03/28/2024 | Press release | Distributed by Public on 03/28/2024 11:29
April , 2024
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Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US
Tech+ Vol Advantage Index due April 2, 2029
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the
closing level of the MerQube US Tech+ Vol Advantage Index, which we refer to as the Index, is greater than or equal to
60.00% of the Strike Value, which we refer to as the Interest Barrier.
●The notes will be automatically called if the closing level of the Index on any Review Date (other than the first through
eleventh and final Review Dates) is greater than or equal to the Strike Value.
●The earliest date on which an automatic call may be initiated is March 27, 2025.
●Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest
Payment may be made with respect to some or all Review Dates.
●Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
●The Index is subject to a 6.0% per annum daily deduction, and the performance of the Invesco QQQ TrustSM, Series 1
(the "QQQ Fund") is subject to a notional financing cost. These deductions will offset any appreciation of the
components of the Index, will heighten any depreciation of those components and will generally be a drag on the
performance of the Index. The Index will trail the performance of an identical index without such deductions. See
"Selected Risk Considerations - Risks Relating to the Notes Generally - The Level of the Index Will Include a 6.0%
per Annum Daily Deduction" and "Selected Risk Considerations - Risks Relating to the Notes Generally - The
Level of the Index Will Include the Deduction of a Notional Financing Cost" in this pricing supplement.
●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.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes are expected to price on or about April 1, 2024 (the "Pricing Date") and are expected to settle on or about April 4,
2024. The Strike Value has been determined by reference to the closing level of the Index on March 27, 2024 and not
by reference to the closing level of the Index on the Pricing Date.
●CUSIP:48134XEG6
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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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$1,000
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$
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$
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Total
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$
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$
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$
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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 $8.50 per $1,000 principal amount
note. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.
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Issuer:JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:JPMorgan Chase & Co.
Index:The MerQube US Tech+ Vol Advantage Index
(Bloomberg ticker: MQUSTVA). The level of the Index reflects a
deduction of 6.0% per annum that accrues daily, and the
performance of the QQQ Fund is subject to a notional financing
cost that accrues daily.
Contingent Interest Payments:
If the notes have not been automatically called and the closing
level of the Index on any Review Date is greater than or equal to
the Interest Barrier, you will receive on the applicable Interest
Payment Date for each $1,000 principal amount note a
Contingent Interest Payment equal to at least $12.2917
(equivalent to a Contingent Interest Rate of at least 14.75% per
annum, payable at a rate of at least 1.22917% per month) (to be
provided in the pricing supplement).
If the closing level of the Index on any Review Date is less than
the Interest Barrier, no Contingent Interest Payment will be
made with respect to that Review Date.
Contingent Interest Rate:At least 14.75% per annum, payable
at a rate of at least 1.22917% per month (to be provided in the
pricing supplement)
Interest Barrier/Trigger Value: 60.00% of the Strike Value,
which is 6,389.796
Strike Date: March 27, 2024
Pricing Date:On or about April 1, 2024
Original Issue Date (Settlement Date):On or about April 4,
2024
Review Dates*:As specified under "Key Terms Relating to the
Review Dates and Interest Payment Dates" in this pricing
supplement
Interest Payment Dates*:As specified under "Key Terms
Relating to the Review Dates and Interest Payment Dates" in
this pricing supplement
Maturity Date*:April 2, 2029
Call Settlement Date*:If the notes are automatically called on
any Review Date (other than the first through eleventh and final
Review Dates), the first Interest Payment Date immediately
following that Review Date
* Subject to postponement in the event of a market disruption event and
as described under "Supplemental Terms of the Notes - Postponement
of a Determination Date - Notes Linked Solely to an Index" in the
accompanying underlying supplement and "General Terms of Notes -
Postponement of a Payment Date" in the accompanying product
supplement
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Automatic Call:
If the closing level of the Index on any Review Date (other than
the first through eleventh and final Review Dates) is greater than
or equal to the Strike Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount
note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment applicable to that Review Date, payable on the
applicable Call Settlement Date. No further payments will be
made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value is greater than or equal to the Trigger Value, you will
receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment applicable to the final Review Date.
If the notes have not been automatically called and the Final
Value is less than the Trigger Value, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and the Final
Value is less than the Trigger Value, you will lose more than
40.00% of your principal amount at maturity and could lose all of
your principal amount at maturity.
Index Return:
(Final Value - Strike Value)
Strike Value
Strike Value: The closing level of the Index on the Strike Date,
which was 10,649.66. The Strike Value is not the closing
level of the Index on the Pricing Date.
Final Value:The closing level of the Index on the final Review
Date
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PS-1 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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Review Dates*: April 29, 2024, May 28, 2024, June 27, 2024,
July 29, 2024, August 27, 2024, September 27, 2024, October
28, 2024, November 27, 2024, December 27, 2024, January
27, 2025, February 27, 2025, March 27, 2025, April 28, 2025,
May 27, 2025, June 27, 2025, July 28, 2025, August 27, 2025,
September 29, 2025, October 27, 2025, November 28, 2025,
December 29, 2025, January 27, 2026, February 27, 2026,
March 27, 2026, April 27, 2026, May 27, 2026, June 29, 2026,
July 27, 2026, August 27, 2026, September 28, 2026, October
27, 2026, November 27, 2026, December 28, 2026, January
27, 2027, March 1, 2027, March 29, 2027, April 27, 2027, May
27, 2027, June 28, 2027, July 27, 2027, August 27, 2027,
September 27, 2027, October 27, 2027, November 29, 2027,
December 27, 2027, January 27, 2028, February 28, 2028,
March 27, 2028, April 27, 2028, May 30, 2028, June 27, 2028,
July 27, 2028, August 28, 2028, September 27, 2028, October
27, 2028, November 27, 2028, December 27, 2028, January
29, 2029, February 27, 2029 and March 27, 2029 (final Review
Date)
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Interest Payment Dates*: May 2, 2024, May 31, 2024, July 2,
2024, August 1, 2024, August 30, 2024, October 2, 2024,
October 31, 2024, December 3, 2024, January 2, 2025,
January 30, 2025, March 4, 2025, April 1, 2025, May 1, 2025,
May 30, 2025, July 2, 2025, July 31, 2025, September 2,
2025, October 2, 2025, October 30, 2025, December 3, 2025,
January 2, 2026, January 30, 2026, March 4, 2026, April 1,
2026, April 30, 2026, June 1, 2026, July 2, 2026, July 30,
2026, September 1, 2026, October 1, 2026, October 30, 2026,
December 2, 2026, December 31, 2026, February 1, 2027,
March 4, 2027, April 1, 2027, April 30, 2027, June 2, 2027,
July 1, 2027, July 30, 2027, September 1, 2027, September
30, 2027, November 1, 2027, December 2, 2027, December
30, 2027, February 1, 2028, March 2, 2028, March 30, 2028,
May 2, 2028, June 2, 2028, June 30, 2028, August 1, 2028,
August 31, 2028, October 2, 2028, November 1, 2028,
November 30, 2028, January 2, 2029, February 1, 2029,
March 2, 2029 and the Maturity Date
* Subject to postponement in the event of a market disruption event
and as described under "Supplemental Terms of the Notes -
Postponement of a Determination Date - Notes Linked Solely to an
Index" in the accompanying underlying supplement and "General
Terms of Notes - Postponement of a Payment Date" in the
accompanying product supplement
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PS-2 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-3 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-4 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-5 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-6 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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Number of Contingent
Interest Payments
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Total Contingent Interest
Payments
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60
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$737.5000
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59
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$725.2083
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58
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$712.9167
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57
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$700.6250
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56
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$688.3333
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55
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$676.0417
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54
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$663.7500
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53
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$651.4583
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52
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$639.1667
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51
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$626.8750
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50
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$614.5833
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49
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$602.2917
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48
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$590.0000
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47
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$577.7083
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46
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$565.4167
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45
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$553.1250
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44
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$540.8333
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43
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$528.5417
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42
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$516.2500
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41
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$503.9583
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40
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$491.6667
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39
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$479.3750
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38
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$467.0833
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37
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$454.7917
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36
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$442.5000
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35
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$430.2083
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34
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$417.9167
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33
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$405.6250
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32
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$393.3333
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31
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$381.0417
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30
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$368.7500
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29
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$356.4583
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28
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$344.1667
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27
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$331.8750
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26
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$319.5833
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25
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$307.2917
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24
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$295.0000
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23
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$282.7083
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22
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$270.4167
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21
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$258.1250
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20
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$245.8333
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19
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$233.5417
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18
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$221.2500
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17
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$208.9583
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16
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$196.6667
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15
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$184.3750
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14
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$172.0833
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13
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$159.7917
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12
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$147.5000
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11
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$135.2083
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10
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$122.9167
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9
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$110.6250
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8
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$98.3333
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7
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$86.0417
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6
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$73.7500
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5
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$61.4583
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4
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$49.1667
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3
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$36.8750
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2
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$24.5833
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1
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$12.2917
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0
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$0.0000
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PS-7 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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Date
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Closing Level
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Payment (per $1,000 principal amount note)
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First Review Date
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105.00
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$12.2917
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Second Review Date
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110.00
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$12.2917
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Third through Eleventh
Review Dates
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Greater than Strike Value
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$12.2917
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Twelfth Review Date
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110.00
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$1,012.2917
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Total Payment
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$1,147.50 (14.75% return)
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Date
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Closing Level
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Payment (per $1,000 principal amount note)
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First Review Date
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95.00
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$12.2917
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Second Review Date
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85.00
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$12.2917
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Third through Fifty-Ninth
Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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90.00
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$1,012.2917
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Total Payment
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$1,036.875 (3.6875% return)
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PS-8 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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Date
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Closing Level
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Payment (per $1,000 principal amount note)
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First Review Date
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50.00
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$0
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Second Review Date
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55.00
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$0
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Third through Fifty-Ninth
Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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50.00
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$500.00
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Total Payment
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$500.00 (-50.00% return)
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PS-9 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-10 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-11 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-12 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-13 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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Hypothetical Back-Tested and Historical Performance of the
MerQube US Tech+ Vol Advantage Index
Source: Bloomberg
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PS-14 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-15 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-16 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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PS-17 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the MerQube US Tech+
Vol Advantage Index
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