Bond JPMorgan Chase 0% ( US48126N5V58 ) in USD

JPMorgan Chase

77.79 % ▲

United States

US48126N5V58 ( in USD )

30/04/2034

Prospectus brochure of the bond JP Morgan US48126N5V58 en USD 0%, maturity 30/04/2034

1 000 USD

50 000 000 USD

48126N5V5

A- ( Upper medium grade - Investment-grade )

JPMorgan Chase & Co. is a leading global financial services firm offering investment banking, asset and wealth management, and consumer and community banking services.

The Bond issued by JPMorgan Chase ( United States ) , in USD, with the ISIN code US48126N5V58, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 30/04/2034

The Bond issued by JPMorgan Chase ( United States ) , in USD, with the ISIN code US48126N5V58, was rated NR by Moody's credit rating agency.

The Bond issued by JPMorgan Chase ( United States ) , in USD, with the ISIN code US48126N5V58, was rated A- ( Upper medium grade - Investment-grade ) by Standard & Poor's ( S&P ) credit rating agency.

http://www.sec.gov/Archives/edgar/data/19617/000089109214003458/e...
424B2 1 e58674_424b2.htm PRICING SUPPLEMENT NO. 2397
CALCULATION OF REGISTRATION FEE
Maximum Aggregate
Amount of
Title of Each Class of Securities Offered
Offering Price
Registration Fee
Notes
$50,000,000
$6,440.00

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April 2014
Pricing Supplement No. 2397
Registration Statement No. 333-177923
Dated April 25, 2014
Filed pursuant to Rule 424(b)(2)
INTEREST RATE STRUCTURED INVESTMENTS
Callable Interest Rate Spread Notes due April 30, 2034
Linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate and the 2-Year U.S. Dollar Constant
Maturity Swap Rate
As further described below, interest will accrue on the notes (i) For the first year: at a rate of 10.00% per annum and (ii) in Years 2 to
maturity: at a variable rate per annum equal to 4 times the difference, if any, between the 30-Year U.S. Dollar Constant Maturity
Swap Rate ("30CMS") and the 2-Year U.S. Dollar Constant Maturity Swap Rate ("2CMS") minus 0.25%, as determined on the CMS
determination date at the start of the related quarterly interest payment period; subject to, for each interest payment period, the
maximum interest rate of 10.00% per annum and the minimum interest rate of 0.00% per annum. The notes provide an above-market
interest rate in Year 1; however, for each interest payment period in Years 2 to maturity, the notes will not pay any interest with
respect to the interest payment period if the 30CMS minus the 2CMS is equal to or less than 0.25% on the related quarterly CMS
determination date. We, JPMorgan Chase & Co., have the right to redeem the notes on any quarterly redemption date beginning
April 30, 2015. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
SUMMARY TERMS
Issuer:
JPMorgan Chase & Co.
Aggregate principal amount:
$50,000,000
Stated principal amount:
$1,000 per note
Issue price:
$1,000 per note (see "Commissions and Issue Price" below)
Pricing date:
April 25, 2014
Original issue date (settlement
April 30, 2014 (3 business days after the pricing date), subject to the business day
date):
convention
Interest accrual date:
April 30, 2014, subject to the business day convention
Maturity date:
April 30, 2034, subject to the business day convention
Payment at maturity:
The payment at maturity per note will be the stated principal amount plus accrued and
unpaid interest, if any.
Initial interest payment period(s):
The interest payment periods beginning on and including the original issue date and ending
on but excluding April 30, 2015
Initial interest rate:
10.00% per annum
Interest rate:
With respect to each initial interest payment period, 10.00% per annum and with respect to
each interest payment period (other than the initial interest payment periods), a rate per
annum equal to the greater of (a) the minimum interest rate and (b) the leverage factor
multiplied by the spread, subject to the maximum interest rate.
Leverage factor:
4
Spread:
On the applicable CMS determination date, the difference of (a) 30CMS minus 2CMS and
(b) 0.25%.
Maximum interest rate:
10.00% per annum
Minimum interest rate:
0.00% per annum
Interest:
Subject to the interest accrual convention described below and in the accompanying
product supplement no. 1-V, with respect to each interest payment period, for each $1,000
principal amount note, we will pay you interest in arrears on each interest payment date in
accordance with the following formula:
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$1,000 × interest rate × day count fraction
Interest payment period:
Quarterly (the period beginning on and including the original issue date of the notes and
ending on but excluding the first interest payment date and each successive period
beginning on and including an interest payment date and ending on but excluding the next
succeeding interest payment date, subject to the interest accrual convention described below
and in the accompanying product supplement no. 1-V).
Interest payment dates:
Each January 30, April 30, July 30, and October 30, beginning July 30, 2014 to and including
the maturity date, or, if the notes have been redeemed, the applicable redemption date,
subject to the business day convention and interest accrual convention described below and
in the accompanying product supplement no. 1-V.
Redemption percentage:
With respect to a redemption date, if any, 100%
Redemption:
Beginning April 30, 2015, we have the right to redeem all of these notes on any quarterly
redemption date and pay to you 100% of the stated principal amount per note plus accrued
and unpaid interest to but excluding the date of such redemption, subject to the business day
convention and the interest accrual convention described below and in the accompanying
product supplement no. 1-V. If we decide to redeem the notes, we will give you notice at least
5 business days before the redemption date specified in the notice.
Redemption date:
Each January 30, April 30, July 30, and October 30, beginning on April 30, 2015, subject to
the business day convention and the interest accrual convention described below and in the
accompanying product supplement no. 1-V.
CMS rate:
30CMS or 2CMS. Please see "Additional Provisions" beginning on page 3 below.
CMS determination date:
For each interest payment period (other than the initial interest payment periods), two U.S.
government securities business days immediately prior to the beginning of the applicable
interest payment period.
Business day convention:
Following
Interest accrual convention:
Unadjusted
Day count fraction:
30/360
Calculation agent:
J.P. Morgan Securities LLC ("JPMS"). Al determinations made by the calculation agent will
be at the sole discretion of the calculation agent and wil , in the absence of manifest error, be
conclusive for all purposes and binding on you and on us
Listing:
The notes will not be listed on any securities exchange.
Denominations:
$1,000 / $1,000
CUSIP / ISIN:
48126N5V5 / US48126N5V58
Book-entry or certificated note:
Book-entry
Business day:
New York
Agent:
JPMS

Commissions and issue price:
Fees and
Price to Public(1) (2)
Commissions(2)
Proceeds to Issuer
Per Note
At variable prices
$35.00
$965.00
Total
At variable prices
$1,750,000
$48,250,000
(1)
The notes sold in one or more negotiated transactions at varying prices to be determined at the time of each sale, which may
be at market prices prevailing, at prices related to such prevailing prices or at negotiated prices; provided, however, that such
price will not be less than $965 per note and will not be more than $1,000 per note. See "Risk Factors--The Price You Pay
For The Notes May Be Higher Than The Prices Paid By Other Investors."
(2)
JPMS or one of our affiliates will pay varying discounts and commissions to dealers, including Morgan Stanley Smith Barney
LLC and their financial advisors, of $35.00 per note depending on market conditions. See "Plan of Distribution (Conflicts of
Interest)" beginning on page PS-54 of the accompanying product supplement no. 1-V.
The estimated value of the notes as determined by JPMS, when the terms of the notes were set, was $898.90 per $1,000
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principal amount note. See "JPMS's Estimated Value of the Notes" in this pricing supplement for additional information.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or
disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying
product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
The notes are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any
other governmental agency, nor are they obligations of, or guaranteed by, a bank.
YOU SHOULD READ THIS PRICING SUPPLEMENT TOGETHER WITH THE RELATED PRODUCT SUPPLEMENT NO. 1-V, PROSPECTUS SUPPLEMENT AND
PROSPECTUS, EACH OF WHICH CAN BE ACCESSED VIA THE HYPERLINKS BELOW, BEFORE YOU DECIDE TO INVEST.
Product supplement no. 1-V dated March 21, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214002227
/e58025_424b2.pdf
Prospectus supplement dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007578
/e46180_424b2.pdf
Prospectus dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007568/e46179_424b2.pdf

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Cal able Interest Rate Spread Notes due April 30, 2034
The notes are issued by JPMorgan Chase & Co. We describe the basic features of these notes in the sections of the
accompanying product supplement cal ed "Description of Notes" and "General Terms of Notes" subject to and as modified by
the provisions described above. The terms of the notes as set forth in this pricing supplement, to the extent they differ or
conflict with those set forth in the accompanying product supplement no. 1-V, will supersede the terms set forth in the
accompanying product supplement no. 1-V. Among other things, your interest rate wil be determined as described above
under "Summary Terms -- Interest Rate." Regardless of the performance of the CMS rates, we will pay you at least the
principal amount of your notes if you hold the notes to maturity or to the redemption date, if any, on which we elect to redeem
the notes, subject to the creditworthiness of JPMorgan Chase & Co. The notes offer periodic interest payments on each
interest payment date. With respect to each initial interest payment period, the notes will pay an annual interest rate equal to
the initial interest rate, and for each interest payment period (other than the initial interest payment periods), the notes will pay a
rate per annum equal to the greater of (a) the minimum interest rate and (b) the leverage factor multiplied by the spread,
provided that such rate will not be greater than the maximum interest rate. Interest, if any, will be paid in arrears on each
interest payment date, to the holders of record at the close of business on the business day immediately preceding the
applicable interest payment date. The yield on the notes may be less than the overal return you would receive from a
conventional debt security that you could purchase today with the same maturity as the notes. At our option, we may redeem
the notes, in whole but not in part, on any redemption date, at a price equal to the principal amount being redeemed plus any
accrued and unpaid interest, subject to the business day convention and the interest accrual convention described on the
cover of this pricing supplement and in the accompanying product supplement. Any accrued and unpaid interest on the notes
redeemed wil be paid to the person who is the holder of record of such notes at the close of business on the business day
immediately preceding the applicable redemption date.
The CMS Rate
What are the 30-Year U.S. Dollar Constant M aturity Swap Rate ("30CM S") and the 2-Year U.S. Dollar Constant
M aturity Swap Rate ("2CM S")?
The 30CMS is the rate for U.S. dol ar swap with a Designated Maturity of 30 years that appears on Reuters page "ISDAFIX1"
(or any successor page) at approximately 11:00 a.m., New York City time, on any CMS determination date, as determined by
the calculation agent.
The 2CMS is the rate for U.S. dollar swap with a Designated Maturity of 2 years that appears on Reuters page "ISDAFIX1" (or
any successor page) at approximately 11:00 a.m., New York City time, on any CMS determination date, as determined by the
calculation agent.
An interest rate swap rate, at any given time, generally indicates the fixed rate of interest (paid semi-annually) that a
counterparty in the swaps market would have to pay for a given maturity, in order to receive a floating rate (paid quarterly) equal
to 3-month LIBOR for that same maturity.
CM S Determination Date
For each interest payment period (other than the initial interest payment periods), two (2) U.S. government securities business
days immediately prior to the beginning of the applicable interest payment period.
U.S. Government Securities Business Day
Any day, other than a Saturday, Sunday or a day on which the Securities Industry and Financial Markets Association ("SIFMA")
recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S.
government securities.
April 2014
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Cal able Interest Rate Spread Notes due April 30, 2034
CM S Rate Fallback Provisions
On any CMS determination date, if the 30CMS or the 2CMS cannot be determined by reference to Reuters page "ISDAFIX1"
(or any successor page), then the calculation agent will determine such affected rate for such day on the basis of the
mid-market semi-annual swap rate quotations to the calculation agent provided by five leading swap dealers in the New York
City interbank market (the "Reference Banks") at approximately 11:00 a.m., New York City time, on such CMS determination
date, and, for this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered rates for the
semi-annual fixed leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. Dol ar interest rate swap transaction
with a term equal to the applicable 30 year or 2 year maturity commencing on such CMS determination date and in an amount
that is representative for a single transaction in the relevant market at the relevant time with an acknowledged dealer of good
credit in the swap market, where the floating leg, calculated on an actual/360 day count basis, is equivalent to USD LIBOR with
a designated maturity of three months. The calculation agent wil request the principal New York City office of each of the
Reference Banks to provide a quotation of its rate. If at least three quotations are provided, the rate for that day wil be the
arithmetic mean of the quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the
lowest quotation (or, in the event of equality, one of the lowest). If fewer than three quotations are provided as requested, the
rate wil be determined by the calculation agent in good faith and in a commercial y reasonable manner.
Business Day
Any day, other than a Saturday, Sunday or a day on which banking institutions in The City of New York are authorized or
obligated by law, regulation or executive order to close or a day on which transactions in U.S. dollars are not conducted.

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Cal able Interest Rate Spread Notes due April 30, 2034
The fol owing examples il ustrate how to calculate the interest payment for an interest payment period (other than the initial
interest payment periods) and assume that the notes are not called prior to the scheduled maturity date and that the number of
calendar days in the applicable interest payment period is 90. The hypothetical CMS rates, spreads and interest rates set forth
in the fol owing examples are for il ustrative purposes only and may not be the actual CMS rates, spreads or interest rates for
any interest payment period applicable to a purchase of the notes. The numbers appearing in the fol owing examples have
been rounded for ease of analysis.

Example 1: On the applicable CMS determination date, 30CMS is 4.00% and 2CMS is 2.00%. Because 30CMS
(4.00%) is greater than 2CMS (2.00%), the spread is positive and is equal to 1.75%. Accordingly, the interest rate is calculated
as fol ows:

MAX [0.00%, (4.0 × (4.00% - 2.00% - 0.25%))] = 7.00% per annum

The quarterly interest payment per $1,000 principal amount note is calculated as fol ows:

$1,000 × 7.00% × (90/360) = $17.50

Example 2: On the applicable CMS determination date, 30CMS is 7.00% and 2CMS is 2.00%. Because 30CMS
(7.00%) is greater than 2CMS (2.00%), the spread is positive and is equal to 4.75%. Because the spread multiplied by the
leverage factor of 4.0 is greater than the maximum interest rate of 10.00% per annum, the interest rate is equal to the
maximum interest rate of 10.00% per annum. The quarterly interest payment per $1,000 principal amount note is calculated as
follows:

$1,000 × 10.00% × (90/360) = $25.00

Example 3: On the applicable CMS determination date, 30CMS is 4.00% and 2CMS is 6.00%. Because 30CMS
(4.00%) is less than 2CMS (6.00%), the spread is negative and equal to -2.25%. Because the spread multiplied by the
leverage factor of 4.0 is less than the minimum interest rate of 0.00% per annum, the interest rate is equal to the minimum
interest rate of 0.00% per annum. The quarterly interest payment per $1,000 principal amount note is calculated as fol ows:

$1,000 × 0.00% × (90/360) = $0.00
CMS Rates
The fol owing graphs set forth the daily historical performance of the CMS rates and the spread from January 2, 2009 through
April 25, 2014. We obtained the rates used to construct the graph below from Bloomberg Financial Markets. We make no
representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.

The 30CMS, as it appeared on Reuters page "ISDAFIX1" on April 25, 2014 was 3.424%. The 2CMS, as it appeared on
Reuters page "ISDAFIX1" on April 25, 2014 was 0.536%. The spread on April 25, 2014 was 2.638%.

The CMS rates and the spread data in the following graphs were obtained from Bloomberg Financial Markets at
approximately 3:30 p.m. on the relevant dates and may not be indicative of the spread, which is determined on any
date of determination by reference to the CMS rates published on Reuters page "ISDAFIX1" at approximately 11:00
a.m., New York City time. The historical CMS rates and the spread should not be taken as an indication of future
performance, and no assurance can be given as to the CMS rates or the spread on any CMS determination date. We cannot
give you assurance that the performance of the CMS rates and the spread wil result in any positive interest payments in any
interest payment period subsequent to the final initial interest payment period.

April 2014
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April 2014
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The following is a non-exhaustive list of certain key risk factors for investors in the notes. For further discussion of these
and other risks, you should read the section entitled "Risk Factors" beginning on page 16 of the accompanying product
supplement.
§ We may call your notes prior to their scheduled maturity date. We may choose to call the notes early or choose
not to call the notes early on any redemption date in our sole discretion. If the notes are called early, you will receive the
principal amount of your notes plus any accrued and unpaid interest to, but not including, the redemption date. The
aggregate amount that you wil receive through and including the redemption date wil be less than the aggregate amount
that you would have received had the notes not been cal ed early. If we cal the notes early, your overal return may be
less than the yield which the notes would have earned if you held your notes to maturity and you may not be able to
reinvest your funds at the same rate as the original notes. We may choose to call the notes early, for example, if U.S.
interest rates decrease significantly or if volatility of U.S. interest rates decreases significantly.
§ The notes are not ordinary debt securities because, except for the initial interest payment periods, the
interest rate on the notes is variable and may equal the minimum interest rate. For an initial interest payment
period, the notes will pay an annual interest rate equal to the initial interest rate, and for each interest payment period
(other than the initial interest payment periods), the notes wil pay a rate per annum equal to the greater of (a) the
minimum interest rate and (b) the leverage factor multiplied by the spread, provided that such rate will not be greater than
the maximum interest rate.
§ The interest rate on the notes for an interest payment period (other than the initial interest payment periods)
is subject to the maximum interest rate. The interest rate for an interest payment period (other than the initial interest
payment periods) is variable; however, it will not exceed the maximum interest rate set forth on the front cover of this
pricing supplement, regardless of the performance of the CMS rates. In other words, for an interest payment period
(other than the initial interest payment periods), if the leverage factor multiplied by the spread is greater than or equal to
the maximum interest rate, your interest rate on the notes will be capped at the maximum interest rate.
§ The interest rate on the notes is based on the spread, which may result in application of the minimum interest
rate. The spread is calculated as (a) 30CMS minus (b) 2CMS minus (c) 0.25%. The CMS rates may be influenced by a
number of factors, including (but not limited to) monetary policies, fiscal policies, inflation, general economic conditions
and public expectations with respect to such factors. The effect that any single factor may have on the CMS rates may be
partial y offset by other factors. We cannot predict the factors that may cause the CMS rates, and consequently the
spread, to increase or decrease. A decrease in a positive spread wil result in a reduction of the interest rate payable for
the corresponding interest payment period (other than the initial interest payment periods). A negative spread wil cause
the interest rate for the corresponding interest payment period to be equal to the minimum interest rate. The amount of
interest you accrue on the notes in any interest payment period (other than the initial interest payment periods) may
decrease even if either or both of the CMS rates increase. Interest during any interest payment period (other than the
initial interest payment periods) may be equal to zero, and you wil not be compensated for any loss in value due to
inflation and other factors relating to the value of money over time during such period.
§ Longer dated notes may be more risky than shorted dated notes. By purchasing a note with a longer tenor, you are
more exposed to fluctuations in interest rates than if you purchased a note with a shorter tenor. Specifically, you may be
negatively affected if certain interest rate scenarios occur. The applicable discount rate, which is the prevailing rate in the
market for notes of the same tenor, wil likely be higher for notes with longer tenors than if you had purchased a note with
a shorter tenor. Therefore, assuming that short term rates rise, the market value of a longer dated note will be lower than
the market value of a comparable short term note with similar terms.
§ The notes may be subject to the 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 al amounts due on the notes. Any actual or potential
change in our creditworthiness or credit spreads, as determined
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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.
§ 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 potential y adverse to your interests as
an investor in the notes. In addition, our business activities, including hedging and trading activities as well as modeling
and structuring the economic terms of the notes, 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. 1-V for additional information about these risks.
§ 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 sel ing 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 "Additional Information About the Notes 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, in part, by reference to a valuation provided by an unaffiliated third
party, which wil act as a hedge provider to hedge a portion of our obligations under the notes when the terms of the notes
are set based on that unaffiliated third party's internal pricing models. This valuation is based on market conditions and
other relevant factors existing at that time and that unaffiliated third party's assumptions about market parameters, which
can include volatility, 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 wil ing to buy notes
from you in secondary market transactions. See "Additional Information About the Notes JPMS's Estimated Value of
the Notes" in this pricing supplement.
§ JPMS's estimated value is derived by reference to an internal funding rate. The internal funding rate used in the
determination of JPMS's estimated value is based on, among other things, our view of the funding value of the notes as
wel as the issuance, operational and ongoing liability management costs of the notes. Our use of an internal funding rate
and any potential changes to these rates may have an adverse effect on the terms of the notes and any secondary
market prices of the notes. See "Additional Information About the Notes -- 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 general y
expect that some of the costs included in the original issue price of the notes wil be partial y paid back to you in
connection with any repurchases of your notes by JPMS in an amount that wil 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 "Additional Information
About the Notes Secondary Market Prices of the Notes" in this pricing supplement for additional information relating to
this initial period. Accordingly, the
April 2014
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