CALCULATION OF REGISTRATION FEE
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Title of Each Class of
Securities Offered |
Maximum Aggregate
Offering Price
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Amount of
Registration Fee
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Notes
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$1,000,000
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$116.20
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Pricing supplement no. 604
To prospectus dated November 7, 2014, prospectus supplement dated November 7, 2014, product supplement no. 4a-I dated November 7, 2014 and underlying supplement no. 1a-I dated November 7, 2014 |
Registration Statement No. 333-199966
Dated April 17, 2015 Rule 424(b)(2) |
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Structured
Investments
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$1,000,000
Callable Contingent Interest Accrual Notes Linked to the Russell 2000® Index due April 25, 2025
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· | The notes are designed for investors who seek variable monthly Contingent Interest Payments determined by reference to the closing level of the Index on each scheduled trading day during the monthly Accrual Determination Periods. Interest will accrue on the notes on a scheduled trading day during an Accrual Determination Period only if the closing level of the Index on that scheduled trading day is greater than or equal to 70% of its Initial Index Level, which we refer to as the Interest Barrier. Investors should be willing to forgo fixed interest and dividend payments in exchange for the opportunity to receive Contingent Interest Payments. |
· | Investors in the notes should be willing to accept the risk of losing some or all of their principal if a Trigger Event (as defined below) has occurred and the risk that no Contingent Interest Payment may be made with respect to some or all Accrual Determination Periods. |
· | The notes may be redeemed early, in whole but not in part, at our option on any of the Interest Payment Dates (other than the first eleven Interest Payment dates and the final Interest Payment Date). The earliest date on which the notes may be redeemed early is April 27, 2016. |
· | The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co. |
· | Minimum denominations of $1,000 and integral multiples thereof |
Index:
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The Russell 2000® Index (Bloomberg ticker: RTY)
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Contingent Interest Payments:
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Notwithstanding anything to the contrary in the accompanying product supplement, if the notes have not been previously redeemed early, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to:
$1,000 × n/252 × Contingent Interest Rate
where “n” = the aggregate number of scheduled trading days in the applicable Accrual Determination Period on which the closing level of the Index is greater than or equal to the Interest Barrier.
If, on each scheduled trading day of an Accrual Determination Period, the closing level of the Index is less than the Interest Barrier, you will not receive any interest payment for that Accrual Determination Period.
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Interest Barrier / Trigger Level:
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876.3006, which is 70% of the Initial Index Level
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Contingent Interest Rate:
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7.45% per annum. This is reflected in the monthly Contingent Interest Payment calculation.
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Early Redemption:
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We, at our election, may redeem the notes early, in whole but not in part, on any of the Interest Payment Dates (other than the first eleven Interest Payment Dates and the final Interest Payment Date) at a price for each $1,000 principal amount note equal to (a) $1,000 plus (b) any Contingent Interest Payment payable on that Interest Payment Date. If we intend to redeem your notes early, we will deliver notice to The Depository Trust Company, or DTC, at least five business days before the applicable Interest Payment Dates on which the notes are to be redeemed early.
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Payment at Maturity:
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If the notes have not been redeemed early and a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) any Contingent Interest Payment payable at maturity.
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If the notes have not been redeemed early and a Trigger Event has occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level, subject to any Contingent Interest Payment payable at maturity. Under these circumstances, your payment at maturity per $1,000 principal amount note, in addition to any Contingent Interest Payment, will be calculated as follows:
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$1,000 + ($1,000 × Index Return)
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If the notes have not been redeemed early and a Trigger Event has occurred, you will lose more than 30% of your principal amount at maturity and could lose up to the entire principal amount of your notes at maturity.
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Trigger Event:
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A Trigger Event occurs if, the Ending Index Level (i.e., the closing level of the Index on the last Periodic Final Accrual Determination Date) is less than the Trigger Level
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Index Return:
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(Ending Index Level – Initial Index Level)
Initial Index Level
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Initial Index Level:
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The closing level of the Index on the Pricing Date, which was 1,251.858
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Ending Index Level:
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The closing level of the Index on the last Periodic Final Accrual Determination Date
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Pricing Date:
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April 17, 2015
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Original Issue Date (Settlement Date):
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On or about April 22, 2015
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Maturity Date†:
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April 25, 2025
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CUSIP:
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48125UNT5
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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 certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I |
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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$42
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$958
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Total
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$1,000,000
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$42,000
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$958,000
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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 Chase & Co., will pay all of the selling commissions of $42.00 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-87 of the accompanying product supplement no. 4a-I. |
· | Product supplement no. 4a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf |
· | Underlying supplement no. 1a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf |
· |
Prospectus supplement and prospectus, each dated November 7, 2014:
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Accrual Determination Period:
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The period from, but excluding, the Pricing Date to, and including, the first Periodic Final Accrual Determination Date and each successive period from, but excluding, a Periodic Final Accrual Determination Date to, and including, the next succeeding Periodic Final Accrual Determination Date
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Periodic Final Accrual Determination Dates†:
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As specified under “Periodic Final Accrual Determinations Dates and Interest Payment Dates” below
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Interest Payment Dates†:
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Interest on the notes will be payable monthly in arrears on the Interest Payment Date immediately following the applicable Periodic Final Accrual Determination Date, commencing April 27, 2015, up to and including the Interest Payment Date corresponding to the Maturity Date, or, if the notes are redeemed prior to the Maturity Date, the applicable Interest Payment Date on which the notes are redeemed early. The Interest Payment Dates are specified under “Periodic Final Accrual Determination Dates and Interest Payment Dates” below. See “Selected Purchase Considerations — Variable Monthly Contingent Interest Payments” in this pricing supplement for more information.
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† | Subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I |
Periodic Final Accrual Determination Dates†
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Interest Payment Dates†
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May 20, 2015
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May 28, 2015
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June 22, 2015
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June 29, 2015
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July 20, 2015
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July 27, 2015
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August 20, 2015
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August 27, 2015
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September 21, 2015
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September 28, 2015
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October 20, 2015
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October 27, 2015
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November 20, 2015
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November 30, 2015
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December 21, 2015
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December 29, 2015
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January 20, 2016
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January 27, 2016
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February 22, 2016
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February 29, 2016
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March 21, 2016
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March 29, 2016
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April 20, 2016
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April 27, 2016
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May 20, 2016
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May 27, 2016
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June 20, 2016
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June 27, 2016
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July 20, 2016
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July 27, 2016
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August 22, 2016
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August 29, 2016
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September 20, 2016
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September 27, 2016
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October 20, 2016
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October 27, 2016
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November 21, 2016
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November 29, 2016
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December 20, 2016
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December 28, 2016
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January 20, 2017
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January 27, 2017
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February 21, 2017
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February 28, 2017
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March 20, 2017
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March 27, 2017
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April 20, 2017
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April 27, 2017
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May 22, 2017
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May 30, 2017
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June 20, 2017
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June 27, 2017
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July 20, 2017
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July 27, 2017
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August 21, 2017
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August 28, 2017
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September 20, 2017
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September 27, 2017
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October 20, 2017
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October 27, 2017
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November 20, 2017
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November 28, 2017
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December 20, 2017
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December 28, 2017
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January 22, 2018
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January 29, 2018
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February 20, 2018
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February 27, 2018
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March 20, 2018
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March 27, 2018
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April 20, 2018
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April 27, 2018
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May 21, 2018
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May 29, 2018
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June 20, 2018
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June 27, 2018
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July 20, 2018
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July 27, 2018
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August 20, 2018
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August 27, 2018
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September 20, 2018
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September 27, 2018
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October 22, 2018
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October 29, 2018
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November 20, 2018
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November 28, 2018
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December 20, 2018
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December 28, 2018
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January 22, 2019
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January 29, 2019
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February 20, 2019
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February 27, 2019
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March 20, 2019
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March 27, 2019
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April 22, 2019
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April 29, 2019
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May 20, 2019
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May 28, 2019
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June 20, 2019
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June 27, 2019
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July 22, 2019
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July 29, 2019
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August 20, 2019
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August 27, 2019
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September 20, 2019
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September 27, 2019
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October 21, 2019
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October 28, 2019
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November 20, 2019
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November 27, 2019
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December 20, 2019
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December 30, 2019
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January 21, 2020
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January 28, 2020
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February 20, 2020
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February 27, 2020
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March 20, 2020
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March 27, 2020
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April 20, 2020
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April 27, 2020
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May 20, 2020
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May 28, 2020
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June 22, 2020
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June 29, 2020
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July 20, 2020
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July 27, 2020
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Periodic Final Accrual Determination Dates†
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Interest Payment Dates†
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August 20, 2020
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August 27, 2020
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September 21, 2020
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September 28, 2020
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October 20, 2020
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October 27, 2020
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November 20, 2020
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November 30, 2020
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December 21, 2020
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December 29, 2020
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January 20, 2021
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January 27, 2021
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February 22, 2021
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March 1, 2021
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March 22, 2021
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March 29, 2021
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April 20, 2021
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April 27, 2021
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May 20, 2021
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May 27, 2021
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June 21, 2021
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June 28, 2021
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July 20, 2021
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July 27, 2021
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August 20, 2021
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August 27, 2021
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September 20, 2021
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September 27, 2021
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October 20, 2021
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October 27, 2021
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November 22, 2021
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November 30, 2021
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December 20, 2021
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December 28, 2021
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January 20, 2022
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January 27, 2022
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February 22, 2022
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March 1, 2022
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March 21, 2022
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March 28, 2022
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April 20, 2022
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April 27, 2022
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May 20, 2022
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May 27, 2022
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June 20, 2022
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June 27, 2022
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July 20, 2022
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July 27, 2022
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August 22, 2022
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August 29, 2022
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September 20, 2022
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September 27, 2022
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October 20, 2022
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October 27, 2022
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November 21, 2022
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November 29, 2022
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December 20, 2022
|
December 28, 2022
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January 20, 2023
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January 27, 2023
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February 21, 2023
|
February 28, 2023
|
March 20, 2023
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March 27, 2023
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April 20, 2023
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April 27, 2023
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May 22, 2023
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May 30, 2023
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June 20, 2023
|
June 27, 2023
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July 20, 2023
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July 27, 2023
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August 21, 2023
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August 28, 2023
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September 20, 2023
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September 27, 2023
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October 20, 2023
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October 27, 2023
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November 20, 2023
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November 28, 2023
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December 20, 2023
|
December 28, 2023
|
January 22, 2024
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January 29, 2024
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February 20, 2024
|
February 27, 2024
|
March 20, 2024
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March 27, 2024
|
April 22, 2024
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April 29, 2024
|
May 20, 2024
|
May 28, 2024
|
June 20, 2024
|
June 27, 2024
|
July 22, 2024
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July 29, 2024
|
August 20, 2024
|
August 27, 2024
|
September 20, 2024
|
September 27, 2024
|
October 21, 2024
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October 28, 2024
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November 20, 2024
|
November 27, 2024
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December 20, 2024
|
December 30, 2024
|
January 21, 2025
|
January 28, 2025
|
February 20, 2025
|
February 27, 2025
|
March 20, 2025
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March 27, 2025
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April 17, 2025
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Maturity Date
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† | Subject to postponement as described under “Description of Notes — Postponement of a Determination Date —Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “Description of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I |
(a) | for purposes of determining “n” as set forth under “Key Terms — Contingent Interest Payments” in this pricing supplement, each scheduled trading day in an Accrual Determination Period is a Determination Date (as defined in the accompanying product supplement) and will be subject to postponement as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” in the accompanying product supplement; |
(b) | notwithstanding anything to the contrary in the accompanying product supplement, the amount of each Contingent Interest Payment will be calculated as set forth under “Key Terms — Contingent Interest Payments” in this pricing supplement and not according to the formula set forth under “Description of Notes — Payments on the Notes — Interest Payments” in the accompanying product supplement; and |
(c) | notwithstanding anything to the contrary in the accompanying product supplement, in case an event of default with respect to the notes shall have occurred and be continuing, any amount payable as described under the second paragraph of “General Terms of Notes — Payment upon an Event of Default” will include any final Contingent Interest Payment calculated as set forth under “Key Terms — Contingent Interest Payments” in this pricing supplement as if the date of acceleration were (a) the final scheduled trading day of the relevant Accrual Determination Period and (b) the Final Disrupted Determination Date (as defined in the accompanying product supplement) for the final scheduled trading day of the relevant Accrual Determination Period (if the date of acceleration is a Disrupted Day (as defined in the accompanying product supplement)). |
· | VARIABLE MONTHLY CONTINGENT INTEREST PAYMENTS — The notes may pay variable monthly interest payments at the Contingent Interest Rate of 7.45% per annum based on the number of scheduled trading days in the applicable Accrual Determination Period on which the closing level of the Index is greater than or equal to the Interest Barrier. Interest will accrue on the notes on a scheduled trading day during an Accrual Determination Period only if the closing level of the Index is greater than or equal to the Interest Barrier. The amount of any Contingent Interest Payment per $1,000 principal amount note payable on an Interest Payment Date is equal to the product of (a) $1,000, (b) the Contingent Interest Rate and (c) (i) the actual number of scheduled trading days during the applicable Accrual Determination Period on which the closing level of the Index is greater than or equal to the Interest Barrier, divided by (ii) 252. If payable, a Contingent Interest Payment will be made to the holders of record at the close of business on the business day immediately preceding the applicable Interest Payment Date. 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. |
· | POTENTIAL EARLY EXIT AS A RESULT OF THE OPTIONAL EARLY REDEMPTION FEATURE — We, at our election, may redeem the notes early, in whole but not in part, on any of the Interest Payment Dates (other than the first eleven Interest Payment Dates and the final Interest Payment Date). If the notes are redeemed early, you will receive a cash payment on the Interest Payment Date on which the notes are redeemed early, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) any Contingent Interest Payment payable on that Interest Payment Date. |
· | THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN REDEEMED EARLY — If the notes have not been redeemed early, we will pay you your principal back at maturity only if a Trigger Event has not occurred. However, if the notes have not been redeemed early and a Trigger Event has occurred, you will lose more than 30% of your principal amount at maturity and could lose up to the entire principal amount of your notes at maturity. |
· | RETURN LINKED TO THE RUSSELL 2000® INDEX — The return on the notes is linked to the Russell 2000® Index. The Russell 2000® Index consists of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000® Index, see the information set forth under “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement no. 1a-I. |
· | TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. In determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement no. 4a-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance |
· | 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 redeemed early and a Trigger Event has occurred, you will lose 1% of your principal amount at maturity for every 1% that the Ending Index Level is less than the Initial Index Level. Accordingly, under these circumstances, you will lose more than 30% of your principal amount at maturity and could lose up to the entire principal amount of your notes at maturity. |
· | THE NOTES DO NOT PROVIDE FOR REGULAR INTEREST PAYMENTS AND MAY NOT PAY ANY INTEREST AT ALL — The terms of the notes differ from those of conventional debt securities in that, among other things, whether we pay interest is linked to the performance of the Index. The amount of interest, if any, you will receive with respect to each Accrual Determination Period will depend on the number of scheduled trading days during the relevant Accrual Determination Period on which the closing level of the Index is greater than or equal to the Interest Barrier. Although the Contingent Interest Rate is a fixed rate, the effective rate of interest paid by us for each Accrual Determination Period is not fixed. |
· | 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. |
· | THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT — If the notes are redeemed early, the amount of Contingent Interest Payments made on the notes may be less than the amount of Contingent Interest Payments that might have been payable if the notes were held to maturity, and, for each $1,000 principal amount note, you will receive on the Interest Payment Date on which the notes are redeemed early (a) $1,000 plus (b) any Contingent Interest Payment payable on that Interest Payment Date. |
· | REINVESTMENT RISK — If your notes are redeemed early, the term of the notes may be reduced to as short as approximately one year and you will not receive any Contingent Interest Payments after the applicable Interest Payment Date on which the notes are redeemed early. There is no guarantee that you would be able to reinvest |
· | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE VALUE OF THE INDEX — The appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be paid over the term of the notes, regardless of any appreciation in the value of the Index, which may be significant. You will not participate in any appreciation in the value of the Index. Accordingly, the return on the notes may be significantly less than the return on a direct investment in the Index during the term of the notes. |
· | THE AMOUNT OF ANY CONTINGENT INTEREST PAYMENT IS BASED ON THE CLOSING LEVEL OF THE INDEX, WHICH MAY RESULT IN AN EFFECTIVE INTEREST RATE OF ZERO — Although the Contingent Interest Rate is a fixed rate, for every scheduled trading day during any Accrual Determination Period on which the closing level of the Index is less than the Interest Barrier, the amount of the Contingent Interest Payment for that Accrual Determination Period will be reduced. The amount of interest that accrues on the notes in any Accrual Determination Period may decrease even if the Index appreciates. If, on each scheduled trading day of an Accrual Determination Period, the closing level of the Index is less than the Interest Barrier, the effective interest rate for that Accrual Determination Period would be zero. In that event, you will not be compensated for any loss in value due to inflation and other factors relating to the value of money over time during that period. |
· | 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 Conflicts of Interest” in the accompanying product supplement no. 4a-I for additional information about these risks. |
· | THE BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE LAST PERIODIC FINAL ACCRUAL DETERMINATION DATE — If the Ending Index Level is less than the Trigger Level (i.e., a Trigger Event occurs) and the notes have not been redeemed early, the benefit provided by the Trigger Level will terminate and you will be fully exposed to any depreciation in the closing level of the Index. |
· | 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. |
· | 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. |
· | 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. |
· | 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 |
· | 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. |
· | 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 level of the Index, including: |
· | any actual or potential change in our creditworthiness or credit spreads; |
· | customary bid-ask spreads for similarly sized trades; |
· | secondary market credit spreads for structured debt issuances; |
· | the actual and expected volatility of the Index; |
· | the time to maturity of the notes; |
· | whether the closing level of the Index has been, or is expected to be, less than the Interest Barrier on any scheduled trading day during an Accrual Determination Period and whether a Trigger Event is expected to occur; |
· | the optional early redemption feature and whether we are expected to redeem the notes early, which is likely to limit the value of the notes; |
· | the dividend rates on the equity securities included in the Index; |
· | interest and yield rates in the market generally; and |
· | a variety of other economic, financial, political, regulatory and judicial events. |
· | VOLATILITY RISK — Greater expected volatility with respect to the Index indicates a greater likelihood as of the Pricing Date that the closing level of the Index could be less than the Interest Barrier on a scheduled trading day during an Accrual Determination Period and/or that a Trigger Event could occur. The Index’s volatility, however, can change significantly over the term of the notes. The closing level of the Index could fall sharply on any day during the term of the notes, which could result in your not receiving any Contingent Interest Payment or a significant loss of principal, or both. |
· | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS — 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. |
· | 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. |
Ending Index Level
|
Index Return
|
Payment at Maturity If a Trigger Event Has Not Occurred (1)
|
Payment at Maturity If a Trigger Event Has Occurred (1)
|
2,286.000
|
80.00%
|
$1,000.00
|
N/A
|
2,159.000
|
70.00%
|
$1,000.00
|
N/A
|
2,032.000
|
60.00%
|
$1,000.00
|
N/A
|
1,905.000
|
50.00%
|
$1,000.00
|
N/A
|
1,778.000
|
40.00%
|
$1,000.00
|
N/A
|
1,651.000
|
30.00%
|
$1,000.00
|
N/A
|
1,524.000
|
20.00%
|
$1,000.00
|
N/A
|
1,460.500
|
15.00%
|
$1,000.00
|
N/A
|
1,397.000
|
10.00%
|
$1,000.00
|
N/A
|
1,333.500
|
5.00%
|
$1,000.00
|
N/A
|
1,270.000
|
0.00%
|
$1,000.00
|
N/A
|
1,206.500
|
-5.00%
|
$1,000.00
|
N/A
|
1,143.000
|
-10.00%
|
$1,000.00
|
N/A
|
1,016.000
|
-20.00%
|
$1,000.00
|
N/A
|
889.000
|
-30.00%
|
$1,000.00
|
N/A
|
888.873
|
-30.01%
|
N/A
|
699.90
|
762.000
|
-40.00%
|
N/A
|
$600.00
|
635.000
|
-50.00%
|
N/A
|
$500.00
|
508.000
|
-60.00%
|
N/A
|
$400.00
|
381.000
|
-70.00%
|
N/A
|
$300.00
|
254.000
|
-80.00%
|
N/A
|
$200.00
|
127.000
|
-90.00%
|
N/A
|
$100.00
|
0.000
|
-100.00%
|
N/A
|
$0.00
|
(1) | A Trigger Event occurs if the Ending Index Level (i.e., the closing level of the Index on the last Periodic Final Accrual Determination Date) is less than the Trigger Level. |