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.
Supplemental
Plan of Distribution
We expect that delivery of the securities will be made against
payment for the securities on or about the issue date set forth on the front cover of this pricing supplement, which will be the third
business day following the pricing date of the securities (this settlement cycle being referred to as “T+3”). Under Rule
15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business
days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade securities on any date prior
to two business days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent
a failed settlement and should consult their own advisors.
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
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 stock closing price of the lowest performing Underlying Stock will be greater than or equal to its starting
price on the call date or the final calculation day. |
| § | You are willing and able to accept the risk that, if the securities are not automatically called and the ending price of the lowest
performing Underlying Stock on the final calculation day is less than its starting price by more than the buffer amount, you will lose
up to 85% of the principal amount of your securities at maturity. |
| § | You are willing and able to accept that, if the securities are automatically called, you will forgo participation in any appreciation
of the lowest performing Underlying Stock on the final calculation day and any return on your investment will be limited to the call premium
that may be payable on the securities. |
| § | You understand that the return on the securities will depend solely on the performance of the lowest performing Underlying Stock on
the call date or the final calculation day and that you will not benefit in any way from the performance of the better performing Underlying
Stock. |
| § | You understand that the securities are riskier than alternative investments linked to only one of the Underlying Stocks or linked
to a basket composed of the Underlying Stocks. |
| § | You understand and are willing to accept the full downside risks of all of the Underlying Stocks. |
| § | You are willing and able to accept the risks associated with an investment linked to the performance of the lowest performing Underlying
Stock, 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 Underlying
Stocks, nor will you have any voting rights with respect to any Underlying Stock. |
| § | You are willing and able to accept the risk that the securities may be automatically called prior to maturity and that you may not
be able to reinvest your money in an alternative investment with comparable risk and yield. |
| § | 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 if the securities are not automatically called. |
| § | 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 stock closing price of the lowest performing Underlying Stock will be less than its starting price on the
call date or the final calculation day. |
| § | You are unwilling or unable to accept the risk that, if the securities are not automatically called and the ending price of the lowest
performing Underlying Stock on the final calculation day is less than its starting price by more than the buffer amount, you will lose
up to 85% of the principal amount of your securities at maturity. |
| § | You unwilling or unable to accept that, if the securities are automatically called, you will forgo participation in any appreciation
of the lowest performing Underlying Stock on the final calculation day and any return on your investment will be limited to the call premium
that may be payable on the securities. |
| § | You seek exposure to a basket composed of all of the Underlying Stocks or a similar investment in which the overall return is based
on a blend of the performances of the Underlying Stocks, rather than solely on the lowest performing Underlying Stock on the call date
or the final calculation day. |
| § | You are unwilling to accept the risk of exposure to each of the Underlying Stocks. |
| § | You are unwilling or unable to accept the risks associated with an investment linked to the performance of the lowest performing Underlying
Stock on the call date or the final calculation day, as explained in more detail in the “Selected Risk Considerations” section
of this pricing supplement. |
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
| § | You seek an investment that entitles you to dividends or distributions that may be paid to holders of the Underlying Stocks, or voting
rights with respect to any Underlying Stock. |
| § | You are unwilling or unable to accept the risk that the securities may be automatically called prior to maturity. |
| § | 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 if they are not automatically called. |
| § | 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 and the “Risk Factors” sections in the accompanying prospectus supplement and product supplement.
For more information about the Underlying Stocks, please see the sections titled “The Common Stock of Amazon.com, Inc.” and
“The Common Stock of Apple Inc.” below.
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
Determining
Timing and Amount of Payment on the Securities
Whether the securities are automatically called on the
call date for the call premium will be determined based on the stock closing price of the
lowest performing Underlying Stock on the call date as follows:
If the securities are not automatically called, then on the
stated maturity date, you will receive a cash payment per security (the maturity payment amount) calculated as follows:
Step 1: Determine which Underlying Stock is the
lowest performing Underlying Stock. The lowest performing Underlying Stock is the Underlying Stock that has the lowest stock return, calculated
for each Underlying Stock as the percentage change from its starting price to its ending price.
Step 2: Calculate the maturity payment amount based
on the stock return of the lowest performing Underlying Stock, as follows:
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
Selected
Risk Considerations
An investment in the securities involves significant risks.
Investing in the securities is not equivalent to investing directly in any or all of the Underlying Stocks. 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. 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 Securities are Not Automatically Called and the Ending Price of the Lowest Performing Underlying
Stock on the Final Calculation Day Is Less Than Its Threshold Price, You Will Lose Up to 85% of the Principal Amount of Your Securities
at Maturity — The securities do not guarantee the full return of principal. If the securities are not automatically called,
the return on the securities at maturity is linked to the performance of the lowest performing Underlying Stock on the final calculation
day and will depend on whether, and the extent to which, that Underlying Stock has appreciated or depreciated. If the ending price of
the lowest performing Underlying Stock on the final calculation day is less than its threshold price, you will lose 1% of the principal
amount of the securities for every 1% that its ending price is less than its threshold price (expressed as a percentage of its starting
price). Accordingly, under these circumstances, you will lose up to 85% of your principal amount at maturity. |
| · | If the Securities Are Automatically Called, the Return on the Securities Will Be Limited to the Call Premium
— If the securities are automatically called, the return on the securities is limited to the call premium, regardless of any
appreciation of the lowest performing Underlying Stock on the call date, which may be significant. If the securities are automatically
called, you will not have the opportunity to participate in any appreciation of the lowest performing Underlying Stock on the final calculation
day at the upside participation rate. Therefore, your return on the securities may be lower than the return on a direct investment in
the Underlying Stocks. |
| · | You Will
Be Subject To Reinvestment Risk — If your securities are automatically called early, the term of the securities may be reduced
to as short as approximately one year. There is no guarantee that you would be able to reinvest the proceeds from an investment in the
securities at a comparable return for a similar level of risk in the event the securities are automatically called prior to maturity.
Even in cases where the securities are called before maturity, you are not entitled to any fees and commissions described on the front
cover of this pricing supplement. |
| · | 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.
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 securities. If these affiliates do not make payments to us and we fail 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. |
| · | You Are Exposed to the Risk of Decline in the Price of Each Underlying Stock — Payments on the
securities are not linked to a basket composed of the Underlying Stocks and are contingent upon the performance of each individual Underlying
Stock. Poor performance by either of the Underlying Stocks over the term of the securities may result in the securities not being automatically
called on the call date, may negatively affect your maturity payment amount and will not be offset or mitigated by positive performance
by the other Underlying Stock. Any payment on the securities will be determined by the lowest performing Underlying Stock on the call
date or the final calculation day, as applicable. |
| · | Your Payment at Maturity Will Be Determined by the Lowest Performing Underlying Stock — Because,
if the securities have not been automatically called, the payment at maturity will be determined based on the performance of the lowest
performing Underlying Stock on the final calculation day, you will not benefit from the performance of the other Underlying Stock.
Accordingly, if the ending price of either Underlying Stock is less than its threshold price, you will lose a some or a significant portion
of your principal amount at maturity, even if the ending price of the other Underlying Stock is greater than or equal to its starting
price. |
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
| · | You Will Be Subject to Risks Resulting from the Relationship Between the Underlying Stocks—
It is preferable from your perspective for the Underlying Stocks to be correlated with each other so that their prices will tend to increase
or decrease at similar times and by similar magnitudes. By investing in the securities, you assume the risk that the Underlying Stocks
will not exhibit this relationship. The less correlated the Underlying Stocks, the more likely it is that one of the Underlying Stocks
will be performing poorly at any time over the term of the securities. All that is necessary for the securities to perform poorly is for
one of the Underlying Stocks to perform poorly; the performance of the better performing Underlying Stock is not relevant to your return
on the securities. It is impossible to predict what the relationship between the Underlying Stocks will be over the term of the securities. |
| · | 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 Underlying Stocks would have. |
| · | 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 call premium. |
| · | 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 |
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
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.
| · | 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 prices of the Underlying Stocks, 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 Underlying Stocks; |
| · | the time to maturity of the securities; |
| · | the dividend rates on the Underlying Stocks; |
| · | the actual and expected positive or negative correlation between
the Underlying Stocks, or the actual or expected absence of any such correlation; |
| · | the occurrence of certain events affecting an Underlying Stock that
may or may not require an adjustment to the adjustment factor of that Underlying Stock; |
| · | interest and yield rates in the market generally; 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.
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
Risks Relating to the Underlying Stocks
| · | No Affiliation with any Underlying Stock Issuer — We are
not affiliated with any Underlying Stock Issuer. We have not independently verified any of the information about any Underlying
Stock Issuer contained in this pricing supplement. You should make your own investigation into the Underlying Stocks and the Underlying
Stock Issuers. We are not responsible for any Underlying Stock Issuer’s public disclosure of information, whether contained
in SEC filings or otherwise. |
| · | The Anti-Dilution Protection Is Limited and May Be Discretionary
— The calculation agent will make adjustments to the adjustment factor for an Underlying Stock and other adjustments for certain
corporate events affecting an Underlying Stock. However, the calculation agent will not make an adjustment in response to all events
that could affect an Underlying Stock. If an event occurs that does not require the calculation agent to make an adjustment, the
value of the securities may be materially and adversely affected. Subject to the foregoing, the calculation agent is under no obligation
to consider your interests as a holder of the securities in making these determinations. |
| · | The Maturity Payment Amount Will Depend upon the Performance of
Each Underlying Stock and Therefore the Securities Are Subject to the Following Risks, Each as Discussed in More Detail in the Accompanying
Product Supplement. |
| · | The
Securities May Become Linked to the Common Stock of a Company Other Than an Original Underlying Stock Issuer. |
| · | You Will Have No Ownership Rights in Any Underlying Stock.
Investing in the securities is not equivalent to investing directly in any Underlying Stock. As a holder of the securities, you
will not have any ownership interest or rights in any Underlying Stock, such as voting rights or rights to receive cash dividends or other
distributions. In addition, the issuer of each Underlying Stock will not have any obligation to consider your interests as a holder
of the securities in taking any corporate action that might affect the value of that Underlying Stock and the securities. |
| · | Historical
Prices of an Underlying Stock Should Not Be Taken as an Indication of the Future Performance of That Underlying Stock During the Term
of the Securities. |
| · | We
Cannot Control Actions by the Underlying Stock Issuers. |
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
| Hypothetical
Examples and Returns |
The payout profile, return table and examples below illustrate the hypothetical
payment upon an automatic call or at stated maturity for a security on a hypothetical offering of securities based on a range of hypothetical
stock returns of the lowest performing Underlying Stock, with the assumptions set forth in the table below. The examples below illustrate
the hypothetical payment upon an automatic call or at stated maturity for a security on a hypothetical offering of securities under various
scenarios, with the assumptions set forth in the examples below. The terms used for purposes of these hypothetical examples do not represent
the actual starting price or threshold price of any Underlying Stock.
The hypothetical starting price of the lowest performing
Underlying Stock of $100.00 has been chosen for illustrative purposes only and may not represent a likely actual starting price of the
lowest performing Underlying Stock. The actual starting price for each Underlying Stock will be the stock closing price of that Underlying
Stock on the pricing date and will be specified in the pricing supplement. For historical data regarding the actual closing prices of
the Underlying Stocks, please see the historical information set forth under “The Common Stock of Amazon.com, Inc.” and “The
Common Stock of Apple Inc.” 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.
| Hypothetical Call Premium: |
22.00% of the principal amount (the minimum call premium) |
| Upside Participation Rate: |
150% |
| Hypothetical Starting Price of Lowest Performing Underlying Stock on Call Date or Final Calculation Day: |
$100.00 |
| Hypothetical Threshold Price of Lowest Performing Underlying Stock on Final Calculation Day: |
$85.00 (85% of its hypothetical starting price) |
Hypothetical Payout Profile
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
Hypothetical Returns
If the securities are automatically called:
If the securities are automatically called prior to
stated maturity, you will receive the principal amount of your securities plus the call premium, resulting in a hypothetical payment
upon automatic call per security of $1,220.00 per security and a hypothetical pre-tax total rate of return of 22.00%.
If the securities are not automatically called:
|
Hypothetical
ending price of the
lowest performing
Underlying
Stock
on final calculation day |
Hypothetical
stock return of the
lowest performing
Underlying
Stock on
final calculation day |
Hypothetical
maturity payment
amount per security |
Hypothetical
pre-tax total
rate of return(1) |
| $150.00 |
50.00% |
$1,750.00 |
75.00% |
| $140.00 |
40.00% |
$1,600.00 |
60.00% |
| $130.00 |
30.00% |
$1,450.00 |
45.00% |
| $120.00 |
20.00% |
$1,300.00 |
30.00% |
| $110.00 |
10.00% |
$1,150.00 |
15.00% |
| $105.00 |
5.00% |
$1,075.00 |
7.50% |
| $102.50 |
2.50% |
$1,037.50 |
3.75% |
| $100.00 |
0.00% |
$1,000.00 |
0.00% |
| $90.00 |
-10.00% |
$1,000.00 |
0.00% |
| $85.00 |
-15.00% |
$1,000.00 |
0.00% |
| $84.00 |
-16.00% |
$990.00 |
-1.00% |
| $80.00 |
-20.00% |
$950.00 |
-5.00% |
| $70.00 |
-30.00% |
$850.00 |
-15.00% |
| $60.00 |
-40.00% |
$750.00 |
-25.00% |
| $50.00 |
-50.00% |
$650.00 |
-35.00% |
| $25.00 |
-75.00% |
$400.00 |
-60.00% |
| $0.00 |
-100.00% |
$150.00 |
-85.00% |
| (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—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
Hypothetical Examples of Payment Upon an Automatic Call or at Maturity
Example 1. The stock closing price of the lowest performing Underlying
Stock on the call date is greater than or equal to its starting price and the securities are automatically called on the call date:
| |
The Common Stock of
Amazon.com, Inc. |
The Common Stock of
Apple Inc. |
| Hypothetical starting price: |
$100.00 |
$100.00 |
| Hypothetical stock closing price on call date: |
$140.00 |
$130.00 |
Hypothetical stock return on call date
(stock closing price on call date – starting price)/starting price: |
40.00% |
30.00% |
Step 1: Determine which Underlying Stock is the lowest performing
Underlying Stock on the call date.
In this example, the common stock of Apple Inc. has the lowest stock return
and is, therefore, the lowest performing Underlying Stock on the call date.
Step 2: Determine whether the securities will be automatically
called on the call date.
Because the hypothetical stock closing price of the lowest performing Underlying
Stock on the call date is greater than or equal to its hypothetical starting price, the securities are automatically called on the call
date and you will receive on the call settlement date the principal amount of your securities plus the call premium of 22.00% of
the principal amount. Even though the lowest performing Underlying Stock appreciated by 30.00% from its starting price to its stock closing
price on the call date in this example, your return is limited to the call premium of 22.00%.
On the call settlement date, you will receive $1,220.00 per security.
Example 2. The securities are not automatically called. The ending
price of the lowest performing Underlying Stock on the final calculation day is greater than or equal to its starting price, and the maturity
payment amount is greater than the principal amount:
| |
The Common Stock of
Amazon.com, Inc. |
The Common Stock of
Apple Inc. |
| Hypothetical starting price: |
$100.00 |
$100.00 |
| Hypothetical ending price: |
$145.00 |
$110.00 |
| Hypothetical threshold price: |
$85.00 |
$85.00 |
Hypothetical stock return on final calculation day
(ending price – starting price)/starting price: |
45.00% |
10.00% |
Step 1: Determine which Underlying Stock is the lowest performing
Underlying Stock on the final calculation day.
In this example, the common stock of Apple Inc. has the lowest stock return
and is, therefore, the lowest performing Underlying Stock on the final calculation day.
Step 2: Determine the maturity payment amount based on the stock return
of the lowest performing Underlying Stock on the final calculation day.
Because the securities are not automatically called and the
hypothetical ending price of the lowest performing Underlying Stock on the final calculation day is greater than or equal to the hypothetical
starting price, the maturity payment amount per security would be equal to:
$1,000 + ($1,000 × stock return of the
lowest performing Underlying Stock on the final calculation day× upside participation rate)
$1,000 + ($1,000 × 10.00% × 150%)
= $1,150.00
On the stated maturity date, you would receive $1,150.00 per security.
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
Example 3. The securities are not automatically called. The ending
price of the lowest performing Underlying Stock on the final calculation day is less than its starting price but greater than its threshold
price, and the maturity payment amount is equal to the principal amount:
| |
The Common Stock of
Amazon.com, Inc. |
The Common Stock of
Apple Inc. |
| Hypothetical starting price: |
$100.00 |
$100.00 |
| Hypothetical ending price: |
$87.50 |
$90.00 |
| Hypothetical threshold price: |
$85.00 |
$85.00 |
Hypothetical stock return
(ending price – starting price)/starting price: |
-12.50% |
-10.00% |
Step 1: Determine which Underlying
Stock is the lowest performing Underlying Stock on the final calculation day.
In this example, the common stock of Amazon.com, Inc. has the lowest stock
return and is, therefore, the lowest performing Underlying Stock on the final calculation day.
Step 2: Determine the maturity payment amount based on the stock return
of the lowest performing Underlying Stock on the final calculation day.
Because the securities are not automatically called and the hypothetical ending
price of the lowest performing Underlying Stock on the final calculation day is less than its hypothetical starting price, but is not
less than its hypothetical threshold price, 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.
Example 4. The securities are not automatically called. The ending
price of the lowest performing Underlying Stock on the final calculation day is less than its threshold price, and the maturity payment
amount is less than the principal amount:
| |
The Common Stock of
Amazon.com, Inc. |
The Common Stock of
Apple Inc. |
| Hypothetical starting price: |
$100.00 |
$100.00 |
| Hypothetical ending price: |
$50.00 |
$120.00 |
| Hypothetical threshold price: |
$85.00 |
$85.00 |
Hypothetical stock return
(ending price – starting price)/starting price: |
-50.00% |
20.00% |
Step 1: Determine which Underlying Stock
is the lowest performing Underlying Stock on the final calculation day.
In this example, the common stock of Amazon.com, Inc. has the lowest stock
return and is, therefore, the lowest performing Underlying Stock on the final calculation day.
Step 2: Determine the maturity payment amount based on the stock return
of the lowest performing Underlying Stock on the final calculation day.
Because the securities are not automatically called and the hypothetical ending
price of the lowest performing Underlying Stock on the final calculation day is less than its hypothetical threshold price, you would
lose a portion of the principal amount of your securities and receive the maturity payment amount equal to:
$1,000 + [$1,000 ×
(stock return of the lowest performing Underlying Stock on the final calculation day+ buffer amount)]
$1,000 + [$1,000 ×
(-50.00% + 15%)]
= $650.00
On the stated maturity date, you would receive $650.00 per security.
This example illustrates that you will lose a portion of the principal amount
of your securities if the ending price of the lowest performing Underlying Stock on the final calculation day is less than its threshold
price, even if the ending price of the other Underlying Stock has appreciated or has not declined below its threshold price.
If the ending price of the lowest performing Underlying Stock on the final
calculation day is less than its threshold price, you will have 1-to-1 downside exposure to the decrease in the price of the Underlying
Stock in excess of the buffer amount, and you will lose some, and possible up to 85%, of the principal amount of your securities at maturity.
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
The hypothetical returns and hypothetical payments on the securities shown
above apply only if you hold the securities for their entire term or until automatically called. These hypotheticals do not reflect
the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
The
Common Stock of Amazon.com, Inc.
All information contained herein on the common stock of Amazon.com,
Inc. and on Amazon.com, Inc. is derived from publicly available sources, without independent verification. According to its publicly available
filings with the SEC, Amazon.com, Inc. serves consumers through its online and physical stores; manufactures and sells electronic devices;
develops and produces media content; offers programs that enable sellers to sell their products in its stores and to fulfill orders through
Amazon.com, Inc.; offers developers and enterprises a set of technology services, including compute, storage, database, analytics and
machine learning, and other services; serves authors and independent publishers with an online service that lets independent authors and
publishers choose a royalty option and make their books available in the Kindle Store, along with its own publishing arm; and offers programs
that allow authors, musicians, filmmakers, skill and app developers and others to publish and sell content. The common stock of Amazon.com,
Inc. is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on The
NASDAQ Stock Market. Information provided to or filed with the SEC by Amazon.com, Inc. pursuant to the Exchange Act can be located by
reference to the SEC file number 000-22513, and can be accessed through www.sec.gov. We do not make any representation that these publicly
available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance
of the common stock of Amazon.com, Inc. based on the daily historical closing prices of the common stock of Amazon.com, Inc. from January
2, 2018 through March 23, 2023. The closing price of the common stock of Amazon.com, Inc. on March 23, 2023 was $98.71. 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 corporate actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of the common stock of Amazon.com,
Inc. should not be taken as an indication of future performance, and no assurance can be given as to the stock closing price of the common
stock of Amazon.com, Inc. on the pricing date or the final calculation day. There can be no assurance that the performance of the common
stock of Amazon.com, Inc. will not result in a loss of the principal amount of the securities.
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
The
Common Stock of Apple Inc.
All information contained herein on the common stock of Apple
Inc. and on Apple Inc. is derived from publicly available sources, without independent verification. According to its publicly available
filings with the SEC, Apple Inc. designs, manufactures and markets smartphones, personal computers, tablets, wearables and accessories
and sells a variety of related services. The common stock of Apple Inc. is registered under the Securities Exchange Act of 1934, as amended,
which we refer to as the Exchange Act, and is listed on The NASDAQ Stock Market. Information provided to or filed with the SEC by Apple
Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 001-36743, and can be accessed through www.sec.gov.
We do not make any representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance
of the common stock of Apple Inc. based on the daily historical closing prices of the common stock of Apple Inc. from January 2, 2018
through March 23, 2023. The closing price of the common stock of Apple Inc. on March 23, 2023 was $158.93. 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 corporate actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of the common stock of Apple
Inc. should not be taken as an indication of future performance, and no assurance can be given as to the stock closing price of the common
stock of Apple Inc. on the pricing date or the final calculation day. There can be no assurance that the performance of the common stock
of Apple Inc. will not result in a loss of the principal amount of the securities.
Market Linked Securities—Auto-Callable Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of
Amazon.com, Inc. and the Common Stock of Apple Inc. due April 6, 2026
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, 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. However, the IRS or
a court may not respect this treatment, in which case the timing and character of any income or loss on the 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, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the 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 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, 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 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.
Supplemental
Information About the Form of the Securities
The securities will initially be represented by a type
of global security that we refer to as a master note. A master note represents multiple securities that may be issued at different
times and that may have different terms. The trustee and/or paying agent will, in accordance with instructions from us, make appropriate
entries or notations in its records relating to the master note representing the securities to indicate that the master note evidences
the securities.