CALCULATION OF REGISTRATION FEE
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Title of Each Class of
Securities Offered
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Maximum Aggregate
Offering Price
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Amount of
Registration Fee
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Notes
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$2,175,000
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$280.14
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Pricing supplement no. 2369
To prospectus dated November 14, 2011,
prospectus supplement dated November 14, 2011,
product supplement no. 4-I dated November 14, 2011 and
underlying supplement no. 1-I dated November 14, 2011
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Registration Statement No. 333-177923
Dated April 17, 2014
Rule 424(b)(2)
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Structured
Investments
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$2,175,000
Return Notes Linked to an Equally Weighted Basket Consisting of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index due May 6, 2015
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·
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The notes are designed for investors who seek exposure to the performance of an equally weighted basket of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index subject to the Basket Adjustment Factor. Investors should be willing to forgo interest and dividend payments and, if the Basket declines or if the Ending Basket Level is not greater than the Starting Basket Level by at least approximately 1.01%, be willing to lose some or all of their principal. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
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Unsecured and unsubordinated obligations of JPMorgan Chase & Co. maturing May 6, 2015†
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Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof
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The notes priced on April 17, 2014 and are expected to settle on or about April 23, 2014.
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Key Terms
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Basket:
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The Basket consists of the MSCI Italy SMID Cap Index (Bloomberg ticker: MXITSM) and the MSCI Spain SMID Cap Index (Bloomberg ticker: MXESSM) (each an “Index” and together, the “Indices”)
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Component Weights:
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The MXITSM Weight is 50.00% and the MXESSM Weight is 50.00% (each a “Component Weight” and collectively, the “Component Weights”)
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Payment at Maturity:
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Payment at maturity will reflect the performance of the Basket, subject to the Basket Adjustment Factor. Accordingly, at maturity, you will receive an amount per $1,000 principal amount note calculated as follows:
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$1,000 × (1 + Basket Return) × Basket Adjustment Factor
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Because the Basket Adjustment Factor is 99.00%, you will lose some or all of your principal amount at maturity if the Basket Return is less than approximately 1.01%. For more information on how the Basket Adjustment Factor can impact your payment at maturity, please see “What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Basket?” in this pricing supplement.
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Basket Return:
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(Ending Basket Level – Starting Basket Level)
Starting Basket Level
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Basket Adjustment Factor:
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99.00%
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Starting Basket Level:
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Set equal to 100 on the pricing date
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Ending Basket Level:
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The arithmetic average of the Basket Closing Levels on the Ending Averaging Dates
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Basket Closing Level:
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On any Ending Averaging Date, the Basket Closing Level will be calculated as follows:
100 × [1 + (MXITSM Return × MXITSM Weight) + (MXESSM Return × MXESSM Weight)]
The MXITSM Return and the MXESSM Return set forth in the formula above refer to the Index Returns for the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index, respectively. The Index Return of an Index reflects the performance of that Index, expressed as a percentage, from the Index closing level of that Index on the pricing date, which was 543.45 for the MSCI Italy SMID Cap Index and 581.06 for the MSCI Spain SMID Cap Index, to the Index closing level of that Index on the relevant Ending Averaging Date.
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Original Issue Date (Settlement Date):
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On or about April 23, 2014
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Ending Averaging Dates:†
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April 24, 2015, April 27, 2015, April 28, 2015, April 29, 2015 and April 30, 2015 (the “Final Ending Averaging Date”)
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Maturity Date:†
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May 6, 2015
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CUSIP:
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48127DFF0
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†
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Subject to postponement in the event of a market disruption event and as described under “Description of Notes — Postponement of a Determination Date — B. Notes Linked to a Basket” and “Description of Notes — Payment at Maturity” in the accompanying product supplement no. 4-I
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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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$7.50
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$992.50
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Total
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$2,175,000
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$16,312.50
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$2,158,687.50
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(1)
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See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.
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(2)
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J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $7.50 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-77 of the accompanying product supplement no. 4-I.
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Product supplement no. 4-I dated November 14, 2011:
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Underlying supplement no. 1-I dated November 14, 2011:
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Prospectus supplement dated November 14, 2011:
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Prospectus dated November 14, 2011:
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JPMorgan Structured Investments —
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PS-1
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Return Notes Linked to an Equally Weighted Basket Consisting of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index
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Ending Basket
Level
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Basket Return
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Total Return
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200.00
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100.00%
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98.00%
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190.00
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90.00%
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88.10%
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180.00
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80.00%
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78.20%
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170.00
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70.00%
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68.30%
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160.00
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60.00%
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58.40%
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150.00
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50.00%
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48.50%
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140.00
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40.00%
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38.60%
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130.00
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30.00%
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28.70%
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120.00
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20.00%
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18.80%
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110.00
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10.00%
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8.90%
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105.00
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5.00%
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3.95%
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101.01
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1.01%
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0.00%
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100.50
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0.50%
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-0.51%
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100.00
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0.00%
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-1.00%
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95.00
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-5.00%
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-5.95%
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90.00
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-10.00%
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-10.90%
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80.00
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-20.00%
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-20.80%
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70.00
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-30.00%
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-30.70%
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60.00
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-40.00%
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-40.60%
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50.00
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-50.00%
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-50.50%
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40.00
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-60.00%
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-60.40%
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30.00
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-70.00%
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-70.30%
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20.00
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-80.00%
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-80.20%
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10.00
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-90.00%
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-90.10%
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0.00
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-100.00%
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-100.00%
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JPMorgan Structured Investments —
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PS-2
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Return Notes Linked to an Equally Weighted Basket Consisting of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index
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UNCAPPED INVESTMENT EXPOSURE TO THE PERFORMANCE OF THE BASKET — The notes provide uncapped exposure to the performance of the Basket, subject to the Basket Adjustment Factor. Because the notes are our unsecured and unsubordinated obligations, payment of any amount on the notes is subject to our ability to pay our obligations as they become due.
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RETURN LINKED TO AN EQUALLY WEIGHTED BASKET OF INDICES — The return on the notes is linked to an equally weighted basket consisting of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index. The MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index are free float-adjusted market capitalization weighted indices that are designed to measure the equity market performance of mid- and small-cap companies in Italy and Spain, respectively. The MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index are calculated in European Union euros. For additional information about the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index, see the information set forth under “Supplemental Information about the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index” in this pricing supplement and “Equity Index Descriptions — The MSCI Indices” in the accompanying underlying supplement no. 1-I.
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CAPITAL GAINS TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-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 notes.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of your principal. The amount payable at maturity, if any, will reflect the performance of the Basket, subject to a reduction by the Basket Adjustment Factor. Because the Basket Adjustment Factor reduces the payment at maturity, if the Ending Basket Level is not greater than the Starting Basket Level by at least approximately 1.01%, you will lose some or all of your principal amount at maturity.
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THE BASKET ADJUSTMENT FACTOR WILL DIMINISH ANY INCREASE IN THE VALUE OF THE BASKET AND MAGNIFY ANY DECLINE IN THE VALUE OF THE BASKET — If the Basket Return is negative or is less than approximately 1.01%, you will lose some or all of your principal amount at maturity. In addition, the Basket Adjustment Factor will diminish any increase in the value of the Basket and magnify any decline in the value of the Basket. For each 1% that the Ending Basket Level is greater than the Starting Basket Level, the return on the notes will increase by less than 1%. In addition, for each 1% that the Ending Basket Level is less than the Starting Basket Level, you will lose more than 1% of the principal amount at maturity, provided that the payment at maturity will not be less than zero.
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CREDIT RISK OF JPMORGAN CHASE & CO. — The notes are subject to the credit risk of JPMorgan Chase & Co., and our credit ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
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JPMorgan Structured Investments —
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PS-3
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Return Notes Linked to an Equally Weighted Basket Consisting of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index
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POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as JPMS’s estimated value. In performing these duties, our 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 notes. In addition, our business activities, including hedging and trading activities, could cause our economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to the Notes Generally” in the accompanying product supplement no. 4-I for additional information about these risks.
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JPMS’S ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — JPMS’s estimated value is only an estimate using several factors. The original issue price of the notes exceeds JPMS’s estimated value because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “JPMS’s Estimated Value of the Notes” in this pricing supplement.
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JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — JPMS’s estimated value of the notes is determined by reference to JPMS’s internal pricing models when the terms of the notes are set. This estimated value is based on market conditions and other relevant factors existing at that time and JPMS’s assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See “JPMS’s Estimated Value of the Notes” in this pricing supplement.
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JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated Value of the Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the maturity date could result in a substantial loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary market prices of the notes.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the levels of the Indices, including:
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any actual or potential change in our creditworthiness or credit spreads;
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JPMorgan Structured Investments —
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PS-4
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Return Notes Linked to an Equally Weighted Basket Consisting of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index
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customary bid-ask spreads for similarly sized trades;
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secondary market credit spreads for structured debt issuances;
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the actual and expected volatility of the Indices;
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the time to maturity of the notes;
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the correlation (or lack of correlation) of the Indices;
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the dividend rates on the equity securities composing the Indices;
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the exchange rate and the volatility of the exchange rate between the U.S. dollar and the European Union euro;
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interest and yield rates in the market generally; and
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a variety of other economic, financial, political, regulatory and judicial events.
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NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the equity securities composing the Indices would have. Because the Basket Adjustment Factor always reduces the payment at maturity, your return from an investment in the notes may be less than the return from a direct investment in the Indices or the equity securities composing the Indices.
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CORRELATION (OR LACK OF CORRELATION) OF THE INDICES — The return on the notes is linked to an equally weighted Basket composed of Indices. Changes in the value of the Indices may not correlate with each other. At a time when the level of one of the Indices increases, the level of the other Index may not increase as much or may even decline. Therefore, in calculating the Ending Basket Level, an increase in the level of one of the Indices may be moderated, or more than offset, by a lesser increase or decline in the level of the other Index. In addition, high correlation of movements in the levels of the Indices during periods of negative returns between the Indices could have an adverse effect on the payment at maturity on the notes. There can be no assurance that the Ending Basket Level will be higher than the Starting Basket Level.
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL- AND MID-CAPITALIZATION STOCKS — The stocks that constitute the Indices are issued by companies with relatively small or mid-sized market capitalization. The stock prices of these companies may be more volatile than stock prices of large capitalization companies. Small- and mid-capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small- and mid-capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
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NON-U.S. SECURITIES RISK — The equity securities composing the Indices have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. securities involve risks associated with the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
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NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES — The value of your notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities composing the Indices are based, although any currency fluctuations could affect the performance of the Indices. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the notes, you will not receive any additional payment or incur any reduction in your payment at maturity.
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LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes.
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JPMorgan Structured Investments —
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PS-5
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Return Notes Linked to an Equally Weighted Basket Consisting of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index
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JPMorgan Structured Investments —
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PS-6
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Return Notes Linked to an Equally Weighted Basket Consisting of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index
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JPMorgan Structured Investments —
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PS-7
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Return Notes Linked to an Equally Weighted Basket Consisting of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index
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JPMorgan Structured Investments —
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PS-8
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Return Notes Linked to an Equally Weighted Basket Consisting of the MSCI Italy SMID Cap Index and the MSCI Spain SMID Cap Index
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