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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$829,000
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$106.77
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Pricing supplement no. 2376
To prospectus dated November 14, 2011,
prospectus supplement dated November 14, 2011,
product supplement no. 21-II dated April 2, 2013 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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$829,000
Autocallable Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index due April 25, 2016
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The notes are designed for investors who seek early exit prior to maturity at a premium if, on the first Review Date, the Index closing level of each of the S&P 500® Index and the Russell 2000® Index is at or above its Call Level. If the notes have not been automatically called and the Ending Index Level of each Index is greater than or equal to its Initial Index Level, investors will receive at maturity an uncapped return of 1.5 times any appreciation of the Lesser Performing Index. However, investors will lose some or all of their principal at maturity if the Ending Index Level of the Lesser Performing Index declines from its Initial Index Level by more than the Contingent Buffer Amount. Investors in the notes should be willing to accept this risk of loss and be willing to forgo interest and dividend payments, in exchange for the opportunity to receive a premium payment if the notes are automatically called or the potential to receive an enhanced return if the notes have not been automatically called. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
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The first Review Date, and therefore the earliest and only date on which an automatic call may be initiated, is April 30, 2015*.
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Unsecured and unsubordinated obligations of JPMorgan Chase & Co. maturing April 25, 2016*
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The payment at maturity is not linked to a basket composed of the Indices. The payment at maturity is linked to the performance of each of the Indices individually, as described below.
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Minimum denominations of $1,000 and integral multiples 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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The terms of the Notes as set forth in “Key Terms” below, to the extent they differ from or conflict with those set forth in the accompanying product supplement no. 21-II, supersede the terms set forth in product supplement no. 21-II. In particular, the Notes will not be subject to an automatic call with respect to the final Review Date and the payment at maturity will be as set forth under “Key Terms — Payment at Maturity” below. See “Supplemental Terms of the Notes” in this pricing supplement.
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Indices:
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The S&P 500® Index (Bloomberg ticker: SPX) and the Russell 2000® Index (Bloomberg ticker: RTY) (each, an “Index” and collectively, the “Indices”)
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Automatic Call:
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If the Index closing level of each Index on the first Review Date is greater than or equal to the applicable Call Level, the notes will be automatically called for a cash payment of $1,078.50 per $1,000 principal amount note (reflecting a call premium of 7.85%) that will be payable on the Call Settlement Date. The notes are not callable on the final Review Date.
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Call Level:
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With respect to each Index, an amount that represents 100% of its Initial Index Level
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Payment at Maturity:
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If the notes have not been automatically called and the Ending Index Level of each Index is greater than or equal to its Initial Index Level, you will receive at maturity a cash payment that provides you with a return per $1,000 principal amount note equal to the Lesser Performing Index Return multiplied by 1.5. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return × 1.5)
If the notes have not been automatically called, the Ending Index Level of either Index is less than its Initial Index Level and the Ending Index Level of the Lesser Performing Index is less than its Initial Index Level by up to the Contingent Buffer Amount, you will receive the principal amount of your notes at maturity.
If the notes have not been automatically called and the Ending Index Level of either Index is less than its Initial Index Level by more than the Contingent Buffer Amount, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level of the Lesser Performing Index is less than its Initial Index Level. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
If the notes have not been automatically called and the Ending Index Level of either Index is less than its Initial Index Level by more than the Contingent Buffer Amount, you will lose more than 40% of your principal amount and could lose all of your principal at maturity.
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Contingent Buffer Amount:
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40%
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Upside Leverage Factor:
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1.5
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Original Issue Date (Settlement Date):
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On or about April 23, 2014
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Review Dates*:
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April 30, 2015 (first Review Date) and April 20, 2016 (final Review Date)
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Call Settlement Date*:
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May 5, 2015, which is the third business day after the first Review Date
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Maturity Date†:
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April 25, 2016
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CUSIP:
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48127DEY0
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Other Key Terms:
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See “Additional Key Terms” in this pricing supplement
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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 Review Date” and “Description of Notes — Payment at Maturity” in the accompanying product supplement no. 21-II
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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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$2.50
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$997.50
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Total
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$829,000
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$2,072.50
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$826,927.50
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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 $2.50 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-61 of the accompanying product supplement no. 21-II.
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Product supplement no. 21-II dated April 2, 2013:
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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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Index Return:
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With respect to each Index:
(Ending Index Level – Initial Index Level)
Initial Index Level
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Initial Index Level
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With respect to each Index, the Index closing level of that Index on the pricing date, which was1,864.85 for the S&P 500® Index and 1,137.899 for the Russell 2000® Index
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Ending Index Level:
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With respect to each Index, the Index closing level of that Index on the final Review Date
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Lesser Performing Index:
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The Index with the Lesser Performing Index Return
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Lesser Performing Index Return:
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The lower of the Index Returns of the Indices
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all references in the accompanying product supplement to “Review Notes” are deemed to refer to the “Autocallable Buffered Return Enhanced Notes”;
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the notes will not be subject to an automatic call with respect to the final Review Date;
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the payment at maturity on the notes will be as set forth under “Key Terms — Payment at Maturity” and not as set forth in the accompanying product supplement;
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the “Index closing level” of the Russell 2000® Index or any relevant successor index (as defined in the accompanying product supplement no. 21-II) on any relevant day will equal the closing level of the Russell 2000® Index or that successor index, as applicable, as published by Bloomberg Financial Markets with respect to that day. Currently, Bloomberg Financial Markets publishes the closing level of the Russell 2000® Index to three decimal places, whereas Russell Investment Group (“Russell”), the index sponsor of the Russell 2000® Index, publishes the official closing level of the Russell 2000® Index to six decimal places. As a result, the closing level of the Russell 2000® Index published by Bloomberg Financial Markets will likely be slightly different from the official closing level of the Russell 2000® Index published by Russell; and
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the following provisions will apply instead of the first paragraph of “General Terms of Notes — Payment upon an Event of Default” in the accompanying product supplement:
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JPMorgan Structured Investments —
Autocallable Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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PS-1
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APPRECIATION POTENTIAL — If the Index closing level of each Index is greater than or equal to the applicable Call Level on the first Review Date, your investment will yield a payment of $1,078.50 per $1,000 principal amount note (reflecting a call premium of 7.85%). In addition, if the notes have not been automatically called, the notes provide the opportunity to enhance equity returns, on an uncapped basis, by multiplying a positive Lesser Performing Index Return by 1.5. 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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POTENTIAL EARLY EXIT WITH APPRECIATION AS A RESULT OF AUTOMATIC CALL FEATURE — While the original term of the notes is approximately two years, the notes will be automatically called before maturity if the Index closing level of each Index is at or above the applicable Call Level on the first Review Date and you will be entitled to the payment upon an automatic call as set forth on the cover of this pricing supplement. The notes cannot be called on the final Review Date.
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LIMITED PROTECTION AGAINST LOSS — If the notes have not been automatically called, we will pay you at least your principal back at maturity if the Ending Index Level of each Index is not less than its Initial Index Level by more than the Contingent Buffer Amount. If the notes have not been automatically called and the Ending Index Level of either Index is less than its Initial Index Level by more than the Contingent Buffer Amount, you will lose more than 40% of your principal amount and could lose all of your principal at maturity.
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EXPOSURE TO EACH OF THE INDICES — The return on the notes is linked to the Lesser Performing Index, which will be either the S&P 500® Index or the Russell 2000® Index.
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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. 21-II. 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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JPMorgan Structured Investments —
Autocallable Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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PS-2
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. If the notes have not been automatically called, the return on the notes at maturity is linked to the performance of the Least Performing Index and will depend on the extent to which the Lesser Performing Index Return is negative. If the notes have not been automatically called and the Ending Index Level of either Index is less than its Initial Index Level by more than the Contingent Buffer Amount, for every 1% that the Ending Index Level of the Lesser Performing Index is less than its Initial Index Level, you will lose an amount equal to 1% of the principal amount of your notes. Accordingly, under these circumstances, you will lose more than 40% of your principal amount and could lose all of your principal at maturity.
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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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LIMITED RETURN IF THE NOTES ARE AUTOMATICALLY CALLED — If the notes are automatically called, your potential gain on the notes will be limited to the call premium applicable to the first Review Date, as set forth on the cover of this pricing supplement, regardless of the appreciation in the value of any Index, which may be significant. The Index closing level of any Index at various times during the term of the notes could be higher than on the first Review Date. You may receive a lower payment if the notes were automatically called than you would have if you had invested directly in any 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. 21-II for additional information about these risks.
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX — Your return on the notes and any payment on the notes is not linked to a basket consisting of the Indices. If the notes have not been automatically called, your payment at maturity is contingent upon the performance of each individual Index such that you will be equally exposed to the risks related to either of the Indices. The performance of the Indices may not be correlated. Poor performance by either of the Indices over the term of the notes could result in the notes not being automatically called on the first Review Date, may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the other Index. Accordingly, your investment is subject to the risk of decline in the Index closing level of each Index.
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YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING INDEX — Because the payment at maturity will be determined based on the performance of the Lesser Performing Index, you will not benefit from the performance of the other Index. Accordingly, if the notes are not automatically called and the Ending Index Level of either Index is less than its Initial Index Level by more than the Contingent Buffer Amount, you will lose some or all of your principal amount at maturity, even if the Ending Index Level of the other Index is greater than or equal to its Initial Index Level. In addition, even if the Ending Index Level of each Index is greater than its Initial Index Level, your return will reflect only the performance of the Lesser Performing Index and you will not benefit from the performance of the other Index.
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THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE — If the notes have not been automatically called and the Ending Index Level of either Index is less than its Initial Index Level by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed to any depreciation in the Lesser Performing Index.
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REINVESTMENT RISK — If your notes are automatically called early, the term of the notes may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest the proceeds from
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JPMorgan Structured Investments —
Autocallable Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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PS-3
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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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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 in the levels of the Indices;
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the time to maturity of the notes;
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the likelihood of an automatic call being triggered;
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the dividend rates on the equity securities included in the Indices;
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JPMorgan Structured Investments —
Autocallable Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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PS-4
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the actual and expected positive or negative correlation between the Indices, or the actual or expected absence of any such correlation;
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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 securities included in the Indices would have.
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000® INDEX — The stocks that constitute the Russell 2000® Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small 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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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 —
Autocallable Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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PS-5
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Lesser Performing Index Closing Level at Applicable Review Date
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Lesser Performing Index Appreciation/
Depreciation at Applicable Review Date
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Total Return at Call Settlement Date
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Total Return at Maturity
Date (1)
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2,070.000
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80.00%
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7.85%
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120.00%
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1,955.000
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70.00%
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7.85%
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105.00%
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1,840.000
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60.00%
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7.85%
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90.00%
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1,725.000
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50.00%
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7.85%
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75.00%
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1,610.000
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40.00%
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7.85%
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60.00%
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1,495.000
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30.00%
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7.85%
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45.00%
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1,380.000
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20.00%
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7.85%
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30.00%
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1,265.000
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10.00%
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7.85%
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15.00%
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1,150.000
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0.00%
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7.85%
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0.00%
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1,092.500
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-5.00%
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N/A
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0.00%
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1,035.000
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-10.00%
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N/A
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0.00%
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977.500
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-15.00%
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N/A
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0.00%
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920.000
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-20.00%
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N/A
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0.00%
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805.000
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-30.00%
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N/A
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0.00%
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690.000
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-40.00%
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N/A
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0.00%
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689.885
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-40.01%
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N/A
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-40.01%
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575.000
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-50.00%
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N/A
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-50.00%
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460.000
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-60.00%
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N/A
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-60.00%
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345.000
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-70.00%
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N/A
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-70.00%
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230.000
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-80.00%
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N/A
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-80.00%
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115.000
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-90.00%
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N/A
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-90.00%
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0.000
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-100.00%
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N/A
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-100.00%
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JPMorgan Structured Investments —
Autocallable Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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PS-6
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JPMorgan Structured Investments —
Autocallable Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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PS-7
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JPMorgan Structured Investments —
Autocallable Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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PS-8
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JPMorgan Structured Investments —
Autocallable Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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PS-9
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