The information in this preliminary pricing supplement
is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these
securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated December 3, 2021
December , 2021
|
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of
the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index due December 15, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
·
|
The notes are designed for investors who seek uncapped, unleveraged exposure to any appreciation of the least performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index, which we refer to as
the Underlyings, at maturity, subject to a contingent minimum return of at least 44.00%, which we refer to as the Contingent Digital Return.
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|
·
|
The notes are also designed for investors who seek a fixed return equal to the Contingent Digital Return at maturity if the Final
Value of the least performing of the Underlyings is greater than or equal to 80.00% of its Initial Value, which we refer to as a Digital
Barrier.
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|
·
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Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at
maturity.
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·
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
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|
·
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Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below.
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·
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Minimum denominations of $1,000 and integral multiples thereof
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·
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The notes are expected to price on or about December 10, 2021 and are expected to settle on or about December 15, 2021.
|
Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 of the accompanying
product supplement, “Risk Factors” beginning on page US-3 of the accompanying underlying supplement and “Selected Risk
Considerations” beginning on page PS-4 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any
state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
|
$
|
$
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Total
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$
|
$
|
$
|
(1) See “Supplemental Use of Proceeds” in this pricing supplement
for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as
agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers.
In no event will these selling commissions exceed $11.25 per $1,000 principal amount note. See “Plan of Distribution (Conflicts
of Interest)” in the accompanying product supplement.
|
If the notes priced today, the estimated value of the notes would be approximately
$926.80 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the
pricing supplement and will not be less than $900.00 per $1,000 principal amount note. See “The Estimated Value of the Notes”
in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance
Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no 4-II dated November
4, 2020, underlying supplement no. 1-II dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Underlyings:
The iShares® MSCI EAFE ETF (Bloomberg ticker: EFA) and the iShares® MSCI
Emerging Markets ETF (Bloomberg ticker: EEM) (each of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging
Markets ETF, a “Fund” and collectively, the “Funds”) and the EURO STOXX 50® Index (Bloomberg ticker:
SX5E) (the “Index”) (each of the Funds and the Index, an “Underlying” and collectively, the “Underlyings”)
Contingent
Digital Return: At least 44.00% (to be provided in the pricing supplement)
Digital Barrier: With respect to each
Underlying, 80.00% of its Initial Value
Barrier Amount: With respect to each
Underlying, 70.00% of its Initial Value
Pricing Date:
On or about December 10, 2021
Original
Issue Date (Settlement Date): On or about December 15, 2021
Observation Date*:
December 10, 2026
Maturity Date*:
December 15, 2026
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
Payment at Maturity:
If the Final Value of each Underlying is greater than or equal to its Digital Barrier,
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × greater of (a) Contingent Digital
Return and (b) Least Performing Underlying Return)
If the Final Value of any Underlying is less than its Digital Barrier but the Final
Value of each Underlying is greater than or equal to its Barrier Amount, you will receive the principal amount of your notes at maturity.
If the Final Value of any Underlying is less than its Barrier Amount, your payment
at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying Return)
If the Final Value of any Underlying is less than its Barrier Amount, you will
lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Least Performing Underlying: The
Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The
lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing
value of that Underlying on the Pricing Date
Final
Value: With respect to each Underlying, the closing value of that Underlying on the Observation
Date
Share Adjustment Factor:
With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing
value of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment upon
the occurrence of certain events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments”
in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total
return and payment at maturity on the notes linked to three hypothetical Underlyings. The “total return” as used in this pricing
supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note
to $1,000. The hypothetical total returns and payments set forth below assume the following:
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·
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an Initial Value for the Least Performing Underlying of 100.00;
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|
·
|
a Contingent Digital Return of 44.00%;
|
|
·
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a Digital Barrier for the Least Performing Underlying of 80.00 (equal to 80.00% of its hypothetical
Initial Value); and
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|
·
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a Barrier Amount for the Least Performing Underlying of 70.00 (equal to 70.00% of its hypothetical
Initial Value).
|
The hypothetical Initial Value of the Least Performing Underlying
of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any Underlying. The actual
Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date and will be provided in the pricing
supplement. For historical data regarding the actual closing values of each Underlying, please see the historical information set forth
under “The Underlyings” in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity
set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser
of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value of the Least Performing Underlying
|
Least Performing Underlying Return
|
Total Return on the Notes
|
Payment at Maturity
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180.00
|
80.00%
|
80.00%
|
$1,800.00
|
165.00
|
65.00%
|
65.00%
|
$1,650.00
|
150.00
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50.00%
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50.00%
|
$1,500.00
|
144.00
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44.00%
|
44.00%
|
$1,440.00
|
140.00
|
40.00%
|
44.00%
|
$1,440.00
|
130.00
|
30.00%
|
44.00%
|
$1,440.00
|
120.00
|
20.00%
|
44.00%
|
$1,440.00
|
110.00
|
10.00%
|
44.00%
|
$1,440.00
|
105.00
|
5.00%
|
44.00%
|
$1,440.00
|
101.00
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1.00%
|
44.00%
|
$1,440.00
|
100.00
|
0.00%
|
44.00%
|
$1,440.00
|
95.00
|
-5.00%
|
44.00%
|
$1,440.00
|
90.00
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-10.00%
|
44.00%
|
$1,440.00
|
80.00
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-20.00%
|
44.00%
|
$1,440.00
|
79.99
|
-20.01%
|
0.00%
|
$1,000.00
|
70.00
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-30.00%
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0.00%
|
$1,000.00
|
69.99
|
-30.01%
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-30.01%
|
$699.90
|
60.00
|
-40.00%
|
-40.00%
|
$600.00
|
50.00
|
-50.00%
|
-50.00%
|
$500.00
|
40.00
|
-60.00%
|
-60.00%
|
$400.00
|
30.00
|
-70.00%
|
-70.00%
|
$300.00
|
20.00
|
-80.00%
|
-80.00%
|
$200.00
|
10.00
|
-90.00%
|
-90.00%
|
$100.00
|
0.00
|
-100.00%
|
-100.00%
|
$0.00
|
PS-2
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
The following graph demonstrates the hypothetical payments at maturity
on the notes for a sub-set of Least Performing Underlying Returns detailed in the table above (-80% to 80%). There can be no assurance
that the performance of the Least Performing Underlying will result in the return of any of your principal amount.
How the Notes Work
Upside Scenario:
If the Final Value of each Underlying is greater than or equal to
its Digital Barrier of 80.00% of its Initial Value, investors will receive at maturity the $1,000 principal amount plus a return
equal to the greater of (a) the Contingent Digital Return of at least 44.00% and (b) the Least Performing Underlying Return.
|
·
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Assuming a hypothetical Contingent Digital Return of 44.00%, if the closing value of the Least Performing Underlying
increases 10.00%, investors will receive at maturity a 44.00% return, or $1,440.00 per $1,000 principal amount note.
|
|
·
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Assuming a hypothetical Contingent Digital Return of 44.00%, if the closing value of the Least Performing Underlying
increases 50.00%, investors will receive at maturity a 50.00% return, or $1,500.00 per $1,000 principal amount note.
|
|
·
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Assuming a hypothetical Contingent Digital Return of 44.00%, if the closing value of the Least Performing Underlying
decreases 10.00%, investors will receive at maturity a 44.00% return, or $1,440.00 per $1,000 principal amount note.
|
Par Scenario:
If the Final Value of any Underlying is less than its Digital Barrier
of 80.00% of its Initial Value but the Final Value of each Underlying is greater than or equal to its Barrier Amount of 70.00% of its
Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of any Underlying is less than its Barrier Amount
of 70.00% of its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the
Least Performing Underlying is less than its Initial Value.
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·
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For example, if the closing value of the Least Performing Underlying declines 60.00%, investors
will lose 60.00% of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity.
|
The hypothetical returns and hypothetical payments on the notes
shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or expenses that
would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
PS-3
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement
and underlying supplement.
Risks Relating to the Notes Generally
|
·
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return of principal. If the
Final Value of any Underlying is less than its Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that
the Final Value of the Least Performing Underlying is less than its Initial Value. Accordingly, under these circumstances, you will lose
more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
|
·
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YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE —
|
If the Final Value of any Underlying is less than its Digital
Barrier, you will not be entitled to receive the Contingent Digital Return at maturity.
|
·
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan Chase &
Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we
and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and
you could lose your entire investment.
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·
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase & Co., we
have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution from
JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by
us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the
notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment under the
related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated
obligations of JPMorgan Chase & Co.
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·
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
|
Payments on the notes are not linked to a basket composed
of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by any of the Underlyings over
the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by any
other Underlying.
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·
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YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
|
|
·
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THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
|
If the Final Value of any Underlying is less than its Barrier
Amount, the benefit provided by the Barrier Amount will terminate and you will be fully exposed to any depreciation of the Least Performing
Underlying.
|
·
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THE NOTES DO NOT PAY INTEREST.
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE FUNDS OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUNDS OR THOSE SECURITIES.
|
|
·
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THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE VALUE OF THAT UNDERLYING IS VOLATILE.
|
The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing
to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
PS-4
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment in the notes
based on the minimums for the estimated value of the notes and the Contingent Digital Return.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles in connection
with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially adverse to your
interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with
the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
|
·
|
THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling
commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes” in this
pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the determination of the
estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity
issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this pricing
supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial
period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes will likely be
lower than the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected
hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price,
if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than
the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
PS-5
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
projected hedging profits, if any, estimated hedging costs and the values of the Underlyings. Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the
secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Underlyings
|
·
|
NON-U.S. SECURITIES RISK—
|
The equity securities
included in or held by the Underlyings have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S.
equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities.
Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies
that are subject to the reporting requirements of the SEC.
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject to management risk, which is the risk
that the investment strategies of the applicable Fund’s investment adviser, the implementation of which is subject to a number of
constraints, may not produce the intended results. These constraints could adversely affect the market prices of the shares of the Funds
and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate its Underlying Index
(as defined under “The Underlyings” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of each Fund will reflect additional transaction costs and fees that are not included in the calculation
of its Underlying Index. All of these factors may lead to a lack of correlation between the performance of each Fund and its Underlying
Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs) may impact
the variance between the performances of that Fund and its Underlying Index. Finally, because the shares of each Fund are traded on a
securities exchange and are subject to market supply and investor demand, the market value of one share of each Fund may differ from the
net asset value per share of that Fund.
During periods of market volatility, securities underlying
each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per
share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt the ability
of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially, the
prices at which market participants are willing to buy and sell shares of that Fund. As a result, under these circumstances, the market
value of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the
performance of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of that
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
|
·
|
EMERGING MARKETS RISK WITH RESPECT TO THE iSHARES® MSCI EMERGING MARKETS ETF —
|
The equity securities held by the iShares®
MSCI Emerging Markets ETF have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging
markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership
and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The
economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global
trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a
small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation
of holdings difficult or impossible at times.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUNDS —
|
Because the prices of the equity securities held by the
Funds are converted into U.S. dollars for purposes of calculating the net asset value of the Funds, holders of the notes will be exposed
to currency exchange rate risk with respect to each of the currencies in which the equity securities held by the Funds 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 Funds denominated in each of
PS-6
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
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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 notes may
be reduced.
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·
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RECENT EXECUTIVE ORDERS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE iSHARES®
MSCI EMERGING MARKETS ETF —
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Pursuant to recent executive orders, U.S. persons are prohibited
from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined to be linked to
the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative of, or are designed
to provide investment exposure to, those securities. The sponsor of the Underlying Index for the iShares® MSCI Emerging
Markets ETF has recently removed the equity securities of a small number of companies from that Underlying Index in response to these
executive orders and, as a result, these stocks have also been removed from the iShares® MSCI Emerging Markets ETF.
If the issuer of any of the equity securities held by the iShares® MSCI Emerging Markets ETF is in the future designated
as such a prohibited company, the value of that company may be adversely affected, perhaps significantly, which would adversely affect
the performance of the iShares® MSCI Emerging Markets ETF. In addition, under these circumstances, each of the sponsor
of the Underlying Index for the iShares® MSCI Emerging Markets ETF and the iShares® MSCI Emerging Markets
ETF is expected to remove the equity securities of that company from that Underlying Index and the iShares® MSCI Emerging
Markets ETF, respectively. Any changes to the composition of the iShares® MSCI Emerging Markets ETF in response to
these executive orders could adversely affect the performance of the iShares® MSCI Emerging Markets ETF.
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·
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THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
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The calculation agent will make adjustments to the Share
Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will not make an
adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not require the calculation
agent to make an adjustment, the value of the notes may be materially and adversely affected.
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·
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NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE INDEX —
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The value of your notes will not be adjusted for exchange
rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the Index are based, although
any currency fluctuations could affect the performance of the Index.
PS-7
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
The Underlyings
The iShares® MSCI EAFE ETF is an exchange-traded
fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of large- and mid-capitalization developed market equities, excluding the United States and Canada, which we refer
to as the Underlying Index with respect to the iShares® MSCI EAFE ETF. The Underlying Index with respect to the iShares®
MSCI EAFE ETF is currently the MSCI EAFE® Index. The MSCI EAFE® Index is a free float-adjusted market capitalization
index intended to measure the equity market performance of certain developed markets, excluding the United States and Canada. For additional
information about the iShares® MSCI EAFE ETF, see “Fund Descriptions — The iShares® ETFs”
in the accompanying underlying supplement.
The iShares® MSCI Emerging Markets ETF is an exchange-traded
fund of iShares®, Inc., a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of large- and mid-capitalization emerging market equities, which we refer to as the Underlying Index with respect
to the iShares® MSCI Emerging Markets ETF. The Underlying Index with respect to the iShares® MSCI Emerging
Markets ETF is currently the MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a free float-adjusted market capitalization
index that is designed to measure the equity market performance of global emerging markets. For additional information about the iShares®
MSCI Emerging Markets ETF, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying
supplement.
The Index consists of 50 component stocks of market sector leaders
from within the Eurozone. The EURO STOXX 50® Index and STOXX are the intellectual property (including registered trademarks)
of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The notes based
on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and
neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about the EURO
STOXX 50® Index, see “Equity Index Descriptions — The STOXX Benchmark Indices” in the accompanying underlying
supplement.
Historical Information
The following graphs set forth the historical performance of each
Underlying based on the weekly historical closing values from January 8, 2016 through November 26, 2021. The closing value of the iShares®
MSCI EAFE ETF on December 2, 2021 was $77.35. The closing value of the iShares® MSCI Emerging Markets ETF on December 2,
2021 was $49.62. The closing value of the Index on December 2, 2021 was 4,108.02. We obtained the closing values above and below from
the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing values of
the Funds above and below may have been adjusted by Bloomberg for actions taken by the Funds, such as stock splits.
The historical closing values of each Underlying should not
be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying on the Pricing
Date or the Observation Date. There can be no assurance that the performance of the Underlyings will result in the return of any of your
principal amount.
PS-8
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
Tax Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
no. 4-II. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel,
Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market
conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are
not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, subject to the possible application of the “constructive ownership”
rules, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year,
whether or not you are an initial purchaser of notes at the issue price. The notes could be treated as “constructive ownership
transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would
otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section
1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at
a constant yield over your holding period for the notes. Our special tax counsel has not expressed an opinion with respect to whether
the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential
application of the constructive ownership rules.
PS-9
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
The IRS or a court may
not respect the treatment of the notes described above, in which case the timing and character of any income or loss on your notes could
be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S.
federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments
on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such
as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the constructive ownership regime described above. While the notice requests comments on appropriate transition rules and effective
dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the notes, including the potential application of the constructive ownership
rules, possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code
and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income
tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including
for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally,
a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a delta of
one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes with regard to
Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex
and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an
Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing
supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The Estimated Value of
the Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded
market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time.
The estimated value of the notes does not represent future values
of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations for the notes
that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the
future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based
on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
PS-10
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
The estimated value of the notes will be lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits,
if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one
or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower Than the Original
Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices
of the Notes
For information about factors that will impact any secondary market
prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Underlyings”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
We expect that delivery of the notes will be made against payment
for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third business
day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities
Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the parties
to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business days before
delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should
consult their own advisors.
Additional Terms Specific
to the Notes
You may revoke your offer to purchase the notes at any time prior
to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any
offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you
will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may
reject your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these notes
are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement,
the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated with conventional
debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
PS-11
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
PS-12
| Structured Investments
Uncapped Digital Barrier Notes Linked to the Least Performing of the iShares®
MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50® Index
|
|
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