The information in this preliminary pricing
supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to
buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated May 16, 2024
May , 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
Capped Notes Linked to the Least Performing of the Nasdaq-100
Index®, the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR®
Fund due May 27, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek exposure to any appreciation of the least performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund, which
we refer to as the Underlyings, over the term of the notes up to a maximum return of at least 34.00% at maturity. |
| · | Investors should be willing to forgo interest and dividend payments, while seeking repayment of at least 95.00% of their principal
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 Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about May 24, 2024 and are expected to settle on or about May 30, 2024. |
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 and “Selected Risk Considerations” beginning on page PS-4 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 $29.50 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
$961.80 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the
pricing supplement and will not be less than $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. 3-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023
and the prospectus and prospectus supplement, each dated April 13, 2023
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Underlyings:
The Nasdaq-100 Index® (Bloomberg ticker: NDX) and the Nasdaq-100® Technology
Sector IndexSM (Bloomberg ticker: NDXT) (each of the Nasdaq-100 Index® and the Nasdaq-100® Technology
Sector IndexSM, an “Index” and collectively, the “Indices”) and the Technology Select Sector SPDR®
Fund (Bloomberg ticker: XLK) (the “Fund”) (each of the Indices and the Fund, an “Underlying” and collectively,
the “Underlyings”)
Participation
Rate: 100.00%
Maximum Amount: At
least $340.00 per $1,000 principal amount note (to be provided in the pricing supplement)
Pricing
Date: On or about May 24, 2024
Original
Issue Date (Settlement Date): On or about May 30, 2024
Observation
Date*: May 24, 2027
Maturity
Date*: May 27, 2027
* 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 |
Payment at Maturity:
If the Final Value of each Underlying is greater than its Initial Value,
at maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount, which
will not be greater than the Maximum Amount.
If the Final Value of any Underlying is equal to or less than its Initial
Value, your payment at maturity will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying
Return)
In no event, however, will the payment at maturity be less than $950.00
per $1,000 principal amount note.
If the Final Value of any Underlying is less than its Initial Value,
you will lose up to 5.00% of your principal amount at maturity.
You are entitled to repayment of at least $950.00 per $1,000 principal
amount note at maturity, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Additional Amount:
The Additional Amount payable at maturity
per $1,000 principal amount note will equal:
$1,000 × Least Performing Underlying Return
× Participation Rate, provided that the Additional Amount will not be greater than the Maximum Amount
Least Performing Underlying: The
Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The
lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing
value of that Underlying on the Pricing Date
Final
Value: With respect to each Underlying, the closing value of that Underlying on the Observation
Date
Share
Adjustment Factor: The Share Adjustment Factor is referenced in determining the closing value of the Fund and is set equal
to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund.
See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information. |
PS-1
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
Supplemental Terms
of the Notes
Any values of the Underlyings, 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 notes. Notwithstanding anything to the contrary in the indenture governing the notes,
that amendment will become effective without consent of the holders of the notes or any other party.
Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical
payment at maturity on the notes linked to three hypothetical Underlyings. The hypothetical payments set forth below assume the following:
| · | an Initial Value for the Least Performing Underlying of 100.00; |
| · | a Participation Rate of 100.00%; and |
| · | a Maximum Amount of $340.00 per $1,000 principal amount note. |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any Underlying.
The actual Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date and will be provided in the
pricing supplement. For historical data regarding the actual closing values of each Underlying, please see the historical information
set forth under “The Underlyings” in this pricing supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value of the
Least Performing
Underlying |
Least Performing
Underlying Return |
Additional Amount |
Payment at Maturity |
180.00 |
80.00% |
$340.00 |
$1,340.00 |
165.00 |
65.00% |
$340.00 |
$1,340.00 |
150.00 |
50.00% |
$340.00 |
$1,340.00 |
140.00 |
40.00% |
$340.00 |
$1,340.00 |
134.00 |
34.00% |
$340.00 |
$1,340.00 |
130.00 |
30.00% |
$300.00 |
$1,300.00 |
120.00 |
20.00% |
$200.00 |
$1,200.00 |
110.00 |
10.00% |
$100.00 |
$1,100.00 |
105.00 |
5.00% |
$50.00 |
$1,050.00 |
101.00 |
1.00% |
$10.00 |
$1,010.00 |
100.00 |
0.00% |
N/A |
$1,000.00 |
99.00 |
-1.00% |
N/A |
$990.00 |
97.50 |
-2.50% |
N/A |
$975.00 |
95.00 |
-5.00% |
N/A |
$950.00 |
90.00 |
-10.00% |
N/A |
$950.00 |
80.00 |
-20.00% |
N/A |
$950.00 |
70.00 |
-30.00% |
N/A |
$950.00 |
60.00 |
-40.00% |
N/A |
$950.00 |
50.00 |
-50.00% |
N/A |
$950.00 |
40.00 |
-60.00% |
N/A |
$950.00 |
30.00 |
-70.00% |
N/A |
$950.00 |
20.00 |
-80.00% |
N/A |
$950.00 |
10.00 |
-90.00% |
N/A |
$950.00 |
0.00 |
-100.00% |
N/A |
$950.00 |
PS-2
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a range of Least Performing Underlying Returns. There can be no assurance that the performance of any Underlying
will result in a payment at maturity in excess of $950.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co.
How the Notes
Work
Upside Scenario:
If the Final Value of each Underlying is greater than
its Initial Value, investors will receive at maturity the $1,000 principal amount plus the Additional Amount, which is equal to
$1,000 times the Least Performing Underlying Return times the Participation Rate of 100.00%, and which will not be greater
than the Maximum Amount of at least $340.00 per $1,000 principal amount note. Assuming a hypothetical Maximum Amount of $340.00 per $1,000
principal amount note, an investor will realize the maximum payment at maturity at a Final Value of the Least Performing Underlying of
134.00% or more of its Initial Value.
| · | If the closing value of the Least Performing Underlying increases 5.00%, investors will receive at maturity a return equal to 5.00%,
or $1,050.00 per $1,000 principal amount note. |
| · | Assuming a hypothetical Maximum Amount of $1,340.00 per $1,000 principal amount note, if the closing value of the Least Performing
Underlying increases 50.00%, investors will receive at maturity a return equal to 34.00%, or $1,340.00 per $1,000 principal amount note,
which is the maximum payment at maturity. |
Par Scenario:
If (i) the Final Value of one Underlying is greater than
its Initial Value and the Final Value of any other Underlying is equal to its Initial Value or (ii) the Final Value of each Underlying
is equal to its Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of either Underlying is less than
its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Least Performing
Underlying is less than its Initial Value, provided that the payment at maturity will not be less than $950.00 per $1,000 principal
amount note.
| · | For example, if the closing value of the Least Performing Underlying declines 2.50%, investors will lose 2.50% of their principal
amount and receive only $975.00 per $1,000 principal amount note at maturity. |
| · | For example, if the closing value of the Least Performing Underlying declines 50.00%, investors will lose 5.00% of their principal
amount and receive only $950.00 per $1,000 principal amount note at maturity. |
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes 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.
PS-3
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
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 and product
supplement.
Risks Relating to the Notes Generally
| · | THE NOTES MAY NOT PAY MORE THAN 95.00% OF THE PRINCIPAL AMOUNT AT MATURITY — |
If the Final Value of any Underlying is less
than its Initial Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing
Underlying is less than its Initial Value, provided that the payment at maturity will not be less than $950.00 per $1,000 principal
amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. Accordingly, under these circumstances,
you will lose up to 5.00% of your principal amount at maturity and you will not be compensated for any loss in value due to inflation
and other factors relating to the value of money over time.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM AMOUNT, |
regardless of any appreciation
of either Index, which may be significant.
| · | 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.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked to a
basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by any of the
Underlyings over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive
performance by any other Underlying.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUND OR THOSE SECURITIES. |
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 Maximum Amount.
PS-4
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
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).
| · | 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 values of the Underlyings. 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
PS-5
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
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 Underlyings
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE INDICES — |
Some of the equity securities included in the
Indices 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 of the issuers of those non-U.S. equity securities.
| · | RISKS ASSOCIATED WITH THE TECHNOLOGY SECTOR WITH RESPECT TO THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM
AND THE FUND — |
All or substantially all of the equity securities
included in the Nasdaq-100® Technology Sector IndexSM and held by the Fund are issued by companies whose primary
line of business is directly associated with the technology sector. As a result, the value of the notes may be subject to greater
volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different
investment linked to securities of a more broadly diversified group of issuers. The value of stocks of technology companies and
companies that rely heavily on technology is particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence,
government regulation and competition, both domestically and internationally, including competition from foreign competitors with lower
production costs. Stocks of technology companies and companies that rely heavily on technology, especially those of smaller, less-seasoned
companies, tend to be more volatile than the overall market. Technology companies are heavily dependent on patent and intellectual
property rights, the loss or impairment of which may adversely affect profitability. Additionally, companies in the technology sector
may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified personnel. These
factors could affect the technology sector and could affect the value of the equity securities included the Nasdaq-100®
Technology Sector IndexSM or held by the Fund and the value of either of these Underlyings during the term of the notes, which
may adversely affect the value of your notes.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management risk, which
is the risk that the investment strategies of the 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 price of the shares of the Fund
and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund does not fully replicate its Underlying
Index (as defined under “The Underlyings” below) and may hold securities different from those included in its 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 Underlying Index. All of these factors may lead to a lack of correlation between the performance of the Fund and its 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 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 Underlying Index as well as the net asset value per share of the
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment
in response to all events that could affect the shares of the Fund. 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.
PS-6
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
The Underlyings
The Nasdaq-100 Index® is a modified market
capitalization-weighted index of 100 of the largest non-financial securities listed on The Nasdaq Stock Market based on market capitalization.
For additional information about the Nasdaq-100 Index®, see “Equity Index Descriptions — The Nasdaq-100 Index®”
in the accompanying underlying supplement.
The Nasdaq-100® Technology Sector IndexSM
is an equal-weighted, price-return index designed to measure the performance of the technology companies in the Nasdaq-100 Index®.
For additional information about the Nasdaq-100® Technology Sector IndexSM, see Annex A in this pricing supplement.
The Fund is an exchange-traded fund of the Select
Sector SPDR® Trust, a registered investment company, that seeks to provide investment results that, before expenses, correspond
generally to the price and yield performance of publicly traded equity securities of companies in the Technology Select Sector Index,
which we refer to as the Underlying Index with respect to the Fund. The Technology Select Sector Index is a capped modified market
capitalization-based index that measures the performance of the GICS® information technology sector of the S&P 500®
Index, which currently includes companies in the following industries: technology hardware, storage & peripherals; software; communications
equipment; semiconductors & semiconductor equipment; IT services; and electronic equipment, instruments & components. For
additional information about the Fund, see “Fund Descriptions — The Select Sector SPDR® Funds” in the
accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Underlying based on the weekly historical closing values from January 4, 2019 through May 10, 2024. The closing value of the Nasdaq-100
Index® on May 14, 2024 was 18,322.77. The closing value of the Nasdaq-100® Technology Sector IndexSM
on May 14, 2024 was 10,213.48. The closing value of the Fund on May 14, 2024 was $208.34. We obtained the closing values above and below
from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing values
of the Fund above and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying on
the Pricing Date or the Observation Date. There can be no assurance that the performance of the Underlyings will result in a payment at
maturity in excess of $950.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
PS-7
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
Tax Treatment
There is uncertainty
regarding the U.S. federal income tax consequences of an investment in the notes due to the lack of governing authority. You should review
carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection thereof entitled
“Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent Payment Debt
Instruments” in the accompanying product supplement no. 3-I. Notwithstanding that the notes do not provide for the full repayment
of their principal amount at or prior to maturity, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the
notes should be treated for U.S. federal income tax purposes as debt instruments. Based on current market conditions, we intend to treat
the notes for U.S. federal income tax purposes as “contingent payment debt instruments.” Assuming this treatment is respected,
as discussed in that subsection, unlike a traditional debt instrument that provides for periodic payments of interest at a single fixed
rate, with respect to which a cash-method investor generally recognizes income only upon receipt of stated interest, you generally will
be required to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable yield,”
as determined by us, although we will not make any payment with respect to the notes until maturity. Upon sale or exchange (including
at maturity), you will recognize taxable income or loss equal to the difference between the amount received from the sale or exchange
and your adjusted basis in the note, which generally will equal the cost thereof, increased by the amount of OID you have accrued in respect
of the note. You generally must treat any income as interest income and any loss as ordinary loss to the extent of previous interest inclusions,
and the balance as capital loss. The deductibility of capital losses is subject to limitations. Special rules may apply if the amount
payable at maturity is treated as becoming fixed prior to maturity. You should consult your tax adviser concerning the application of
these rules. The discussions herein and in the accompanying product supplement do not address the consequences to taxpayers subject to
special
PS-8
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
tax accounting
rules under Section 451(b) of the Code. Purchasers who are not initial purchasers of notes at their issue price should consult their tax
advisers with respect to the tax consequences of an investment in notes, including the treatment of the difference, if any, between the
basis in their notes and the notes’ adjusted issue price.
Because our
intended treatment of the notes as CPDIs is based on current market conditions, we may determine an alternative treatment is more appropriate
based on circumstances at the time of pricing. Our ultimate determination will be binding on you, unless you properly disclose to the
IRS an alternative treatment. Also, the IRS may challenge the treatment of the notes as CPDIs. If we determine not to treat the notes
as CPDIs, or if the IRS successfully challenges the treatment of the notes as CPDIs, then the notes should be treated as debt instruments
that are not CPDIs and, unless treated as issued with less than a specified de minimis amount of original issue discount, could (depending
on the facts at the time of pricing) require the accrual of original issue discount as ordinary interest income based on a yield to maturity
different from (and possibly higher than) the comparable yield. Accordingly, under this treatment, your annual taxable income from (and
adjusted tax basis in) the notes could be higher or lower than if the notes were treated as CPDIs, and any loss recognized upon a disposition
of the notes (including upon maturity) would be capital loss, the deductibility of which is subject to limitations. Accordingly, this
alternative treatment could result in adverse tax consequences to you.
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, 2025 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.
The discussions
in the preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences”
(and in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than
One Year — Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, to the extent they
reflect statements of law, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax
consequences of owning and disposing of the notes.
Comparable
Yield and Projected Payment Schedule
We
will determine the comparable yield for the notes and will provide that comparable yield and the related projected payment schedule (or
information about how to obtain them) in the pricing supplement for the notes, which we will file with the SEC. The comparable yield for
the notes will be determined based upon a variety of factors, including actual market conditions and our borrowing costs for debt instruments
of comparable maturities at the time of issuance. The comparable yield and projected payment
schedule are determined solely to calculate the amount on which you will be taxed with respect to the notes in each year and are neither
a prediction nor a guarantee of what the actual yield will be.
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.
PS-9
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
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.
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 “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Underlyings”
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.
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
PS-10
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
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, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest
in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
PS-11
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
Annex A
The Nasdaq-100® Technology
Sector IndexSM
All information contained in this pricing supplement
regarding the Nasdaq-100® Technology Sector IndexSM, 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, The Nasdaq Stock Market, Inc. (“Nasdaq”). The Nasdaq-100®
Technology IndexSM was developed by Nasdaq and is calculated, maintained and published by The Nasdaq OMX Group, Inc. (“Nasdaq
OMX”). Neither Nasdaq nor Nasdaq OMX has any obligation to continue to publish, and may discontinue publication of, the Nasdaq-100®
Technology Sector IndexSM.
The Nasdaq-100® Technology Sector IndexSM
began on February 22, 2006 at a base value of 1,000.00. The Nasdaq-100® Technology Sector IndexSM is reported
by Bloomberg, L.P. under the ticker symbol “NDXT.”
The Nasdaq-100® Technology Sector IndexSM
is an equal-weighted, price-return index designed to measure the performance of the technology companies in the Nasdaq-100 Index®.
Security Eligibility Criteria
The Nasdaq-100® Technology Sector IndexSM
contains securities of the Nasdaq-100 Index® which are classified as Technology according to the Industry Classification
Benchmark (“ICB”). The eligibility for the Nasdaq-100® Technology Sector IndexSM is determined in
a 2-step process and the security has to meet both criteria in order to become eligible for the Nasdaq-100® Technology
Sector IndexSM. For additional information about the Nasdaq-100 Index®, including the methodology for inclusion
in the Nasdaq-100 Index®, see “Equity Index Descriptions — The Nasdaq-100 Index®” in the
accompanying underlying supplement.
Parent Index
The security must be included in the Nasdaq-100 Index®,
which includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq.
Industry or Sector Eligibility
The company must be classified as a Technology Company
(any company classified under the Technology Industry) according to ICB.
Constituent Selection
All securities that meet the applicable Security Eligibility
Criteria described above are included in the Nasdaq-100® Technology Sector IndexSM.
Constituent Weighting
The Nasdaq-100® Technology Sector IndexSM
employs an equal weighting methodology such that each company’s Index market value is rebalanced quarterly to an equal-dollar value
corresponding to an equal percent weight of the Nasdaq-100® Technology Sector IndexSM’s aggregate market
value. Index Shares are calculated by dividing this equal-dollar market value for each Index Security by the corresponding Last Sale Price
of the security at the close of trading on the third Friday in March, June, September, and December. In the case of multiple share classes
of a company being included in the Nasdaq-100® Technology Sector IndexSM, the equal-weighted market value will
be divided equally among the securities of that company.
Index Calculation
The Nasdaq-100® Technology Sector IndexSM
is an equal weighted, price return index. The Nasdaq-100® Technology Sector IndexSM is calculated without regard
to ordinary dividends, however, it does reflect special dividends. The formula is as follows:
| (1) | “Index Market Value” shall be calculated as follows: |
“Index Security” shall mean a security
that has been selected for membership in the Nasdaq-100® Technology Sector IndexSM, having met all applicable
eligibility requirements.
n
= Number of Index Securities included in the Nasdaq-100® Technology Sector IndexSM
𝑞𝑖=
Number of shares of Index Security i applied in the Nasdaq-100® Technology Sector IndexSM.
PS-12
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
𝑝𝑖
= Price in quote currency of Index Security i. Depending on the time of the calculation, the price can be either of the following:
a.
The Start of Day (SOD) price which is the previous index calculation day’s (t-1) closing price for Index Security
i adjusted for corporate action(s) occurring prior to market open on date t, if any, for the SOD calculation only;
b.
The intraday price which reflects the current trading price received from the Nasdaq during the index calculation day;
c.
The End of Day (EOD) price refers to the Last Sale Price, which refers to the last regular-way trade reported on Nasdaq; or
d.
The Volume Weighted Average Price (VWAP)
𝑡
= current index calculation day
𝑡-1
= current index calculation day
(2)
“PR Index Divisor” should be calculated as follows:
The Index Divisor serves the purpose of scaling an
Index Market Value to lower order of magnitude, which is recommended for reporting purposes. The Index Divisor is adjusted to ensure that
changes in an Index Security’s price or shares either by corporate actions or index participation which occur outside of trading
hours do not affect the index value. An Index Divisor change occurs after the close of the Nasdaq-100® Technology Sector
IndexSM.
Index Maintenance
Deletion Policy
If a component of the Nasdaq-100® Technology
Sector IndexSM is removed from the Nasdaq-100 Index® for any reason, it is also removed from the Nasdaq-100®
Technology Sector IndexSM at the same time.
Replacement Policy
When a component of the Nasdaq-100 Index®
that is classified as Technology according to ICB is removed from the Nasdaq-100 Index, it is also removed from the Nasdaq-100 Technology
Sector Index. As such, if the replacement company being added to the Nasdaq-100 Index® is classified as Technology according
to ICB, it is added to the Nasdaq-100® Technology Sector IndexSM and will assume the weight of the removed company
on the Index effective date.
When a component of the Nasdaq-100 Index®
that is not classified as Technology according to ICB is removed and the replacement company being added to the Nasdaq-100 Index is classified
as Technology according to ICB, the replacement company is considered for addition to the Nasdaq-100 Technology Sector Index at the next
quarterly Rebalance. When a component of the Nasdaq-100 Index that is classified as Technology according to ICB is removed from the Nasdaq-100
Index and the replacement company being added to the Nasdaq-100 Index® is not classified as Technology according to ICB,
the company is removed from the Nasdaq-100® Technology Sector IndexSM and the divisor of the Nasdaq-100®
Technology Sector IndexSM is adjusted to ensure Index continuity.
Additions Policy
If a security is added to the Nasdaq-100 Index®
for any reason, it may be added to the Nasdaq-100® Technology Sector IndexSM at the same time.
Corporate Actions
In the interim periods between scheduled index reconstitution
and rebalance events, individual Index securities may be the subject to a variety of corporate actions and events that require maintenance
and adjustments to the Index.
In certain cases, corporate actions and events are
handled according to the weighting scheme or other index construction techniques employed. Wherever alternate methods are described, the
Index will follow the “Non-Market Cap Corporate Action Method.”
Index Share Adjustments
Other than as a direct result of corporate actions,
the Nasdaq-100® Technology Sector IndexSM does not normally experience share adjustments between scheduled index
rebalance and reconstitution events.
License Agreement
JPMorgan Chase & Co. or its affiliate
intends to enter into a non-exclusive license agreement with Nasdaq providing for the license to it and certain of its affiliates or subsidiaries,
including JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the Nasdaq-100® Technology
Sector IndexSM in connection with certain securities, including the notes.
PS-13
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
The license agreement with Nasdaq provides that the
following language must be stated in this pricing supplement:
The notes are not sponsored, endorsed, sold or promoted
by Nasdaq Inc. or its affiliates (Nasdaq, with its affiliates, are referred to as the “Corporations”). The Corporations have
not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the notes. The
Corporations make no representation or warranty, express or implied, to the owners of the notes or any member of the public regarding
the advisability of investing in securities generally or in the notes particularly, or the ability of the Nasdaq-100® Technology
Sector IndexSM to track general stock market performance. The Corporations’ only relationship to the Issuer, the Guarantor
(if applicable) and their affiliates is in the licensing of Nasdaq®, Nasdaq-100® and Nasdaq-100 Index®
registered trademarks, service marks and certain trade names of the Corporations and the use of the Nasdaq-100® Technology
Sector IndexSM which is determined, composed and calculated by Nasdaq without regard to the Issuer or the Guarantor (if applicable)
or the notes. Nasdaq has no obligation to take the needs of the Issuer or the Guarantor (if applicable) or the owners of the notes into
consideration in determining, composing or calculating the Nasdaq-100® Technology Sector IndexSM. The Corporations
are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the notes to be issued
or in the determination or calculation of the equation by which the notes are to be converted into cash. The Corporations have no liability
in connection with the administration, marketing or trading of the notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR
UNINTERRUPTED CALCULATION OF THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS
MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE GUARANTOR (IF APPLICABLE), OWNERS OF THE NOTES,
OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED
THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR
A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED THEREIN.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL,
PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
PS-14
| Structured Investments
Notes Linked to the Least Performing of the Nasdaq-100 Index®,
the Nasdaq-100® Technology Sector IndexSM and the Technology Select Sector SPDR® Fund |
|
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