05/16/2024 | Press release | Distributed by Public on 05/16/2024 04:05
May , 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 Least
Performing of the Dow Jones Industrial AverageTM, the
Nasdaq-100® Technology Sector IndexSM and the Russell 2000®
Index due February 26, 2026
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 each of the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector IndexSM and the Russell
2000® Index, which we refer to as the Indices, is greater than or equal to 80.00% of its Initial Value, which we refer to as an
Interest Barrier.
●The notes will be automatically called if the closing level of each Index on any Review Date (other than the first, second and
final Review Dates) is greater than or equal to its Initial Value.
●The earliest date on which an automatic call may be initiated is August 23, 2024.
●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 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.
●Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the
performance of each of the Indices individually, as described below.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes are expected to price on or about May 23, 2024 and are expected to settle on or about May 29, 2024.
●CUSIP:48135MB72
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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 $22.25 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.
Indices:The Dow Jones Industrial AverageTM (Bloomberg
ticker: INDU), the Nasdaq-100® Technology Sector IndexSM
(Bloomberg ticker: NDXT) and the Russell 2000® Index
(Bloomberg ticker: RTY) (each an "Index" and collectively, the
"Indices")
Contingent Interest Payments:
If the notes have not been automatically called and the closing
level of each Index on any Review Date is greater than or equal
to its 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 $5.50 (equivalent
to a Contingent Interest Rate of at least 6.60% per annum,
payable at a rate of at least 0.55% per month) (to be provided in
the pricing supplement).
If the closing level of any Index on any Review Date is less than
its Interest Barrier, no Contingent Interest Payment will be made
with respect to that Review Date.
Contingent Interest Rate:At least 6.60% per annum, payable
at a rate of at least 0.55% per month (to be provided in the
pricing supplement)
Interest Barrier: With respect to each Index, 80.00% of its Initial
Value
Trigger Value: With respect to each Index, 70.00% of its Initial
Value
Pricing Date:On or about May 23, 2024
Original Issue Date (Settlement Date):On or about May 29,
2024
Review Dates*:June 24, 2024, July 23, 2024, August 23, 2024,
September 23, 2024, October 23, 2024, November 25, 2024,
December 23, 2024, January 23, 2025, February 24, 2025,
March 24, 2025, April 23, 2025, May 23, 2025, June 23, 2025,
July 23, 2025, August 25, 2025, September 23, 2025, October
23, 2025, November 24, 2025, December 23, 2025, January 23,
2026 and February 23, 2026 (final Review Date)
Interest Payment Dates*:June 27, 2024, July 26, 2024, August
28, 2024, September 26, 2024, October 28, 2024, November
29, 2024, December 27, 2024, January 28, 2025, February 27,
2025, March 27, 2025, April 28, 2025, May 29, 2025, June 26,
2025, July 28, 2025, August 28, 2025, September 26, 2025,
October 28, 2025, November 28, 2025, December 29, 2025,
January 28, 2026 and the Maturity Date
Maturity Date*:February 26, 2026
Call Settlement Date*:If the notes are automatically called on
any Review Date (other than the first, second 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 "General Terms of Notes - Postponement of a
Determination Date - Notes Linked to Multiple Underlyings" and
"General Terms of Notes - Postponement of a Payment Date" in the
accompanying product supplement
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Automatic Call:
If the closing level of each Index on any Review Date (other than
the first, second and final Review Dates) is greater than or equal
to its Initial 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 of each Index is greater than or equal to its 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, if any, applicable to the final
Review Date.
If the notes have not been automatically called and the Final
Value of any Index is less than its Trigger Value, your payment
at maturity per $1,000 principal amount note will be calculated
as follows:
$1,000 + ($1,000 × Least Performing Index Return)
If the notes have not been automatically called and the Final
Value of any Index is less than its Trigger Value, you will lose
more than 30.00% of your principal amount at maturity and
could lose all of your principal amount at maturity.
Least Performing Index:The Index with the Least Performing
Index Return
Least Performing Index Return:The lowest of the Index
Returns of the Indices
Index Return:With respect to each Index,
(Final Value - Initial Value)
Initial Value
Initial Value: With respect to each Index, the closing level of
that Index on the Pricing Date
Final Value:With respect to each Index, the closing level of that
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 Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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PS-2 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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Number of Contingent
Interest Payments
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Total Contingent Interest
Payments
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21
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$115.50
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20
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$110.00
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19
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$104.50
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18
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$99.00
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17
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$93.50
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16
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$88.00
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15
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$82.50
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14
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$77.00
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13
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$71.50
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12
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$66.00
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11
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$60.50
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10
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$55.00
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9
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$49.50
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8
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$44.00
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7
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$38.50
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6
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$33.00
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5
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$27.50
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4
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$22.00
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3
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$16.50
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2
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$11.00
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1
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$5.50
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0
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$0.00
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PS-3 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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Date
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Closing Level of Least
Performing Index
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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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$5.50
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Second Review Date
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110.00
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$5.50
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Third Review Date
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110.00
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$1,005.50
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Total Payment
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$1,016.50 (1.65% return)
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Date
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Closing Level of Least
Performing Index
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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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$5.50
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Second Review Date
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85.00
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$5.50
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Third through Twentieth
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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$1,005.50
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Total Payment
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$1,016.50 (1.65% return)
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PS-4 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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Date
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Closing Level of Least
Performing Index
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Payment (per $1,000 principal amount note)
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First Review Date
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90.00
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$5.50
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Second Review Date
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85.00
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$5.50
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Third through Twentieth
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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70.00
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$1,000.00
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Total Payment
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$1,011.00 (1.10% return)
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Date
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Closing Level of Least
Performing Index
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Payment (per $1,000 principal amount note)
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First Review Date
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60.00
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$0
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Second Review Date
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65.00
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$0
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Third through Twentieth
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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60.00
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$600.00
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Total Payment
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$600.00 (-40.00% return)
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PS-5 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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PS-6 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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PS-7 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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Historical Performance of the Dow Jones Industrial AverageTM
Source: Bloomberg
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PS-8 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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Historical Performance of the Nasdaq-100® Technology Sector IndexSM
Source: Bloomberg
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Historical Performance of the Russell 2000® Index
Source: Bloomberg
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PS-9 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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PS-10 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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PS-11 | Structured Investments
|
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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PS-12 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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(1)
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"Index Market Value" shall be calculated as follows:
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"Index Security" shall mean a security that has been selected for membership in the Nasdaq-100® Technology Sector IndexSM,
having met all applicable eligibility requirements.
n = Number of Index Securities included in the Nasdaq-100® Technology Sector IndexSM
qi = Number of shares of Index Security i applied in the Nasdaq-100® Technology Sector IndexSM.
pi = Price in quote currency of Index Security i. Depending on the time of the calculation, the price can be either of the following:
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PS-13 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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a.
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The Start of Day (SOD) price which is the previous index calculation day's (t-1) closing price for Index Security i adjusted
for corporate action(s) occurring prior to market open on date t, if any, for the SOD calculation only;
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b.
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The intraday price which reflects the current trading price received from the Nasdaq during the index calculation day;
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c.
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The End of Day (EOD) price refers to the Last Sale Price, which refers to the last regular-way trade reported on Nasdaq; or
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d.
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The Volume Weighted Average Price (VWAP)
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t = current index calculation day
t-1 = current index calculation day
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(2)
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"PR Index Divisor" should be calculated as follows:
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PS-14 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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PS-15 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Dow Jones Industrial AverageTM, the Nasdaq-100® Technology Sector
IndexSM and the Russell 2000® Index
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