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.
Additional
Information about the Issuer, the Guarantor and the Securities
You may revoke your offer to purchase the securities
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms
of, or reject any offer to purchase, the securities prior to their issuance. In the event of any changes to the terms of the securities,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the securities and supersedes all
other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of
ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying
prospectus supplement and the accompanying product supplement, as the securities involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the securities.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 6, 2026
The Estimated
Value of the Securities
The estimated value of the securities set forth on
the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt
component with the same maturity as the securities, valued using the internal funding rate described below, and (2) the derivative or
derivatives underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum price
at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used
in the determination of the estimated value of the securities may differ from the market-implied funding rate for vanilla fixed income
instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things,
our and our affiliates’ view of the funding value of the securities as well as the higher issuance, operational and ongoing liability
management costs of the securities in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase &
Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to
approximate the prevailing market replacement funding rate for the securities. The use of an internal funding rate and any potential changes
to that rate may have an adverse effect on the terms of the securities and any secondary market prices of the securities. For additional
information, see “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the
Securities — The Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the securities is derived from internal pricing models of
our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various
other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors,
as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the securities is determined
when the terms of the securities are set based on market conditions and other relevant factors and assumptions existing at that time.
See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this
pricing supplement.
The estimated value of the securities will be lower
than the original issue price of the securities because costs associated with selling, structuring and hedging the securities are included
in the original issue price of the securities. These costs include the selling commissions paid to WFS (which WFS has advised us includes
selling concessions and distribution expense fees), the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities.
Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit
that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations
under the securities may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any
remaining hedging profits. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market
Prices of the Securities — The Estimated Value of the Securities Will Be Lower Than the Original Issue Price (Price to Public) of
the Securities” in this pricing supplement.
Secondary
Market Prices of the Securities
For information about factors that will impact any
secondary market prices of the securities, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the securities will be impacted by many economic and market factors” in the
accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price of the securities
will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero
over an initial predetermined period that is intended to be approximately three months. The length of any such initial period reflects
the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated
costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations
— Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Value of the Securities as Published
by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities
for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The securities are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the securities. See “Hypothetical Examples and
Returns” in this pricing supplement for an illustration of the risk-return profile of the securities and “The VanEck®
Gold Miners ETF” in this pricing supplement for a description of the market exposure provided by the securities.
The original issue price of the securities is equal
to the estimated value of the securities plus the selling commissions paid to WFS (which WFS has advised us includes selling concessions
and distribution expense fees), plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 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 fund closing price of the Fund will be greater than or equal to the starting price on at least one call date. |
| § | You are willing and able to accept that you will not participate in any appreciation of the Fund, which may be significant, and that
any potential return on the securities is limited to the applicable call premium, if any, paid on the securities. |
| § | You are willing and able to accept the risk that, if the securities are not automatically called and the ending price is less than
the threshold price, you will lose up to 90% of the principal amount of your securities at maturity. |
| § | You are willing and able to accept the risk that the securities may be automatically redeemed, that you will not receive a higher
call premium payable with respect to a later call date if the securities are called on an earlier call date and that you may not be able
to reinvest your money in an alternative investment with comparable risk and yield. |
| § | You are willing and able to accept the risks associated with an investment linked to the performance of the Fund, as explained in
more detail in the “Selected Risk Considerations” section of this pricing supplement. |
| § | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the Fund
or the securities held by the Fund, nor will you have any voting rights with respect to the Fund or the securities held by the Fund. |
| § | 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 anticipate that the fund closing price of the Fund will be less than the starting price on each call date. |
| § | You seek an investment that participates in the full appreciation of the Fund rather than an investment with a return that is limited
to the applicable call premium, if any, paid on the securities. |
| § | You seek an investment that provides for the full repayment of principal at maturity and/or you are unwilling or unable to accept
the risk that, if the securities are not automatically called and the ending price is less than the threshold price, you will lose up
to 90% of the principal amount of your securities at maturity. |
| § | You are unwilling or unable to accept the risk that the securities may be automatically redeemed, that you will not receive a higher
call premium payable with respect to a later call date if the securities are called on an earlier call date and that you may not be able
to reinvest your money in an alternative investment with comparable risk and yield. |
| § | You are unwilling or unable to accept the risks associated with an investment linked to the performance of the Fund, as explained
in more detail in the “Selected Risk Considerations” section of this pricing supplement. |
| § | You seek an investment that entitles you to dividends or distributions that may be paid to holders of the Fund or the securities held
by the Fund, or voting rights with respect to the Fund or the securities held by the Fund. |
| § | You seek an investment for which there will be an active secondary market and/or you are unwilling or unable to hold the securities
to maturity. |
| § | You are unwilling or unable to assume our and JPMorgan Chase & Co.’s credit risks for all payments on the securities. |
The considerations identified above are not exhaustive.
Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you should reach
an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the appropriateness
of an investment in the securities in light of your particular circumstances. You should also review carefully the “Selected Risk
Considerations” section in this pricing supplement and the “Risk Factors” sections in the accompanying
prospectus supplement and product supplement. For
more information about the Fund, please see the section titled “The VanEck® Gold Miners ETF” below.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 6, 2026
Determining
Timing and Amount of Payment on the Securities
Whether the securities are automatically called
on any call date for the applicable call premium will each be determined based on the fund closing price of the Fund on the applicable
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:
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 6, 2026
Selected
Risk Considerations
An investment in the securities involves significant
risks. Investing in the securities is not equivalent to investing directly in the Fund or any of the securities held by the Fund. 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 Is Less Than the Threshold Price,
You Will Lose Up to 90% 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 Fund and will depend on the extent to which the Fund has depreciated. If the ending price is less than the threshold price, you will
lose 1% of the principal amount of the securities for every 1% that the ending price is less than the threshold price (expressed as a
percentage of the starting price). Accordingly, under these circumstances, you will lose up to 90% of your principal amount at maturity. |
| · | The Potential Return on the Securities Is Limited to the Call Premium — The potential return
on the securities is limited to the applicable call premium, regardless of any appreciation of the Fund, which may be significant. You
will not participate in any appreciation of the Fund. Therefore, your return on the securities may be lower than the return on a direct
investment in the Fund. Furthermore, if the securities are called on an earlier call date, you will receive a lower call premium than
if the securities were called on a later call date, and accordingly, if the securities are called on one of the earlier call dates, you
will not receive the highest potential call premium. |
| · | 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. |
| · | No Interest or Dividend Payments or Voting Rights — As a holder of the securities, you will
not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other
rights that holders of the Fund or the securities held by the Fund 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 premiums. |
| · | 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. |
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 6, 2026
Risks Relating to Conflicts of
Interest
| · | Potential Conflicts — We and our affiliates play a variety of roles in connection with the issuance
of the securities, including acting as calculation agent and hedging our obligations under the securities and making the assumptions used
to determine the pricing of the securities and the estimated value of the securities when the terms of the securities are set, which we
refer to as the estimated value of the securities. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor
in the securities. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities,
could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment
on the securities and the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection
with the securities could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information
about these risks. |
Risks Relating to the Estimated
Value of the Securities and the Secondary Market
| · | The Estimated Value of the Securities Will Be Lower Than the Original Issue Price (Price to Public) of
the Securities — The estimated value of the securities is only an estimate determined by reference to several factors. The original
issue price of the securities will exceed the estimated value of the securities because costs associated with selling, structuring and
hedging the securities are included in the original issue price of the securities. These costs include the selling commissions, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and
the estimated cost of hedging our obligations under the securities. See “The Estimated Value of the Securities” in this pricing
supplement. |
| · | The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ
from Others’ Estimates — The estimated value of the securities is determined by reference to internal pricing models of
our affiliates when the terms of the securities are set. This estimated value of the securities is based on market conditions and other
relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates, interest
rates and other factors. Different pricing models and assumptions could provide valuations for the securities that are greater than or
less than the estimated value of the securities. In addition, market conditions and other relevant factors in the future may change, and
any assumptions may prove to be incorrect. On future dates, the value of the securities could change significantly based on, among other
things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant
factors, which may impact the price, if any, at which JPMS would be willing to buy securities from you in secondary market transactions.
See “The Estimated Value of the Securities” in this pricing supplement. |
| · | The Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate —
The internal funding rate used in the determination of the estimated value of the securities may differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may
be based on, among other things, our and our affiliates’ view of the funding value of the securities as well as the higher issuance,
operational and ongoing liability management costs of the securities in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect,
and is intended to approximate the prevailing market replacement funding rate for the securities. The use of an internal funding rate
and any potential changes to that rate may have an adverse effect on the terms of the securities and any secondary market prices of the
securities. See “The Estimated Value of the Securities” in this pricing supplement. |
| · | 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. |
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 6, 2026
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 price of the fund, 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 Fund; |
| · | the time to maturity of the securities; |
| · | the dividend rates on the Fund and the equity securities held by the Fund; |
| · | the occurrence of certain events affecting the Fund that may or may not require an adjustment to the adjustment factor of the Fund; |
| · | interest and yield rates in the market generally; and |
| · | a variety of other economic, financial, political, regulatory and judicial
events. |
Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the securities, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing to purchase
your securities in the secondary market.
Risks Relating to the Fund
| · | There Are Risks Associated with the Fund — Although shares
of the Fund are listed for trading on a securities exchange and a number of similar products have been trading on a securities exchange
for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Fund or that there
will be liquidity in the trading market. 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
securities. |
| · | 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 VanEck® Gold Miners ETF” 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 securities in
the secondary market and/or reduce any payment on the securities.
| · | The Securities Are Subject to Risks Associated with the Gold and Silver Mining Industries — All
or substantially all of the equity securities held by the Fund are issued by companies whose primary line of business is directly associated
with the gold |
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 6, 2026
and/or silver mining industries. As a result, the value of the securities 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. Investments related to gold and silver are considered speculative
and are affected by a variety of factors. Competitive pressures
may have a significant effect on the financial condition of gold and silver mining companies. Also, gold and silver mining companies are
highly dependent on the price of gold and silver bullion, respectively, and may be adversely affected by a variety of worldwide economic,
financial and political factors. The price of gold and silver may fluctuate substantially over short periods of time, so the Fund’s
share price may be more volatile than other types of investments. Fluctuation in the prices of gold and silver may be due to a number
of factors, including changes in inflation, changes in currency exchange rates and changes in industrial and commercial demand for metals
(including fabricator demand). Additionally, increased environmental or labor costs may depress the value of metal investments. These
factors could affect the gold and silver mining industries and could affect the value of the equity securities held by the Fund and the
price of the Fund during the term of the securities, which may adversely affect the value of your securities.
| · | The Securities Are Subject to Non-U.S. Securities Risk — Some of the equity securities held
by the Fund have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities
involve risks associated with the home countries and/or securities markets in the home countries of the issuers of those non-U.S. equity
securities, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies
in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC. |
| · | The Securities are Subject to Currency Exchange Risk — Because the prices of the non-U.S. equity
securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the
securities will be exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S. equity securities
held by the Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar
and the relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking into account the relevant
weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected and any payment on the
securities may be reduced. |
| · | The Anti-Dilution Protection Is Limited and May Be Discretionary — The calculation agent will,
in its sole discretion, adjust the adjustment factor, which will be set initially at 1.0, of the Fund for certain events affecting the
Fund, such as stock splits. However, the calculation agent is not required to make an adjustment for every event that can affect the Fund.
If such a dilution event occurs and the calculation agent is not required to make an adjustment, the value of the securities may be materially
and adversely affected. You should also be aware that the calculation agent may make adjustments in response to events that are not described
in the accompanying product supplement to account for any dilutive or concentrative effect, but the calculation agent is under no obligation
to do so. |
| · | Any Payment on the Securities Will Depend upon the Performance of the Fund and Therefore the Securities
Are Subject to the Following Risks, Each as Discussed in More Detail in the Accompanying Product Supplement. |
| · | You Will Have No Ownership Rights in the Fund or Any of the Securities Held by the Fund. Investing
in the securities is not equivalent to investing directly in the Fund or any of the securities held by the Fund or exchange-traded or
over-the-counter instruments based on any of the foregoing. As an investor in the securities, you will not have any ownership interests
or rights in any of the foregoing. |
| · | Historical Prices of the Fund Should Not Be Taken as an Indication of the Future Performance of the Fund
During the Term of the Securities. |
| · | The Policies of the Investment Adviser for the Fund, and the Sponsor of Its Underlying Index, Could Affect
the Value of, and Any Amount Payable on, the Securities. |
| · | We Cannot Control Actions by Any of the Unaffiliated Companies Whose Securities Are Held by the Fund. |
| · | We and Our Affiliates Have No Affiliation with the Sponsor of the Fund and Have Not Independently Verified
Its Public Disclosure of Information.
|
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 6, 2026
Hypothetical
Examples and Returns |
The payout profile, return table and examples below illustrate the hypothetical
payments 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 table below. The terms used for purposes of these hypothetical examples do not represent the actual
starting price or threshold price.
The hypothetical starting price of $100.00 has been
chosen for illustrative purposes only and may not represent a likely actual starting price. The actual starting price will be the fund
closing price of the Fund on the pricing date and will be specified in the pricing supplement. For historical data regarding the actual
closing prices of the Fund, please see the historical information set forth under “The VanEck® Gold Miners ETF”
in this pricing supplement.
The payout profile, return table and examples below assume that
an investor purchases the securities for $1,000 per security. These examples are for purposes of illustration only and the values used
in the examples may have been rounded for ease of analysis. The payout profile, return table and examples below do not take into account
any tax consequences from investing in the securities. The actual payment upon an automatic call or the maturity payment amount, as applicable,
and resulting pre-tax total rate of return will depend on the actual terms of the securities.
Hypothetical Call Premiums: |
16.70% for the first call date, 33.40% for the second call date and 50.10% for the final call date (based on the minimums for the call premiums) |
Hypothetical Starting Price: |
$100.00 |
Hypothetical Threshold Price: |
$90.00 (90% of the hypothetical starting price) |
Buffer Amount: |
10% |
Hypothetical Payout Profile
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 6, 2026
Hypothetical Returns
If the securities are automatically called:
|
|
|
Hypothetical call date on which
securities are automatically
called |
Hypothetical payment
per security on related call
settlement date |
Hypothetical pre-tax total rate of
return(1) |
1st call date |
$1,167.00 |
16.70% |
2nd call date |
$1,334.00 |
33.40% |
Final call date (final calculation day) |
$1,501.00 |
50.10% |
If the securities are not automatically
called:
|
|
|
|
Hypothetical
ending price |
Hypothetical
fund return |
Hypothetical
maturity payment
amount per security |
Hypothetical
pre-tax total
rate of return(1) |
$99.00 |
-1.00% |
$1,000.00 |
0.00% |
$95.00 |
-5.00% |
$1,000.00 |
0.00% |
$90.00 |
-10.00% |
$1,000.00 |
0.00% |
$89.00 |
-11.00% |
$990.00 |
-1.00% |
$80.00 |
-20.00% |
$900.00 |
-10.00% |
$70.00 |
-30.00% |
$800.00 |
-20.00% |
$60.00 |
-40.00% |
$700.00 |
-30.00% |
$50.00 |
-50.00% |
$600.00 |
-40.00% |
$25.00 |
-75.00% |
$250.00 |
-65.00% |
$0.00 |
-100.00% |
$100.00 |
-90.00% |
| (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. |
Hypothetical Examples
Example 1. The fund closing price of the Fund on the first
call date is greater than or equal to the starting price and the securities are automatically called on the first call date:
|
Fund |
Hypothetical starting price: |
$100.00 |
Hypothetical fund closing price on first call date: |
$125.00 |
Because the hypothetical fund closing price of the Fund on the
first call date is greater than or equal to the hypothetical starting price, the securities are automatically called on the first call
date and you will receive on the related call settlement date the principal amount of your securities plus a call premium of 16.70%
of the principal amount. Even though the Fund appreciated by 25.00% from its starting price to its fund closing price on the first call
date in this example, your return is limited to the call premium of 16.70% that is applicable to that call date.
On the call settlement date, you will receive $1,167.00 per
security.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 6, 2026
Example 2. The securities are not automatically called prior
to the final call date (the final calculation day). The fund closing price of the Fund on the final calculation day is greater than or
equal to the starting price and the securities are automatically called on the final calculation day:
|
Fund |
Hypothetical starting price: |
$100.00 |
Hypothetical fund closing price on call dates prior to the final calculation day: |
Various (all below starting price) |
Hypothetical fund closing price on final calculation day (i.e., the ending price): |
$120.00 |
Because the hypothetical fund closing price of the Fund on each
call date prior to the final call date (which is the final calculation day) is less than the hypothetical starting price, the securities
are not called prior to the final calculation day. Because the fund closing price of the Fund on the final calculation day is greater
than or equal to the starting price, the securities are automatically called on the final calculation day and you will receive on the
related call settlement date (which is the stated maturity date) the principal amount of your securities plus a call premium of
50.10% of the principal amount.
On the call settlement date (which is the stated maturity date),
you will receive $1,501.00 per security.
Example 3. The securities are not automatically called. The
ending price is less than the starting price but greater than or equal to the threshold price and the maturity payment amount is equal
to the principal amount:
|
Fund |
Hypothetical starting price: |
$100.00 |
Hypothetical fund closing price on each call date: |
Various (all below starting price) |
Hypothetical ending price: |
$95.00 |
Hypothetical threshold price: |
$90.00, which is 90% of the hypothetical starting price |
Because the hypothetical fund closing price of the Fund on each
call date (including the final calculation day) is less than the hypothetical starting price, the securities are not automatically called.
Because the hypothetical ending price is greater than or equal to the threshold price, you would receive the principal amount of your
securities at maturity.
On the stated maturity date, you will receive $1,000.00 per
security.
Example 4. The securities are not automatically called. The
ending price is less than the threshold price and the maturity payment amount is less than the principal amount:
|
Fund |
Hypothetical starting price: |
$100.00 |
Hypothetical fund closing price on each call date: |
Various (all below starting price) |
Hypothetical ending price: |
$50.00 |
Hypothetical threshold price: |
$90.00, which is 90% of the hypothetical starting price |
Buffer Amount: |
10% |
Because the hypothetical fund closing price of the Fund on each
call date (including the final calculation day) is less than the hypothetical starting price, the securities are not automatically called.
Because the hypothetical ending price is less than the 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
× (fund return+ buffer amount)
$1,000 + [$1,000
×( -50.00% + 10.00%)]
= $600.00
On the stated maturity date, you will receive $600.00 per security.
If the securities are not automatically called and the ending price
is less than the threshold price, you will have 1-to-1 downside exposure to the decrease in the price of the Fund in excess of the buffer
amount, and you will lose some, and possibly up to 90%, of the principal amount of your securities at maturity.
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 with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 6, 2026
The VanEck®
Gold Miners ETF
The Fund is an exchange-traded fund of the VanEck®
ETF Trust, a registered investment company, that seeks to replicate as closely as possible, before fees and expenses, the price and yield
performance of the NYSE Arca Gold Miners Index, which we refer to as the underlying index with respect to the Fund. The NYSE Arca Gold
Miners Index is a modified market capitalization weighted index composed of publicly traded companies involved primarily in the mining
of gold or silver. For additional information about the Fund, see “Fund Descriptions — The VanEck Vectors®
ETFs” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the Fund based on the daily historical closing prices of the Fund from January 2, 2018 through May 26, 2023. The closing price of the
Fund on May 26, 2023 was $30.41. We obtained the closing prices above and below from the Bloomberg Professional® service
(“Bloomberg”), without independent verification. The closing prices above and below may have been adjusted by Bloomberg for
actions taken by the Fund, such as stock splits.
The historical closing prices of the Fund should not
be taken as an indication of future performance, and no assurance can be given as to the fund closing prices of the Fund on the pricing
date or any calculation day. There can be no assurance that the performance of the Fund will not result in a loss of the principal amount
of the securities.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the VanEck® Gold Miners ETF due July 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.