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 August 29, 2025
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PRICING SUPPLEMENT dated September , 2025 (To the Prospectus and Prospectus Supplement, each dated April 13, 2023, Product Supplement no. WF-1-I dated April 13, 2023 and Prospectus Addendum dated June 3, 2024) |
Filed Pursuant to Rule 424(b)(2) Registration Statement Nos. 333-270004 and 333-270004-01 |
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JPMorgan Chase Financial Company LLC Global Medium-Term Notes, Series A Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. |
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Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028 |
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n Linked to the iShares® Bitcoin Trust ETF (the “Fund”) n Unlike ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the securities provide for a maturity payment amount that may be greater than, equal to or less than the principal amount of the securities, depending on the performance of the Fund from the starting price to the ending price. The maturity payment amount will reflect the following terms: n If the price of the Fund increases, you will receive the principal amount plus a positive return equal to 200% of the percentage increase in the price of the Fund from the starting price, subject to a maximum return at maturity of at least 82.00% (to be provided in the pricing supplement) of the principal amount. As a result of the maximum return, the maximum maturity payment amount will be at least $1,820.00 per security. n If the price of the Fund remains flat or decreases but the decrease is not more than the buffer amount of 12.50%, you will receive the principal amount. n If the price of the Fund decreases by more than the buffer amount, you will receive less than the principal amount and will have 1-to-1 downside exposure to the decrease in the price of the Fund in excess of the buffer amount. n Investors may lose up to 87.50% of the principal amount. n Investors should be knowledgeable about the risks associated with cryptocurrencies and digital assets because the Fund seeks to reflect generally the performance of the price of bitcoin and therefore the securities involve significant risks in investments tracking cryptocurrencies. Bitcoin has historically exhibited high price volatility relative to more traditional asset classes and has experienced extreme volatility in recent periods and may continue to do so. n The securities are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the securities is subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co., as guarantor of the securities. n No periodic interest payments n No exchange listing; designed to be held to maturity |
The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Risk Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” on page PS-9 in this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the contrary is a criminal offense.
| Price to Public(1) | Fees and Commissions(2)(3) | Proceeds to Issuer | |
| Per Security | $1,000.00 | $28.25 | $971.75 |
| Total |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the securities. |
| (2) | Wells Fargo Securities, LLC, which we refer to as WFS, acting as agent for JPMorgan Financial, will receive selling commissions from us of up to $28.25 per security. WFS has advised us that it may provide dealers, which may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), with a selling concession of $22.50 per security. In addition to the concession allowed to WFA, WFS has advised us that it may pay $0.75 per security of the selling commissions to WFA as a distribution expense fee for each security sold by WFA. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
| (3) | In respect of certain securities sold in this offering, J.P. Morgan Securities LLC, which we refer to as JPMS, may pay a fee of up to $2.00 per security to selected dealers in consideration for marketing and other services in connection with the distribution of the securities to other dealers. |
If the securities priced today, the estimated value of the securities would be approximately $914.60 per security. The estimated value of the securities, when the terms of the securities are set, will be provided in the pricing supplement and will not be less than $900.00 per security. See “The Estimated Value of the Securities” in this pricing supplement for additional information.
The securities are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
| Wells Fargo Securities |  |
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
Terms of the Securities
| Issuer: | JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: | JPMorgan Chase & Co. |
| Fund: | iShares® Bitcoin Trust ETF (Bloomberg ticker: IBIT) (the “Fund”) |
| Pricing Date1: | September 29, 2025 |
| Issue Date1: | October 2, 2025 |
| Calculation Day1, 2: | September 29, 2028 |
| Stated Maturity Date1, 2: | October 4, 2028 |
| Principal Amount: | $1,000 per security. References in this pricing supplement to a “security” are to a security with a principal amount of $1,000. |
| Maturity Payment Amount: |
On the stated maturity date, you will be entitled to receive a cash payment per security in U.S. dollars equal to the maturity payment amount. The “maturity payment amount” per security will equal: · if the ending price is greater than the starting price: $1,000 plus the lesser of: (i) $1,000 × fund return × upside participation rate; and (ii) the maximum return; · if the ending price is less than or equal to the starting price, but greater than or equal to the threshold price: $1,000; or · if the ending price is less than the threshold price: $1,000 + [$1,000 × (fund return + buffer amount)] If 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 87.50%, of the principal amount of your securities at maturity. |
| Maximum Return: | The “maximum return” will be provided in the pricing supplement and will be at least 82.00% of the principal amount (at least $820.00 per security). As a result of the maximum return, the maximum maturity payment amount will be at least $1,820.00 per security. |
| Upside Participation Rate: | 200% |
| Fund Return: |
The “fund return” is the percentage change from the starting price to the ending price, calculated as follows: ending price – starting price starting price |
| Buffer Amount: | 12.50% |
| Threshold Price: | $ , which is equal to 87.50% of the starting price |
| Starting Price: | $ , the fund closing price of the Fund on the pricing date |
| Ending Price: | The “ending price” will be the fund closing price of the Fund on the calculation day. |
| Fund Closing Price: | “Fund closing price” has the meaning set forth under “The Underlyings — Funds — Certain Definitions” in the accompanying product supplement. The fund closing price of the Fund is subject to adjustment through the adjustment factor as described in the accompanying product supplement. |
| Additional Terms: | Terms used in this pricing supplement, but not defined herein, will have the meanings ascribed to them in the accompanying product supplement. |
| Calculation Agent: | J.P. Morgan Securities LLC (“JPMS”) |
PS-2
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
| Tax Considerations: | For a discussion of the material U.S. federal income tax consequences of the ownership and disposition of the securities, see “Tax Considerations.” |
| Denominations: | $1,000 and any integral multiple of $1,000 |
| CUSIP: | 48136GWP1 |
| Fees and Commissions: |
Wells Fargo Securities, LLC, which we refer to as WFS, acting as agent for JPMorgan Financial, will receive selling commissions from us of up to $28.25 per security. WFS has advised us that it may provide dealers, which may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), with a selling concession of $22.50 per security. In addition to the concession allowed to WFA, WFS has advised us that it may pay $0.75 per security of the selling commissions to WFA as a distribution expense fee for each security sold by WFA. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. In addition, in respect of certain securities sold in this offering, JPMS may pay a fee of up to $2.00 per security to selected securities dealers in consideration for marketing and other services in connection with the distribution of the securities to other securities dealers. We, WFS or an affiliate may enter into swap agreements or related hedge transactions with one of our or their other affiliates or unaffiliated counterparties in connection with the sale of the securities and JPMS, WFS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental Use of Proceeds” below and “Use of Proceeds and Hedging” in the accompanying product supplement. |
1 Expected. In the event that we make any change to the expected pricing date or issue date, the calculation day and/or the stated maturity date may be changed so that the stated term of the securities remains the same.
2 Subject to postponement in the event of a non-trading day or a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement or early acceleration as described under “Supplemental Terms of the Securities — Acceleration Upon a Liquidation Event” in this pricing supplement.
PS-3
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
Additional Information about the Issuer, the Guarantor and the Securities
You may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any changes to the terms of the securities, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these securities are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement. This pricing supplement, together with the documents listed below, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, as the securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the securities.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Product supplement no. WF-1-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029547/ea152823_424b2.pdf |
| · | Prospectus supplement and prospectus, each dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf |
| · | Prospectus addendum dated June 3, 2024: http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm |
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our” refer to JPMorgan Financial.
PS-4
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
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, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the securities is determined when the terms of the securities are set based on market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the securities will be lower than the original issue price of the securities because costs associated with selling, structuring and hedging the securities are included in the original issue price of the securities. These costs include the selling commissions paid to WFS (which WFS has advised us includes selling concessions and distribution expense fees), the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the securities may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities Will Be Lower Than the Original Issue Price (Price to Public) of the Securities” in this pricing supplement.
Secondary Market Prices of the Securities
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the 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 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 iShares® Bitcoin Trust 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.
Supplemental Terms of the Securities
The securities are not commodity futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The securities are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption, that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, as set out in
PS-5
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity Futures Trading Commission.
Any values of the Fund, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement and the corresponding terms of the securities. Notwithstanding anything to the contrary in the indenture governing the securities, that amendment will become effective without consent of the holders of the securities or any other party.
Acceleration Upon a Liquidation Event
Notwithstanding anything to the contrary under “The Underlyings — Funds — Anti-Dilution Adjustments Relating to a Fund; Alternate Calculation — Liquidation Events” in the accompanying product supplement, if, upon the occurrence of a liquidation event (as defined in the accompanying product supplement), the calculation agent determines, in its sole discretion, that no successor fund (as defined in the accompanying product supplement) is available, we will have the right, but not the obligation, to accelerate the payment on the securities. If we choose to exercise this right, (a) we will provide, or cause the calculation agent to provide, written notice of our election to exercise this right to the trustee, on which notice the trustee may conclusively rely, at its New York office, and to The Depository Trust Company, or DTC, as holder of the securities, (b) the amount due and payable per security upon early acceleration will be determined by the calculation agent in good faith and in a commercially reasonable manner on the date on which we (or the calculation agent) deliver notice of acceleration and (c) that amount will be payable on the fifth business day following the date on which we (or the calculation agent) deliver notice of acceleration, and the maturity date will be accelerated to that fifth business day. In determining the amount due and payable upon the occurrence of a liquidation event due to delisting of the Fund, the calculation agent will consider the last price published by the relevant exchange before such delisting.
We will provide, or will cause the calculation agent to provide, written notice to the trustee at its New York office, on which notice the trustee may conclusively rely, and to DTC of the cash amount due with respect to the securities as promptly as possible and in no event later than two business days prior to the date on which payment is due.
PS-6
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
Investor Considerations
The securities are not appropriate for all investors. The securities may be an appropriate investment for you if all of the following statements are true:
| § | You do not seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| § | You anticipate that the ending price will be greater than the starting price, and you are willing and able to accept the risk that, if the ending price is less than the starting price by more than the buffer amount, you will lose up to 87.50% of the principal amount of your securities at maturity. |
| § | You are willing and able to accept that any potential return on the securities is limited to the maximum return. |
| § | You are willing and able to accept the risks associated with an investment linked to the performance of the Fund, including risks associated with bitcoin, 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 distributions that may be paid to holders of the Fund, nor will you have any voting rights with respect to 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. |
| § | You are willing and able to assume our and JPMorgan Chase & Co.’s credit risks for all payments on the securities. |
The securities may not be an appropriate investment for you if any of the following statements are true:
| § | You seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| § | You seek an investment that provides for the full repayment of principal at maturity. |
| § | You anticipate that the ending price will be less than the starting price, or you are unwilling or unable to accept the risk that, if the ending price is less than the starting price by more than the buffer amount, you will lose up to 87.50% of the principal amount of your securities at maturity. |
| § | You seek an investment with uncapped exposure to any positive performance of the Fund. |
| § | You are unwilling or unable to accept the risks associated with an investment linked to the performance of the Fund, including risks associated with bitcoin, as explained in more detail in the “Selected Risk Considerations” section of this pricing supplement. |
| § | You seek an investment that entitles you to distributions that may be paid to holders of the Fund, or voting rights with respect to 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, the “Risk Factors” sections in the accompanying prospectus supplement and product supplement and Annex A to the accompanying prospectus addendum. For more information about the Fund, please see the section titled “The iShares® Bitcoin Trust ETF” below.
PS-7
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
Determining the Maturity Payment Amount
On the stated maturity date, you will receive a cash payment per security (the maturity payment amount) calculated as follows:
PS-8
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
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 its underlying asset. Some of the risks that apply to an investment in the securities are summarized below, but we urge you to read the more detailed explanation of risks relating to the securities generally in the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum. You should not purchase the securities unless you understand and can bear the risks of investing in the securities.
Risks Relating to the Securities Generally
| · | If the Ending Price Is Less Than the Threshold Price, You Will Lose Up to 87.50% of the Principal Amount of Your Securities at Maturity — The securities do not guarantee the full return of principal. The return on the securities at maturity is linked to the performance of the Fund and will depend on whether, and the extent to which, the Fund has appreciated or 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 87.50% of your principal amount at maturity. |
| · | Your Return Will Be Limited to the Maximum Return and May Be Lower Than the Return on a Direct Investment in the Fund or Its Underlying Asset — If the ending price is greater than the starting price, for each $1,000 security, you will receive at maturity $1,000 plus an additional return that will not exceed the maximum return, regardless of the appreciation of the Fund, which may be significant. Therefore, your return on the securities may be lower than the return on a direct investment in the Fund or bitcoin, which we refer to as the underlying asset with respect to the Fund. Furthermore, the effect of the upside participation rate will be progressively reduced for all ending prices exceeding the ending price at which the maximum return is reached. |
| · | We May Accelerate Your Securities if a Liquidation Event Occurs — If a liquidation event occurs and the calculation agent determines, in its sole discretion, that no successor fund is available, we may, in our sole and absolute discretion, accelerate the payment on your securities and pay you an amount determined in good faith and in a commercially reasonable manner by the calculation agent. If the payment on your securities is accelerated, your investment may result in a loss and you may not be able to reinvest your money in a comparable investment. For more information, see “Supplemental Terms of the Securities — Acceleration Upon a Liquidation Event” in 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 and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the securities. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in respect of the securities as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on the securities, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information, see the accompanying prospectus addendum. |
| · | Volatility Risk — Greater expected volatility with respect to the Fund indicates a greater likelihood as of the pricing date that the ending price could be less than the threshold price. The Fund’s volatility, however, can change significantly over the term of the securities. The fund closing price of the Fund could fall sharply during the term of the securities, which could result in you losing some or most of your principal amount at maturity. In addition, because the Fund is linked to a single asset, not a diverse basket or a broad-based index, the securities carry greater risk and may be more volatile than securities linked to the values of a diverse basket or a broad-based index. |
| · | No Interest Payments or Rights With Respect to the Fund or Its Underlying Asset — As a holder of the securities, you will not receive interest payments, and you will not have voting rights with respect to the Fund or other rights that holders of shares of the Fund or its underlying asset 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 |
PS-9
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
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 maximum return. |
| · | The U.S. Federal Tax Consequences of the Securities Are Uncertain, and May Be Adverse to a Holder of the Securities — See “Tax Considerations” below and “Risk Factors — Risks Relating to the Notes Generally — The tax consequences of an investment in the notes are uncertain” in the accompanying product supplement. |
Risks Relating to Conflicts of Interest
| · | Potential Conflicts — We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities and making the assumptions used to determine the pricing of the securities and the estimated value of the securities when the terms of the securities are set, which we refer to as the estimated value of the securities. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the securities and the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the securities could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks. |
Risks Relating to the Estimated Value 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 — 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, 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). |
PS-10
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
| · | Secondary Market Prices of the Securities Will Likely Be Lower Than the Original Issue Price of the Securities — Any secondary market prices of the securities will likely be lower than the original issue price of the securities because, among other things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the securities. As a result, the price, if any, at which JPMS will be willing to buy securities from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the stated maturity date could result in a substantial loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary market prices of the securities. |
The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity. See “— Risks Relating to the Securities Generally — Lack of Liquidity” above.
| · | Many Economic and Market Factors Will Impact the Value of the Securities — As described under “The Estimated Value of the Securities” in this pricing supplement, the securities can be thought of as securities that combine a fixed-income debt component with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of the securities at issuance and their value in the secondary market. Accordingly, the secondary market price of the securities during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the 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 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, geographical, agricultural, meteorological 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
| · | The Fund Is Not an Investment Company or Commodity Pool and Will Not Be Subject to Regulation Under the Investment Company Act of 1940, As Amended, or The Commodity Exchange Act — Accordingly, you will not benefit from any regulatory protections afforded to persons who invest in regulated investment companies or commodity pools. |
| · | 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 Performance and Market Value of the Fund, Particularly During Periods of Market Volatility, May Not Correlate with the Performance of the Fund’s Underlying Asset As Well As the Net Asset Value Per Share — The Fund does not fully replicate the performance of its underlying asset due to the fees and expenses charged by the Fund or by restrictions on access to the underlying asset due to other circumstances. Additionally, there is a risk that part or all of the Fund’s holdings in its underlying asset could be lost or stolen. Access to the Fund’s underlying asset could also be restricted by natural events (such as an earthquake) or human actions (such as a terrorist attack or cyberattack). All of these factors may lead to a lack of correlation between the performance of the Fund and its underlying asset. In addition, 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, the Fund’s underlying asset 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
PS-11
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
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 asset 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.
| · | Limited Trading History — The Fund commenced trading on The Nasdaq Stock Market on January 11, 2024 and therefore has limited historical performance. Past performance should not be considered indicative of future performance. |
| · | The Securities Are Subject to Risks Relating to Bitcoin and the Bitcoin Network — The Fund offers exposure to bitcoin. Bitcoin is a digital asset designed to act as a medium of exchange and does not represent legal tender. Use of bitcoin in the retail and commercial marketplace is relatively limited. Bitcoin generally operates without central authority or banks and is not backed by any government or organized governing body. Digital assets such as bitcoin are new and novel products, and their value is influenced by a wide variety of factors that are uncertain and difficult to evaluate. Information about bitcoin holdings is limited, as ownership of bitcoin is semi-anonymous and the supply of accessible bitcoin is unknown. |
Bitcoin is an emerging asset class, and regulation in the United States is still developing, including with respect to market integrity, anti-fraud, anti-manipulation, cybersecurity, surveillance and anti-money laundering. Federal, state and/or foreign governments may restrict the use and exchange of bitcoin and any such regulatory actions may adversely affect the value of bitcoin. Bitcoin and the bitcoin network face significant challenges to scaling. Bitcoin has been and may continue to be subject to extreme market volatility.
Competition from other digital assets or so-called “central bank digital currencies” could adversely affect the value of bitcoin. Political or economic crises may motivate large-scale sales of bitcoin, which could result in a reduction in the prices of bitcoin and adversely affect an investment in the securities. Concerns about the perceived or actual environmental or other risks associated with, or bad publicity regarding, bitcoin may lead to decreased participation in the bitcoin network or decreased interest in or use of bitcoin, which could adversely affect the value of bitcoin and therefore the value of and return on the securities. The value of bitcoin may fall to zero, causing you to lose some or most of your principal amount at maturity. If bitcoin continues to be subject to sharp fluctuations, the Fund and the securities may be adversely affected.
The value of bitcoin could be adversely affected by the actions of bitcoin miners. Your investment in the securities could also be adversely affected by a temporary or permanent “fork” (or “split”) of the bitcoin network and the blockchain, with one version running pre-modified software and the other running modified software. Even when held indirectly, investment vehicles like the Fund may be affected by the high volatility associated with bitcoin exposure. Bitcoin is susceptible to theft, loss, destruction and fraud.
Bitcoin exchanges and other trading venues on which bitcoin trades are also relatively new and, in most cases, largely unregulated and may therefore be more exposed to operational problems, fraud and failure than established, regulated exchanges for securities, derivatives and other currencies. Bitcoin exchanges may stop operating or permanently shut down due to fraud, technical glitches, internet disruptions, hackers or malware (e.g., intentional network attacks), which may also affect the price of bitcoin. Events that negatively affect bitcoin may negatively affect the performance of the Fund and the securities.
| · | 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. |
| · | The Maturity Payment Amount 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 Its Underlying Asset. Investing in the securities is not equivalent to investing directly in the Fund or its underlying asset 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 Sponsor of the Fund Could Affect the Value of, and Any Amount Payable on, the Securities. |
| · | We and Our Affiliates Have No Affiliation with the Sponsor of the Fund and Have Not Independently Verified
Its Public Disclosure of Information. |
PS-12
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
| Hypothetical Examples and Returns |
The payout profile, return table and examples below illustrate the maturity payment amount for a security on a hypothetical offering of securities under various scenarios, with the assumptions set forth in the table below. The terms used for purposes of these hypothetical examples do not represent the actual starting 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 iShares® Bitcoin Trust ETF” in this pricing supplement.
The payout profile, return table and examples below assume that an investor purchases the securities for $1,000 per security. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis. The payout profile, return table and examples below do not take into account any tax consequences from investing in the securities. The actual maturity payment amount and resulting pre-tax total rate of return will depend on the actual terms of the securities.
| Upside Participation Rate: | 200.00% |
| Hypothetical Maximum Return: | 82.00% of the principal amount per security (the lowest maximum return) |
| Hypothetical Starting Price: | $100.00 |
| Hypothetical Threshold Price: | $87.50 (87.50% of the hypothetical starting price) |
| Buffer Amount: | 12.50% |
Hypothetical Payout Profile
PS-13
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
Hypothetical Returns
|
Hypothetical ending price |
Hypothetical fund return |
Hypothetical maturity payment |
Hypothetical pre-tax total rate of return(1) |
| $200.00 | 100.00% | $1,820.00 | 82.00% |
| $175.00 | 75.00% | $1,820.00 | 82.00% |
| $150.00 | 50.00% | $1,820.00 | 82.00% |
| $141.00 | 41.00% | $1,820.00 | 82.00% |
| $140.00 | 40.00% | $1,800.00 | 80.00% |
| $130.00 | 30.00% | $1,600.00 | 60.00% |
| $120.00 | 20.00% | $1,400.00 | 40.00% |
| $110.00 | 10.00% | $1,200.00 | 20.00% |
| $105.00 | 5.00% | $1,100.00 | 10.00% |
| $102.50 | 2.50% | $1,050.00 | 5.00% |
| $100.00 | 0.00% | $1,000.00 | 0.00% |
| $97.50 | -2.50% | $1,000.00 | 0.00% |
| $95.00 | -5.00% | $1,000.00 | 0.00% |
| $90.00 | -10.00% | $1,000.00 | 0.00% |
| $87.50 | -12.50% | $1,000.00 | 0.00% |
| $86.50 | -13.50% | $990.00 | -1.00% |
| $80.00 | -20.00% | $925.00 | -7.50% |
| $70.00 | -30.00% | $825.00 | -17.50% |
| $60.00 | -40.00% | $725.00 | -27.50% |
| $50.00 | -50.00% | $625.00 | -37.50% |
| $25.00 | -75.00% | $375.00 | -62.50% |
| $0.00 | -100.00% | $125.00 | -87.50% |
| (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. |
PS-14
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
Hypothetical Examples
Example 1. Maturity payment amount is greater than the principal amount and reflects a return that is less than the maximum return:
| Fund | |
| Hypothetical starting price: | $100.00 |
| Hypothetical ending price: | $110.00 |
| Hypothetical threshold price: | $87.50 |
|
Hypothetical fund return (ending price – starting price)/starting price: |
10.00% |
Because the hypothetical ending price is greater than the hypothetical starting price, the maturity payment amount per security would be equal to the principal amount of $1,000 plus a positive return equal to the lesser of:
(i) $1,000 × fund return × upside participation rate
$1,000 × 10.00% × 200.00%
= $200.00; and
(ii) the maximum return of $820.00
On the stated maturity date, you would receive $1,200.00 per security.
Example 2. Maturity payment amount is greater than the principal amount and reflects a return equal to the maximum return:
| Fund | |
| Hypothetical starting price: | $100.00 |
| Hypothetical ending price: | $150.00 |
| Hypothetical threshold price: | $87.50 |
|
Hypothetical fund return (ending price – starting price)/starting price: |
50.00% |
Because the hypothetical ending price is greater than the hypothetical starting price, the maturity payment amount per security would be equal to the principal amount of $1,000 plus a positive return equal to the lesser of:
(i) $1,000 × fund return × upside participation rate
$1,000 × 50.00% × 200.00%
= $1,000.00; and
(ii) the maximum return of $820.00
On the stated maturity date, you would receive $1,820.00 per security, which is the maximum maturity payment amount.
In addition to limiting your return on the securities, the maximum return limits the positive effect of the upside participation rate. If the ending price is greater than the starting price, you will participate in the performance of the Fund at a rate of 200% up to a certain point. However, the effect of the upside participation rate will be progressively reduced for ending prices that are greater than 141.00% of the starting price (assuming a maximum return of 82.00% or $820.00 per security, the lowest maximum return) since your return on the securities for any ending price greater than 141.00% of the starting price will be limited to the maximum return.
PS-15
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
Example 3. Maturity payment amount is equal to the principal amount:
| Fund | |
| Hypothetical starting price: | $100.00 |
| Hypothetical ending price: | $95.00 |
| Hypothetical threshold price: | $87.50 |
|
Hypothetical fund return (ending price – starting price)/starting price: |
-5.00% |
Because the hypothetical ending price is less than the hypothetical starting price, but not by more than the buffer amount, you would not lose any of the principal amount of your securities.
On the stated maturity date, you would receive $1,000.00 per security.
Example 4. Maturity payment amount is less than the principal amount:
| Fund | |
| Hypothetical starting price: | $100.00 |
| Hypothetical ending price: | $50.00 |
| Hypothetical threshold price: | $87.50 |
|
Hypothetical fund return (ending price – starting price)/starting price: |
-50.00% |
Because the hypothetical ending price is less than the hypothetical starting price by more than the buffer amount, 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% + 12.50%)]
= $625.00
On the stated maturity date, you would receive $625.00 per security.
If 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 87.50%, 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. 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-16
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
The iShares® Bitcoin Trust ETF
The Fund is an exchange-traded fund that seeks to reflect generally the performance of the price of bitcoin before the payment of its expenses and liabilities. The assets of the Fund consist primarily of bitcoin held by the bitcoin custodian on behalf of the Fund. For additional information about the Fund, see Annex A below.
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 11, 2024 through August 28, 2025. The Fund commenced trading on The Nasdaq Stock Market on January 11, 2024 and therefore has limited historical performance. The closing price of the Fund on August 28, 2025 was $63.58. 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 price of the Fund on the pricing date or the calculation day. There can be no assurance that the performance of the Fund will not result in a loss of the principal amount of the securities.
PS-17
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
Tax Considerations
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. WF-1-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of securities.
Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the securities as “open transactions” that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this treatment is respected, subject to the possible application of the “constructive ownership” rules, the gain or loss on your securities should be treated as long-term capital gain or loss if you hold your securities for more than a year, whether or not you are an initial purchaser of securities at the issue price. The securities could be treated as “constructive ownership transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the securities that would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over your holding period for the securities. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership rules apply to the securities. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules.
However, the IRS or a court may not respect the treatment of the securities described above, in which case the timing and character of any income or loss on the securities could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime described above. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including the potential application of the constructive ownership rules, possible alternative treatments and the issues presented by this notice.
PS-18
Market Linked Securities — Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the iShares® Bitcoin Trust ETF due October 4, 2028
Annex A: The iShares® Bitcoin Trust ETF
All information contained in this pricing supplement regarding the iShares® Bitcoin Trust ETF has been derived from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by, the sponsor of the Fund, iShares Delaware Trust Sponsor LLC (“iShares Delaware”), an indirect subsidiary of BlackRock, Inc. BlackRock Fund Advisors, a California corporation that is wholly-owned subsidiary of BlackRock, is the trustee of the Fund. The Bank of New York Mellon is the cash custodian of the Fund and Coinbase Custody Trust Company, LLC is the bitcoin custodian of the Fund. The Fund is an investment trust that trades on The Nasdaq Stock Market under the ticker symbol “IBIT.”
The Fund seeks to reflect generally the performance of the price of bitcoin before the payment of its expenses and liabilities. The assets of the Fund consist primarily of bitcoin held by the bitcoin custodian on behalf of the Fund. The Fund issues blocks of shares in exchange for deposits of bitcoin and distributes bitcoin in connection with the redemption of blocks of shares. The shares of the Fund are intended to constitute a simple and cost-effective means of making an investment similar to an investment in bitcoin. The shares of the Fund represent units of fractional undivided beneficial interest in and ownership of the Fund. The Fund is a passive investment vehicle that does not seek to generate returns beyond tracking the price of bitcoin and the sponsor of the Fund does not actively manage the bitcoin held by the Fund. The trustee of the Fund sells bitcoin held by the Fund to pay the Fund’s expenses on an as-needed basis irrespective of then-current bitcoin prices.
Currently, the Fund’s only ordinary recurring expense is expected to be iShares Delaware’s fee, which is accrued daily at an annualized rate equal to 0.25% of the net asset value of the Fund and is payable at least quarterly in arrears. The trustee of the Fund will, when directed by iShares Delaware, and, in the absence of such direction, may, in its discretion, sell bitcoin in such quantity and at such times as may be necessary to permit payment of iShares Delaware’s fee and of expenses or liabilities of the Fund not assumed by iShares Delaware. As a result of the recurring sales of bitcoin necessary to pay the Fund sponsor’s fee and the Fund expenses or liabilities not assumed by the Fund sponsor, the net asset value of the Fund and, correspondingly, the fractional amount of bitcoin represented by each share will decrease over the life of the Fund. New deposits of bitcoin, received in exchange for additional new issuances of shares by the Trust, do not reverse this trend.
Information provided to or filed with the SEC by the Fund pursuant to the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended, can be located by reference to SEC file numbers 333-272680 and 001-41914, respectively, through the SEC’s website at http://www.sec.gov. The Fund is not a mutual fund or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder. The Fund is not a commodity pool for purposes of the Commodity Exchange Act of 1936, as amended, and is not subject to regulation thereunder, and iShares Delaware is not subject to regulation by the Commodity Futures Trading Commission as a commodity pool operator or a commodity trading advisor.
Bitcoin
Bitcoin is a digital asset the ownership and behavior of which are determined by participants in an online, peer-to-peer network that connects computers that run publicly accessible, or “open source,” software that follows the rules and procedures governing the bitcoin network, commonly referred to as the bitcoin protocol. The value of bitcoin, like the value of other digital assets, is not backed by any government, corporation or other identified body. Ownership and the ability to transfer or take other actions with respect to bitcoin is protected through public-key cryptography. The supply of bitcoin is constrained or formulated by its protocol instead of being explicitly delegated to an identified body (e.g., a central bank) to control. Units of bitcoin, called tokens, are treated as fungible. Bitcoin and certain other types of digital assets are often referred to as digital currencies or cryptocurrencies. No single entity owns or operates the bitcoin network, the infrastructure of which is collectively maintained by (1) a decentralized group of participants who run computer software that results in the recording and validation of transactions (commonly referred to as “miners”), (2) developers who propose improvements to the bitcoin protocol and the software that enforces the protocol and (3) users who choose what bitcoin software to run.
Bitcoin was released in 2009 and, as a result, there is little data on its long-term investment potential. Bitcoin is not backed by a government-issued legal tender or any other currency or asset. Bitcoin is “stored” or reflected on a digital transaction ledger commonly known as a “blockchain.” A blockchain is a type of shared and continually reconciled database, stored in a decentralized manner on the computers of certain users of the digital asset. Bitcoin is created by “mining.” Mining involves miners using a sophisticated computer program to repeatedly solve very complex mathematical problems on specialized computer hardware. Miners can be bitcoin enthusiasts but increasingly are professional mining operations that design and build dedicated machines and data centers as the computing power required to solve the problem continues to increase significantly.
PS-19