04/30/2024 | Press release | Distributed by Public on 04/30/2024 11:46
April 26, 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
$480,000
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the NASDAQ-100 Index®, the Russell 2000® Index
and the SPDR® S&P® Regional Banking ETF due April 29, 2027
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 value of each of the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P® Regional Banking ETF,
which we refer to as the Underlyings, is greater than or equal to 70.00% of its Initial Value, which we refer to as an Interest
Barrier.
●The notes will be automatically called if the closing value of each Underlying on any Review Date (other than the first, second,
third, fourth, fifth 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 October 28, 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 Underlyings. Payments on the notes are linked to the
performance of each of the Underlyings individually, as described below.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes priced on April 26, 2024 and are expected to settle on or about May 1, 2024.
●CUSIP:48134X2B0
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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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$27.50
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$972.50
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Total
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$480,000
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$13,200
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$466,800
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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 of
$27.50 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. 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.
Underlyings:The NASDAQ-100 Index® (Bloomberg ticker:
NDX) and the Russell 2000® Index (Bloomberg ticker: RTY)
(each an "Index" and collectively, the "Indices") and the SPDR®
S&P® Regional Banking ETF (Bloomberg ticker: KRE) (the
"Fund") (each of the Indices and the Fund, an "Underlying" and
collectively, the "Underlyings")
Contingent Interest Payments:
If the notes have not been automatically called and the closing
value of each Underlying 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 $7.2917 (equivalent to a
Contingent Interest Rate of 8.75% per annum, payable at a rate
of 0.72917% per month).
If the closing value of any Underlying 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:8.75% per annum, payable at a rate
of 0.72917% per month
Interest Barrier: With respect to each Underlying, 70.00% of its
Initial Value, which is 12,402.81 for the NASDAQ-100 Index®,
1,401.40 for the Russell 2000® Index and $33.733 for the
SPDR® S&P® Regional Banking ETF
Trigger Value: With respect to each Underlying, 50.00% of its
Initial Value, which is 8,859.15 for the NASDAQ-100 Index®,
1,001.00 for the Russell 2000® Index and $24.095 for the
SPDR® S&P® Regional Banking ETF
Pricing Date:April 26, 2024
Original Issue Date (Settlement Date):On or about May 1,
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 29, 2027
Call Settlement Date*:If the notes are automatically called on
any Review Date (other than the first, second, third, fourth, fifth
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 value of each Underlying on any Review Date
(other than the first, second, third, fourth, fifth 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 Underlying 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 Underlying 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 Underlying Return)
If the notes have not been automatically called and the Final
Value of any Underlying is less than its Trigger Value, you will
lose more than 50.00% of your principal amount at maturity and
could lose all of your principal amount at maturity.
Least Performing Underlying:The Underlying with the Least
Performing Underlying Return
Least Performing Underlying Return:The lowest of the
Underlying Returns of the Underlyings
Underlying Return:With respect to each Underlying,
(Final Value - Initial Value)
Initial Value
Initial Value: With respect to each Underlying, the closing value
of that Underlying on the Pricing Date, which was 17,718.30 for
the NASDAQ-100 Index®, 2,002.000 for the Russell 2000® Index
and $48.19 for the SPDR® S&P® Regional Banking ETF
Final Value:With respect to each Underlying, the closing value
of that Underlying on the final Review Date
Share Adjustment Factor: The Share Adjustment Factor is
referenced in determining the closing value of the Fund and is
set equal to 1.0 on the Pricing Date. The Share Adjustment
Factor is subject to adjustment upon the occurrence of certain
events affecting the Fund. See "The Underlyings - Funds -
Anti-Dilution Adjustments" in the accompanying product
supplement for further information.
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PS-1 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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Review Dates*: May 28, 2024, June 26, 2024, July 26, 2024,
August 26, 2024, September 26, 2024, October 28, 2024,
November 26, 2024, December 26, 2024, January 27, 2025,
February 26, 2025, March 26, 2025, April 28, 2025, May 27,
2025, June 26, 2025, July 28, 2025, August 26, 2025,
September 26, 2025, October 27, 2025, November 26, 2025,
December 26, 2025, January 26, 2026, February 26, 2026,
March 26, 2026, April 27, 2026, May 26, 2026, June 26, 2026,
July 27, 2026, August 26, 2026, September 28, 2026, October
26, 2026, November 27, 2026, December 28, 2026, January
26, 2027, February 26, 2027, March 29, 2027 and April 26,
2027 (final Review Date)
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Interest Payment Dates*: May 31, 2024, July 1, 2024, July
31, 2024, August 29, 2024, October 1, 2024, October 31,
2024, December 2, 2024, December 31, 2024, January 30,
2025, March 3, 2025, March 31, 2025, May 1, 2025, May 30,
2025, July 1, 2025, July 31, 2025, August 29, 2025, October
1, 2025, October 30, 2025, December 2, 2025, December 31,
2025, January 29, 2026, March 3, 2026, March 31, 2026, April
30, 2026, May 29, 2026, July 1, 2026, July 30, 2026, August
31, 2026, October 1, 2026, October 29, 2026, December 2,
2026, December 31, 2026, January 29, 2027, March 3, 2027,
April 1, 2027 and the Maturity 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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PS-2 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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PS-3 | Structured Investments
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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PS-4 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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Number of Contingent
Interest Payments
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Total Contingent Interest
Payments
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36
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$262.5000
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35
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$255.2083
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34
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$247.9167
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33
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$240.6250
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32
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$233.3333
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31
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$226.0417
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30
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$218.7500
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29
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$211.4583
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28
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$204.1667
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27
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$196.8750
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26
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$189.5833
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25
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$182.2917
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24
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$175.0000
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23
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$167.7083
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22
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$160.4167
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21
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$153.1250
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20
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$145.8333
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19
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$138.5417
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18
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$131.2500
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17
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$123.9583
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16
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$116.6667
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15
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$109.3750
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14
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$102.0833
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13
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$94.7917
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12
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$87.5000
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11
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$80.2083
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10
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$72.9167
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9
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$65.6250
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8
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$58.3333
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7
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$51.0417
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6
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$43.7500
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5
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$36.4583
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4
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$29.1667
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3
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$21.8750
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2
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$14.5833
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1
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$7.2917
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0
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$0.0000
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PS-5 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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Date
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Closing Value of Least
Performing Underlying
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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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$7.2917
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Second Review Date
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110.00
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$7.2917
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Third Review Date
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110.00
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$7.2917
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Fourth Review Date
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105.00
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$7.2917
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Fifth Review Date
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110.00
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$7.2917
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Sixth Review Date
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120.00
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$1,007.2917
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Total Payment
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$1,043.75 (4.375% return)
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PS-6 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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Date
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Closing Value of Least
Performing Underlying
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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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$7.2917
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Second Review Date
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85.00
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$7.2917
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Third through Thirty-Fifth
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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$1,007.2917
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Total Payment
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$1,021.875 (2.1875% return)
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Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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80.00
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$7.2917
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Second Review Date
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75.00
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$7.2917
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Third through Thirty-Fifth
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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$1,000.00
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Total Payment
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$1,014.5833 (1.45833% return)
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Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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40.00
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$0
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Second Review Date
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45.00
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$0
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Third through Thirty-Fifth
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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40.00
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$400.00
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Total Payment
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$400.00 (-60.00% return)
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PS-7 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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PS-8 | Structured Investments
|
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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PS-9 | Structured Investments
|
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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PS-10 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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Historical Performance of the NASDAQ-100 Index®
Source: Bloomberg
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Historical Performance of the Russell 2000® Index
Source: Bloomberg
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PS-11 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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Historical Performance of the SPDR® S&P® Regional Banking ETF
Source: Bloomberg
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PS-12 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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PS-13 | Structured Investments
|
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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PS-14 | Structured Investments
|
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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PS-15 | Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of
the NASDAQ-100 Index®, the Russell 2000® Index and the SPDR® S&P®
Regional Banking ETF
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