Title of Each Class of
Securities Offered |
Maximum Aggregate
Offering Price
|
Amount of
Registration Fee
|
||
Notes
|
$224,000
|
$26.03
|
Dated September 25, 2015
|
Registration Statement No. 333-199966; Rule 424(b)(2)
|
JPMorgan Chase & Co.
Structured Investments
|
$224,000
Capped Dual Directional Contingent Buffered Return Enhanced Notes Linked to the S&P 500® Index due September 30, 2019
● The notes are designed for investors who seek a capped return of 1.2 times any appreciation (with a Maximum Upside Return of 47.75%), or a capped, unleveraged return equal to the absolute value of any depreciation (up to the Contingent Buffer Amount of 30%), of the S&P 500® Index at maturity.
● If the Final Value of the Index is less than its Initial Value by more than 30%, you will lose more than 30% of your principal amount at maturity and could lose all of your principal amount at maturity.
● Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at maturity.
● 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
● The notes priced on September 25, 2015 and are expected to settle on or about S6eptember 30, 2015.
● CUSIP: 48125UW99
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
|
Per note
|
$1,000
|
—
|
$1,000
|
Total
|
$224,000
|
—
|
$224,000
|
(1). See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.
(2). All sales of the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers will forgo any commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I.
|
Index: S&P 500® Index (Bloomberg ticker: SPX)
Maximum Upside Return: 47.75% (corresponding to a maximum payment at maturity of $1,477.50 per $1,000 principal amount note)
Upside Leverage Factor: 1.2
Contingent Buffer Amount: 30.00%
Pricing Date: September 25, 2015
Original Issue Date (Settlement Date): On or about September 30, 2015
Observation Date: September 25, 2019
Maturity Date*: September 30, 2019
* Subject to postponement in the event of a market disruption event 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
|
Absolute Index Return: The absolute value of the Index Return. For example, if the Index Return is -5%, its Absolute Index Return will equal 5%
Index Return:
(Final Value – Initial Value)
Initial Value
Initial Value: The closing level of the Index on the Pricing Date which was 1,931.34
Final Value: The closing level of the Index on the Observation Date
Payment at Maturity:
If the Final Value is greater than the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return × Upside Leverage Factor),
subject to the Maximum Upside Return
If the Final Value is equal to the Initial Value or is less than the Initial Value by up to the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return of the Index)
If the Final Value is less than the Initial Value by more than the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the Final Value is less than the Initial Value by more than the Contingent Buffer Amount, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
|
● | an Initial Value of 100.00; |
● | a Maximum Upside Return of 47.75%; |
● | an Upside Leverage Factor of 1.2; and |
● | a Contingent Buffer Amount of 30.00% |
Final Value
|
Index Return
|
Absolute Index Return
|
Total Return on the Notes
|
Payment at Maturity
|
165.000
|
65.000%
|
N/A
|
47.75%
|
$1,477.50
|
150.000
|
50.000%
|
N/A
|
47.75%
|
$1,477.50
|
139.792
|
39.792%
|
N/A
|
47.75%
|
$1,477.50
|
130.000
|
30.000%
|
N/A
|
36.00%
|
$1,360.00
|
120.000
|
20.000%
|
N/A
|
24.00%
|
$1,240.00
|
110.000
|
10.000%
|
N/A
|
12.00%
|
$1,120.00
|
105.000
|
5.000%
|
N/A
|
6.00%
|
$1,060.00
|
101.000
|
1.000%
|
N/A
|
1.20%
|
$1,012.00
|
100.00
|
0.000%
|
0.00%
|
0.00%
|
$1,000.00
|
95.000
|
-5.000%
|
5.00%
|
5.00%
|
$1,050.00
|
90.000
|
-10.000%
|
10.00%
|
10.00%
|
$1,100.00
|
85.000
|
-15.000%
|
15.00%
|
15.00%
|
$1,150.00
|
80.000
|
-20.000%
|
20.00%
|
20.00%
|
$1,200.00
|
75.000
|
-25.000%
|
25.00%
|
25.00%
|
$1,250.00
|
70.000
|
-30.000%
|
30.00%
|
30.00%
|
$1,300.00
|
69.990
|
-30.010%
|
N/A
|
-30.01%
|
$699.90
|
60.000
|
-40.000%
|
N/A
|
-40.00%
|
$600.00
|
50.000
|
-50.000%
|
N/A
|
-50.00%
|
$500.00
|
40.000
|
-60.000%
|
N/A
|
-60.00%
|
$400.00
|
30.000
|
-70.000%
|
N/A
|
-70.00%
|
$300.00
|
20.000
|
-80.000%
|
N/A
|
-80.00%
|
$200.00
|
10.000
|
-90.000%
|
N/A
|
-90.00%
|
$100.00
|
0.000
|
-100.000%
|
N/A
|
-100.00%
|
$0.00
|
● | If the closing level of the Index increases 10.00%, investors will receive at maturity a 12.00% return, or $1,120.00 per $1,000 principal amount note. |
● | If the closing level of the Index increases 60.00%, investors will receive at maturity a return equal to the 47.75% Maximum Upside Return, or $1,477.50 per $1,000 principal amount note, which is the maximum upside payment at maturity. |
● | For example, if the closing level of the Index declines 10.00%, investors will receive at maturity a 10.00% return, or $1,100.00 per $1,000 principal amount note. |
● | For example, if the closing level of the Index declines 50.00%, investors will lose 50.00% of their principal amount and receive only $500.00 per $1,000 principal amount note at maturity. |
●
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the Final Value is less than the Initial Value by more than 30.00%, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity. |
●
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM UPSIDE RETURN IF THE INDEX RETURN IS POSITIVE —
If the Final Value is greater than the Initial Value, for each $1,000 principal amount note, you will receive at maturity $1,000 plus an additional return equal to the Index Return times the Upside Leverage Factor, up to the Maximum Upside Return of 47.75% (corresponding to a maximum payment at maturity of $1,477.50 per $1,000 principal amount note), regardless of the appreciation of the Index, which may be significant. |
●
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE CONTINGENT BUFFER AMOUNT IF THE INDEX RETURN IS NEGATIVE —
Because the payment at maturity will not reflect the Absolute Index Return if the Final Value is less than the Initial Value by more than the Contingent Buffer Amount, the Contingent Buffer Amount is effectively a cap on your return at maturity if the Index Return is negative. The maximum payment at maturity if the Index Return is negative is $1,300.00 per $1,000 principal amount note. |
●
|
CREDIT RISK OF JPMORGAN CHASE & CO. —
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. |
●
|
POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our economic interests are potentially adverse to your interests as an investor in 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. |
●
|
THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
If the Final Value is less than the Initial Value by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate, and you will be fully exposed to any depreciation in the Index. |
●
|
THE NOTES DO NOT PAY INTEREST.
|
●
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
●
|
WE ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX,
but we will not have any obligation to consider your interests in taking any corporate action that might affect the level of the Index. |
●
|
THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INITIAL VALUE BY MORE THAN THE CONTINGENT BUFFER AMOUNT IS GREATER IF THE VALUE OF THE INDEX IS VOLATILE.
|
●
|
LACK OF LIQUIDITY—
The notes will not be listed on any securities exchange. Accordingly, 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. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. |
●
|
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 structuring and hedging the notes are included in the original issue price of the notes. These costs include 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 —
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. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
●
|
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 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 the 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. |
●
|
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 projected hedging profits, if any, estimated hedging costs and the level of the Index. 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. See “Risk Factors — Risks Relating to the Estimated Value of Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement. |
Historical Performance of the S&P 500® Index
Source: Bloomberg
|
● | Product supplement no. 4a-I dated November 7, 2014: |
● | Underlying supplement no. 1a-I dated November 7, 2014: |
● | Prospectus supplement and prospectus, each dated November 7, 2014: |
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