not Independently Verified Its Public Disclosure of Information.
|
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Hypothetical
Examples and Returns |
The payout profile, return table and examples below illustrate the maturity
payment amount for a security on a hypothetical offering of securities under various scenarios, with the assumptions set forth in the
table below. The terms used for purposes of these hypothetical examples do not represent the actual starting level or threshold level.
The hypothetical initial basket component value of each basket component of
100.00 has been chosen for illustrative purposes only and may not represent a likely actual initial basket component value of that basket
component. The actual initial basket component value of each basket component will be its closing value on the pricing date and will be
specified in the pricing supplement. For historical data regarding the actual closing values of the basket components, please see the
historical information set forth under “The EURO STOXX 50® Index,” “The TOPIX® Index,”
“The FTSE 100 Index,” “The S&P/ASX 200 Index” and “The iShares® MSCI Emerging Markets
ETF” in this pricing supplement.
The payout profile, return table and examples below assume that an
investor purchases the securities for $1,000 per security. These examples are for purposes of illustration only and the values used in
the examples may have been rounded for ease of analysis. The payout profile, return table and examples below do not take into account
any tax consequences from investing in the securities. The actual maturity payment amount and resulting pre-tax total rate of return will
depend on the actual terms of the securities.
Upside Participation Rate: |
184.00% |
Starting Level: |
100.00 |
Threshold Level: |
70.00 (70% of the starting level) |
Hypothetical Initial Component Value: |
With respect to the EURO STOXX 50® Index, the TOPIX®
Index, the FTSE 100 Index and the S&P/ASX 200 Index, 100.00
With respect to the Fund, $100.00 |
Hypothetical Payout Profile
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063787/image_004.jpg)
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Hypothetical Returns
Hypothetical
ending level |
Hypothetical
basket return |
Hypothetical
maturity payment
amount per security |
Hypothetical
pre-tax total
rate of return(1) |
150.00 |
50.00% |
$1,920.00 |
92.00% |
140.00 |
40.00% |
$1,736.00 |
73.60% |
130.00 |
30.00% |
$1,552.00 |
55.20% |
120.00 |
20.00% |
$1,368.00 |
36.80% |
110.00 |
10.00% |
$1,184.00 |
18.40% |
105.00 |
5.00% |
$1,092.00 |
9.20% |
102.50 |
2.50% |
$1,046.00 |
4.60% |
100.00 |
0.00% |
$1,000.00 |
0.00% |
90.00 |
-10.00% |
$1,000.00 |
0.00% |
80.00 |
-20.00% |
$1,000.00 |
0.00% |
70.00 |
-30.00% |
$1,000.00 |
0.00% |
69.00 |
-31.00% |
$690.00 |
-31.00% |
60.00 |
-40.00% |
$600.00 |
-40.00% |
50.00 |
-50.00% |
$500.00 |
-50.00% |
25.00 |
-75.00% |
$250.00 |
-75.00% |
0.00 |
-100.00% |
$0.00 |
-100.00% |
| (1) | The hypothetical pre-tax total rate of return is the number, expressed as a percentage, that results from comparing the maturity payment
amount per security to the principal amount of $1,000. |
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Hypothetical Examples
Example 1. The ending level of the basket is greater than the starting
level, and the maturity payment amount is greater than the principal amount:
|
EURO STOXX
50® Index |
TOPIX® Index |
FTSE 100 Index |
S&P/ASX 200
Index |
iShares® MSCI
Emerging
Markets ETF |
Hypothetical initial basket component value: |
100.00 |
100.00 |
100.00 |
100.00 |
$100.00 |
Hypothetical final basket component value: |
130.00 |
150.00 |
110.00 |
110.00 |
$140.00 |
Hypothetical basket component return
(final basket component value – initial basket component value)/ initial
basket component value: |
30.00% |
50.00% |
10.00% |
10.00% |
40.00% |
Based on the hypothetical basket component returns set forth above,
the hypothetical ending level would equal:
100 × [1 + (30.00% × 30.00%) + (50.00% × 20.00%)
+ (10.00% × 15.00%) + (10.00% × 15.00%) + (40.00% × 20.00%)] = 130.00
Because the hypothetical ending level is greater than the hypothetical
starting level, the maturity payment amount per security would be equal to the principal amount of $1,000 plus a positive return
equal to:
$1,000 × basket return × upside
participation rate
$1,000 + ($1,000 × 30.00% × 184.00%)
= $1,552.00
On the stated maturity date, you would receive $1,552.00 per security.
Example 2. The ending level of the basket is less than the starting
level but greater than the threshold level, and the maturity payment amount is equal to the principal amount:
|
EURO STOXX 50®
Index |
TOPIX® Index |
FTSE 100 Index |
S&P/ASX 200
Index |
iShares® MSCI
Emerging
Markets ETF |
Hypothetical initial basket component value: |
100.00 |
100.00 |
100.00 |
100.00 |
$100.00 |
Hypothetical final basket component value: |
55.00 |
110.00 |
120.00 |
110.00 |
$110.00 |
Hypothetical basket component return
(final basket component value – initial basket component value)/ initial
basket component value: |
-45.00% |
10.00% |
20.00% |
10.00% |
10.00% |
Based on the hypothetical basket component returns set forth above,
the hypothetical ending level would equal:
100 × [1 + (-45.00% × 30.00%) + (10.00% × 20.00%)
+ (20.00% × 15.00%) + (10.00% × 15.00%) + (10.00% × 20.00%)] = 95.00
Because the hypothetical ending level of the basket is less than the
hypothetical starting level, but is not less than the hypothetical threshold level, you would not lose any of the principal amount of
your securities.
On the stated maturity date, you would receive $1,000.00 per security.
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Example 3. The ending level of the basket is less than the threshold
level, and the maturity payment amount is less than the principal amount:
|
EURO STOXX 50®
Index |
TOPIX® Index |
FTSE 100 Index |
S&P/ASX 200
Index |
iShares® MSCI
Emerging
Markets ETF |
Hypothetical initial basket component value: |
100.00 |
100.00 |
100.00 |
100.00 |
$100.00 |
Hypothetical final basket component value: |
60.00 |
50.00 |
50.00 |
50.00 |
$10.00 |
Hypothetical basket component return
(final basket component value – initial basket component value)/ initial
basket component value: |
-40.00% |
-50.00% |
-50.00% |
-50.00% |
-90.00% |
Based on the hypothetical basket component returns set forth above,
the hypothetical ending level would equal:
100 × [1 + (-40.00% × 30.00%) + (-50.00% × 20.00%)
+ (-50.00% × 15.00%) + (-50.00% × 15.00%) + (-90.00% × 20.00%)] = 45.00
Because the hypothetical ending level of the basket is less than the
hypothetical threshold level, you would lose a portion of the principal amount of your securities and receive the maturity payment amount
equal to:
$1,000 + ($1,000 ×
basket return)
$1,000 + ($1,000 ×
-55.00%)
= $450.00
On the stated maturity date, you would receive $450.00 per security.
If the ending level of the basket is less than the threshold level, you
will lose more than 30%, and possibly all, of your principal amount at maturity.
The hypothetical returns and hypothetical payments on the securities shown
above apply only if you hold the securities for their entire term. 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.
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The
Basket
The basket will represent a portfolio of the following basket
components, with the return of each basket component having the weighting noted parenthetically: the EURO STOXX 50® Index
(30%), the TOPIX® Index (20%), the FTSE 100 Index (15%), the S&P/ASX 200 Index (15%) and the iShares®
MSCI Emerging Markets ETF (20%). The level of the basket will increase or decrease depending upon the aggregate performance of the basket
components. For more information regarding the basket components, see “The EURO STOXX 50® Index,” “The
TOPIX® Index,” “The FTSE 100 Index,” “The S&P/ASX 200 Index” and “The iShares®
MSCI Emerging Markets ETF”. The basket does not reflect the performance of all major securities markets.
While historical information on the level of the basket does
not exist, the following graph sets forth the hypothetical historical daily levels of the basket for the period from January 2, 2019
through July 22, 2024, assuming that the basket was constructed on January 2, 2019 with a starting level of 100 and that each of the
basket components had the applicable weighting as of that day. We obtained the closing values used in the graph below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification.
The hypothetical historical basket levels, as calculated solely
for the purposes of the offering of the securities, fluctuated in the past and may, in the future, experience significant fluctuations.
Any historical upward or downward trend in the levels of the basket during any period shown below is not an indication that the percentage
change in the level of the basket is more likely to be positive or negative during the term of the securities. The hypothetical historical
levels do not give an indication of future levels of the basket.
There can be no assurance that the performance of the basket will not result
in a loss of the principal amount of the securities.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063787/image_005.jpg)
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The
EURO STOXX 50® Index
The EURO STOXX 50® Index consists of 50 component
stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX are the intellectual property
(including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are
used under license. The securities based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted
by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For
additional information about the EURO STOXX 50® Index, see “Equity Index Descriptions — The STOXX Benchmark
Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the EURO STOXX 50® Index based on the daily historical closing values of the EURO STOXX 50® Index from
January 2, 2019 through July 22, 2024. The closing value of the EURO STOXX 50® Index on July 22, 2024 was 4,897.44. We
obtained the closing levels above and below from Bloomberg, without independent verification.
The historical closing values of the EURO STOXX 50®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing value of the EURO STOXX
50® Index on the pricing date or the calculation day. There can be no assurance that the performance of the EURO STOXX
50® Index will not result in a loss of the principal amount of the securities.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063787/image_006.jpg)
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The
TOPIX® Index
The TOPIX® Index, also known as the Tokyo
Stock Price Index, is a free float-adjusted market capitalization-weighted index of common stocks listed on the Tokyo Stock Exchange,
Inc. covering an extensive portion of the Japanese stock market. For additional information about the TOPIX® Index, see
“Equity Index Descriptions — The TOPIX® Index” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the TOPIX® Index based on the daily historical closing values of the TOPIX® Index from January 2, 2019
through July 22, 2024. The closing value of the TOPIX® Index on July 22, 2024 was 2,827.53. We obtained the closing levels
above and below from Bloomberg, without independent verification.
The historical closing values of the TOPIX®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing value of the TOPIX®
Index on the pricing date or the calculation day. There can be no assurance that the performance of the TOPIX® Index will
not result in a loss of the principal amount of the securities.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063787/image_007.jpg)
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The
FTSE® 100 Index
The FTSE® 100 Index is an index calculated,
published and disseminated by FTSE Russell, a company owned wholly by the London Stock Exchange Group plc. The FTSE® 100
Index measures the composite price performance of stocks of the largest 100 companies (determined on the basis of market capitalization)
traded on the London Stock Exchange. For additional information about the FTSE® 100 Index, see “Equity Index Descriptions
— The FTSE® 100 Index” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the FTSE® 100 Index based on the daily historical closing values of the FTSE® 100 Index from January
2, 2019 through July 22, 2024. The closing value of the FTSE® 100 Index on July 22, 2024 was 8,198.78. We obtained the
closing levels above and below from Bloomberg, without independent verification.
The historical closing values of the FTSE®
100 Index should not be taken as an indication of future performance, and no assurance can be given as to the closing value of the FTSE®
100 Index on the pricing date or the calculation day. There can be no assurance that the performance of the FTSE® 100 Index
will not result in a loss of the principal amount of the securities.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063787/image_008.jpg)
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The
S&P/ASX 200 Index
The S&P/ASX 200 Index measures
the performance of the 200 largest and most liquid index-eligible stocks listed on the Australian Securities Exchange by float-adjusted
market capitalization, and is widely considered Australia’s benchmark index. For additional information see “Equity Index
Descriptions — The S&P/ASX 200 Index” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the S&P/ASX 200 Index based on the daily historical closing values of the S&P/ASX 200 Index from January 2, 2019 through July
22, 2024. The closing value of the S&P/ASX 200 Index on July 22, 2024 was 7,931.739. We obtained the closing levels above and below
from Bloomberg, without independent verification.
The historical closing values of the S&P/ASX 200 Index
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of the S&P/ASX 200
Index on the pricing date or the calculation day. There can be no assurance that the performance of the S&P/ASX 200 Index will not
result in a loss of the principal amount of the securities.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063787/image_009.jpg)
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
The
iShares® MSCI Emerging Markets ETF
The Fund 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 fund underlying index with respect to the Fund. The fund underlying
index 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 Fund, see “Fund
Descriptions — The iShares® ETFs” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the Fund based on the daily historical closing prices of the Fund from January 2, 2019 through July 22, 2024. The closing price of
the Fund on July 22, 2024 was $43.10. We obtained the closing prices above and below from Bloomberg, without independent verification.
The closing prices above and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing prices of the Fund should not be taken
as an indication of future performance, and no assurance can be given as to the closing prices of the Fund on the pricing date or the
calculation day. There can be no assurance that the performance of the Fund will not result in a loss of the principal amount of the securities.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063787/image_010.jpg)
Market Linked Securities — Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to a Basket due February 5, 2030
Tax
Considerations
You should review carefully the section entitled “Material U.S. Federal
Income Tax Consequences” in the accompanying product supplement no. WF-1-I. 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 securities.
Based on current market conditions, in the opinion of our special tax counsel
it is reasonable to treat the securities 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, subject to the possible application of the “constructive ownership” rules, the gain or loss on your securities
should be treated as long-term capital gain or loss if you hold your securities for more than a year, whether or not you are an initial
purchaser of securities at the issue price. The securities could be treated as “constructive ownership transactions”
within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the securities that would otherwise be
long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260)
would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant
yield over your holding period for the securities. Our special tax counsel has not expressed an opinion with respect to whether
the constructive ownership rules apply to the securities. Accordingly, U.S. Holders should consult their tax advisers regarding
the potential application of the constructive ownership rules.
However, the IRS or a court may not respect the treatment of the securities
described above, in which case the timing and character of any income or loss on the securities 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
described above. 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 securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the securities, including the potential application of the constructive ownership rules, 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, 2027 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 our representation
that the securities do not have a “delta of one” within the meaning of the regulations, our special tax counsel believes that
these regulations should not apply to the securities with regard to non-U.S. Holders, and we have determined to treat the securities as
not being subject to Section 871(m). Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m)
will be provided in the pricing supplement for the securities. You should consult your tax adviser regarding the potential application
of Section 871(m) to the securities.
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