Title of Each Class of
Securities Offered |
Maximum Aggregate
Offering Price
|
Amount of
Registration Fee
|
||
Notes
|
$5,740,000
|
$666.99
|
Pricing supplement no. 1141
To prospectus dated November 7, 2014, prospectus supplement dated November 7, 2014, product supplement no. 4a-I dated November 7, 2014 and underlying supplement no. 1a-I dated November 7, 2014 |
Registration Statement No. 333-199966
Dated August 26, 2015 Rule 424(b)(2)
|
Structured
Investments
|
$5,740,000
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500® Index due March 8, 2017 |
• | The notes are designed for investors who seek an unleveraged return (with a Maximum Return of 15.25%) equal to any appreciation, or an unleveraged return equal to the absolute value of any depreciation (up to 15.25%), of the S&P 500® Index at maturity, and who anticipate that the Ending Index Level will not be less than the Initial Index Level by more than 15.25%. Investors should be willing to forgo interest and dividend payments and, if the Ending Index Level is less than the Initial Index Level by more than 15.25%, be willing to lose some or all of their principal. |
• | 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 $10,000 and integral multiples of $1,000 in excess thereof |
Index:
|
The S&P 500® Index (“SPX”) (the “Index”)
|
||
Contingent Buffer Amount:
|
15.25%
|
||
Payment at Maturity:
|
If the Ending Index Level is greater than the Initial Index Level, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return, subject to the Maximum Return. Accordingly, if the Ending Index Level is greater than the Initial Index Level, your payment at maturity per $1,000 principal amount note will be calculated as follows:
|
||
$1,000 +($1,000 x Index Return), subject to the Maximum Return
|
|||
If the Ending Index Level is less than the Initial Index Level by up to 15.25%, you will receive at maturity a cash payment that provides you with a return per $1,000 principal amount note equal to the Absolute Index Return, and your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return)
Because the payment at maturity will not reflect the Absolute Index Return if the Ending Index Level is less than the Initial Index Level by more than 15.25%, your maximum payment at maturity if the Index Return is negative is $1,152.50 per $1,000 principal amount note.
If the Ending Index Level is less than the Initial Index Level by more than 15.25%, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level by more than 15.25%, and your payment at maturity per $1,000 principal amount note will be calculated as follows:
|
|||
$1,000 + ($1,000 x Index Return)
|
|||
If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount, you will lose more than your principal amount and may lose all of your principal amount at maturity.
|
|||
Maximum Return:
|
15.25%
|
||
Index Return:
|
(Ending Index Level – Initial Index Level)
Initial Index Level
|
||
Absolute Index Return:
|
The absolute value of the Index Return. For example, if the Index Return is -5%, the Absolute Index Return will equal 5%.
|
||
Initial Index Level:
|
The closing level of the Index on the Pricing Date, which was 1,940.51
|
||
Ending Index Level:
|
The arithmetic average of the closing levels of the Index on each of the five Ending Averaging Dates
|
||
Pricing Date:
|
August 26, 2015
|
||
Original Issue Date
(Settlement Date):
|
On or about August 31, 2015
|
||
Ending Averaging Dates†:
|
February 27, 2017, February 28, 2017, March 1, 2017, March 2, 2017 and March 3, 2017
|
||
Maturity Date*:
|
March 8, 2017
|
||
CUSIP:
|
48125UR87
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
|
Per note
|
$1,000
|
$12.50
|
$987.50
|
Total
|
$5,740,000
|
$71,750
|
$5,668,250
|
(1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes. |
(2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $12.50 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I. |
· | Product supplement no. 4a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf |
· | Underlying supplement no. 1a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf |
· | Prospectus supplement and prospectus, each dated November 7, 2014: |
Ending Index Level
|
Index Return
|
Absolute Index Return
|
Total Return
|
3,600.00
|
80.00%
|
80.00%
|
15.25%
|
3,300.00
|
65.00%
|
65.00%
|
15.25%
|
3,000.00
|
50.00%
|
50.00%
|
15.25%
|
2,800.00
|
40.00%
|
40.00%
|
15.25%
|
2,600.00
|
30.00%
|
30.00%
|
15.25%
|
2,400.00
|
20.00%
|
20.00%
|
15.25%
|
2,305.00
|
15.25%
|
15.25%
|
15.25%
|
2,300.00
|
15.00%
|
15.00%
|
15.00%
|
2,200.00
|
10.00%
|
10.00%
|
10.00%
|
2,100.00
|
5.00%
|
5.00%
|
5.00%
|
2,020.00
|
1.00%
|
1.00%
|
1.00%
|
2,000.00
|
0.00%
|
0.00%
|
0.00%
|
1,900.00
|
-5.00%
|
5.00%
|
5.00%
|
1,800.00
|
-10.00%
|
10.00%
|
10.00%
|
1,695.00
|
-15.25%
|
15.25%
|
15.25%
|
1,694.80
|
-15.26%
|
15.26%
|
-15.26%
|
1,600.00
|
-20.00%
|
20.00%
|
-20.00%
|
1,400.00
|
-30.00%
|
30.00%
|
-30.00%
|
1,200.00
|
-40.00%
|
40.00%
|
-40.00%
|
1,000.00
|
-50.00%
|
50.00%
|
-50.00%
|
800
|
-60.00%
|
60.00%
|
-60.00%
|
600
|
-70.00%
|
70.00%
|
-70.00%
|
400
|
-80.00%
|
80.00%
|
-80.00%
|
200
|
-90.00%
|
90.00%
|
-90.00%
|
0
|
-100.00%
|
100.00%
|
-100.00%
|
• | CAPPED AND UNLEVERAGED APPRECIATION POTENTIAL IF THE INDEX RETURN IS POSITIVE — The notes provide the opportunity to earn an unleveraged return equal to a positive Index Return, up to the Maximum Return of 15.25% (or a maximum payment at maturity of $1,152.50) per $1,000 principal amount note. Because the notes are our unsecured and unsubordinated obligations, payment of any amount on the notes is subject to our ability to pay our obligations as they become due. |
• | POTENTIAL FOR UP TO A 15.25% RETURN ON THE NOTES EVEN IF THE INDEX RETURN IS NEGATIVE — If the Ending Index Level is less than the Initial Index Level by up to the Contingent Buffer Amount of 15.25%, you will earn a positive, unleveraged return on the notes equal to the Absolute Index Return. Under these circumstances, you will earn a positive return on the notes even though the Ending Index Level is less than the Initial Index Level. For example, if the Index Return is -5%, the Absolute Index Return will equal 5%. Because the payment at maturity will not reflect the Absolute Index Return if the Ending Index Level is less than the Initial Index Level by more than 15.25%, your maximum payment at maturity if the Index Return is negative is $1,152.50 per $1,000 principal amount note. |
• | RETURN LINKED TO THE S&P 500® INDEX — The return on the notes is linked to the S&P 500® Index. The S&P 500® Index consists of 500 component stocks selected to provide a performance benchmark for the U.S. equity markets. See “Equity Index Descriptions — The S&P 500® Index” in the accompanying underlying supplement no. 1a-I. |
• | CAPITAL GAINS TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes. |
• | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the notes at maturity is linked to the performance of the Index and will depend on whether, and the extent to which, the Index Return is positive or negative. Your investment will be exposed on a leveraged basis to loss if the Ending Index Level is less than the Initial Index Level by more than 15.25%. For every 1% that the Ending Index Level is less than the Initial Index Level by more than 15.25%, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level. Accordingly, under these circumstances, you will lose more than 15.25% of your principal amount and may lose all of your principal amount at maturity. |
• | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM RETURN AND THE CONTINGENT BUFFER AMOUNT — If the Ending Index Level is greater than the Initial Index Level, for each $1,000 principal amount note, you will receive at maturity $1,000 plus an additional return that will not exceed the Maximum Return of 15.25%, regardless of the appreciation in the Index, which may be significant. In addition, if the Ending Index Level is less than the Initial Index Level by up to the Contingent Buffer Amount of 15.25%, you will receive at maturity $1,000 plus an additional return equal to the Absolute Index Return, up to 15.25%. Because the payment at maturity will not reflect the Absolute Index Return if the Ending Index Level is less than the Initial Index Level by more than 15.25%, your maximum payment at maturity is $1,152.50 per $1,000 principal amount note. |
• | 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. |
• | POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as JPMS’s estimated value. In performing these duties, our economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our business activities, including hedging and trading activities, could cause our economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement no. 4a-I for additional information about these risks. |
• | THE AVERAGING CONVENTION USED TO CALCULATE THE ENDING INDEX LEVEL COULD LIMIT RETURNS — Your investment in the notes may not perform as well as an investment in an instrument that measures the point-to-point performance of the Index from the pricing date to the final Ending Averaging Date. Your ability to participate in the appreciation of the Index may be limited by the 5-day-end-of-term averaging used to calculate the Ending Index Level, especially if there is a significant increase in the closing level of the Index on the final Ending Averaging Date. Accordingly, you may not receive the benefit of the full appreciation of the Index between the pricing date and the final Ending Averaging Date. |
• | JPMS'S ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — JPMS’s estimated value is only an estimate using several factors. The original issue price of the notes exceeds JPMS’s estimated value because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “JPMS’s Estimated Value of the Notes” in this pricing supplement. |
• | JPMS'S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS' ESTIMATES — JPMS’s estimated value of the notes is determined by reference to JPMS’s internal pricing models when the terms of the notes are set. This estimated value is based on market conditions and other relevant factors existing at that time and JPMS’s assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See “JPMS’s Estimated Value of the Notes” in this pricing supplement. |
• | JPMS'S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of the notes as well as the higher issuance, operational and ongoing |
• | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS'S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
• | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the maturity date could result in a substantial loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary market prices of the notes. |
• | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index, including: |
• | any actual or potential change in our creditworthiness or credit spreads; |
• | customary bid-ask spreads for similarly sized trades; |
• | secondary market credit spreads for structured debt issuances; |
• | the actual and expected volatility of the Index; |
• | the time to maturity of the notes; |
• | the dividend rates on the equity securities underlying the Index; |
• | interest and yield rates in the market generally; and |
• | a variety of other economic, financial, political, regulatory and judicial events. |
• | NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities composing the Index would have. |
• | 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. |