Amended and restated term sheet†
To prospectus dated November 14, 2011,
prospectus supplement dated November 14, 2011 and
product supplement no. 20-I dated January 5, 2012
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Amended and Restated Term Sheet to
Product Supplement No. 20-I
Registration Statement No. 333-177923
Dated April 16, 2014; Rule 433
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Structured
Investments
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$
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc. due April 20, 2017
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The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the closing price of one share of the Reference Stock is greater than or equal to 75% of the Initial Stock Price, which we refer to as the Interest Barrier. If the closing price of one share of the Reference Stock is greater than or equal to the Interest Barrier on any Review Date, investors will receive, in addition to the Contingent Interest Payment with respect to that Review Date, any previously unpaid Contingent Interest Payments for prior Review Dates. Investors should be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.
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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, the risks of owning the Reference Stock and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
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The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price. The first Review Date, and therefore the earliest date on which an automatic call may be initiated, is July 16, 2014.
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Unsecured and unsubordinated obligations of JPMorgan Chase & Co. maturing April 20, 2017††
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Minimum denominations of $1,000 and integral multiples thereof
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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. 20-I, supersede the terms set forth in product supplement no. 20-I. In particular, if a Contingent Interest Payment is payable in connection with a Review Date, investors will receive the Contingent Interest Payment in connection with that Review Date, plus any previously unpaid Contingent Interest Payments for any prior Review Dates as set forth under “Key Terms — Contingent Interest Payments,” “Key Terms — Automatic Call” and “Key Terms — Payment at Maturity” below. See “Supplemental Terms of the Notes” in this amended and restated term sheet.
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Reference Stock:
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The common stock, par value $0.01 per share, of Amazon.com, Inc. (Bloomberg ticker: AMZN). We refer to Amazon.com, Inc. as “Amazon.”
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Contingent Interest Payments:
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If the notes have not been automatically called and the closing price of one share of the Reference Stock on any Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $21.25 (equivalent to an interest rate of 8.50% per annum, payable at a rate of 2.125% per quarter), plus any previously unpaid Contingent Interest Payments for any prior Review Dates.
If the Contingent Interest Payment is not paid on any Interest Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing price of one share of the Reference Stock on the Review Date related to that later Interest Payment Date is greater than or equal to the Interest Barrier. You will not receive any unpaid Contingent Interest Payments if the closing price of one share of the Reference Stock on each subsequent Review Date is less than the Interest Barrier.
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Interest Barrier / Trigger Level:
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An amount that represents 75% of the Initial Stock Price (subject to adjustments)
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Contingent Interest Rate:
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8.50% per annum, payable at a rate of 2.125% per quarter, if applicable
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Automatic Call:
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If the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date.
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Payment at Maturity:
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If the notes have not been automatically called 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) the Contingent Interest Payment applicable to the final Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates.
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If the notes have not been automatically called and a Trigger Event has occurred, at maturity you will receive the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Fractional shares will be paid in cash. The market value of the Physical Delivery Amount or the Cash Value will most likely be less than the principal amount of your notes and may be zero.
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If the notes have not been automatically called and a Trigger Event has occurred, you will most likely lose some or all of your principal amount at maturity.
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Trigger Event:
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A Trigger Event occurs if the Final Stock Price (i.e. the closing price of one share of the Reference Stock on the final Review Date) is less than the Trigger Level
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Physical Delivery Amount:
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The number of shares of the Reference Stock per $1,000 principal amount note, equal to $1,000 divided by the Initial Stock Price, subject to adjustments
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Cash Value:
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The amount in cash equal to the product of (a) $1,000 divided by the Initial Stock Price and (b) the Final Stock Price, subject to adjustments
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Pricing Date:
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On or about April 16, 2014
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Original Issue Date (Settlement Date):
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On or about April 21, 2014
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Review Dates††:
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July 16, 2014, October 16, 2014, January 16, 2015, April 16, 2015, July 16, 2015, October 16, 2015, January 19, 2016, April 18, 2016, July 18, 2016, October 17, 2016, January 17, 2017 and April 17, 2017 (the “final Review Date”)
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Interest Payment Dates†:
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Notwithstanding anything to the contrary in the accompanying product supplement no. 20-I, the Interest Payment Dates will be July 21, 2014, October 21, 2014, January 22, 2015, April 21, 2015, July 21, 2015, October 21, 2015, January 22, 2016, April 21, 2016, July 21, 2016, October 20, 2016, January 20, 2017 and the Maturity Date
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Call Settlement Date††:
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If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date
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Maturity Date††:
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April 20, 2017
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CUSIP:
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48127DFC7
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Other Key Terms:
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See “Additional Key Terms” in this amended and restated term sheet
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†
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This amended and restated term sheet amends and restates the term sheet related hereto dated April 14, 2014 to product supplement no. 20-I in its entirety (the term sheet is available on the SEC website at http://www.sec.gov/Archives/edgar/data/19617/000095010314002651/dp45624_fwp-3p246.htm)
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††
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Subject to postponement in the event of certain market disruption events and as described under “Description of Notes — Postponement of a Review Date — Notes Linked to a Single Component” and “Description of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 20-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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$1,000
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$
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$
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Total
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$
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$
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$
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(1)
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See “Supplemental Use of Proceeds” in this amended and restated term sheet 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 it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $20.00 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-67 of the accompanying product supplement no. 20-I.
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Product supplement no. 20-I dated January 5, 2012:
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Prospectus supplement dated November 14, 2011:
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Prospectus dated November 14, 2011:
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Initial Stock Price:
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The closing price of one share of the Reference Stock on the Pricing Date, divided by the Stock Adjustment Factor
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Final Stock Price:
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The closing price of one share of the Reference Stock on the final Review Date
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Stock Adjustment Factor:
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Set initially at 1.0 on the Pricing Date and subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “General Terms of Notes — Additional Reference Stock Provisions — Anti-Dilution Adjustments” in the accompanying product supplement no. 20-I for further information.
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if the notes have not been automatically called and the closing price of one share of the Reference Stock is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment calculated in the manner described below, plus any previously unpaid Contingent Interest Payments for any prior Review Dates. A “Contingent Interest Payment” for each $1,000 principal amount note is calculated as follows: $1,000 × Contingent Interest Rate × 1/4. For example, assuming that there are unpaid Contingent Interest Payments for two prior Review Dates (because the closing price of one share of the Reference Stock on each of those Review Dates is less than the Interest Barrier), if the closing price of one share of the Reference Stock on a Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date, for each $1,000 principal amount note, an aggregate amount of Contingent Interest Payments equal to $63.75 ($21.25 × 3 = $63.75).
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JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
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TS-1
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if the notes are automatically called on a Review Date, you will receive a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date;
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If the notes have not been automatically called 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) the Contingent Interest Payment applicable to the final Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates; 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 no. 20-I:
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QUARTERLY CONTINGENT INTEREST PAYMENTS — The notes offer the potential to earn a Contingent Interest Payment in connection with each quarterly Review Date of $21.25 per $1,000 principal amount note (equivalent to an interest rate of 8.50% per annum, payable at a rate of 2.125% per quarter). If the notes have not been automatically called and the closing price of one share of the Reference Stock on any Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date a Contingent Interest Payment for that Review Date plus any previously unpaid Contingent Interest Payments for any prior Review Dates. If the closing price of one share of the Reference Stock on any Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payments if the closing price of one share of the Reference Stock on each subsequent Review Date is less than the Interest Barrier. If the closing price of one share of the Reference Stock on each Review Date is less than the Interest Barrier, you will not receive any Contingent Interest Payments over the term of the notes. 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.
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POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE — If the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price, your notes will be automatically called prior to the Maturity Date. Under these circumstances, you will receive a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date.
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THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED — If the notes have not been automatically called, we will pay you your principal back at maturity only if a Trigger Event has not occurred. However, if the notes have not been automatically called and a Trigger Event has occurred, you will most likely lose some or all of your principal amount at maturity.
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RETURN LINKED TO A SINGLE REFERENCE STOCK — The return on the notes is linked to the performance of a single Reference Stock, which is the common stock of Amazon. For additional information see “The Reference Stock” in this amended and restated term sheet.
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TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 20-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 — Tax Treatment as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement no. 20-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 Internal Revenue Service (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
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JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
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TS-2
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JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
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TS-3
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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 and a Trigger Event has occurred, you will receive the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Fractional shares will be paid in cash. The market value of the Physical Delivery Amount or the Cash Value will most likely be less than the principal amount of your notes and may be zero. Accordingly, under these circumstances, you will most likely lose some or all of your principal amount at maturity.
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST 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 Reference Stock. If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date (and will pay you any previously unpaid Contingent Interest Payments for any prior Review Dates) only if the closing price of one share of the Reference Stock on that Review Date is greater than or equal to the Interest Barrier. If the closing price of one share of the Reference Stock on that Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made. You will not receive any unpaid Contingent Interest Payments if the closing price of one share of the Reference Stock on each subsequent Review Date is less than the Interest Barrier. Accordingly, if the closing price of one share of the Reference Stock on each Review Date is less than the Interest Barrier, you will not receive any interest payments over the term of the notes.
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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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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — If the notes are automatically called, 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 applicable Call Settlement Date $1,000 plus the Contingent Interest Payment applicable to the relevant Review Date plus any previously unpaid Contingent Interest Payments for any prior Review Dates.
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REINVESTMENT RISK — If your notes are automatically called, the term of the notes may be reduced to as short as three months and you will not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk in the event the notes are automatically called prior to the Maturity Date.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE PRICE OF THE REFERENCE STOCK — 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 price of the Reference Stock, which may be significant. You will not participate in any appreciation in the price of the Reference Stock. Accordingly, the return on the notes may be significantly less than the return on a direct investment in the Reference Stock during the term of the notes.
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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. 20-I for additional information about these risks.
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IF YOU RECEIVE SHARES OF THE REFERENCE STOCK AT MATURITY, THE VALUE OF THOSE SHARES MAY BE LESS ON THE MATURITY DATE THAN ON THE FINAL REVIEW DATE — If the notes have not been automatically called and (i) the Final Stock Price is less than the Initial Stock Price and (ii) a Trigger Event has occurred, at maturity you will receive the number of shares of the Reference Stock equal to the Physical Delivery
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JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
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TS-4
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Amount (or, at our election, the Cash Value). Under these circumstances, the value of the Physical Delivery Amount on the final Review Date will be less than $1,000 for each $1,000 principal amount note and could decrease further during the period between the final Review Date and the Maturity Date. We will make no adjustments to the Physical Delivery Amount to account for any fluctuations in the value of the Physical Delivery Amount, and you will bear the risk of any decrease in the value of the Physical Delivery Amount between the final Review Date and the Maturity Date.
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THE BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE FINAL REVIEW DATE — If the Final Stock Price is less than the Trigger Level (i.e., a Trigger Event occurs) and the notes have not been automatically called, the benefit provided by the Trigger Level will terminate and you will be fully exposed to any depreciation in the closing price of one share of the Reference Stock. We refer to this feature as a contingent buffer. Under these circumstances, if the Final Stock Price is less than the Initial Stock Price, you will receive the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). The market value of the Physical Delivery Amount or the Cash Value will most likely be less than the principal amount of your notes and may be zero. The Final Stock Price will be determined based on the closing price of one share of the Reference Stock on a single day near the end of the term of the notes. In addition, the closing price of one share of the Reference Stock at other times during the term of the notes could be greater than or equal to the Trigger Level. This difference could be particularly large if there is a significant decrease in the closing price of one share of the Reference Stock during the later portion of the term of the notes or if there is significant volatility in the closing price of one share of the Reference Stock during the term of the notes, especially on dates near the final Review Date.
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JPMS’S ESTIMATED VALUE OF THE NOTES WILL BE 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 will exceed 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 amended and restated term sheet.
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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 amended and restated term sheet.
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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 amended and restated term sheet.
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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 amended and restated term sheet 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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JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
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TS-5
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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 closing price of one share of the Reference Stock, 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 price of the Reference Stock;
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the time to maturity of the notes;
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whether the closing price of one share of the Reference Stock has been, or is expected to be, less than the Interest Barrier on any Review Date and whether a Trigger Event is expected to occur;
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the existence of any unpaid Contingent Interest Payments;
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the likelihood of an automatic call being triggered;
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the dividend rate on the Reference Stock;
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interest and yield rates in the market generally;
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the occurrence of certain events affecting the issuer of the Reference Stock that may or may not require an adjustment to the Stock Adjustment Factor, including a merger or acquisition; and
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a variety of other economic, financial, political, regulatory and judicial events.
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Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market.
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NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK — As a holder of the notes, you will not have any ownership interest or rights in the Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference Stock will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the value of the Reference Stock and the notes.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — We are not affiliated with the issuer of the Reference Stock. We have not independently verified any of the information about the Reference Stock issuer contained in this amended and restated term sheet. You should undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
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SINGLE STOCK RISK — The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions.
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VOLATILITY RISK — Greater expected volatility with respect to the Reference Stock indicates a greater likelihood as of the Pricing Date that the closing price of one share of the Reference Stock could be less than its Interest Barrier on a Review Date and/or that a Trigger Event could occur. The Reference Stock’s volatility, however, can change significantly over the term of the notes. The closing price of one share of the Reference Stock 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.
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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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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make adjustments to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
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THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market conditions when the terms of the notes are set and will be provided in the pricing supplement. In particular, each of JPMS’s estimated value and the Contingent Interest Rate will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this amended and restated term sheet. Accordingly, you should consider your potential investment in the notes based on the minimums for JPMS’s estimated value and the Contingent Interest Rate.
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JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
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TS-6
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Review Dates Prior to the Final Review Date
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Final Review Date
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Closing Price
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Reference Stock Appreciation / Depreciation at Review Date
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Payment on Interest Payment Date or Call Settlement Date (1)(2)
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Reference Stock Appreciation / Depreciation at Final Review Date
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Payment at Maturity If a Trigger Event Has Not Occurred (2)(3)
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Payment at Maturity If a Trigger Event Has Occurred (2)(3)(4)
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Total Value of Payment Received at Maturity If a Trigger Event Has Occurred (2)(3)(4)
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$558.000
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80.00%
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$1,021.25
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80.00%
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$1,021.25
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$1,021.25
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N/A
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$527.000
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70.00%
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$1,021.25
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70.00%
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$1,021.25
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$1,021.25
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N/A
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$496.000
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60.00%
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$1,021.25
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60.00%
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$1,021.25
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$1,021.25
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N/A
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$465.000
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50.00%
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$1,021.25
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50.00%
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$1,021.25
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$1,021.25
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N/A
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$434.000
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40.00%
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$1,021.25
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40.00%
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$1,021.25
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$1,021.25
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N/A
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$403.000
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30.00%
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$1,021.25
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30.00%
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$1,021.25
|
$1,021.25
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N/A
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$372.000
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20.00%
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$1,021.25
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20.00%
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$1,021.25
|
$1,021.25
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N/A
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$356.500
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15.00%
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$1,021.25
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15.00%
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$1,021.25
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$1,021.25
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N/A
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$341.000
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10.00%
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$1,021.25
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10.00%
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$1,021.25
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$1,021.25
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N/A
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$325.500
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5.00%
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$1,021.25
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5.00%
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$1,021.25
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$1,021.25
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N/A
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$310.000
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0.00%
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$1,021.25
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0.00%
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$1,021.25
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$1,021.25
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N/A
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$294.500
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-5.00%
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$21.25
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-5.00%
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$1,021.25
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$21.25 + 3 shares of the Reference Stock or the Cash Value
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$971.25
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$279.000
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-10.00%
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$21.25
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-10.00%
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$1,021.25
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$921.25
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$248.000
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-20.00%
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$21.25
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-20.00%
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$1,021.25
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$821.25
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$232.500
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-25.00%
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$21.25
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-25.00%
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$1,021.25
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$771.25
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$232.469
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-25.01%
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N/A
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-25.01%
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N/A
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3 shares of the Reference Stock or the Cash Value
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$749.900
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$217.000
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-30.00%
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N/A
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-30.00%
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N/A
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$700.000
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$186.000
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-40.00%
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N/A
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-40.00%
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N/A
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$600.000
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$155.000
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-50.00%
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N/A
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-50.00%
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N/A
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$500.000
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$124.000
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-60.00%
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N/A
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-60.00%
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N/A
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$400.000
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$93.000
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-70.00%
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N/A
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-70.00%
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N/A
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$300.000
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$62.000
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-80.00%
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N/A
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-80.00%
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N/A
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$200.000
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$31.000
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-90.00%
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N/A
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-90.00%
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N/A
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$100.000
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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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N/A
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$0.000
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(1)
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The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price.
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(2)
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You will receive a Contingent Interest Payment in connection with a Review Date if the closing price of one share of the Reference Stock on that Review Date is greater than or equal to the Interest Barrier plus any previously unpaid Contingent Interest Payments for any prior Review Dates. The applicable amount shown in the table above does not include any previously unpaid Contingent Interest Payments that may be payable on the applicable Interest Payment Date.
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(3)
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A Trigger Event occurs if the Final Stock Price (i.e., the closing price of one share of the Reference Stock on the final Review Date) is less than the Trigger Level.
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(4)
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If you receive the Physical Delivery Amount, (a) any fractional shares are not included in the number of shares of the Reference Stock payable at maturity in the table above and (b) the total value of payment received at maturity shown in the table above includes the value of any fractional shares, which will be paid in cash.
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JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
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TS-7
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JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
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TS-8
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JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
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TS-9
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JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
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TS-10
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